Robust seasonal adjustment by Bayesian modelling

Akaike's BAYSEA approach to seasonal decomposition is designed to capture the respective merits of several pre-existing adjustment techniques. BAYSEA is computationally efficient, requires only weak assumptions about the data-generating process, and is based on solid inferential (namely, Bayesian) foundations. We present a model similar to that used in BAYSEA, but based on a double exponential rather than a Gaussian error model. The resulting procedure has the advantages of Akaike's method, but in addition is resistant to outliers. The optimal decomposition is obtained rapidly using a sparse linear programming code. Confidence bands and predictive intervals can be obtained using Gibbs sampling.     

Forecasting time series with outliers

Time-series data are often contaminated with outliers due to the influence of unusual and non-repetitive events. Forecast accuracy in such situations is reduced due to (1) a carry-over effect of the outlier on the point forecast and (2) a bias in the estimates of model parameters. Hillmer (1984) and Ledolter (1989) studied the effect of additive outliers on forecasts. It was found that forecast intervals are quite sensitive to additive outliers, but that point forecasts are largely unaffected unless the outlier occurs near the forecast origin. In such a situation the carry-over effect of the outlier can be quite substantial. In this study, we investigate the issues of forecasting when outliers occur near or at the forecast origin. We propose a strategy which first estimates the model parameters and outlier effects using the procedure of Chen and Liu (1993) to reduce the bias in the parameter estimates, and then uses a lower critical value to detect outliers near the forecast origin in the forecasting stage. One aspect of this study is on the carry-over effects of outliers on forecasts. Four types of outliers are considered: innovational outlier, additive outlier, temporary change, and level shift. The effects due to a misidentification of an outlier type are examined. The performance of the outlier detection procedure is studied for cases where outliers are near the end of the series. In such cases, we demonstrate that statistical procedures may not be able to effectively determine the outlier types due to insufficient information. Some strategies are recommended to reduce potential difficulties caused by incorrectly detected outlier types. These findings may serve as a justification for forecasting in conjunction with judgment. Two real examples are employed to illustrate the issues discussed.     

Detection of outliers and level shifts in time series: an evaluation of two alternative procedures

A unified method to detect and handle innovational and additive outliers, and permanent and transient level changes has been presented by R. S. Tsay. N. S. Balke has found that the presence of level changes may lead to misidentification and loss of test‐power, and suggests augmenting Tsay's procedure by conducting an additional disturbance search based on a white‐noise model. While Tsay allows level changes to be either permanent or transient, Balke considers only the former type. Based on simulated series with transient level changes this paper investigates how Balke's white‐noise model performs both when transient change is omitted from the model specification and when it is included. Our findings indicate that the alleged misidentification of permanent level changes may be influenced by the restrictions imposed by Balke. But when these restrictions are removed, Balke's procedure outperforms Tsay's in detecting changes in the data‐generating process. Copyright © 2000 John Wiley & Sons, Ltd.     

A non‐Gaussian generalization of the Airline model for robust seasonal adjustment

In their seminal book Time Series Analysis: Forecasting and Control, Box and Jenkins (1976) introduce the Airline model, which is still routinely used for the modelling of economic seasonal time series. The Airline model is for a differenced time series (in levels and seasons) and constitutes a linear moving average of lagged Gaussian disturbances which depends on two coefficients and a fixed variance. In this paper a novel approach to seasonal adjustment is developed that is based on the Airline model and that accounts for outliers and breaks in time series. For this purpose we consider the canonical representation of the Airline model. It takes the model as a sum of trend, seasonal and irregular (unobserved) components which are uniquely identified as a result of the canonical decomposition. The resulting unobserved components time series model is extended by components that allow for outliers and breaks. When all components depend on Gaussian disturbances, the model can be cast in state space form and the Kalman filter can compute the exact log‐likelihood function. Related filtering and smoothing algorithms can be used to compute minimum mean squared error estimates of the unobserved components. However, the outlier and break components typically rely on heavy‐tailed densities such as the t or the mixture of normals. For this class of non‐Gaussian models, Monte Carlo simulation techniques will be used for estimation, signal extraction and seasonal adjustment. This robust approach to seasonal adjustment allows outliers to be accounted for, while keeping the underlying structures that are currently used to aid reporting of economic time series data. Copyright © 2006 John Wiley & Sons, Ltd.     

A Robust Test for Threshold‐Type Nonlinearity in Multivariate Time Series Analysis

There is growing interest in exploring potential forecast gains from the nonlinear structure of multivariate threshold autoregressive (MTAR) models. A least squares‐based statistical test has been proposed in the literature. However, previous studies on univariate time series analysis show that classical nonlinearity tests are often not robust to additive outliers. The outlier problem is expected to pose similar difficulties for multivariate nonlinearity tests. In this paper, we propose a new and robust MTAR‐type nonlinearity test, and derive the asymptotic null distribution of the test statistic. A Monte Carlo experiment is carried out to compare the power of the proposed test with that of the least squares‐based test under the influence of additive time series outliers. The results indicate that the proposed method is preferable to the classical test when observations are contaminated by outliers. Finally, we provide illustrative examples by applying the statistical tests to two real datasets. Copyright © 2015 John Wiley & Sons, Ltd.     

A robust neural network filter for electricity demand prediction

This paper is concerned with one-day-ahead hourly predictions of electricity demand for Puget Power, a local electricity utility for the Seattle area. Standard modelling techniques, including neural networks, will fail when the assumptions of the model are violated. It is demonstrated that typical modelling assumptions such as no outliers or level shifts are incorrect for electric power demand time series. A filter which removes or lessens the significance of outliers and level shifts is demonstrated. This filter produces ‘clean data’ which is used as the basis for future robust predictions. The robust predictions are shown to be better than non-robust counterparts on electricity load data. The outliers identified by the filter are shown to correspond with suspicious data. Finally, the estimated level shifts are in agreement with the belief that load growth is taking place year to year.     

Robust forecasting with exponential and Holt–Winters smoothing

Robust versions of the exponential and Holt–Winters smoothing method for forecasting are presented. They are suitable for forecasting univariate time series in the presence of outliers. The robust exponential and Holt–Winters smoothing methods are presented as recursive updating schemes that apply the standard technique to pre‐cleaned data. Both the update equation and the selection of the smoothing parameters are robustified. A simulation study compares the robust and classical forecasts. The presented method is found to have good forecast performance for time series with and without outliers, as well as for fat‐tailed time series and under model misspecification. The method is illustrated using real data incorporating trend and seasonal effects. Copyright © 2009 John Wiley & Sons, Ltd.     

MIMO-OFDM系统中基于变分Bayes EM算法的联合符号检测与鲁棒Kalman信道跟踪

基于变分Bayes期望最大化VBEM(variational Bsayes expectation maximization)算法和Turbo原理,提出了快时变信道条件下MIMO-OFDM系统中的联合符号检测与信道估计算法.在VBEM框架下,信号检测和信道估计分别由修正的列表球形译码算法和软输入Kalman算法完成,检测器和估计器分别考虑了信道和检测信号的估计误差协方差矩阵.当信道时变剧烈时,存在较大检测误差的数据在软输入Kalman算法中引入异常值(outliers),由于Kalman算法对于异常值的敏感性,系统会在错误传播的影响下出现误码平台.为削弱异常值的影响,利用鲁棒统计理论设计了VBEM框架下改进的鲁棒软输入Kalman算法,该算法能在出现异常值的条件下保持较好的信道跟踪能力.仿真结果表明:在快速时变多径信道条件下,文中设计的鲁棒VBEM算法优于传统的VBEM算法和EM算法.     

Robust exponential smoothing

The paper is devoted to robust modifications of exponential smoothing for time series with outliers or long-tailed distributions. Classical exponential smoothing applied to such time series is sensitive to the presence of outliers or long-tailed distributions and may give inadequate smoothing and forecasting results. First, simple and double exponential smoothing in the L₁ norm (i.e. based on the least absolute deviations) are discussed in detail. Then, general exponential smoothing is made robust, replacing the least squares approach by M-estimation in such a way that the recursive character of the final formulas is preserved. The paper gives simple algorithmic procedures which preserve advantageous features of classical exponential smoothing and, in addition, which are less sensitive to outliers. Robust versions are compared numerically with classical ones.     

A robust Cusum test for SETAR‐type nonlinearity in time series

As a part of an effective self‐exciting threshold autoregressive (SETAR) modeling methodology, it is important to identify processes exhibiting SETAR‐type nonlinearity. A number of tests of nonlinearity have been developed in the literature. However, it has recently been shown that all these tests perform poorly for SETAR‐type nonlinearity detection in the presence of additive outliers. In this paper, we develop an improved test for SETAR‐type nonlinearity in time series. The test is an outlier‐robust test based on the cumulative sums of ordered weighted residuals from generalized maximum likelihood fits. A Monte Carlo study confirms that the proposed test is competitive with existing tests for data from uncontaminated SETAR models and superior to them for SETAR data contaminated with additive outliers. Copyright © 2008 John Wiley & Sons, Ltd.     

On a robust test for SETAR‐type nonlinearity in time series analysis

There has been growing interest in exploiting potential forecast gains from the nonlinear structure of self‐exciting threshold autoregressive (SETAR) models. Statistical tests have been proposed in the literature to help analysts check for the presence of SETAR‐type nonlinearities in observed time series. However, previous studies show that classical nonlinearity tests are not robust to additive outliers. In practice, time series outliers are not uncommonly encountered. It is important to develop a more robust test for SETAR‐type nonlinearity in time series analysis and forecasting. In this paper we propose a new robust nonlinearity test and the asymptotic null distribution of the test statistic is derived. A Monte Carlo experiment is carried out to compare the power of the proposed test with other existing tests under the influence of time series outliers. The effects of additive outliers on nonlinearity tests with misspecification of the autoregressive order are also studied. The results indicate that the proposed method is preferable to the classical tests when the observations are contaminated with outliers. Finally, we provide illustrative examples by applying the statistical tests to three real datasets. Copyright © 2009 John Wiley & Sons, Ltd.     

一种基于同步动力学模型的层次聚类方法

本文基于建模同步动力学行为的Kuramoto模型提出了一种新的有效层次聚类方法.本文提出的方法基于局部邻域的概念,能够实现稳定的局部同步聚类.通过不断扩大对象同步的邻域半径,所提出的方法能够实现层次化的同步聚类.此外,提出对象邻域闭包的概念,在对象间到达完全同步之前就能预测出聚类的形成,从而减少对象动态交互的时间.本文的方法不依赖于任何数据分布假设,无需任何手工参数设置,可以检测出任意数量、形状和大小的聚类.由于同步过程能够有效地规避离群点,该方法有较强的噪声数据抑制能力.在大量真实数据集和人工合成数据集上的实验结果表明本文的方法聚类准确率高,且运行时间较同类基准算法显著缩短.     

Forecasting load-duration curves

A new method is proposed for forecasting electricity load-duration curves. The approach first forecasts the load curve and then uses the resulting predictive densities to forecast the load-duration curve. A virtue of this procedure is that both load curves and load-duration curves can be predicted using the same model, and confidence intervals can be generated for both predictions. The procedure is applied to the problem of predicting New Zealand electricity consumption. A structural time-series model is used to forecast the load curve based on half-hourly data. The model is tailored to handle effects such as daylight savings, holidays and weekends, as well as trend, annual, weekly and daily cycles. Time-series methods, including Kalman filtering, smoothing and prediction, are used to fit the model and to achieve the desired forecasts of the load-duration curve.     

Robust evaluation of fixed‐event forecast rationality

In this paper we introduce a new testing procedure for evaluating the rationality of fixed‐event forecasts based on a pseudo‐maximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures are likely when forecasters experience a credibility loss when they make large changes to their forecasts. The test is illustrated using monthly fixed‐event forecasts produced by four UK institutions. Use of the robust test leads to the conclusion that certain forecasts are rational while use of the Gaussian‐based test implies that certain forecasts are irrational. The difference in the results is due to the nature of the underlying data. Copyright © 2001 John Wiley & Sons, Ltd.     

System identification and validation for output prediction of a dynamic hydrologic process

The paper presents an identification procedure for a dynamic model of am hydrologic process. The process involves solute transport in streams subject to aquifer interaction and unsteady flows and the intended use of the model is prediction. Detailed assumptions and results are provided to illustrate the level of comprehensive analysis required to assess model adequacy. The assessment procedure easily generalizes to any dynamic model which is linear-in-the-parameters. As a fundamental tool, instrumental variable algorithms can be adopted which have a number of attractive features. These algorithms make both model-order identification and specification among alternatives a straightforward task. They are known to be consistent estimators in the presence of a wide class of errors. It is seen that they can be made stable and robust in the presence of data outliers. Instrumental variable algorithms can also be used which are asymptotically efficient and provide a covariance matrix of parameter estimates. The paper shows how they aid the quantification of predictive uncertainty and investigates the validity of the underlying assumptions. Further, it illustrates that, when instrumental variable algorithms are used in recursive mode, they can be used not only as an additional tool to access model inadequacy but also as an aid to model improvements.     

Outliers,level shifts,and variance changes in time series

Outliers, level shifts, and variance changes are commonplace in applied time series analysis. However, their existence is often ignored and their impact is overlooked, for the lack of simple and useful methods to detect and handle those extraordinary events. The problem of detecting outliers, level shifts, and variance changes in a univariate time series is considered. The methods employed are extremely simple yet useful. Only the least squares techniques and residual variance ratios are used. The effectiveness of these simple methods is demonstrated by analysing three real data sets.     

Time series forecasting using robust regression

The method of ordinary least squares (OLS) and generalizations of it have been the mainstay of most forecasting methodologies for many years. It is well-known, however, that outliers or unusual values can have a large influence on least-squares estimators. Users of automatic forecasting packages, in particular, need to be aware of the influence that outlying data values can have on statistical analyses and forecasting results. Robust methods are available to modify least-squares procedures so that outliers have much less influence on the final estimates; yet these formal methods have not found their way into general forecasting procedures. This paper provides a case study in which classical least-square-estimation procedures are complemented with a robust alternative to enhance statistical fit criteria and improve forecasting performance. The study suggests that much can be gained in understanding the nature of outliers and their influence on forecasting performance by performing a robust regression in addition to OLS.     

基于粗粒度单元的离群点检测算法研究

对现有的基于单元的算法进行改进,利用KNN算法思想得到距离与比例参数的合理先验值,以加快离群点检测的收敛速度;同时通过扩大单元粒度,减少了单元区域查询次数与算法的空间复杂度,从而在整体上提高了离群点的检测效率。通过实验,验证了改进后算法的可行性,同时比较了其与原算法在不同参数下的性能优劣。     

A comparison of forecasts from least absolute value and least squares regression

A Monte Carlo simulation is used to compare forecasts from least absolute value and least squares estimated regression equations. When outliers are present, the least absolute value forecasts are shown to be superior to least squares forecasts. The results emphasize the importance of exercising caution when using forecasts from least squares estimated regressions. Use of least absolute value regression (or some other robust regression method) instead of, or as an adjunct to, least squares is recommended. The comparison of forecasts from the two methods provides one way of assessing whether the least squares forecasts have been adversely affected by outliers. If outliers are present, the least absolute value regression forecasts can be used.     

On robust estimation of threshold autoregressions

We investigate the effects of additive outliers on the least squares (LS) estimation of threshold autoregressive models. The class of generalized-M (GM) estimates for linear time series is modified and applied to non-linear threshold processes. A Monte Carlo experiment is carried out to study the robust properties of these estimates. Their relative forecasting performances are also examined. The results indicate that the GM method is preferable to the LS estimation when the observations are contaminated by additive outliers. A real example is also given to illustrate the proposed method.