Federal finance and statistics / Central Bank of Nigeria

Comparative Forecast of Inflation in Nigeria Using KNN and LSTM Integrated with Hidden Markov Models

This study compares the forecasting performance of the K-Nearest Neighbours (KNN) model and Long Short-Term Memory integrated with a Hidden Markov Model(LSTM HMM), for predicting inflation in Nigeria. Annual data on inflation rate, gross domestic product (GDP) and GDP per capita covering 1960–2022 were used. In flation was classified into low, moderate and high regimes, with the transition be haviour captured using the Hidden Markov component. The estimated steady-state probabilities were | Keywords: Inflation forecasting, K-Nearest Neighbours, Long Short-Term Memory, Hidden Markov Model, Regi…