Hybridizing kernel‐based fuzzy c‐means with hierarchical selective neural network ensemble model for business failure prediction

More and more ensemble models are used to forecast business failure. It is generally known that the performance of an ensemble relies heavily on the diversity between each base classifier. To achieve diversity, this study uses kernel‐based fuzzy c‐means (KFCM) to organize firm samples and designs a hierarchical selective ensemble model for business failure prediction (BFP). First, three KFCM methods—Gaussian KFCM (GFCM), polynomial KFCM (PFCM), and Hyper‐tangent KFCM (HFCM)—are employed to partition the financial data set into three data sets. A neural network (NN) is then adopted as a basis classifier for BFP, and three sets, which are derived from three KFCM methods, are used to build three classifier pools. Next, classifiers are fused by the two‐layer hierarchical selective ensemble method. In the first layer, classifiers are ranked based on their prediction accuracy. The stepwise forward selection method is employed to selectively integrate classifiers according to their accuracy. In the second layer, three selective ensembles in the first layer are integrated again to acquire the final verdict. This study employs financial data from Chinese listed companies to conduct empirical research, and makes a comparative analysis with other ensemble models and all its component models. It is the conclusion that the two‐layer hierarchical selective ensemble is good at forecasting business failure.     

An outlier robust hierarchical Bayes model for forecasting: the case of Hong Kong

This paper introduces a Bayesian forecasting model that accommodates innovative outliers. The hierarchical specification of prior distributions allows an identification of observations contaminated by these outliers and endogenously determines the hyperparameters of the Minnesota prior. Estimation and prediction are performed using Markov chain Monte Carlo (MCMC) methods. The model forecasts the Hong Kong economy more accurately than the standard V AR and performs in line with other complicated BV AR models. It is also shown that the model is capable of finding most of the outliers in various simulation experiments. Copyright © 2004 John Wiley & Sons, Ltd.     

A semiparametric method for predicting bankruptcy

Bankruptcy prediction methods based on a semiparametric logit model are proposed for simple random (prospective) and case–control (choice‐based; retrospective) data. The unknown parameters and prediction probabilities in the model are estimated by the local likelihood approach, and the resulting estimators are analyzed through their asymptotic biases and variances. The semiparametric bankruptcy prediction methods using these two types of data are shown to be essentially equivalent. Thus our proposed prediction model can be directly applied to data sampled from the two important designs. One real data example and simulations confirm that our prediction method is more powerful than alternatives, in the sense of yielding smaller out‐of‐sample error rates. Copyright © 2007 John Wiley & Sons, Ltd.     

神经树在煤与瓦斯突出预测中应用研究

由于煤与瓦斯突出影响因素之间存在着复杂的非线性关系,为准确预测煤与瓦斯突出的危险性,本文提出了基于柔性神经树的煤与瓦斯突出预潮模型,其中利用多表达式编程和粒子群优化算法分别优化了自身的结构及相关参数,使得神经树具有强大的预测和分类能力,与传统神经网络相比具有更加灵活的自动优化能力.通过采用实测数据对算法进行了验证. 结果 表明与常规预测方法相比较,该模型的预测准确性高,具有良好的适应性和有效性.     

Dynamic Latent Class Model Averaging for Online Prediction

We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called dynamic latent class model averaging, which combines a state‐space model for the parameters of each of the candidate models of the system with a Markov chain model for the best model. We propose a polychotomous regression model for the transition weights to assume that the probability of a change in time depends on the past through the values of the most recent time periods and spatial correlation among the regions. The evolution of the parameters in each submodel is defined by exponential forgetting. This structure allows the ‘correct’ model to vary over both time and regions. In contrast to existing methods, the proposed model naturally incorporates clustering and prediction analysis in a single unified framework. We develop an efficient Gibbs algorithm for computation, and we demonstrate the value of our framework on simulated experiments and on a real‐world problem: forecasting IBM's corporate revenue. Copyright © 2014 John Wiley & Sons, Ltd.     

Bayesian analysis of concurrent time series with application to regional IBM revenue data

Business data frequently arise in the form of concurrent time series. We present a general framework for simultaneous modeling and fitting of such series using the class of Box—Jenkins models. This framework is an exchangeable hierarchical Bayesian model incorporating dependence among the series. Our motivating data set consists of regional IBM revenue available monthly for several geographic regions. Stationary seasonal autoregressive models are simultaneously fit to the regional data series using various error covariance specifications for the strong interregional dependence. A modified Gibbs sampling algorithm is used to carry out the fitting and to enable all subsequent inference. Graphical techniques using predictive distributions are employed to assess model adequacy and to select among models. Outlier estimation and prediction under the chosen model are used for planning and to measure the effect of special promotional events.     

基于改进神经网络的厚煤层采煤方法预测模型

针对厚煤层采煤方法选择多目标非线性的问题,在影响因素分析的基础上,建立了预测仿真模型,利用神经网络改进算法训练网络,通过早停的方式解决网络过拟合问题。通过计算机仿真结合现场应用表明,该模型给出了最优方案,可为厚煤层采煤方法的合理选择和工作面主要经济技术指标的预测提供一种新的研究思路,在煤矿开采中具有广阔的应用前景。     

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.     

Subset selection of autoregressive time series models

We propose a solution to select promising subsets of autoregressive time series models for further consideration which follows up on the idea of the stochastic search variable selection procedure in George and McCulloch (1993). It is based on a Bayesian approach which is unconditional on the initial terms. The autoregression stepup is in the form of a hierarchical normal mixture model, where latent variables are used to identify the subset choice. The framework of our procedure is utilized by the Gibbs sampler, a Markov chain Monte Carlo method. The advantage of the method presented is computational: it is an alternative way to search over a potentially large set of possible subsets. The proposed method is illustrated with a simulated data as well as a real data. Copyright © 1999 John Wiley & Sons, Ltd.     

视差计算的层级模型

生物的立体感知是由一个层级网络完成的:从初级视皮层到高层区域,神经元感受野逐步增大,局部立体感知逐步变为全局立体感知.视皮层中存在大量对视差敏感的神经元,其中V1区单个神经元的视差选择特性可用视差能量模型来描述.文中从生物的立体感知过程出发,提出了一种计算图像视差的层级模型,主要贡献有:(1)提出了一种符合心理学实验结果的归一化视差能量模型,减弱了图像对比度变化对神经元视差响应能量的影响;(2)利用视皮层视差功能柱的性质,提出了一种不同倾向视差神经元的汇聚方法;(3)根据不同脑皮层之间的连接关系,提出了一种两层网络结构来解决V1区神经元编码视差的歧义问题.文中方法可以有效提高纹理重复和纹理不丰富区域的视差计算精度.     

A Bayesian nonlinear support vector machine error correction model

The use of linear error correction models based on stationarity and cointegration analysis, typically estimated with least squares regression, is a common technique for financial time series prediction. In this paper, the same formulation is extended to a nonlinear error correction model using the idea of a kernel‐based implicit nonlinear mapping to a high‐dimensional feature space in which linear model formulations are specified. Practical expressions for the nonlinear regression are obtained in terms of the positive definite kernel function by solving a linear system. The nonlinear least squares support vector machine model is designed within the Bayesian evidence framework that allows us to find appropriate trade‐offs between model complexity and in‐sample model accuracy. From straightforward primal–dual reasoning, the Bayesian framework allows us to derive error bars on the prediction in a similar way as for linear models and to perform hyperparameter and input selection. Starting from the results of the linear modelling analysis, the Bayesian kernel‐based prediction is successfully applied to out‐of‐sample prediction of an aggregated equity price index for the European chemical sector. Copyright © 2006 John Wiley & Sons, Ltd.     

Forecasting US inflation by Bayesian model averaging

Recent empirical work has considered the prediction of inflation by combining the information in a large number of time series. One such method that has been found to give consistently good results consists of simple equal‐weighted averaging of the forecasts from a large number of different models, each of which is a linear regression relating inflation to a single predictor and a lagged dependent variable. In this paper, I consider using Bayesian model averaging for pseudo out‐of‐sample prediction of US inflation, and find that it generally gives more accurate forecasts than simple equal‐weighted averaging. This superior performance is consistent across subsamples and a number of inflation measures. Copyright © 2008 John Wiley & Sons, Ltd.     

Bias‐corrected bootstrap prediction regions for vector autoregression

This paper examines small sample properties of alternative bias‐corrected bootstrap prediction regions for the vector autoregressive (VAR) model. Bias‐corrected bootstrap prediction regions are constructed by combining bias‐correction of VAR parameter estimators with the bootstrap procedure. The backward VAR model is used to bootstrap VAR forecasts conditionally on past observations. Bootstrap prediction regions based on asymptotic bias‐correction are compared with those based on bootstrap bias‐correction. Monte Carlo simulation results indicate that bootstrap prediction regions based on asymptotic bias‐correction show better small sample properties than those based on bootstrap bias‐correction for nearly all cases considered. The former provide accurate coverage properties in most cases, while the latter over‐estimate the future uncertainty. Overall, the percentile‐t bootstrap prediction region based on asymptotic bias‐correction is found to provide highly desirable small sample properties, outperforming its alternatives in nearly all cases. Copyright © 2004 John Wiley & Sons, Ltd.     

Stochastic models underlying Croston's method for intermittent demand forecasting

Croston's method is widely used to predict inventory demand when it is intermittent. However, it is an ad hoc method with no properly formulated underlying stochastic model. In this paper, we explore possible models underlying Croston's method and three related methods, and we show that any underlying model will be inconsistent with the properties of intermittent demand data. However, we find that the point forecasts and prediction intervals based on such underlying models may still be useful. Copyright © 2005 John Wiley & Sons, Ltd.     

基于粗糙集与灰色动态预测模型在电力负荷短期预测的应用

针对电力系统多因素负荷预测问题的复杂性,结合粗糙集理论与GM（1,N）模型各自的优势,提出一种基于粗糙集理论的GM（1,N）预测模型.采取粗糙集理论对影响负荷预测因素进行简约,利用GM（1,N）建立简约后的因素变量和负荷之间的关系建立模型,并与GM（1,1）预测模型进行了比较,结果反映基于粗糙集理论的GM（1,N）预测模型的优越性,精准度达到94.055%.     

Forecasting for the LCD monitor market

The TFT‐LCD (thin‐film transistor–liquid crystal display) industry is one of the key global industries with products that have high clock speed. In this research, the LCD monitor market is considered for an empirical study on hierarchical forecasting (HF). The proposed HF methodology consists of five steps. First, the three hierarchical levels of the LCD monitor market are identified. Second, several exogenously driven factors that significantly affect the demand for LCD monitors are identified at each level of product hierarchy. Third, the three forecasting techniques—regression analysis, transfer function, and simultaneous equations model—are combined to forecast future demand at each hierarchical level. Fourth, various forecasting approaches and disaggregating proportion methods are adopted to obtain consistent demand forecasts at each hierarchical level. Finally, the forecast errors with different forecasting approaches are assessed in order to determine the best forecasting level and the best forecasting approach. The findings show that the best forecast results can be obtained by using the middle‐out forecasting approach. These results could guide LCD manufacturers and brand owners on ways to forecast future market demands. Copyright 2008 John Wiley & Sons, Ltd.     

Measuring large‐scale market responses and forecasting aggregated sales: Regression for sparse high‐dimensional data

In this article, we propose a regression model for sparse high‐dimensional data from aggregated store‐level sales data. The modeling procedure includes two sub‐models of topic model and hierarchical factor regressions. These are applied in sequence to accommodate high dimensionality and sparseness and facilitate managerial interpretation. First, the topic model is applied to aggregated data to decompose the daily aggregated sales volume of a product into sub‐sales for several topics by allocating each unit sale (“word” in text analysis) in a day (“document”) into a topic based on joint‐purchase information. This stage reduces the dimensionality of data inside topics because the topic distribution is nonuniform and product sales are mostly allocated into smaller numbers of topics. Next, the market response regression model for the topic is estimated from information about items in the same topic. The hierarchical factor regression model we introduce, based on canonical correlation analysis for original high‐dimensional sample spaces, further reduces the dimensionality within topics. Feature selection is then performed on the basis of the credible interval of the parameters' posterior density. Empirical results show that (i) our model allows managerial implications from topic‐wise market responses according to the particular context, and (ii) it performs better than do conventional category regressions in both in‐sample and out‐of‐sample forecasts.     

Combining var estimation and state space model reduction for simple good predictions

A combination of VAR estimation and state space model reduction techniques are examined by Monte Carlo methods in order to find good, simple to use, procedures for determining models which have reasonable prediction properties. The presentation is largely graphical. This helps focus attention on the aspects of the model determination problem which are relatively important for forecasting. One surprising result is that, for prediction purposes, knowledge of the true structure of the model generating the data is not particularly useful unless parameter values are also known. This is because the difficulty in estimating parameters of the true model causes more prediction error than results from a more parsimonious approximate model.     

改进果蝇优化算法优化广义回归神经网络的预测问题研究

为提高传统非线性预测模型的预测精度,提出一种基于改进果蝇优化算法优化广义回归神经网络的预测方法,将果蝇群体分两部分分别进行迭代寻优,从而改进了果蝇优化算法的寻优性能,进而避免了在寻优过程中陷入局部最优。该方法利用改进果蝇优化算法优化广义回归神经网络的径向基函数扩展参数,然后用训练好的广义回归神经网络预测模型进行预测,最后通过订单预测算例进行实证研究。实证研究结果显示,该方法在解决订单预测问题中与未改进的果蝇优化算法优化广义回归神经网络和传统的广义回归神经网络方法对比,具有更高的预测精度和更好的非线性拟合能力。     

Assessment of agricultural energy consumption of Turkey by MLR and Bayesian optimized SVR and GPR models

Agricultural productivity highly depends on the cost of energy required for cultivation. Thus prior knowledge of energy consumption is an important step for energy planning and policy development in agriculture. The aim of the present study is to evaluate the application potential of multiple linear regression (MLR) and machine learning tools such as support vector regression (SVR) and Gaussian process regression (GPR) to forecast the agricultural energy consumption of Turkey. In the development of the models, widespread indicators such as agricultural value-added, total arable land, gross domestic product share of agriculture, and population data were used as input parameters. Twenty-eight-year historical data from 1990 to 2017 were utilized for the training and testing stages of the models. A Bayesian optimization method was applied to improve the prediction capability of SVR and GPR models. The performance of the models was measured by various statistical tools. The results indicated that the Bayesian optimized GPR (BGPR) model with exponential kernel function showed a superior prediction capability over MLR and Bayesian optimized SVR model. The root mean square error, mean absolute deviation, mean absolute percentage error, and coefficient of determination (R²) values for the BGPR model were determined as 0.0022, 0.0005, 0.2041, and 0.9999 in the training phase and 0.0452, 0.0310, 7.7152, and 0.9677 in the testing phase, respectively. As a result, it can be concluded that the proposed BGPR model is an efficient technique and has the potential to predict agricultural energy consumption with high accuracy.