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The use of neural networks for time series prediction has been an important focus of recent research. Multi-objective optimization techniques have been used for training neural networks for time series prediction. Cooperative coevolution is an evolutionary computation method that decomposes the problem into subcomponents and has shown promising results for training neural networks. This paper presents a multi-objective cooperative coevolutionary method for training neural networks where the training data set is processed to obtain the different objectives for multi-objective evolutionary training of the neural network. We use different time lags as multi-objective criterion. The trained multi-objective neural network can give prediction of the original time series for preprocessed data sets distinguished by their time lags. The proposed method is able to outperform the conventional cooperative coevolutionary …