Forecasting interest rates: A Comparative assessment of some second generation non-linear model

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis-…-vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.Interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing

FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS

Modelling and forecasting of interest rates has traditionally proceeded in the framework of linear stationary models such as ARMA and VAR, but only with moderate success. We examine here four models which account for several specific features of real world asset prices such as non-stationarity and non-linearity. Our four candidate models are based respectively on wavelet analysis, mixed spectrum analysis, non-linear ARMA models with Fourier coefficients, and the Kalman filter. These models are applied to weekly data on interest rates in India, and their forecasting performance is evaluated vis--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model emerges at the top, with wavelet and mixed spectrum models also showing considerable promise.interest rates, wavelets, mixed spectra, non-linear ARMA, Kalman filter, GARCH, Forecast encompassing.

Data-driven Soft Sensors in the Process Industry

In the last two decades Soft Sensors established themselves as a valuable alternative to the traditional means for the acquisition of critical process variables, process monitoring and other tasks which are related to process control. This paper discusses characteristics of the process industry data which are critical for the development of data-driven Soft Sensors. These characteristics are common to a large number of process industry fields, like the chemical industry, bioprocess industry, steel industry, etc. The focus of this work is put on the data-driven Soft Sensors because of their growing popularity, already demonstrated usefulness and huge, though yet not completely realised, potential. A comprehensive selection of case studies covering the three most important Soft Sensor application fields, a general introduction to the most popular Soft Sensor modelling techniques as well as a discussion of some open issues in the Soft Sensor development and maintenance and their possible solutions are the main contributions of this work

Spatiotemporal and temporal forecasting of ambient air pollution levels through data-intensive hybrid artificial neural network models

Outdoor air pollution (AP) is a serious public threat which has been linked to severe respiratory and cardiovascular illnesses, and premature deaths especially among those residing in highly urbanised cities. As such, there is a need to develop early-warning and risk management tools to alleviate its effects. The main objective of this research is to develop AP forecasting models based on Artificial Neural Networks (ANNs) according to an identified model-building protocol from existing related works. Plain, hybrid and ensemble ANN model architectures were developed to estimate the temporal and spatiotemporal variability of hourly NO2 levels in several locations in the Greater London area. Wavelet decomposition was integrated with Multilayer Perceptron (MLP) and Long Short-term Memory (LSTM) models to address the issue of high variability of AP data and improve the estimation of peak AP levels. Block-splitting and crossvalidation procedures have been adapted to validate the models based on Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and Willmott’s index of agreement (IA). The results of the proposed models present better performance than those from the benchmark models. For instance, the proposed wavelet-based hybrid approach provided 39.15% and 28.58% reductions in RMSE and MAE indices, respectively, on the performance of the benchmark MLP model results for the temporal forecasting of NO2 levels. The same approach reduced the RMSE and MAE indices of the benchmark LSTM model results by 12.45% and 20.08%, respectively, for the spatiotemporal estimation of NO2 levels in one site at Central London. The proposed hybrid deep learning approach offers great potential to be operational in providing air pollution forecasts in areas without a reliable database. The model-building protocol adapted in this thesis can also be applied to studies using measurements from other sites.Outdoor air pollution (AP) is a serious public threat which has been linked to severe respiratory and cardiovascular illnesses, and premature deaths especially among those residing in highly urbanised cities. As such, there is a need to develop early-warning and risk management tools to alleviate its effects. The main objective of this research is to develop AP forecasting models based on Artificial Neural Networks (ANNs) according to an identified model-building protocol from existing related works. Plain, hybrid and ensemble ANN model architectures were developed to estimate the temporal and spatiotemporal variability of hourly NO2 levels in several locations in the Greater London area. Wavelet decomposition was integrated with Multilayer Perceptron (MLP) and Long Short-term Memory (LSTM) models to address the issue of high variability of AP data and improve the estimation of peak AP levels. Block-splitting and crossvalidation procedures have been adapted to validate the models based on Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), and Willmott’s index of agreement (IA). The results of the proposed models present better performance than those from the benchmark models. For instance, the proposed wavelet-based hybrid approach provided 39.15% and 28.58% reductions in RMSE and MAE indices, respectively, on the performance of the benchmark MLP model results for the temporal forecasting of NO2 levels. The same approach reduced the RMSE and MAE indices of the benchmark LSTM model results by 12.45% and 20.08%, respectively, for the spatiotemporal estimation of NO2 levels in one site at Central London. The proposed hybrid deep learning approach offers great potential to be operational in providing air pollution forecasts in areas without a reliable database. The model-building protocol adapted in this thesis can also be applied to studies using measurements from other sites

A damage classification approach for structural health monitoring using machine learning

Inspection strategies with guided wave-based approaches give to structural health monitoring (SHM) applications several advantages, among them, the possibility of the use of real data from the structure which enables continuous monitoring and online damage identification. These kinds of inspection strategies are based on the fact that these waves can propagate over relatively long distances and are able to interact sensitively with and uniquely with different types of defects. The principal goal for SHM is oriented to the development of efficient methodologies to process these data and provide results associated with the different levels of the damage identification process. As a contribution, this work presents a damage detection and classification methodology which includes the use of data collected from a structure under different structural states by means of a piezoelectric sensor network taking advantage of the use of guided waves, hierarchical nonlinear principal component analysis (h-NLPCA), and machine learning. The methodology is evaluated and tested in two structures: (i) a carbon fibre reinforced polymer (CFRP) sandwich structure with some damages on the multilayered composite sandwich structure and (ii) a CFRP composite plate. Damages in the structures were intentionally produced to simulate different damage mechanisms, that is, delamination and cracking of the skin.Peer ReviewedPostprint (published version

Time series forecasting of styrene price using a hybrid ARIMA and neural network model

Every player in the market has a greater need to know about the smallest change in the market. Therefore, the ability to see what is ahead is a valuable advantage. The purpose of this research is to make an attempt to understand the behavioral patterns and try to find a new hybrid forecasting approach based on ARIMA-ANN for estimating styrene price. The time series analysis and forecasting is an essential tool which could be widely useful for finding the significant characteristics for making future decisions. In this study ARIMA, ANN and Hybrid ARIMA-ANN models were applied to evaluate the previous behavior of a time series data, in order to make interpretations about its future behavior for styrene price. Experimental results with real data sets show that the combined model can be most suitable to improve forecasting accurateness rather than traditional time series forecasting methodologies. As a subset of the literature, the small number of studies have been done to realize the new forecasting methods for forecasting styrene price