Estimation of AR and ARMA models by stochastic complexity

In this paper the stochastic complexity criterion is applied to estimation of the order in AR and ARMA models. The power of the criterion for short strings is illustrated by simulations. It requires an integral of the square root of Fisher information, which is done by Monte Carlo technique. The stochastic complexity, which is the negative logarithm of the Normalized Maximum Likelihood universal density function, is given. Also, exact asymptotic formulas for the Fisher information matrix are derived.Comment: Published at http://dx.doi.org/10.1214/074921706000000941 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Volatility Modelling Using Hybrid Autoregressive Conditional Heteroskedasticity (ARCH) - Support Vector Regression (SVR)

High fluctuations in stock returns is one problem that is considered by the investors. Therefore we need a model that is able to predict accurately the volatility of stock returns. One model that can be used is a model Autoregressive Conditional Heteroskedasticity (ARCH). This model can serve as a model input in the Support Vector Regression (SVR) model, known as Hybrid ARCH-SVR. This modeling is one of the alternatives in modeling the volatility of stock returns. This method is able to show a good performance in modeling the volatility of stock returns. The purpose of this study was to determine the stock return volatility models using a Hybrid ARCH-SVR model on stock price data of PT. Indofood Sukses Makmur Tbk. The result shows that the determination of the input variables based on the ARIMA (3,0,3)-ARCH (5), so that the SVR model consists of 5 lags as input vector. Using a this model was obtained that the Mean Absolute Percentage Error (MAPE) of 1,98% and R2 = 99.99%. Keywords: ARCH; ARIMA; SVR; Volatilit

Wavenet based low rate speech coding

Traditional parametric coding of speech facilitates low rate but provides poor reconstruction quality because of the inadequacy of the model used. We describe how a WaveNet generative speech model can be used to generate high quality speech from the bit stream of a standard parametric coder operating at 2.4 kb/s. We compare this parametric coder with a waveform coder based on the same generative model and show that approximating the signal waveform incurs a large rate penalty. Our experiments confirm the high performance of the WaveNet based coder and show that the speech produced by the system is able to additionally perform implicit bandwidth extension and does not significantly impair recognition of the original speaker for the human listener, even when that speaker has not been used during the training of the generative model.Comment: 5 pages, 2 figure

Modeling Long- and Short-Term Temporal Patterns with Deep Neural Networks

Multivariate time series forecasting is an important machine learning problem across many domains, including predictions of solar plant energy output, electricity consumption, and traffic jam situation. Temporal data arise in these real-world applications often involves a mixture of long-term and short-term patterns, for which traditional approaches such as Autoregressive models and Gaussian Process may fail. In this paper, we proposed a novel deep learning framework, namely Long- and Short-term Time-series network (LSTNet), to address this open challenge. LSTNet uses the Convolution Neural Network (CNN) and the Recurrent Neural Network (RNN) to extract short-term local dependency patterns among variables and to discover long-term patterns for time series trends. Furthermore, we leverage traditional autoregressive model to tackle the scale insensitive problem of the neural network model. In our evaluation on real-world data with complex mixtures of repetitive patterns, LSTNet achieved significant performance improvements over that of several state-of-the-art baseline methods. All the data and experiment codes are available online.Comment: Accepted by SIGIR 201

Forecasting Time Series with VARMA Recursions on Graphs

Graph-based techniques emerged as a choice to deal with the dimensionality issues in modeling multivariate time series. However, there is yet no complete understanding of how the underlying structure could be exploited to ease this task. This work provides contributions in this direction by considering the forecasting of a process evolving over a graph. We make use of the (approximate) time-vertex stationarity assumption, i.e., timevarying graph signals whose first and second order statistical moments are invariant over time and correlated to a known graph topology. The latter is combined with VAR and VARMA models to tackle the dimensionality issues present in predicting the temporal evolution of multivariate time series. We find out that by projecting the data to the graph spectral domain: (i) the multivariate model estimation reduces to that of fitting a number of uncorrelated univariate ARMA models and (ii) an optimal low-rank data representation can be exploited so as to further reduce the estimation costs. In the case that the multivariate process can be observed at a subset of nodes, the proposed models extend naturally to Kalman filtering on graphs allowing for optimal tracking. Numerical experiments with both synthetic and real data validate the proposed approach and highlight its benefits over state-of-the-art alternatives.Comment: submitted to the IEEE Transactions on Signal Processin

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

A Survey of Prediction and Classification Techniques in Multicore Processor Systems

In multicore processor systems, being able to accurately predict the future provides new optimization opportunities, which otherwise could not be exploited. For example, an oracle able to predict a certain application\u27s behavior running on a smart phone could direct the power manager to switch to appropriate dynamic voltage and frequency scaling modes that would guarantee minimum levels of desired performance while saving energy consumption and thereby prolonging battery life. Using predictions enables systems to become proactive rather than continue to operate in a reactive manner. This prediction-based proactive approach has become increasingly popular in the design and optimization of integrated circuits and of multicore processor systems. Prediction transforms from simple forecasting to sophisticated machine learning based prediction and classification that learns from existing data, employs data mining, and predicts future behavior. This can be exploited by novel optimization techniques that can span across all layers of the computing stack. In this survey paper, we present a discussion of the most popular techniques on prediction and classification in the general context of computing systems with emphasis on multicore processors. The paper is far from comprehensive, but, it will help the reader interested in employing prediction in optimization of multicore processor systems