Towards Developing a Travel Time Forecasting Model for Location-Based Services: a Review

Travel time forecasting models have been studied intensively as a subject of Intelligent Transportation Systems (ITS), particularly in the topics of advanced traffic management systems (ATMS), advanced traveler information systems (ATIS), and commercial vehicle operations (CVO). While the concept of travel time forecasting is relatively simple, it involves a notably complicated task of implementing even a simple model. Thus, existing forecasting models are diverse in their original formulations, including mathematical optimizations, computer simulations, statistics, and artificial intelligence. A comprehensive literature review, therefore, would assist in formulating a more reliable travel time forecasting model. On the other hand, geographic information systems (GIS) technologies primarily provide the capability of spatial and network database management, as well as technology management. Thus, GIS could support travel time forecasting in various ways by providing useful functions to both the managers in transportation management and information centers (TMICs) and the external users. Thus, in developing a travel time forecasting model, GIS could play important roles in the management of real-time and historical traffic data, the integration of multiple subsystems, and the assistance of information management. The purpose of this paper is to review various models and technologies that have been used for developing a travel time forecasting model with geographic information systems (GIS) technologies. Reviewed forecasting models in this paper include historical profile approaches, time series models, nonparametric regression models, traffic simulations, dynamic traffic assignment models, and neural networks. The potential roles and functions of GIS in travel time forecasting are also discussed.

Evaluating Alternative Methods of Forecasting House Prices: A Post-Crisis Reassessment

This paper compares the performance of different forecasting models of California house prices. Multivariate, theory-driven models are able to outperform a theoretical time series models across a battery of forecast comparison measures. Error correction models were best able to predict the turning point in the housing market, whereas univariate models were not. Similarly, even after the turning point occurred, error correction models were still able to outperform univariate models based on MSFE, bias, and forecast encompassing statistics and tests. These results highlight the importance of incorporating theoretical economic relationships into empirical forecasting models.house prices, forecasting, forecast comparison, forecast encompassing

Forecasting Method for Grouped Time Series with the Use of k-Means Algorithm

The paper is focused on the forecasting method for time series groups with the use of algorithms for cluster analysis. $K$-means algorithm is suggested to be a basic one for clustering. The coordinates of the centers of clusters have been put in correspondence with summarizing time series data the centroids of the clusters. A description of time series, the centroids of the clusters, is implemented with the use of forecasting models. They are based on strict binary trees and a modified clonal selection algorithm. With the help of such forecasting models, the possibility of forming analytic dependences is shown. It is suggested to use a common forecasting model, which is constructed for time series the centroid of the cluster, in forecasting the private (individual) time series in the cluster. The promising application of the suggested method for grouped time series forecasting is demonstrated.Comment: 18 page

Forecasting in dynamic factor models using Bayesian model averaging

This paper considers the problem of forecasting in dynamic factor models using Bayesian model averaging. Theoretical justifications for averaging across models, as opposed to selecting a single model, are given. Practical methods for implementing Bayesian model averaging with factor models are described. These methods involve algorithms which simulate from the space defined by all possible models. We discuss how these simulation algorithms can also be used to select the model with the highest marginal likelihood (or highest value of an information criterion) in an efficient manner. We apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. For both GDP and inflation, we find that the models which contain factors do out-forecast an AR(p), but only by a relatively small amount and only at short horizons. We attribute these findings to the presence of structural instability and the fact that lags of dependent variable seem to contain most of the information relevant for forecasting. Relative to the small forecasting gains provided by including factors, the gains provided by using Bayesian model averaging over forecasting methods based on a single model are appreciable

Neural Network Models for Inflation Forecasting: An Appraisal

We assess the power of artificial neural network models as forecasting tools for monthly inflation rates for 28 OECD countries. For short out-of-sample forecasting horizons, we find that, on average, for 45% of the countries the ANN models were a superior predictor while the AR1 model performed better for 21%. Furthermore, arithmetic combinations of several ANN models can also serve as a credible tool for forecasting inflation.Artificial Neural Networks; Forecasting; Inflation

Power System Parameters Forecasting Using Hilbert-Huang Transform and Machine Learning

A novel hybrid data-driven approach is developed for forecasting power system parameters with the goal of increasing the efficiency of short-term forecasting studies for non-stationary time-series. The proposed approach is based on mode decomposition and a feature analysis of initial retrospective data using the Hilbert-Huang transform and machine learning algorithms. The random forests and gradient boosting trees learning techniques were examined. The decision tree techniques were used to rank the importance of variables employed in the forecasting models. The Mean Decrease Gini index is employed as an impurity function. The resulting hybrid forecasting models employ the radial basis function neural network and support vector regression. Apart from introduction and references the paper is organized as follows. The section 2 presents the background and the review of several approaches for short-term forecasting of power system parameters. In the third section a hybrid machine learning-based algorithm using Hilbert-Huang transform is developed for short-term forecasting of power system parameters. Fourth section describes the decision tree learning algorithms used for the issue of variables importance. Finally in section six the experimental results in the following electric power problems are presented: active power flow forecasting, electricity price forecasting and for the wind speed and direction forecasting

The Taylor rule and forecast intervals for exchange rates

This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold.> ; First, we find that in general, Taylor rule models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. This result is more pronounced at longer horizons. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark Taylor rule model is also found to perform better than the monetary and PPP models. Second, the inference framework proposed in this paper for forecast-interval evaluation can be applied in a broader context, such as inflation forecasting, not just to the models and interval forecasting methods used in this paper.Foreign exchange ; Forecasting ; Taylor's rule ; Econometric models - Evaluation