Table 8
The DM test results for ensemble models on WTI crude oil daily prices.
| CEEMDAN |
Benchmark Model |
|||||||
|---|---|---|---|---|---|---|---|---|
| Horizon | Test Model | SVR(s) | AdaBoost(s) | RF(s) | LSTM_att | SVR | AdaBoost | RF |
| One | LSTMatt(s) | −15.33 (0.0000) | −12.76 (0.0000) | −10.54 (0.0000) | −9.21 (0.0000) | −20.34 (0.0000) | −18.87 (0.0000) | −17.63 (0.0000) |
| Two | LSTMatt(s) | −13.64 (0.0000) | −10.45 (0.0000) | −9.23 (0.0000) | −8.98 (0.0014) | −17.76 (0.0000) | −16.22 (0.0000) | −16.85 (0.0000) |
| Three | LSTMatt(s) | −12.78 (0.0000) | −11.98 (0.0000) | −8.46 (0.0003) | −9.34 (0.0000) | −15.34 (0.0000) | −17.26 (0.0006) | −15.37 (0.0000) |
| Four | LSTMatt(s) | −11.65 (0.0000) | −10.12 (0.0000) | −7.39 (0.0000) | −7.54 (0.0025) | −13.77 (0.0000) | −15.39 (0.0000) | −13.94 (0.0000) |
| Five | LSTMatt(s) | −10.98 (0.0000) | −10.76 (0.0000) | −8.11 (0.0031) | −6.33 (0.0000) | −14.34 (0.0000) | −14.36 (0.0000) | −13.55 (0.0000) |
| Six | LSTMatt(s) | −9.35 (0.0000) | −7.58 (0.0000) | −6.87 (0.0045) | −7.85 (0.0000) | −12.65 (0.0000) | −13.93 (0.0000) | −11.58 (0.0000) |