A self-organizing map analysis of survey-based agents expectations before impending shocks for model selection: the case of the 2008 financial crisis

© . This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks.Peer ReviewedPostprint (published version

A self-organizing map analysis of survey-based agents' expectations before impending shocks for model selection: The case of the 2008 financial crisis

This paper examines the role of clustering techniques to assist in the selection of the most indicated method to model survey-based expectations. First, relying on a Self-Organizing Map (SOM) analysis and using the financial crisis of 2008 as a benchmark, we distinguish between countries that show a progressive anticipation of the crisis, and countries where sudden changes in expectations occur. We then generate predictions of survey indicators, which are usually used as explanatory variables in econometric models. We compare the forecasting performance of a multi-layer perceptron (MLP) Artificial Neural Network (ANN) model to that of three different time series models. By combining both types of analysis, we find that ANN models outperform time series models in countries in which the evolution of expectations shows brisk changes before impending shocks. Conversely, in countries where expectations follow a smooth transition towards recession, autoregressive integrated moving-average (ARIMA) models outperform neural networks

Modelling nonlinearities in GDP. Some diferences between us and spanish data

This paper studies the dynamic behaviour of US and Spanish GDP constructing final form (univariate) models, which can explain the non-linear aspects to be found in the trend and cyclical component of the mentioned aggregates. The main directions of research into switching regime models and the main results obtained in their application to the United States GDP are discussed. The option taken in this paper is to develop on the TAR models followed by Tiao and Tsay (1994) with two useful modifications. The nonlinear model for Spanish GDP distinguishes three different regimes and fits the data and forecast better than lineal models. The nonlinear model for US considers four regimes and fits similar than linear models, is stable and its forecasting performance is better or worse than the one obtained with linear models depending on the presence of recessions in the period of forecasting. But linear models for US GDP must be discarded because are unstable. This, in turn, emphasises the interest for nonlinear models. The US and Spanish business cycles shows similarities in the sense that both economies enter into recession as a result of negative shocks, expansions show short cyclical oscillations, periods of recovery after a recession are abrupt and there is evidence of positive duration dependence in recessions. Nevertheless, while US GDP shows a dynamic behaviour that pushes the economy out of recessions, Spanish GDP requires the help of positive shocks. Net exports and possibly the competitiveness of exports may play a highly important role in the Spanish business cycle and inventory investment could be the main factor in the case of US. The evidence of positive duration dependence is not strong enough for US expansions while in the case of Spanish expansions this effect could have a U-shape

Context-awareness for mobile sensing: a survey and future directions

The evolution of smartphones together with increasing computational power have empowered developers to create innovative context-aware applications for recognizing user related social and cognitive activities in any situation and at any location. The existence and awareness of the context provides the capability of being conscious of physical environments or situations around mobile device users. This allows network services to respond proactively and intelligently based on such awareness. The key idea behind context-aware applications is to encourage users to collect, analyze and share local sensory knowledge in the purpose for a large scale community use by creating a smart network. The desired network is capable of making autonomous logical decisions to actuate environmental objects, and also assist individuals. However, many open challenges remain, which are mostly arisen due to the middleware services provided in mobile devices have limited resources in terms of power, memory and bandwidth. Thus, it becomes critically important to study how the drawbacks can be elaborated and resolved, and at the same time better understand the opportunities for the research community to contribute to the context-awareness. To this end, this paper surveys the literature over the period of 1991-2014 from the emerging concepts to applications of context-awareness in mobile platforms by providing up-to-date research and future research directions. Moreover, it points out the challenges faced in this regard and enlighten them by proposing possible solutions

An adaptive framework for real-time data reduction in AMI

In existing Advanced Metering Infrastructure (AMI), data collection intervals for each smart meter (SM) typically vary from 15 to 60 min. If we have 1 million SMs that transmit data every 15 min, these SMs will export 4 million records per hour. This leads to dramatically increasing bandwidth usage, energy consumption, traffic cost and I/O congestion. In this work, we present an adaptive framework for minimizing the amount of data transfer from SMs. The reduction in the framework is forecasting-based; when an SM reading is close to the forecasted value, the SM does not transmit the reading. In order for the framework to be adaptive to the ever-changing pattern of SM data, it is provided with a pool of forecasting methods. A supervised-learning scheme is employed to switch in real-time to the forecasting method most suitable to the current data pattern. The experimental results demonstrate that the proposed framework achieves data reduction rates up to 98% with accuracy 96%, depending on the operational parameters of the framework and consumer behavior (statistical features of SM data)

Dynamic Bayesian smooth transition autoregressive (DBSTAR) models for non-stationary nonlinear time series

In this thesis, Dynamic Bayesian Smooth Transition Autoregressive (DBSTAR) models are proposed for nonlinear time series, as an alternative to both the classical Smooth Transition Autoregressive (STAR) models and Computational Bayesian STAR (CBSTAR) models. DBSTAR models are autoregressive formulations of dynamic linear models based on polynomial approximations of transition functions of STAR models. Unlike classical STAR and CBSTAR models, their parameters vary in time, being suitable for modelling both global and local non-stationary processes. Since DBSTAR models are Bayesian, the models do not require extensive historical data for parametric estimation and allow expert intervention via prior distribution assessment of model parameters. Because they are analytical and sequential, DBSTAR models, respectively, avoid potential computational problems associated with CBSTAR models, such as convergence issues, and allow fast estimation of dynamic parameters sequentially in time, being thus suitable for real time applications. Proposed DBSTAR models have been applied to two data sets: the much used Canadian Lynx data set, in which the aim is to validate DBSTAR models by comparing their fitting performances with existing approaches in the literature, and a Brazilian electricity load data set, for which existing models are not suitable

Forecasting: theory and practice

Forecasting has always been in the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The lack of a free-lunch theorem implies the need for a diverse set of forecasting methods to tackle an array of applications. This unique article provides a non-systematic review of the theory and the practice of forecasting. We offer a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts, including operations, economics, finance, energy, environment, and social good. We do not claim that this review is an exhaustive list of methods and applications. The list was compiled based on the expertise and interests of the authors. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of the forecasting theory and practice