7,987 research outputs found
Linearity Testing Against a Fuzzy Rule-based Model
In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange Multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented.fuzzy rule-based models, time series, linearity test, statistical inference
Forecasting of financial data: a novel fuzzy logic neural network based on error-correction concept and statistics
First, this paper investigates the effect of good and bad news on volatility in the BUX return time series using asymmetric ARCH models. Then, the accuracy of forecasting models based on statistical (stochastic), machine learning methods, and soft/granular RBF network is investigated. To forecast the high-frequency financial data, we apply statistical ARMA and asymmetric GARCH-class models. A novel RBF network architecture is proposed based on incorporation of an error-correction mechanism, which improves forecasting ability of feed-forward neural networks. These proposed modelling approaches and SVM models are applied to predict the high-frequency time series of the BUX stock index. We found that it is possible to enhance forecast accuracy and achieve significant risk reduction in managerial decision making by applying intelligent forecasting models based on latest information technologies. On the other hand, we showed that statistical GARCH-class models can identify the presence of leverage effects, and react to the good and bad news.Web of Science421049
Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization
Given a set of time series, it is of interest to discover subsets that share similar properties. For instance, this may be useful for identifying and estimating a single model that may fit conveniently several time series, instead of performing the usual identification and estimation steps for each one. On the other hand time series in the same cluster are related with respect to the measures assumed for cluster analysis and are suitable for building multivariate time series models. Though many approaches to clustering time series exist, in this view the most effective method seems to have to rely on choosing some features relevant for the problem at hand and seeking for clusters according to their measurements, for instance the autoregressive coe±cients, spectral measures or the eigenvectors of the covariance matrix. Some new indexes based on goodnessof-fit criteria will be proposed in this paper for fuzzy clustering of multivariate time series. A general purpose fuzzy clustering algorithm may be used to estimate the proper cluster structure according to some internal criteria of cluster validity. Such indexes are known to measure actually definite often conflicting cluster properties, compactness or connectedness, for instance, or distribution, orientation, size and shape. It is argued that the multiobjective optimization supported by genetic algorithms is a most effective choice in such a di±cult context. In this paper we use the Xie-Beni index and the C-means functional as objective functions to evaluate the cluster validity in a multiobjective optimization framework. The concept of Pareto optimality in multiobjective genetic algorithms is used to evolve a set of potential solutions towards a set of optimal non-dominated solutions. Genetic algorithms are well suited for implementing di±cult optimization problems where objective functions do not usually have good mathematical properties such as continuity, differentiability or convexity. In addition the genetic algorithms, as population based methods, may yield a complete Pareto front at each step of the iterative evolutionary procedure. The method is illustrated by means of a set of real data and an artificial multivariate time series data set.Fuzzy clustering, Internal criteria of cluster validity, Genetic algorithms, Multiobjective optimization, Time series, Pareto optimality
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Common mortality modeling and coherent forecasts. An empirical analysis of worldwide mortality data
A new common mortality modeling structure is presented for analyzing mortality dynamics for a pool of countries, under the framework of generalized linear models (GLM). The countries are first classified by fuzzy c-means cluster analysis in order to construct the common sparse age-period model structure for the mortality experience. Next, we propose a method to create the common sex difference age-period model structure and then use this to produce the residual age-periodmodel structure for each country and sex. The time related principal components are extrapolated using dynamic linear regression (DLR) models and coherent mortality forecasts are investigated. We make use of mortality data from the “Human Mortality Database”
Application of a Modified Generalized Regression Neural Networks Algorithm in Economics and Finance
In this paper we propose an alternative and modified Generalized Regression Neural Networks Autoregressive model (GRNN-AR) in S&P 500 and FTSE 100 index returns, as also in Gross domestic product growth rate of Italy, USA and UK. We compare the forecasts with Generalized Autoregressive conditional Heteroskedasticity (GARCH) and Autoregressive Integrated Moving Average (ARIMA) models. The results indicate that GRNN outperform significant the conventional econometric models and can be an efficient alternative tool for forecasting. The MATLAB algorithm we propose is provided in appendix for further applications, suggestions, modifications and improvements
Forecasting Long-Term Government Bond Yields: An Application of Statistical and AI Models
This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets.interest rates; forecasting; neural networks; fuzzy logic.
Forecasting and Forecast Combination in Airline Revenue Management Applications
Predicting a variable for a future point in time helps planning for unknown
future situations and is common practice in many areas such as economics, finance,
manufacturing, weather and natural sciences. This paper investigates and compares
approaches to forecasting and forecast combination that can be applied to service
industry in general and to airline industry in particular. Furthermore, possibilities to
include additionally available data like passenger-based information are discussed
Multi-time-horizon Solar Forecasting Using Recurrent Neural Network
The non-stationarity characteristic of the solar power renders traditional
point forecasting methods to be less useful due to large prediction errors.
This results in increased uncertainties in the grid operation, thereby
negatively affecting the reliability and increased cost of operation. This
research paper proposes a unified architecture for multi-time-horizon
predictions for short and long-term solar forecasting using Recurrent Neural
Networks (RNN). The paper describes an end-to-end pipeline to implement the
architecture along with the methods to test and validate the performance of the
prediction model. The results demonstrate that the proposed method based on the
unified architecture is effective for multi-horizon solar forecasting and
achieves a lower root-mean-squared prediction error compared to the previous
best-performing methods which use one model for each time-horizon. The proposed
method enables multi-horizon forecasts with real-time inputs, which have a high
potential for practical applications in the evolving smart grid.Comment: Accepted at: IEEE Energy Conversion Congress and Exposition (ECCE
2018), 7 pages, 5 figures, code available: sakshi-mishra.github.i
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