This study proposes two metrics using the nearest neighbors method to improve the accuracy of time-series forecasting. These two metrics can be treated as a hybrid forecasting approach to combine linear and non-linear...This study proposes two metrics using the nearest neighbors method to improve the accuracy of time-series forecasting. These two metrics can be treated as a hybrid forecasting approach to combine linear and non-linear forecasting techniques. One metric redefines the distance in k-nearest neighbors based on the coefficients of autoregression (AR) in time series. Meanwhile, an improvement to Kulesh's adaptive metrics in the nearest neighbors is also presented. To evaluate the performance of the two proposed metrics, three types of time-series data, namely deterministic synthetic data, chaotic time-series data and real time-series data, are predicted. Experimental results show the superiority of the proposed AR-enhanced k-nearest neighbors methods to the traditional k-nearest neighbors metric and Kulesh's adaptive metrics.展开更多
本文以黄河利津站和浙江省白溪水库的月径流水文序列为例,在自相关分析的基础上,建立自回归autoregression模型,并参照其结构建立了相应的resilient back propagation神经网络预报模型.比较结果显示:(1)resilient back propagation模型...本文以黄河利津站和浙江省白溪水库的月径流水文序列为例,在自相关分析的基础上,建立自回归autoregression模型,并参照其结构建立了相应的resilient back propagation神经网络预报模型.比较结果显示:(1)resilient back propagation模型的模拟预报结果与序列的自相关性有密切关系;(2)当序列有较好的自相关性时,可参照autoregression模型建立相应的resilient back propagation模型;(3)与传统autoregression模型相比,resilient back propagation模型能取得更高的预报精度;且随着预报步长增加,resilient back propagation模型的优势更加明显.展开更多
-In this paper, monthly mean SST data in a large area are used. After the spacial average of the data is carried out and the secular monthly means are substracted, a time series (Jan. 1951-Dec. 1985) of SST anomalies ...-In this paper, monthly mean SST data in a large area are used. After the spacial average of the data is carried out and the secular monthly means are substracted, a time series (Jan. 1951-Dec. 1985) of SST anomalies of the cold tongue water area in the eastern tropical Pacific Ocean is obtained. On the basis of the time series, an autoregression model, a self-exciting threshold autoregression model and an open loop autoregression model are developed respectively. The interannual variations are simulated by means of those models. The simulation results show that all the three models have made very good hindcasting for the nine El Nino events since 1951. In order to test the reliability of the open loop threshold model, extrapolated forecast was made for the period of Jan. 1986-Feb. 1987. It can be seen from the forecasting that the model could forecast well the beginning and strengthening stages of the recent El Nino event (1986-1987). Correlation coefficients of the estimations to observations are respectively 0. 84, 0. 88 and 0. 89. It is obvious that all the models work well and the open loop threshold one is the best. So the open loop threshold autoregression model is a useful tool for monitoring the SSTinterannual variation of the cold tongue water area in the Eastern Equatorial Pacific Ocean and for estimating the El Nino strength.展开更多
Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group stru...Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group structure to address nodal heterogeneity within the network.An iterative algorithm is employed to minimize a least-squares objective function,allowing for simultaneous estimation of both the parameters and the group structure.To determine the unknown number of groups and factors,a PIC criterion is introduced.Additionally,statistical inference of the estimated parameters is presented.To assess the validity of the proposed estimation and inference procedures,we conduct extensive numerical studies.We also demonstrate the utility of our model using a stock dataset obtained from the Chinese A-Share stock market.展开更多
Forecasting solar irradiance is a critical task in the renewable energy sector, as it provides essential information regarding the potential energy production from solar panels. This study aims to utilize the Vector A...Forecasting solar irradiance is a critical task in the renewable energy sector, as it provides essential information regarding the potential energy production from solar panels. This study aims to utilize the Vector Autoregression (VAR) model to forecast solar irradiance levels and weather characteristics in the San Francisco Bay Area. The results demonstrate a correlation between predicted and actual solar irradiance, indicating the effectiveness of the VAR model for this task. However, the model may not be sufficient for this region due to the requirement of additional weather features to reduce disparities between predictions and actual observations. Additionally, the current lag order in the model is relatively low, limiting its ability to capture all relevant information from past observations. As a result, the model’s forecasting capability is limited to short-term horizons, with a maximum horizon of four hours.展开更多
文摘目的探讨自回归移动平均模型-长短期记忆(autoregressive integrated moving average-long short-term memory,ARIMA-LSTM)组合模型在肾综合征出血热(hemorrhagic fever with renal syndrome,HFRS)不同流行模式发病率预测中应用的可行性。方法收集1961—2020年全国HFRS年发病率、2004年1月至2020年12月全国、黑龙江省、吉林省、辽宁省、陕西省、山东省、河北省、广东省HFRS逐月发病率数据;全国及黑龙江省作为冬峰较春峰高代表,吉林省、辽宁省作为春峰与冬峰相当代表,陕西省、山东省作为仅存在冬峰代表,河北省、广东省作为仅存在春峰代表。1961—2014年逐年发病率、2004年1月至2020年6月逐月发病率数据作为训练集,2015—2020年逐年发病率、2020年7-12月逐月发病率数据作为测试集。分别建立ARIMA模型、ARIMA-LSTM组合模型,采用平均绝对百分比误差下降率(decline rate of mean absolute percentage error,DR_(MAPE))、均方根误差下降率(decline rate of root mean squared error,DRRMSE)评价模型拟合及预测精度优化程度。结果全国逐年、全国及黑龙江省、吉林省、辽宁省、陕西省、山东省、河北省、广东省逐月HFRS发病率拟合最佳ARIMA模型分别为ARIMA(2,0,0)、ARIMA(3,1,0)(2,1,1)_(12)、ARIMA(2,0,1)(2,1,1)_(12)、ARIMA(3,0,0)(2,1,1)_(12)含常数项、ARIMA(2,1,1)(2,1,1)_(12)、ARIMA(1,0,3)(1,1,0)_(12)、ARIMA(0,1,3)(2,1,1)_(12)、ARIMA(1,1,3)(2,0,0)_(12)、ARIMA(3,1,1)(1,1,1)_(12)。全国逐年、全国及黑龙江省、吉林省、辽宁省、陕西省、山东省、河北省、广东省逐月数据建立ARIMA-LSTM组合模型较ARIMA模型拟合的DR_(MAPE)依次为-19.57%、-46.38%、-43.27%、-46.37%、-49.70%、-48.36%、-58.23%、-35.52%、-48.74%;DRRMSE依次为-11.21%、-36.17%、-64.89%、-55.68%、-54.81%、-31.76%、-39.69%、-55.64%、-30.06%。全国逐年、全国及黑龙江省、吉林省、辽宁省、陕西省、山东省、河北省、广东省逐月数据建立ARIMA-LSTM组合模型较ARIMA模型预测的DR_(MAPE)依次为-11.10%、-8.69%、-19.68%、-36.17%、-55.57%、-9.44%、-14.60%、-14.22%、-9.26%;DRRMSE依次为-14.43%、-7.42%、-12.66%、-13.83%、-36.56%、10.37%、81.14%、-19.68%、-1.18%。结论ARIMA-LSTM组合模型总体在各类HFRS数据中拟合及预测效果均优于ARIMA模型,LSTM适于我国HFRS预测模型优化,但陕西省和山东省不适于ARIMA-LSTM预测。
基金the National Natural Science Foundation of China(No.61203337)the Natural Science Foundation of Shanghai(No.12ZR1440200)
文摘This study proposes two metrics using the nearest neighbors method to improve the accuracy of time-series forecasting. These two metrics can be treated as a hybrid forecasting approach to combine linear and non-linear forecasting techniques. One metric redefines the distance in k-nearest neighbors based on the coefficients of autoregression (AR) in time series. Meanwhile, an improvement to Kulesh's adaptive metrics in the nearest neighbors is also presented. To evaluate the performance of the two proposed metrics, three types of time-series data, namely deterministic synthetic data, chaotic time-series data and real time-series data, are predicted. Experimental results show the superiority of the proposed AR-enhanced k-nearest neighbors methods to the traditional k-nearest neighbors metric and Kulesh's adaptive metrics.
文摘本文以黄河利津站和浙江省白溪水库的月径流水文序列为例,在自相关分析的基础上,建立自回归autoregression模型,并参照其结构建立了相应的resilient back propagation神经网络预报模型.比较结果显示:(1)resilient back propagation模型的模拟预报结果与序列的自相关性有密切关系;(2)当序列有较好的自相关性时,可参照autoregression模型建立相应的resilient back propagation模型;(3)与传统autoregression模型相比,resilient back propagation模型能取得更高的预报精度;且随着预报步长增加,resilient back propagation模型的优势更加明显.
文摘-In this paper, monthly mean SST data in a large area are used. After the spacial average of the data is carried out and the secular monthly means are substracted, a time series (Jan. 1951-Dec. 1985) of SST anomalies of the cold tongue water area in the eastern tropical Pacific Ocean is obtained. On the basis of the time series, an autoregression model, a self-exciting threshold autoregression model and an open loop autoregression model are developed respectively. The interannual variations are simulated by means of those models. The simulation results show that all the three models have made very good hindcasting for the nine El Nino events since 1951. In order to test the reliability of the open loop threshold model, extrapolated forecast was made for the period of Jan. 1986-Feb. 1987. It can be seen from the forecasting that the model could forecast well the beginning and strengthening stages of the recent El Nino event (1986-1987). Correlation coefficients of the estimations to observations are respectively 0. 84, 0. 88 and 0. 89. It is obvious that all the models work well and the open loop threshold one is the best. So the open loop threshold autoregression model is a useful tool for monitoring the SSTinterannual variation of the cold tongue water area in the Eastern Equatorial Pacific Ocean and for estimating the El Nino strength.
基金Supported by National Natural Science Foundation of China(72222009,71991472)。
文摘Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group structure to address nodal heterogeneity within the network.An iterative algorithm is employed to minimize a least-squares objective function,allowing for simultaneous estimation of both the parameters and the group structure.To determine the unknown number of groups and factors,a PIC criterion is introduced.Additionally,statistical inference of the estimated parameters is presented.To assess the validity of the proposed estimation and inference procedures,we conduct extensive numerical studies.We also demonstrate the utility of our model using a stock dataset obtained from the Chinese A-Share stock market.
文摘Forecasting solar irradiance is a critical task in the renewable energy sector, as it provides essential information regarding the potential energy production from solar panels. This study aims to utilize the Vector Autoregression (VAR) model to forecast solar irradiance levels and weather characteristics in the San Francisco Bay Area. The results demonstrate a correlation between predicted and actual solar irradiance, indicating the effectiveness of the VAR model for this task. However, the model may not be sufficient for this region due to the requirement of additional weather features to reduce disparities between predictions and actual observations. Additionally, the current lag order in the model is relatively low, limiting its ability to capture all relevant information from past observations. As a result, the model’s forecasting capability is limited to short-term horizons, with a maximum horizon of four hours.
