Forecasting time series with complex seasonal patterns using exponential smoothing

A new innovations state space modeling framework, incorporating Box-Cox transformations, Fourier series with time varying coefficients and ARMA error correction, is introduced for forecasting complex seasonal time series that cannot be handled using existing forecasting models. Such complex time series include time series with multiple seasonal periods, high frequency seasonality, non-integer seasonality and dual-calendar effects. Our new modelling framework provides an alternative to existing exponential smoothing models, and is shown to have many advantages. The methods for initialization and estimation, including likelihood evaluation, are presented, and analytical expressions for point forecasts and interval predictions under the assumption of Gaussian errors are derived, leading to a simple, comprehensible approach to forecasting complex seasonal time series. Our trigonometric formulation is also presented as a means of decomposing complex seasonal time series, which cannot be decomposed using any of the existing decomposition methods. The approach is useful in a broad range of applications, and we illustrate its versatility in three empirical studies where it demonstrates excellent forecasting performance over a range of prediction horizons. In addition, we show that our trigonometric decomposition leads to the identification and extraction of seasonal components, which are otherwise not apparent in the time series plot itself.Exponential smoothing, Fourier series, prediction intervals, seasonality, state space models, time series decomposition

Application of Discrete-Interval Moving Seasonalities to Spanish Electricity Demand Forecasting during Easter

[EN] Forecasting electricity demand through time series is a tool used by transmission system operators to establish future operating conditions. The accuracy of these forecasts is essential for the precise development of activity. However, the accuracy of the forecasts is enormously subject to the calendar effect. The multiple seasonal Holt-Winters models are widely used due to the great precision and simplicity that they offer. Usually, these models relate this calendar effect to external variables that contribute to modification of their forecasts a posteriori. In this work, a new point of view is presented, where the calendar effect constitutes a built-in part of the Holt-Winters model. In particular, the proposed model incorporates discrete-interval moving seasonalities. Moreover, a clear example of the application of this methodology to situations that are difficult to treat, such as the days of Easter, is presented. The results show that the proposed model performs well, outperforming the regular Holt-Winters model and other methods such as artificial neural networks and Exponential Smoothing State Space Model with Box-Cox Transformation, ARMA Errors, Trend and Seasonal Components (TBATS) methods.The authors would like to thank the Spanish Ministry of Economy and Competitiveness for the support under project TIN2017-8888209C2-1-R.Trull, Ó.; García-Díaz, JC.; Troncoso, A. (2019). Application of Discrete-Interval Moving Seasonalities to Spanish Electricity Demand Forecasting during Easter. Energies. 12(6):1-16. https://doi.org/10.3390/en12061083S116126Garrués-Irurzun, J., & López-García, S. (2009). Red Eléctrica de España S.A.: Instrument of regulation and liberalization of the Spanish electricity market (1944–2004). Renewable and Sustainable Energy Reviews, 13(8), 2061-2069. doi:10.1016/j.rser.2009.01.028Roldan-Fernandez, J., Gómez-Quiles, C., Merre, A., Burgos-Payán, M., & Riquelme-Santos, J. (2018). Cross-Border Energy Exchange and Renewable Premiums: The Case of the Iberian System. Energies, 11(12), 3277. doi:10.3390/en11123277Contreras, J., Espinola, R., Nogales, F. J., & Conejo, A. J. (2003). ARIMA models to predict next-day electricity prices. IEEE Transactions on Power Systems, 18(3), 1014-1020. doi:10.1109/tpwrs.2002.804943Juberias, G., Yunta, R., Garcia Moreno, J., & Mendivil, C. (1999). A new ARIMA model for hourly load forecasting. 1999 IEEE Transmission and Distribution Conference (Cat. No. 99CH36333). doi:10.1109/tdc.1999.755371Bianco, V., Manca, O., & Nardini, S. (2009). Electricity consumption forecasting in Italy using linear regression models. Energy, 34(9), 1413-1421. doi:10.1016/j.energy.2009.06.034Taylor, J. W. (2003). Short-term electricity demand forecasting using double seasonal exponential smoothing. Journal of the Operational Research Society, 54(8), 799-805. doi:10.1057/palgrave.jors.2601589Taylor, J. W. (2010). Triple seasonal methods for short-term electricity demand forecasting. European Journal of Operational Research, 204(1), 139-152. doi:10.1016/j.ejor.2009.10.003Ko, C.-N., & Lee, C.-M. (2013). Short-term load forecasting using SVR (support vector regression)-based radial basis function neural network with dual extended Kalman filter. Energy, 49, 413-422. doi:10.1016/j.energy.2012.11.015Rana, M., & Koprinska, I. (2016). Forecasting electricity load with advanced wavelet neural networks. Neurocomputing, 182, 118-132. doi:10.1016/j.neucom.2015.12.004Baliyan, A., Gaurav, K., & Mishra, S. K. (2015). A Review of Short Term Load Forecasting using Artificial Neural Network Models. Procedia Computer Science, 48, 121-125. doi:10.1016/j.procs.2015.04.160Yang, Z., Ce, L., & Lian, L. (2017). Electricity price forecasting by a hybrid model, combining wavelet transform, ARMA and kernel-based extreme learning machine methods. Applied Energy, 190, 291-305. doi:10.1016/j.apenergy.2016.12.130Ghadimi, N., Akbarimajd, A., Shayeghi, H., & Abedinia, O. (2018). Two stage forecast engine with feature selection technique and improved meta-heuristic algorithm for electricity load forecasting. Energy, 161, 130-142. doi:10.1016/j.energy.2018.07.088Troncoso Lora, A., Riquelme Santos, J. M., Riquelme, J. C., Gómez Expósito, A., & Martínez Ramos, J. L. (2004). Time-Series Prediction: Application to the Short-Term Electric Energy Demand. Lecture Notes in Computer Science, 577-586. doi:10.1007/978-3-540-25945-9_57Martinez Alvarez, F., Troncoso, A., Riquelme, J. C., & Aguilar Ruiz, J. S. (2011). Energy Time Series Forecasting Based on Pattern Sequence Similarity. IEEE Transactions on Knowledge and Data Engineering, 23(8), 1230-1243. doi:10.1109/tkde.2010.227Cancelo, J. R., Espasa, A., & Grafe, R. (2008). Forecasting the electricity load from one day to one week ahead for the Spanish system operator. International Journal of Forecasting, 24(4), 588-602. doi:10.1016/j.ijforecast.2008.07.005TORRÓ, H., MENEU, V., & VALOR, E. (2003). Single Factor Stochastic Models with Seasonality Applied to Underlying Weather Derivatives Variables. The Journal of Risk Finance, 4(4), 6-17. doi:10.1108/eb022969Darbellay, G. A., & Slama, M. (2000). Forecasting the short-term demand for electricity. International Journal of Forecasting, 16(1), 71-83. doi:10.1016/s0169-2070(99)00045-xMoral-Carcedo, J., & Vicéns-Otero, J. (2005). Modelling the non-linear response of Spanish electricity demand to temperature variations. Energy Economics, 27(3), 477-494. doi:10.1016/j.eneco.2005.01.003Erişen, E., Iyigun, C., & Tanrısever, F. (2017). Short-term electricity load forecasting with special days: an analysis on parametric and non-parametric methods. Annals of Operations Research. doi:10.1007/s10479-017-2726-6Arora, S., & Taylor, J. W. (2013). Short-Term Forecasting of Anomalous Load Using Rule-Based Triple Seasonal Methods. IEEE Transactions on Power Systems, 28(3), 3235-3242. doi:10.1109/tpwrs.2013.2252929Arora, S., & Taylor, J. W. (2018). Rule-based autoregressive moving average models for forecasting load on special days: A case study for France. European Journal of Operational Research, 266(1), 259-268. doi:10.1016/j.ejor.2017.08.056Bermúdez, J. D. (2013). Exponential smoothing with covariates applied to electricity demand forecast. European J. of Industrial Engineering, 7(3), 333. doi:10.1504/ejie.2013.054134Göb, R., Lurz, K., & Pievatolo, A. (2013). Electrical load forecasting by exponential smoothing with covariates. Applied Stochastic Models in Business and Industry, 29(6), 629-645. doi:10.1002/asmb.2008Chatfield, C. (1978). The Holt-Winters Forecasting Procedure. Applied Statistics, 27(3), 264. doi:10.2307/234716

Policy-relevant spatial indicators of urban liveability and sustainability : Scaling from local to global

[English] Urban liveability is a global priority for creating healthy, sustainable cities. Measurement of policy-relevant spatial indicators of the built and natural environment supports city planning at all levels of government. Analysis of their spatial distribution within cities, and impacts on individuals and communities, is crucial to ensure planning decisions are effective and equitable. This paper outlines challenges and lessons from a 5-year collaborative research program, scaling up a software workflow for calculating a composite indicator of urban liveability for residential address points across Melbourne, to Australia’s 21 largest cities, and further extension to 25 global cities in diverse contexts. [Chinese] 城市宜居性是创建健康、可持续城市的全球优先事项。对建筑和自然环境的政策相关空间指标的测量支持各级政府的城市规划。分析它们在城市中的空间分布，以及对个人和社区的影响，对于确保规划决策的有效性和公平性至关重要。本文概述了一个为期5年的合作研究项目所面临的挑战和经验教训，该项目将计算墨尔本住宅地址点的城市宜居性综合指标的软件工作流程扩大到澳大利亚21个最大的城市，并进一步扩展到25个不同背景的全球城市

Genomic prediction of coronary heart disease

Aims Genetics plays an important role in coronary heart disease (CHD) but the clinical utility of genomic risk scores (GRSs) relative to clinical risk scores, such as the Framingham Risk Score (FRS), is unclear. Our aim was to construct and externally validate a CHD GRS, in terms of lifetime CHD risk and relative to traditional clinical risk scores. Methods and results We generated a GRS of 49 310 SNPs based on a CARDIoGRAMplusC4D Consortium meta-analysis of CHD, then independently tested it using five prospective population cohorts (three FINRISK cohorts, combined n = 12 676, 757 incident CHD events; two Framingham Heart Study cohorts (FHS), combined n = 3406, 587 incident CHD events). The GRS was associated with incident CHD (FINRISK HR = 1.74, 95% confidence interval (CI) 1.61-1.86 per S.D. of GRS; Framingham HR = 1.28, 95% CI 1.18-1.38), and was largely unchanged by adjustment for known risk factors, including family history. Integration of the GRS with the FRS or ACC/AHA13 scores improved the 10 years risk prediction (meta-analysis C-index: +1.5-1.6%, P = 60 years old (meta-analysis C-index: +4.6-5.1%, P <0.001). Importantly, the GRS captured substantially different trajectories of absolute risk, with men in the top 20% of attaining 10% cumulative CHD risk 12-18 y earlier than those in the bottom 20%. High genomic risk was partially compensated for by low systolic blood pressure, low cholesterol level, and non-smoking. Conclusions A GRS based on a large number of SNPs improves CHD risk prediction and encodes different trajectories of lifetime risk not captured by traditional clinical risk scores.Peer reviewe

Role of dexamethasone dosage in combination with 5-HT3 antagonists for prophylaxis of acute chemotherapy-induced nausea and vomiting

Dexamethasone (20 mg) or its equivalent in combination with 5-HT3 antagonists appears to be the gold-standard dose for antiemetic prophylaxis. Additional to concerns about the use of corticosteroids with respect to enhanced tumour growth or impaired killing of the tumour cells, there is evidence that high-dosage dexamethasone impairs the control of delayed nausea and emesis, whereas lower doses appear more beneficial. To come closer to the most adequate dose, we started a prospective, single-blind, randomized trial investigating additional dosage of 8 or 20 mg dexamethasone to tropisetron (Navoban), a 5-HT3 receptor antagonist, in cis-platinum-containing chemotherapy. After an interim analysis of 121 courses of chemotherapy in 69 patients, we have been unable to detect major differences between both treatment alternatives. High-dose dexamethasone (20 mg) had no advantage over medium-dose dexamethasone with respect to objective and subjective parameters of acute and delayed nausea and vomiting. In relation to concerns about the use of corticosteroids in non-haematological cancer chemotherapy, we suggest that 8 mg or its equivalent should be used in combination with 5-HT3 antagonists until further research proves otherwise. © 1999 Cancer Research Campaig

Longitudinal Associations of Modifiable Lifestyle Factors With Positive Depression-Screen Over 2.5-Years in an International Cohort of People Living With Multiple Sclerosis

Background: Depression is common and has a significant impact on quality of life for many people with multiple sclerosis (MS). A preventive management approach via modification of lifestyle risk factors holds potential benefits. We examined the relationship between modifiable lifestyle factors and depression risk and the change in depression over 2.5 years.Methods: Sample recruited using online platforms. 2,224 (88.9%) at baseline and 1,309 (93.4%) at 2.5 years follow up completed the necessary survey data. Depression risk was measured by the Patient Health Questionnaire-2 (PHQ-2) at baseline and Patient Health Questionniare-9 (PHQ-9) at 2.5-years follow-up. Multivariable regression models assessed the relationships between lifestyle factors and depression risk, adjusted for sex, age, fatigue, disability, antidepressant medication use, and baseline depression score, as appropriate.Results: The prevalence of depression risk at 2.5-years follow-up in this cohort was 14.5% using the PHQ-2 and 21.7% using the PHQ-9. Moderate alcohol intake, being a non-smoker, diet quality, no meat or dairy intake, vitamin D supplementation, omega 3 supplement use, regular exercise, and meditation at baseline were associated with lower frequencies of positive depression-screen 2.5 years later. Moderate alcohol intake was associated with greater likelihood of becoming depression-free and a lower likelihood of becoming depressed at 2.5-years follow-up. Meditating at least once a week was associated with a decreased frequency of losing depression risk, against our expectation. After adjusting for potential confounders, smoking, diet, physical activity, and vitamin D and omega-3 supplementation were not associated with a change in risk for depression.Conclusion: In a large prospective cohort study of people with MS and depression, in line with the emerging treatment paradigm of early intervention, these results suggest a role for some lifestyle factors in depression risk. Further studies should endeavor to explore the impact of positive lifestyle change and improving depression in people living with MS

On the automatic identification of unobserved components models

Automatic identi cation of time series models is a necessity once the big data era has come and is staying among us. This has become obvious for many companies and public entities that has passed from a crafted analysis of each individual problem to handle a tsunami of information that has to be processed e ciently, online and in record time. Automatic identi cation tools has never been tried out on Unobserved Components models (UC). This chapter shows how information criteria, such as Akaike's or Schwarz's, are rather useful for model selection within the UC family. The di culty lies, however, on choosing an appropriate and as general as possible set of models to search in. A set too narrow would render poor forecast accuracy, while a set too wide would be highly time consuming. The forecasting results suggest that UC models are powerful potential forecasting competitors to other well-known methods. Though there are several pieces of software available for UC modeling, this is the rst implementation of an automatic algorithm for this class of models, to the best of the authors knowledge

Proliferating Cell Nuclear Antigen (PCNA) Regulates Primordial Follicle Assembly by Promoting Apoptosis of Oocytes in Fetal and Neonatal Mouse Ovaries

Primordial follicles, providing all the oocytes available to a female throughout her reproductive life, assemble in perinatal ovaries with individual oocytes surrounded by granulosa cells. In mammals including the mouse, most oocytes die by apoptosis during primordial follicle assembly, but factors that regulate oocyte death remain largely unknown. Proliferating cell nuclear antigen (PCNA), a key regulator in many essential cellular processes, was shown to be differentially expressed during these processes in mouse ovaries using 2D-PAGE and MALDI-TOF/TOF methodology. A V-shaped expression pattern of PCNA in both oocytes and somatic cells was observed during the development of fetal and neonatal mouse ovaries, decreasing from 13.5 to 18.5 dpc and increasing from 18.5 dpc to 5 dpp. This was closely correlated with the meiotic prophase I progression from pre-leptotene to pachytene and from pachytene to diplotene when primordial follicles started to assemble. Inhibition of the increase of PCNA expression by RNA interference in cultured 18.5 dpc mouse ovaries strikingly reduced the apoptosis of oocytes, accompanied by down-regulation of known pro-apoptotic genes, e.g. Bax, caspase-3, and TNFα and TNFR2, and up-regulation of Bcl-2, a known anti-apoptotic gene. Moreover, reduced expression of PCNA was observed to significantly increase primordial follicle assembly, but these primordial follicles contained fewer guanulosa cells. Similar results were obtained after down-regulation by RNA interference of Ing1b, a PCNA-binding protein in the UV-induced apoptosis regulation. Thus, our results demonstrate that PCNA regulates primordial follicle assembly by promoting apoptosis of oocytes in fetal and neonatal mouse ovaries