Thank you dear @ Daniel Wright. A very interesting comment. In fact I have a research article concerning monthly stream flow for the period 1931-1999, which was analysed by Box-Jenkins ARIMA models, the reviewrs rejected it asking me to compare the results with Machine Learning NN.
I am also having a similar problem trying to generate future offshore wind scenarios based on ARIMA modeling and spatio-temporal correlations but I dont't think this is the most appropriate way (for long-term predictions and future scenarios generation). Therefore, I guess this is the reason that the reviewers ask to compare the results with Machine Learning NN or I guess with MCMC (Markov Chain Monte Carlo implementations).
Dear @ Loukas Katikas. I think that you may refer to Statgraphics 17 or higher which contains MCMC (Markov Chain Monte Carlo, in additional to other modeling methods like Winters Seasonal Model, ........ As for NN they say it has much more accuracy than ARIMA model but in my opinion I doubt that as Seasonality can not represented by the Step function but it can be represented easily by seasonal differencing and seasonal AR and seasonal MA. Another way is by Harmonic Regression. Realy I wish that NN gives accurate forecasts.