6,191 research outputs found
Nonparametric time series forecasting with dynamic updating
We present a nonparametric method to forecast a seasonal univariate time series, and propose four dynamic updating methods to improve point forecast accuracy. Our methods consider a seasonal univariate time series as a functional time series. We propose first to reduce the dimensionality by applying functional principal component analysis to the historical observations, and then to use univariate time series forecasting and functional principal component regression techniques. When data in the most recent year are partially observed, we improve point forecast accuracy using dynamic updating methods. We also introduce a nonparametric approach to construct prediction intervals of updated forecasts, and compare the empirical coverage probability with an existing parametric method. Our approaches are data-driven and computationally fast, and hence they are feasible to be applied in real time high frequency dynamic updating. The methods are demonstrated using monthly sea surface temperatures from 1950 to 2008.Functional time series, Functional principal component analysis, Ordinary least squares, Penalized least squares, Ridge regression, Sea surface temperatures, Seasonal time series.
On projection methods for functional time series forecasting
Two nonparametric methods are presented for forecasting functional time series (FTS). The FTS we observe is a curve at a discrete-time point. We address both one-step-ahead forecasting and dynamic updating. Dynamic updating is a forward prediction of the unobserved segment of the most recent curve. Among the two proposed methods, the first one is a straightforward adaptation to FTS of the k-nearest neighbors' methods for univariate time series forecasting. The second one is based on a selection of curves, termed the curve envelope, that aims to be representative in shape and magnitude of the most recent functional observation, either a whole curve or the observed part of a partially observed curve. In a similar fashion to k-nearest neighbors and other projection methods successfully used for time series forecasting, we ââprojectââ the nearest neighbors and the curves in the envelope for forecasting. In doing so, we keep track of the next period evolution of the curves. The methods are applied to simulated data, daily electricity demand, and NOx emissions and provide competitive results with and often superior to several benchmark predictions. The approach offers a model-free alternative to statistical methods based on FTS modeling to study the cyclic or seasonal behavior of many FTS
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
As a forward-looking measure of future equity market volatility, the VIX
index has gained immense popularity in recent years to become a key measure of
risk for market analysts and academics. We consider discrete reported intraday
VIX tick values as realisations of a collection of curves observed sequentially
on equally spaced and dense grids over time and utilise functional data
analysis techniques to produce one-day-ahead forecasts of these curves. The
proposed method facilitates the investigation of dynamic changes in the index
over very short time intervals as showcased using the 15-second high-frequency
VIX index values. With the help of dynamic updating techniques, our point and
interval forecasts are shown to enjoy improved accuracy over conventional time
series models.Comment: 29 pages, 5 figures, To appear at the Annals of Operations Researc
Nonparametric modeling and forecasting electricity demand: an empirical study
This paper uses half-hourly electricity demand data in South Australia as an empirical study of nonparametric modeling and forecasting methods for prediction from half-hour ahead to one year ahead. A notable feature of the univariate time series of electricity demand is the presence of both intraweek and intraday seasonalities. An intraday seasonal cycle is apparent from the similarity of the demand from one day to the next, and an intraweek seasonal cycle is evident from comparing the demand on the corresponding day of adjacent weeks. There is a strong appeal in using forecasting methods that are able to capture both seasonalities. In this paper, the forecasting methods slice a seasonal univariate time series into a time series of curves. The forecasting methods reduce the dimensionality by applying functional principal component analysis to the observed data, and then utilize an univariate time series forecasting method and functional principal component regression techniques. When data points in the most recent curve are sequentially observed, updating methods can improve the point and interval forecast accuracy. We also revisit a nonparametric approach to construct prediction intervals of updated forecasts, and evaluate the interval forecast accuracy.Functional principal component analysis; functional time series; multivariate time series, ordinary least squares, penalized least squares; ridge regression; seasonal time series
On projection methods for functional time series forecasting
Two nonparametric methods are presented for forecasting functional time series (FTS). The FTS we observe is a curve at a discrete-time point. We address both one-step-ahead forecasting and dynamic updating. Dynamic updating is a forward prediction of the unobserved segment of the most recent curve. Among the two proposed methods, the first one is a straightforward adaptation to FTS of the k-nearest neighbors methods for univariate time series forecasting. The second one is based on a selection of curves, termed the curve envelope, that aims to be representative in shape and magnitude of the most recent functional observation, either a whole curve or the observed part of a partially observed curve. In a similar fashion to k-nearest neighbors and other projection methods successfully used for time series forecasting, we "project" the k-nearest neighbors and the curves in the envelope for forecasting. In doing so, we keep track of the next period evolution of the curves. The methods are applied to simulated data, daily electricity demand, and NOx emissions and provide competitive results with and often superior to several benchmark predictions. The approach offers a model-free alternative to statistical methods based on FTS modeling to study the cyclic or seasonal behavior of many FTS.The authors acknowledge insightful comments and suggestions from two reviewers and the Associate Editor. Antonio ElĂas is supported by the Spanish Ministerio de EducaciĂłn, Cultura y Deporte under grant FPU15/00625 and the research stay grant EST17/00841. Antonio ElĂas and RaĂșl JimĂ©nez are partially supported by the Spanish Ministerio de EconomĂa y Competitividad under grant ECO2015-66593-P and PID2019-109196GB-I00/AEI/10.13039/501100011033. Funding for open access charge: Universidad de MĂĄlaga / CBUA. Part of this article was conducted during a stay at Australian National University. Antonio ElĂas is grateful to Han Lin Shang for his hospitality and insightful and constructive discussions
Locally Adaptive Dynamic Networks
Our focus is on realistically modeling and forecasting dynamic networks of
face-to-face contacts among individuals. Important aspects of such data that
lead to problems with current methods include the tendency of the contacts to
move between periods of slow and rapid changes, and the dynamic heterogeneity
in the actors' connectivity behaviors. Motivated by this application, we
develop a novel method for Locally Adaptive DYnamic (LADY) network inference.
The proposed model relies on a dynamic latent space representation in which
each actor's position evolves in time via stochastic differential equations.
Using a state space representation for these stochastic processes and
P\'olya-gamma data augmentation, we develop an efficient MCMC algorithm for
posterior inference along with tractable procedures for online updating and
forecasting of future networks. We evaluate performance in simulation studies,
and consider an application to face-to-face contacts among individuals in a
primary school
Time-series Modelling, Stationarity and Bayesian Nonparametric Methods
In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed so far. We draw on the discussion of using stationary models in practice, as a motivation, and advocate the view that flexible (non-parametric) stationary models might be a source for reliable inferences and predictions. It will be noticed that our models adequately fit in the Bayesian inference framework due to a suitable representation theorem. A stationary scale-mixture model is developed as a particular case along with a computational strategy for posterior inference and predictions. The usefulness of that model is illustrated with the analysis of Euro/USD exchange rate log-returns.Stationarity, Markov processes, Dynamic mixture models, Random probability measures, Conditional random probability measures, Latent processes.
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