Multiscale Forecasting Models (eBook)

Lida Mercedes Barba Maggi (Autor)

eBook Download: PDF

2018 | 1st ed. 2018
XXIV, 124 Seiten
Springer International Publishing (Verlag)
9783319949925 (ISBN)

Infos

This book presents two new decomposition methods to decompose a time series in intrinsic components of low and high frequencies. The methods are based on Singular Value Decomposition (SVD) of a Hankel matrix (HSVD). The proposed decomposition is used to improve the accuracy of linear and nonlinear auto-regressive models.

Linear Auto-regressive models (AR, ARMA and ARIMA) and Auto-regressive Neural Networks (ANNs) have been found insufficient because of the highly complicated nature of some time series. Hybrid models are a recent solution to deal with non-stationary processes which combine pre-processing techniques with conventional forecasters, some pre-processing techniques broadly implemented are Singular Spectrum Analysis (SSA) and Stationary Wavelet Transform (SWT). Although the flexibility of SSA and SWT allows their usage in a wide range of forecast problems, there is a lack of standard methods to select their parameters.

The proposed decomposition HSVD and Multilevel SVD are described in detail through time series coming from the transport and fishery sectors. Further, for comparison purposes, it is evaluated the forecast accuracy reached by SSA and SWT, both jointly with AR-based models and ANNs.

Lida Mercedes Barba Maggi earned a PhD degree in Informatics Engineering from the Pontificia Universidad Católica de Valparaíso, Chile, in 2017. She is currently affiliated with the Universidad Nacional de Chimborazo in Ecuador. Her research interests include Analysis of time series, Forecast and estimate based on mathematical and statistical models, Forecast and estimate based on artificial intelligence, and Optimization Algorithms.

Inhalt

Preface

1.       Time Series and Forecasting

1.1.  Introduction

1.2.  Time series

1.3.  Linear Autoregressive Models

1.4.  Artificial Neural Networks

1.5.  Hybrid models

1.5.1.         Singular Spectrum Analysis

1.5.2.         Wavelet Transform

1.6.  Forecasting Accuracy Measures

1.7.  Empirical Applications

1.7.1.         Traffic Accidents Forecasting based on AR, ANNs and Hybrid models.

1.7.2.         Anchovy Stock Forecasting based on AR, ANNs and Hybrid models.

1.7.3.         Sardine Stock Forecasting based on AR, ANNs and Hybrid models.

2.       Decomposition methods based on Singular Value Decomposition of a Hankel matrix

2.1.  Introduction

2.2.  Eigenvalues and Eigenvectors

2.3.  Theorem of Singular Values Decomposition

2.4.  One-level Singular Value Decomposition of a Hankel matrix

2.4.1.         Embedding

2.4.2.         Decomposition

2.4.3.         Unembedding

2.4.4.         Window Length Selection

2.5.  Multi-level Singular Value Decomposition of a Hankel matrix

2.5.1.         Embedding

2.5.2.         Decomposition

2.5.3.         Unembedding

2.5.4.         Singular Spectrum Rate

2.6.  Empirical Applications

2.6.1.         Extraction of Components from traffic accidents time series based on HSVD and MSVD

2.6.2.         Extraction of Components from fishery time series based on HSVD and MSVD

3.       Forecasting based on components

3.1.  Introduction

3.2.  One-step ahead forecasting

3.3.  Multi-step ahead forecasting

3.3.1.         Direct Strategy

3.3.2.         MIMO Strategy

3.4.  Empirical Applications

3.4.1.         Forecasting of traffic accidents based on HSVD and MSVD

3.4.2.         Forecasting of anchovy stock based on HSVD and MSVD

3.4.3.         Forecasting of sardine stock based on HSVD and MSVD

List of Figures

List of Tables

List of Acronyms

List of Symbols

References

Produkt-Details

• Erscheint lt. Verlag: 23.8.2018
• Zusatzinfo: XXIV, 124 p. 91 illus., 89 illus. in color.
• Verlagsort: Cham
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Informatik
• Themenwelt: Mathematik / Informatik ► Mathematik
• Schlagworte: Artificial Neural Networks • Forecasting • Hankel matrix • singular spectrum analysis • singular value decomposition • Stationary Wavelet Decomposition • Time Series
• ISBN-13: 9783319949925 / 9783319949925