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1.
Hierarchical time series arise in various fields such as manufacturing and services when the products or services can be hierarchically structured. “Top-down” and “bottom-up” forecasting approaches are often used for forecasting such hierarchical time series. In this paper, we develop a new hybrid approach (HA) with step-size aggregation for hierarchical time series forecasting. The new approach is a weighted average of the two classical approaches with the weights being optimally chosen for all the series at each level of the hierarchy to minimize the variance of the forecast errors. The independent selection of weights for all the series at each level of the hierarchy makes the HA inconsistent while aggregating suitably across the hierarchy. To address this issue, we introduce a step-size aggregate factor that represents the relationship between forecasts of the two consecutive levels of the hierarchy. The key advantage of the proposed HA is that it captures the structure of the hierarchy inherently due to the combination of the hierarchical approaches instead of independent forecasts of all the series at each level of the hierarchy. We demonstrate the performance of the new approach by applying it to the monthly data of ‘Industrial’ category of M3-Competition as well as on Pakistan energy consumption data. 相似文献
2.
The main thrust of this study is to consider the problem of simultaneous prediction of actual and average values of the simultaneous equations model through the target function of Shalabh (Bulletin of International Statistical Institute, 1995, 56, 1375–1390). We focus on the predictive performance of the two‐stage ridge estimator with the motivation for eliminating the disorder arising from multicollinearity. An optimal biasing parameter of the two‐stage ridge estimator is derived by a minimization process of prediction mean square error. In addition, an optimal estimator for the weight of observed value in target function is attained theoretically. The results inferred from a numerical example and a Monte Carlo experiment provide a dramatic improvement in the predictive ability of the two‐stage ridge estimator. 相似文献
3.
We propose a new class of limited information estimators built upon an explicit trade‐off between data fitting and a priori model specification. The estimators offer the researcher a continuum of estimators that range from an extreme emphasis on data fitting and robust reduced‐form estimation to the other extreme of exact model specification and efficient estimation. The approach used to generate the estimators illustrates why ULS often outperforms 2SLS‐PRRF even in the context of a correctly specified model, provides a new interpretation of 2SLS, and integrates Wonnacott and Wonnacott's (1970) least weighted variance estimators with other techniques. We apply the new class of estimators to Klein's Model I and generate forecasts. We find for this example that an emphasis on specification (as opposed to data fitting) produces better out‐of‐sample predictions. Copyright © 1999 John Wiley & Sons, Ltd. 相似文献
4.
Redouane Benabdallah Benarmas;Kadda Beghdad Bey; 《Journal of forecasting》2024,43(5):1294-1307
Traffic forecasting is a crucial task of an Intelligent Transportation System (ITS), which remains very challenging as it is affected by the complexity and depth of the road network. Although the decision-makers focus on the accuracy of the top-level roads, the forecasts on the lower levels also improve the overall performance of ITS. In such a situation, a hierarchical forecasting strategy is more appropriate as well as a more accurate prediction methods to reach an efficient forecast. In this paper, we present a deep learning (DL) approach for hierarchical forecasting of traffic flow by exploring the hierarchical structure of the road network. The proposed approach is considered an improved variation on the top-down strategy for the reconciliation process. We propose a model based on two deep neural network components to generate a coherent forecast for the total number of road segments. We use N-BEATS, a pure deep learning forecasting method, at the highest levels for traffic time series, then disaggregate these downwards to get coherent forecasts for each series of the hierarchy using a combination of CNN and LSTM. Experiments were carried out using Beijing road traffic dataset to demonstrate the effectiveness of the approach. 相似文献
5.
The Ohlson model is evaluated using quarterly data from stocks in the Dow Jones Index. A hierarchical Bayesian approach is developed to simultaneously estimate the unknown coefficients in the time series regression model for each company by pooling information across firms. Both estimation and prediction are carried out by the Markov chain Monte Carlo (MCMC) method. Our empirical results show that our forecast based on the hierarchical Bayes method is generally adequate for future prediction, and improves upon the classical method. Copyright © 2005 John Wiley & Sons, Ltd. 相似文献
6.
Marie Diron 《Journal of forecasting》2008,27(5):371-390
Forecasters commonly predict real gross domestic product growth from monthly indicators such as industrial production, retail sales and surveys, and therefore require an assessment of the reliability of such tools. While forecast errors related to model specification and unavailability of data in real time have been assessed, the impact of data revisions on forecast accuracy has seldom been evaluated, especially for the euro area. This paper proposes to evaluate the contributions of these three sources of forecast error using a set of data vintages for the euro area. The results show that gains in accuracy of forecasts achieved by using monthly data on actual activity rather than surveys or financial indicators are offset by the fact that the former set of monthly data is harder to forecast and less timely than the latter set. These results provide a benchmark which future research may build on as more vintage datasets become available. Copyright © 2008 John Wiley & Sons, Ltd. 相似文献
7.
In this paper, we forecast EU area inflation with many predictors using time‐varying parameter models. The facts that time‐varying parameter models are parameter rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time‐varying parameter models. Our approach allows for the coefficient on each predictor to be: (i) time varying; (ii) constant over time; or (iii) shrunk to zero. The econometric methodology decides automatically to which category each coefficient belongs. Our empirical results indicate the benefits of such an approach. Copyright © 2013 John Wiley & Sons, Ltd. 相似文献
8.
Barry R. Weller 《Journal of forecasting》1990,9(3):273-281
The purpose of this paper is to investigate the applicability of a contemporary time series forecasting technique, transfer function modeling, to the problem of forecasting sectoral employment levels in small regional economies. The specific sectoral employment levels to be forecast are manufacturing, durable manufacturing, non-durable manufacturing and non-manufacturing employment. Due to data constraints at the small region level, construction of traditional causal econometric models is often very difficult; thus time series approaches become particularly attractive. The results suggest that transfer function models using readily available national indicator series as drivers can provide more accurate forecasts of small region sectoral employment levels than univariate time series models. 相似文献
9.
The increasing penetration of wind power has resulted in larger shares of volatile sources of supply in power systems worldwide. In order to operate such systems efficiently, methods for reliable probabilistic forecasts of future wind power production are essential. It is well known that the conditional density of wind power production is highly dependent on the level of predicted wind power and prediction horizon. This paper describes a new approach for wind power forecasting based on logistic‐type stochastic differential equations (SDEs). The SDE formulation allows us to calculate both state‐dependent conditional uncertainties as well as correlation structures. Model estimation is performed by maximizing the likelihood of a multidimensional random vector while accounting for the correlation structure defined by the SDE formulation. We use non‐parametric modelling to explore conditional correlation structures, and skewness of the predictive distributions as a function of explanatory variables. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
10.
Kevin Dowd 《Journal of forecasting》2007,26(4):251-270
This paper examines the problem of how to validate multiple‐period density forecasting models. Such models are more difficult to validate than their single‐period equivalents, because consecutive observations are subject to common shocks that undermine i.i.d. The paper examines various solutions to this problem, and proposes a new solution based on the application of standard tests to a resample that is constructed to be i.i.d. It suggests that this solution is superior to alternatives, and presents results indicating that tests based on the i.i.d. resample approach have good power. Copyright © 2007 John Wiley & Sons, Ltd. 相似文献
11.
The notion of template has been advocated by Paul Humphreys and others as an illuminating unit of analysis in the philosophy of scientific modelling. Templates are supposed to have the dual functions of representing target systems and of facilitating quantitative manipulation. A resulting worry is that wide-ranging cross-disciplinary use of templates might compromise their representational function and reduce them to mere formalisms. In this paper, we argue that templates are valuable units of analysis in reconstructing cross-disciplinary modelling. Central to our discussion are the ways in which Lotka-Volterra models are used to analyse processes of technology diffusion. We illuminate both the similarities and differences between contributions to this case of cross-disciplinary modelling by reconstructing them as transfer of a template, without reducing the template to a mere formalism or a computational model. This requires differentiating the interpretation of templates from that of the models based on them. This differentiation allows us to claim that the LV models of technology diffusion that we review are the result of template transfer - conformist in some contributions, creative in others. 相似文献
12.
Jianmin Shi 《Journal of forecasting》2016,35(3):250-262
Model uncertainty and recurrent or cyclical structural changes in macroeconomic time series dynamics are substantial challenges to macroeconomic forecasting. This paper discusses a macro variable forecasting methodology that combines model uncertainty and regime switching simultaneously. The proposed predictive regression specification permits both regime switching of the regression parameters and uncertainty about the inclusion of forecasting variables by employing Bayesian model averaging. In an empirical exercise involving quarterly US inflation, we observed that our Bayesian model averaging with regime switching leads to substantial improvements in forecast performance, particularly in the medium horizon (two to four quarters). Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
13.
Transfer function or distributed lag models are commonly used in forecasting. The stability of a constant‐coefficient transfer function model, however, may become an issue for many economic variables due in part to the recent advance in technology and improvement in efficiency in data collection and processing. In this paper, we propose a simple functional‐coefficient transfer function model that can accommodate the changing environment. A likelihood ratio statistic is used to test the stability of a traditional transfer function model. We investigate the performance of the test statistic in the finite sample case via simulation. Using some well‐known examples, we demonstrate clearly that the proposed functional‐coefficient model can substantially improve the accuracy of out‐of‐sample forecasts. In particular, our simple modification results in a 25% reduction in the mean squared errors of out‐of‐sample one‐step‐ahead forecasts for the gas‐furnace data of Box and Jenkins. Copyright © 2003 John Wiley & Sons, Ltd. 相似文献
14.
Revealing the underlying preferences of a forecaster has always been at the core of much controversy. Herein, we build on the multivariate loss function concept and propose a flexible and multivariate family of likelihoods. This allows examining whether a vector of forecast errors, along with control variables, shapes a forecaster's preferences and, therefore, the underlying multivariate, nonseparable, loss function. We estimate the likelihood function using Bayesian exponentially tilted empirical likelihood, which reveals the shape of the parameter and the power of the multivariate loss function. In the empirical section, the reported evidence reveals that the EU Commission forecasts are predominantly asymmetric, leaning towards optimism in the year ahead, while a correction towards pessimism occurs in the current year forecast. There is some variability of this asymmetry across member states, with forecasts, i.e. gross domestic product growth, for large Member States exhibiting more optimism 相似文献
15.
This paper investigates robust model rankings in out‐of‐sample, short‐horizon forecasting. We provide strong evidence that rolling window averaging consistently produces robust model rankings while improving the forecasting performance of both individual models and model averaging. The rolling window averaging outperforms the (ex post) “optimal” window forecasts in more than 50% of the times across all rolling windows. 相似文献
16.
We extend the analysis of Christoffersen and Diebold (1998) on long‐run forecasting in cointegrated systems to multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation in the context of stock‐flow models where multicointegration typically occurs. A loss function based on a standard mean square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function based on the triangular representation of cointegrated systems (suggested by Christoffersen and Diebold) considers forecast errors associated with changes in both stock (modelled through the cointegrating restrictions) and flow variables. We suggest a new loss function based on the triangular representation of multicointegrated systems which further penalizes deviations from the long‐run relationship between the levels of stock and flow variables as well as changes in the flow variables. Among other things, we show that if one is concerned with all possible long‐run relations between stock and flow variables, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and Christoffersen and Diebold's criterion. This paper demonstrates the importance of carefully selecting loss functions in forecast evaluation of models involving stock and flow variables. Copyright © 2004 John Wiley & Sons, Ltd. 相似文献
17.
We introduce a versatile and robust model that may help policymakers, bond portfolio managers and financial institutions to gain insight into the future shape of the yield curve. The Burg model forecasts a 20‐day yield curve, which fits a pth‐order autoregressive (AR) model to the input signal by minimizing (least squares) the forward and backward prediction errors while constraining the autoregressive parameters to satisfy the Levinson–Durbin recursion. Then, it uses an infinite impulse response prediction error filter. Results are striking when the Burg model is compared to the Diebold and Li model: the model not only significantly improves accuracy, but also its forecast yield curves stick to the shape of observed yield curves, whether normal, humped, flat or inverted. Copyright © 2016 John Wiley & Sons, Ltd. 相似文献
18.
层次形成的正确性决定了层次聚类的质量,通常围绕对象类内类间关系评价实现。本文基于聚类目标,综合考虑类内类问关系,借鉴网络分析中模块性评价准则,设计用于层次聚类的模块性指标,并采用自底向上合并的途径实现指标优化从而完成聚类,提出一种基于模块性指标优化的层次聚类算法。仿真试验表明,和谱聚类算法相比,本文介绍的算法实现简单,能以较少的计算代价,准确地获得样本特征,实现聚类。 相似文献
19.
提出并验证了一种简单导联方式实现的非侵入便携式胎儿心电监护仪的设计方案:以仪表放大器AD8220为核心,构建了母体胸导心电信号和腹壁混合信号的调理电路;通过AD7658实现A/D转换;然后将所得数字信号送入DSP芯片TMS320F28335,井通过USB通信模块CP2101将得到的心电信号数据传送到PC机。设计出了基于径向基函数的神经网络模块;提取出清晰的胎儿心电信号;调用绘图函数实现信号的实时显示。 相似文献
20.
Soudeep Deb;Rishideep Roy;Shubhabrata Das; 《Journal of forecasting》2024,43(6):1814-1834
Predicting the winner of an election is of importance to multiple stakeholders. To formulate the problem, we consider an independent sequence of categorical data with a finite number of possible outcomes in each. The data is assumed to be observed in batches, each of which is based on a large number of such trials and can be modeled via multinomial distributions. We postulate that the multinomial probabilities of the categories vary randomly depending on batches. The challenge is to predict accurately on cumulative data based on data up to a few batches as early as possible. On the theoretical front, we first derive sufficient conditions of asymptotic normality of the estimates of the multinomial cell probabilities and present corresponding suitable transformations. Then, in a Bayesian framework, we consider hierarchical priors using multivariate normal and inverse Wishart distributions and establish the posterior convergence. The desired inference is arrived at using these results and ensuing Gibbs sampling. The methodology is demonstrated with election data from two different settings—one from India and the other from the United States. Additional insights of the effectiveness of the proposed methodology are attained through a simulation study. 相似文献