Forecasting inflation with thick models and neural networks

This paper applies linear and neural network-based “thick” models for forecasting inflation based on Phillips–curve formulations in the USA, Japan and the euro area. Thick models represent “trimmed mean” forecasts from several neural network models. They outperform the best performing linear models for “real-time” and “bootstrap” forecasts for service indices for the euro area, and do well, sometimes better, for the more general consumer and producer price indices across a variety of countries. JEL Classification: C12, E31bootstrap, Neural Networks, Phillips Curves, real-time forecasting, Thick Models

Analysing and forecasting tourism demand in Vietnam with artificial neural networks

Mestrado APNORVietnam has experienced a tourism boom over the last decade with more than 18 million international tourists in 2019, compared to 1.5 million twenty-five years ago. Tourist spending has translated into rising employment and income for the tourism sector, making it the key driver to the socio-economic development of the country. Facing the COVID-19 pandemic, Vietnam´s tourism has suffered extreme economic losses. However, the number of international tourists is expected to reach the pre-pandemic levels in the next few years after the COVID-19 pandemic subsides. Forecasting tourism demand plays an essential role in predicting future economic development. Accurate predictions of tourism volume would facilitate decision-makers and managers to optimize resource allocation as well as to balance environmental and economic aspects. Various methods to predict tourism demand have been introduced over the years. One of the most prominent approaches is Artificial Neural Network (ANN) thanks to its capability to handle highly volatile and non-linear data. Given the significance of tourism to the economy, a precise forecast of tourism demand would help to foresee the potential economic growth of Vietnam. First, the research aims to analyse Vietnam´s tourism sector with a special focus on international tourists. Next, several ANN architectures are experimented with the datasets from 2008 to 2020, to predict the monthly number of international tourists traveling to Vietnam including COVID-19 lockdown periods. The results showed that with the correct selection of ANN architectures and data from the previous 12 months, the best ANN models can forecast the number of international tourists for next month with a MAPE between 7.9% and 9.2%. As the method proves its forecasting accuracy, it would serve as a valuable tool for Vietnam´s policymakers and firm managers to make better investment and strategic decisions to promote tourism after the COVID-19 situation.O Vietname conheceu um boom turístico na última década com mais de 18 milhões de turistas internacionais em 2019, em comparação com 1,5 milhões há vinte e cinco anos. As despesas turísticas traduziram-se num aumento do emprego e de receitas no sector do turismo, tornando-o no principal motor do desenvolvimento socioeconómico do país. Perante a pandemia da COVID-19, o turismo no Vietname sofreu perdas económicas extremas. Porém, espera-se que o número de turistas internacionais, pós pandemia da COVID-19, atinja os níveis pré-pandémicos nos próximos anos. A previsão da procura turística desempenha um papel essencial na previsão do desenvolvimento económico futuro. Previsões precisas facilitariam os decisores e gestores a otimizar a afetação de recursos, bem como o equilíbrio entre os aspetos ambientais e económicos. Vários métodos para prever a procura turística têm sido introduzidos ao longo dos anos. Uma das abordagens mais proeminentes assenta na metodologia das Redes Neuronais Artificiais (ANN) dada a sua capacidade de lidar com dados voláteis e não lineares. Dada a importância do turismo para a economia, uma previsão precisa da procura turística ajudaria a prever o crescimento económico potencial do Vietname. Em primeiro lugar, a investigação tem por objetivo analisar o sector turístico do Vietname com especial incidência nos turistas internacionais. Em seguida, várias arquiteturas de ANN são experimentadas com um conjunto de dados de 2008 a 2020, para prever o número mensal de turistas internacionais que se deslocam ao Vietname, incluindo os períodos de confinamento relacionados com a COVID-19. Os resultados mostraram, com a correta seleção de arquiteturas ANN e dados dos 12 meses anteriores, os melhores modelos ANN podem prever o número de turistas internacionais para o próximo mês com uma MAPE entre 7,9% e 9,2%. Como o método evidenciou a sua precisão de previsão, o mesmo pode servir como uma ferramenta valiosa para os decisores políticos e gestores de empresas do Vietname, pois irá permitir fazer melhores investimentos e tomarem decisões estratégicas para promover o turismo pós situação da COVID-19

Review of automated time series forecasting pipelines

Time series forecasting is fundamental for various use cases in different domains such as energy systems and economics. Creating a forecasting model for a specific use case requires an iterative and complex design process. The typical design process includes the five sections (1) data pre-processing, (2) feature engineering, (3) hyperparameter optimization, (4) forecasting method selection, and (5) forecast ensembling, which are commonly organized in a pipeline structure. One promising approach to handle the ever-growing demand for time series forecasts is automating this design process. The present paper, thus, analyzes the existing literature on automated time series forecasting pipelines to investigate how to automate the design process of forecasting models. Thereby, we consider both Automated Machine Learning (AutoML) and automated statistical forecasting methods in a single forecasting pipeline. For this purpose, we firstly present and compare the proposed automation methods for each pipeline section. Secondly, we analyze the automation methods regarding their interaction, combination, and coverage of the five pipeline sections. For both, we discuss the literature, identify problems, give recommendations, and suggest future research. This review reveals that the majority of papers only cover two or three of the five pipeline sections. We conclude that future research has to holistically consider the automation of the forecasting pipeline to enable the large-scale application of time series forecasting

A Survey on Data Mining Techniques Applied to Energy Time Series Forecasting

Data mining has become an essential tool during the last decade to analyze large sets of data. The variety of techniques it includes and the successful results obtained in many application fields, make this family of approaches powerful and widely used. In particular, this work explores the application of these techniques to time series forecasting. Although classical statistical-based methods provides reasonably good results, the result of the application of data mining outperforms those of classical ones. Hence, this work faces two main challenges: (i) to provide a compact mathematical formulation of the mainly used techniques; (ii) to review the latest works of time series forecasting and, as case study, those related to electricity price and demand markets.Ministerio de Economía y Competitividad TIN2014-55894-C2-RJunta de Andalucía P12- TIC-1728Universidad Pablo de Olavide APPB81309

Tourism demand modelling and forecasting : a review of recent research

2007-2008 > Academic research: refereed > Publication in refereed journalAccepted ManuscriptPublishe

A multivariate approach for multi-step demand forecasting in assembly industries: Empirical evidence from an automotive supply chain

PreprintDemand forecasting works as a basis for operating, business and production planning decisions in many supply chain contexts. Yet, how to accurately predict the manufacturer's demand for components in the presence of end-customer demand uncertainty remains poorly understood. Assigning the proper order quantities of components to suppliers thus becomes a nontrivial task, with a significant impact on planning, capacity and inventory-related costs. This paper introduces a multivariate approach to predict manufacturer's demand for components throughout multiple forecast horizons using different leading indicators of demand shifts. We compare the autoregressive integrated moving average model with exogenous inputs (ARIMAX) with Machine Learning (ML) models. Using a real case study, we empirically evaluate the forecasting and supply chain performance of the multivariate regression models over the component's life-cycle. The experiments show that the proposed multivariate approach provides superior forecasting and inventory performance compared with traditional univariate benchmarks. Moreover, it reveals applicable throughout the component's life-cycle, not just to a single stage. Particularly, we found that demand signals at the beginning of the life-cycle are predicted better by the ARIMAX model, but it is outperformed by ML-based models in later life-cycle stages.INCT-EN - Instituto Nacional de Ciência e Tecnologia para Excitotoxicidade e Neuroproteção(UIDB/00319/2020

Distributed energy resources and the application of AI, IoT, and blockchain in smart grids

Smart grid (SG), an evolving concept in the modern power infrastructure, enables the two-way flow of electricity and data between the peers within the electricity system networks (ESN) and its clusters. The self-healing capabilities of SG allow the peers to become active partakers in ESN. In general, the SG is intended to replace the fossil fuel-rich conventional grid with the distributed energy resources (DER) and pools numerous existing and emerging know-hows like information and digital communications technologies together to manage countless operations. With this, the SG will able to “detect, react, and pro-act” to changes in usage and address multiple issues, thereby ensuring timely grid operations. However, the “detect, react, and pro-act” features in DER-based SG can only be accomplished at the fullest level with the use of technologies like Artificial Intelligence (AI), the Internet of Things (IoT), and the Blockchain (BC). The techniques associated with AI include fuzzy logic, knowledge-based systems, and neural networks. They have brought advances in controlling DER-based SG. The IoT and BC have also enabled various services like data sensing, data storage, secured, transparent, and traceable digital transactions among ESN peers and its clusters. These promising technologies have gone through fast technological evolution in the past decade, and their applications have increased rapidly in ESN. Hence, this study discusses the SG and applications of AI, IoT, and BC. First, a comprehensive survey of the DER, power electronics components and their control, electric vehicles (EVs) as load components, and communication and cybersecurity issues are carried out. Second, the role played by AI-based analytics, IoT components along with energy internet architecture, and the BC assistance in improving SG services are thoroughly discussed. This study revealed that AI, IoT, and BC provide automated services to peers by monitoring real-time information about the ESN, thereby enhancing reliability, availability, resilience, stability, security, and sustainability

Analysis and modeling a distributed co-operative multi agent system for scaling-up business intelligence

Modeling A Distributed Co-Operative Multi Agent System in the area of Business Intelligence is the newer topic. During the work carried out a software Integrated Intelligent Advisory Model (IIAM) has been develop, which is a personal finance portfolio ma