Does money matter in inflation forecasting?.

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment we use two non-linear techniques, namely, recurrent neural networks and kernel recursive least squares regression - techniques that are new to macroeconomics. Recurrent neural networks operate with potentially unbounded input memory, while the kernel regression technique is a finite memory predictor. The two methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation

Does money matter in inflation forecasting?

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. In our forecasting experiment we use two non-linear techniques, namely, recurrent neural networks and kernel recursive least squares regression - techniques that are new to macroeconomics. Recurrent neural networks operate with potentially unbounded input memory, while the kernel regression technique is a finite memory predictor. The two methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation.Forecasting ; Inflation (Finance) ; Monetary theory

On the importance of sluggish state memory for learning long term dependency

The vanishing gradients problem inherent in Simple Recurrent Networks (SRN) trained with back-propagation, has led to a significant shift towards the use of Long Short-term Memory (LSTM) and Echo State Networks (ESN), which overcome this problem through either second order error-carousel schemes or different learning algorithms respectively. This paper re-opens the case for SRN-based approaches, by considering a variant, the Multi-recurrent Network (MRN). We show that memory units embedded within its architecture can ameliorate against the vanishing gradient problem, by providing variable sensitivity to recent and more historic information through layer- and self-recurrent links with varied weights, to form a so-called sluggish state-based memory. We demonstrate that an MRN, optimised with noise injection, is able to learn the long term dependency within a complex grammar induction task, significantly outperforming the SRN, NARX and ESN. Analysis of the internal representations of the networks, reveals that sluggish state-based representations of the MRN are best able to latch on to critical temporal dependencies spanning variable time delays, to maintain distinct and stable representations of all underlying grammar states. Surprisingly, the ESN was unable to fully learn the dependency problem, suggesting the major shift towards this class of models may be premature

Comprehensive analysis of UK AADF traffic dataset set within four geographical regions of England

Traffic flow detection plays a significant part in freeway traffic surveillance systems. Currently, effective autonomous traffic analysis is a challenging task due to the complexity of traffic delays, despite the significant investment spent by authorities in monitoring and analysing traffic congestion. This study builds an intelligent analytic method based on machine‐learning algorithms to investigate and predict road traffic flows in four locations in the United Kingdom (London, Yorkshire and the Humber, North East, and North West) with a range of relevant factors. While aiming to conduct the study, the dataset ‘estimated annual average daily flows (AADFs) Data—major and minor roads’ from the UK government was used. Machine‐learning algorithms are used for this research and classification applied consists of Logistic Regression, Decision Trees, Random Forests, K‐Nearest Neighbors, and Gradient Boosting. Each of these algorithms achieves an accuracy of over 93% and the F1 score of over 95%, with Random Forest outperforming the other algorithms. This analytical approach helps to focus attention on critical areas to reduce traffic flows on major and minor roads in the area. In summary, the findings on traffic analysis have been discussed in detail to demonstrate the practical insights of this study

Urban Safety: An Image-Processing and Deep-Learning-Based Intelligent Traffic Management and Control System

With the rapid growth and development of cities, Intelligent Traffic Management and Control (ITMC) is becoming a fundamental component to address the challenges of modern urban traffic management, where a wide range of daily problems need to be addressed in a prompt and expedited manner. Issues such as unpredictable traffic dynamics, resource constraints, and abnormal events pose difficulties to city managers. ITMC aims to increase the efficiency of traffic management by minimizing the odds of traffic problems, by providing real-time traffic state forecasts to better schedule the intersection signal controls. Reliable implementations of ITMC improve the safety of inhabitants and the quality of life, leading to economic growth. In recent years, researchers have proposed different solutions to address specific problems concerning traffic management, ranging from image-processing and deep-learning techniques to forecasting the traffic state and deriving policies to control intersection signals. This review article studies the primary public datasets helpful in developing models to address the identified problems, complemented with a deep analysis of the works related to traffic state forecast and intersection-signal-control models. Our analysis found that deep-learning-based approaches for short-term traffic state forecast and multi-intersection signal control showed reasonable results, but lacked robustness for unusual scenarios, particularly during oversaturated situations, which can be resolved by explicitly addressing these cases, potentially leading to significant improvements of the systems overall. However, there is arguably a long path until these models can be used safely and effectively in real-world scenarios

Non Linear Modelling of Financial Data Using Topologically Evolved Neural Network Committees

Most of artificial neural network modelling methods are difficult to use as maximising or minimising an objective function in a non-linear context involves complex optimisation algorithms. Problems related to the efficiency of these algorithms are often mixed with the difficulty of the a priori estimation of a network's fixed topology for a specific problem making it even harder to appreciate the real power of neural networks. In this thesis, we propose a method that overcomes these issues by using genetic algorithms to optimise a network's weights and topology, simultaneously. The proposed method searches for virtually any kind of network whether it is a simple feed forward, recurrent, or even an adaptive network. When the data is high dimensional, modelling its often sophisticated behaviour is a very complex task that requires the optimisation of thousands of parameters. To enable optimisation techniques to overpass their limitations or failure, practitioners use methods to reduce the dimensionality of the data space. However, some of these methods are forced to make unrealistic assumptions when applied to non-linear data while others are very complex and require a priori knowledge of the intrinsic dimension of the system which is usually unknown and very difficult to estimate. The proposed method is non-linear and reduces the dimensionality of the input space without any information on the system's intrinsic dimension. This is achieved by first searching in a low dimensional space of simple networks, and gradually making them more complex as the search progresses by elaborating on existing solutions. The high dimensional space of the final solution is only encountered at the very end of the search. This increases the system's efficiency by guaranteeing that the network becomes no more complex than necessary. The modelling performance of the system is further improved by searching not only for one network as the ideal solution to a specific problem, but a combination of networks. These committces of networks are formed by combining a diverse selection of network species from a population of networks derived by the proposed method. This approach automatically exploits the strengths and weaknesses of each member of the committee while avoiding having all members giving the same bad judgements at the same time. In this thesis, the proposed method is used in the context of non-linear modelling of high-dimensional financial data. Experimental results are'encouraging as both robustness and complexity are concerned.Imperial Users onl

On the induction of temporal structure by recurrent neural networks

Language acquisition is one of the core problems in artificial intelligence (AI) and it is generally accepted that any successful AI account of the mind will stand or fall depending on its ability to model human language. Simple Recurrent Networks (SRNs) are a class of so-called artificial neural networks that have a long history in language modelling via learning to predict the next word in a sentence. However, SRNs have also been shown to suffer from catastrophic forgetting, lack of syntactic systematicity and an inability to represent more than three levels of centre-embedding, due to the so-called 'vanishing gradients' problem. This problem is caused by the decay of past input information encoded within the error-gradients which vanish exponentially as additional input information is encountered and passed through the recurrent connections. That said, a number of architectural variations have been applied which may compensate for this issue, such as the Nonlinear Autoregressive Network with exogenous inputs (NARX) network and the multi-recurrent network (MRN). In addition to this, Echo State Networks (ESNs) are a relatively new class of recurrent neural network that do not suffer from the vanishing gradients problem and have been shown to exhibit state-of-the-art performance in tasks such as motor control, dynamic time series prediction, and more recently language processing. This research re-explores the class of SRNs and evaluates them against the state-of-the-art ESN to identify which model class is best able to induce the underlying finite-state automaton of the target grammar implicitly through the next word prediction task. In order to meet its aim, the research analyses the internal representations formed by each of the different models and explores the conditions under which they are able to carry information about long term sequential dependencies beyond what is found in the training data. The findings of the research are significant. It reveals that the traditional class of SRNs, trained with backpropagation through time, are superior to ESNs for the grammar prediction task. More specifically, the MRN, with its state-based memory of varying rigidity, is more able to learn the underlying grammar than any other model. An analysis of the MRN’s internal state reveals that this is due to its ability to maintain a constant variance within its state-based representation of the embedded aspects (or finite state machines) of the target grammar. The investigations show that in order to successfully induce complex context free grammars directly from sentence examples, then not only are a hidden layer and output layer recurrency required, but so is self-recurrency on the context layer to enable varying degrees of current and past state information, that are integrated over time

Réseaux de neurones, SVM et approches locales pour la prévision de séries temporelles

La prévision des séries temporelles est un problème qui est traité depuis de nombreuses années. On y trouve des applications dans différents domaines tels que : la finance, la médecine, le transport, etc. Dans cette thèse, on s est intéressé aux méthodes issues de l apprentissage artificiel : les réseaux de neurones et les SVM. On s est également intéressé à l intérêt des méta-méthodes pour améliorer les performances des prédicteurs, notamment l approche locale. Dans une optique de diviser pour régner, les approches locales effectuent le clustering des données avant d affecter les prédicteurs aux sous ensembles obtenus. Nous présentons une modification dans l algorithme d apprentissage des réseaux de neurones récurrents afin de les adapter à cette approche. Nous proposons également deux nouvelles techniques de clustering, la première basée sur les cartes de Kohonen et la seconde sur les arbres binaires.Time series forecasting is a widely discussed issue for many years. Researchers from various disciplines have addressed it in several application areas : finance, medical, transportation, etc. In this thesis, we focused on machine learning methods : neural networks and SVM. We have also been interested in the meta-methods to push up the predictor performances, and more specifically the local models. In a divide and conquer strategy, the local models perform a clustering over the data sets before different predictors are affected into each obtained subset. We present in this thesis a new algorithm for recurrent neural networks to use them as local predictors. We also propose two novel clustering techniques suitable for local models. The first is based on Kohonen maps, and the second is based on binary trees.TOURS-Bibl.électronique (372610011) / SudocSudocFranceF