Pattern Matching and Neural Networks based Hybrid Forecasting System

Copyright © 2001 Springer-Verlag Berlin Heidelberg. The final publication is available at link.springer.comBook title: Advances in Pattern Recognition — ICAPR 2001Second International Conference on Advances in Pattern Recognition (ICAPR 2001), Rio de Janeiro, Brazil, March 11–14, 2001In this paper we propose a Neural Net-PMRS hybrid for forecasting time-series data. The neural network model uses the traditional MLP architecture and backpropagation method of training. Rather than using the last n lags for prediction, the input to the network is determined by the output of the PMRS (Pattern Modelling and Recognition System). PMRS matches current patterns in the time-series with historic data and generates input for the neural network that consists of both current and historic information. The results of the hybrid model are compared with those of neural networks and PMRS on their own. In general, there is no outright winner on all performance measures, however, the hybrid model is a better choice for certain types of data, or on certain error measures

Neural Networks for Complex Data

Artificial neural networks are simple and efficient machine learning tools. Defined originally in the traditional setting of simple vector data, neural network models have evolved to address more and more difficulties of complex real world problems, ranging from time evolving data to sophisticated data structures such as graphs and functions. This paper summarizes advances on those themes from the last decade, with a focus on results obtained by members of the SAMM team of Universit\'e Paris

Multivariate time series analysis for short-term forecasting of ground level ozone (O3) in Malaysia

The declining of air quality mostly affects the elderly, children, people with asthma, as well as a restriction on outdoor activities. Therefore, there is an importance to provide a statistical modelling to forecast the future values of surface layer ozone (O3) concentration. The objectives of this study are to obtain the best multivariate time series (MTS) model and develop an online air quality forecasting system for O3 concentration in Malaysia. The implementations of MTS model improve the recent statistical model on air quality for short-term prediction. Ten air quality monitoring stations situated at four (4) different types of location were selected in this study. The first type is industrial represent by Pasir Gudang, Perai, and Nilai, second type is urban represent by Kuala Terengganu, Kota Bharu, and Alor Setar. The third is suburban located in Banting, Kangar, and Tanjung Malim, also the only background station at Jerantut. The hourly record data from 2010 to 2017 were used to assess the characteristics and behaviour of O3 concentration. Meanwhile, the monthly record data of O3, particulate matter (PM10), nitrogen dioxide (NO2), sulphur dioxide (SO2), carbon monoxide (CO), temperature (T), wind speed (WS), and relative humidity (RH) were used to examine the best MTS models. Three methods of MTS namely vector autoregressive (VAR), vector moving average (VMA), and vector autoregressive moving average (VARMA), has been applied in this study. Based on the performance error, the most appropriate MTS model located in Pasir Gudang, Kota Bharu and Kangar is VAR(1), Kuala Terengganu and Alor Setar for VAR(2), Perai and Nilai for VAR(3), Tanjung Malim for VAR(4) and Banting for VAR(5). Only Jerantut obtained the VMA(2) as the best model. The lowest root mean square error (RMSE) and normalized absolute error is 0.0053 and <0.0001 which is for MTS model in Perai and Kuala Terengganu, respectively. Meanwhile, for mean absolute error (MAE), the lowest is in Banting and Jerantut at 0.0013. The online air quality forecasting system for O3 was successfully developed based on the best MTS models to represent each monitoring station

Forecasting with time series imaging

Feature-based time series representations have attracted substantial attention in a wide range of time series analysis methods. Recently, the use of time series features for forecast model averaging has been an emerging research focus in the forecasting community. Nonetheless, most of the existing approaches depend on the manual choice of an appropriate set of features. Exploiting machine learning methods to extract features from time series automatically becomes crucial in state-of-the-art time series analysis. In this paper, we introduce an automated approach to extract time series features based on time series imaging. We first transform time series into recurrence plots, from which local features can be extracted using computer vision algorithms. The extracted features are used for forecast model averaging. Our experiments show that forecasting based on automatically extracted features, with less human intervention and a more comprehensive view of the raw time series data, yields highly comparable performances with the best methods in the largest forecasting competition dataset (M4) and outperforms the top methods in the Tourism forecasting competition dataset

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.