FNNGM: A neural-driven fractional-derivative multivariate fusion model for interpretable real-time CPI forecasts

Integrating models from diverse sources has attracted substantial interest in developing advanced time series forecasting technologies. However, current research lacks a comprehensive and deep fusion model to integrate multiple forecasting methodologies. To this end, this paper proposes a neural-driven fractional-derivative multivariate fusion model (FNNGM (p, n)) to assimilate the fractional-derivative dynamical system, the driving factor in grey multivariate models, and the neural network into a cohesive framework. Consequently, this fusion architecture can benefit from the synergy of the target system's dynamics, extensive exogenous information, and non-linear transformation. Additionally, FNNGM (p, n) fosters extra functionalities through its inherent memory layer and sequence decomposition, bolstering model interpretability with the visible memory mechanism and understandable model workflows. To showcase the utility of FNNGM (p, n), this paper conducts real-time monthly consumer price index (CPI) forecasts that span ten years (from 2013:08 to 2023:07), analyzing the interpretable results from FNNGM (p, n) and contrasting it against many prevailing benchmark models. The comparison results reveal FNNGM (p, n)’s highly concentrated error distributions and the minimum mean absolute percentage forecasting error (APFE), squared forecasting error (SFE), and absolute forecasting error (AFE) values of 0.22 %, 0.59, and 0.56, respectively. Furthermore, the ablation experiments are performed to explore the specific effects and compatibilities of the fusion components, validating the effectiveness of the proposed fusion approach.