A Computer Program for the Generation of ARIMA Data

Science.gov (United States)

Green, Samuel B.; Noles, Keith O.

1977-01-01

The autoregressive integrated moving averages model (ARIMA) has been applied to time series data in psychological and educational research. A program is described that generates ARIMA data of a known order. The program enables researchers to explore statistical properties of ARIMA data and simulate systems producing time dependent observations.…

Identification of AR(I)MA processes for modelling temporal correlations of GPS observations

Science.gov (United States)

Luo, X.; Mayer, M.; Heck, B.

2009-04-01

In many geodetic applications observations of the Global Positioning System (GPS) are routinely processed by means of the least-squares method. However, this algorithm delivers reliable estimates of unknown parameters und realistic accuracy measures only if both the functional and stochastic models are appropriately defined within GPS data processing. One deficiency of the stochastic model used in many GPS software products consists in neglecting temporal correlations of GPS observations. In practice the knowledge of the temporal stochastic behaviour of GPS observations can be improved by analysing time series of residuals resulting from the least-squares evaluation. This paper presents an approach based on the theory of autoregressive (integrated) moving average (AR(I)MA) processes to model temporal correlations of GPS observations using time series of observation residuals. A practicable integration of AR(I)MA models in GPS data processing requires the determination of the order parameters of AR(I)MA processes at first. In case of GPS, the identification of AR(I)MA processes could be affected by various factors impacting GPS positioning results, e.g. baseline length, multipath effects, observation weighting, or weather variations. The influences of these factors on AR(I)MA identification are empirically analysed based on a large amount of representative residual time series resulting from differential GPS post-processing using 1-Hz observation data collected within the permanent SAPOS® (Satellite Positioning Service of the German State Survey) network. Both short and long time series are modelled by means of AR(I)MA processes. The final order parameters are determined based on the whole residual database; the corresponding empirical distribution functions illustrate that multipath and weather variations seem to affect the identification of AR(I)MA processes much more significantly than baseline length and observation weighting. Additionally, the modelling

A practical MGA-ARIMA model for forecasting real-time dynamic rain-induced attenuation

Science.gov (United States)

Gong, Shuhong; Gao, Yifeng; Shi, Houbao; Zhao, Ge

2013-05-01

novel and practical modified genetic algorithm (MGA)-autoregressive integrated moving average (ARIMA) model for forecasting real-time dynamic rain-induced attenuation has been established by combining genetic algorithm ideas with the ARIMA model. It is proved that due to the introduction of MGA into the ARIMA(1,1,7) model, the MGA-ARIMA model has the potential to be conveniently applied in every country or area by creating a parameter database used by the ARIMA(1,1,7) model. The parameter database is given in this paper based on attenuation data measured in Xi'an, China. The methods to create the parameter databases in other countries or areas are offered, too. Based on the experimental results, the MGA-ARIMA model has been proved practical for forecasting dynamic rain-induced attenuation in real time. The novel model given in this paper is significant for developing adaptive fade mitigation technologies at millimeter wave bands.

Time Series ARIMA Models of Undergraduate Grade Point Average.

Science.gov (United States)

Rogers, Bruce G.

The Auto-Regressive Integrated Moving Average (ARIMA) Models, often referred to as Box-Jenkins models, are regression methods for analyzing sequential dependent observations with large amounts of data. The Box-Jenkins approach, a three-stage procedure consisting of identification, estimation and diagnosis, was used to select the most appropriate…

Seasonal trend analysis and ARIMA modeling of relative humidity and wind speed time series around Yamula Dam

Science.gov (United States)

Eymen, Abdurrahman; Köylü, Ümran

2018-02-01

Local climate change is determined by analysis of long-term recorded meteorological data. In the statistical analysis of the meteorological data, the Mann-Kendall rank test, which is one of the non-parametrical tests, has been used; on the other hand, for determining the power of the trend, Theil-Sen method has been used on the data obtained from 16 meteorological stations. The stations cover the provinces of Kayseri, Sivas, Yozgat, and Nevşehir in the Central Anatolia region of Turkey. Changes in land-use affect local climate. Dams are structures that cause major changes on the land. Yamula Dam is located 25 km northwest of Kayseri. The dam has huge water body which is approximately 85 km2. The mentioned tests have been used for detecting the presence of any positive or negative trend in meteorological data. The meteorological data in relation to the seasonal average, maximum, and minimum values of the relative humidity and seasonal average wind speed have been organized as time series and the tests have been conducted accordingly. As a result of these tests, the following have been identified: increase was observed in minimum relative humidity values in the spring, summer, and autumn seasons. As for the seasonal average wind speed, decrease was detected for nine stations in all seasons, whereas increase was observed in four stations. After the trend analysis, pre-dam mean relative humidity time series were modeled with Autoregressive Integrated Moving Averages (ARIMA) model which is statistical modeling tool. Post-dam relative humidity values were predicted by ARIMA models.

Comparison of Artificial Neural Networks and ARIMA statistical models in simulations of target wind time series

Science.gov (United States)

Kolokythas, Kostantinos; Vasileios, Salamalikis; Athanassios, Argiriou; Kazantzidis, Andreas

2015-04-01

The wind is a result of complex interactions of numerous mechanisms taking place in small or large scales, so, the better knowledge of its behavior is essential in a variety of applications, especially in the field of power production coming from wind turbines. In the literature there is a considerable number of models, either physical or statistical ones, dealing with the problem of simulation and prediction of wind speed. Among others, Artificial Neural Networks (ANNs) are widely used for the purpose of wind forecasting and, in the great majority of cases, outperform other conventional statistical models. In this study, a number of ANNs with different architectures, which have been created and applied in a dataset of wind time series, are compared to Auto Regressive Integrated Moving Average (ARIMA) statistical models. The data consist of mean hourly wind speeds coming from a wind farm on a hilly Greek region and cover a period of one year (2013). The main goal is to evaluate the models ability to simulate successfully the wind speed at a significant point (target). Goodness-of-fit statistics are performed for the comparison of the different methods. In general, the ANN showed the best performance in the estimation of wind speed prevailing over the ARIMA models.

[Application of ARIMA model to predict number of malaria cases in China].

Science.gov (United States)

Hui-Yu, H; Hua-Qin, S; Shun-Xian, Z; Lin, A I; Yan, L U; Yu-Chun, C; Shi-Zhu, L I; Xue-Jiao, T; Chun-Li, Y; Wei, H U; Jia-Xu, C

2017-08-15

Objective To study the application of autoregressive integrated moving average (ARIMA) model to predict the monthly reported malaria cases in China, so as to provide a reference for prevention and control of malaria. Methods SPSS 24.0 software was used to construct the ARIMA models based on the monthly reported malaria cases of the time series of 20062015 and 2011-2015, respectively. The data of malaria cases from January to December, 2016 were used as validation data to compare the accuracy of the two ARIMA models. Results The models of the monthly reported cases of malaria in China were ARIMA (2, 1, 1) (1, 1, 0) 12 and ARIMA (1, 0, 0) (1, 1, 0) 12 respectively. The comparison between the predictions of the two models and actual situation of malaria cases showed that the ARIMA model based on the data of 2011-2015 had a higher accuracy of forecasting than the model based on the data of 2006-2015 had. Conclusion The establishment and prediction of ARIMA model is a dynamic process, which needs to be adjusted unceasingly according to the accumulated data, and in addition, the major changes of epidemic characteristics of infectious diseases must be considered.

Time Series Modelling of Syphilis Incidence in China from 2005 to 2012.

Science.gov (United States)

Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau

2016-01-01

The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis.

[Study on the ARIMA model application to predict echinococcosis cases in China].

Science.gov (United States)

En-Li, Tan; Zheng-Feng, Wang; Wen-Ce, Zhou; Shi-Zhu, Li; Yan, Lu; Lin, Ai; Yu-Chun, Cai; Xue-Jiao, Teng; Shun-Xian, Zhang; Zhi-Sheng, Dang; Chun-Li, Yang; Jia-Xu, Chen; Wei, Hu; Xiao-Nong, Zhou; Li-Guang, Tian

2018-02-26

To predict the monthly reported echinococcosis cases in China with the autoregressive integrated moving average (ARIMA) model, so as to provide a reference for prevention and control of echinococcosis. SPSS 24.0 software was used to construct the ARIMA models based on the monthly reported echinococcosis cases of time series from 2007 to 2015 and 2007 to 2014, respectively, and the accuracies of the two ARIMA models were compared. The model based on the data of the monthly reported cases of echinococcosis in China from 2007 to 2015 was ARIMA (1, 0, 0) (1, 1, 0) 12 , the relative error among reported cases and predicted cases was -13.97%, AR (1) = 0.367 ( t = 3.816, P ARIMA (1, 0, 0) (1, 0, 1) 12 , the relative error among reported cases and predicted cases was 0.56%, AR (1) = 0.413 ( t = 4.244, P ARIMA models as for the same infectious diseases. It is needed to be further verified that the more data are accumulated, the shorter time of predication is, and the smaller the average of the relative error is. The establishment and prediction of an ARIMA model is a dynamic process that needs to be adjusted and optimized continuously according to the accumulated data, meantime, we should give full consideration to the intensity of the work related to infectious diseases reported (such as disease census and special investigation).

Time Series Modelling of Syphilis Incidence in China from 2005 to 2012

Science.gov (United States)

Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau

2016-01-01

Background The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. Methods In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). Results The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Conclusion Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis. PMID:26901682

Forecasting of exported volume for brazilian fruits by time series analysis: an arima/garch approach

Directory of Open Access Journals (Sweden)

Abdinardo Moreira Barreto de Oliveira

2015-06-01

Full Text Available The aim of this paper was to offer econometric forecasting models to the Brazilian exported volume fruits, with a view to assisting the planning and production control, also motivated by the existence of a few published papers dealing with this issue. In this sense, it was used the ARIMA/GARCH models, considering, likewise, the occurrence of a multiplicative stochastic seasonality in these series. They were collected 300 observations of exported net weight (kg between Jan/1989 and Dec/2013 of the following fruits: pineapple, banana, orange, lemon, apple, papaya, mango, watermelon, melon and grape, which selection criteria was its importance in the exported basket fruit, because they represented 97% of total received dollars, and 99% of total volume sold in 2010, of a population about 28 kinds of exported fruits. The results showed that it was not only observed the existence of a 12 month multiplicative seasonality in banana and mango. On the other hand, they were identified two fruits groups: (1 those which are continuously exported, and (2 those which have export peaks. On the quality of the models, they were considered satisfactory for six of the ten fruits analyzed. On the volatility, it was seen a high persistence in banana and papaya series, pointing to the existence of a structural break in time series, which could be linked to the economic crises happened in the last 17 years.

Research on the Prediction Model of CPU Utilization Based on ARIMA-BP Neural Network

Directory of Open Access Journals (Sweden)

Wang Jina

2016-01-01

Full Text Available The dynamic deployment technology of the virtual machine is one of the current cloud computing research focuses. The traditional methods mainly work after the degradation of the service performance that usually lag. To solve the problem a new prediction model based on the CPU utilization is constructed in this paper. A reference offered by the new prediction model of the CPU utilization is provided to the VM dynamic deployment process which will speed to finish the deployment process before the degradation of the service performance. By this method it not only ensure the quality of services but also improve the server performance and resource utilization. The new prediction method of the CPU utilization based on the ARIMA-BP neural network mainly include four parts: preprocess the collected data, build the predictive model of ARIMA-BP neural network, modify the nonlinear residuals of the time series by the BP prediction algorithm and obtain the prediction results by analyzing the above data comprehensively.

Combining Kohonen maps with Arima time series models to forecast traffic flow

NARCIS (Netherlands)

van der Voort, Mascha C.; Dougherty, Mark; Dougherty, M.S.; Watson, Susan

1996-01-01

A hybrid method of short-term traffic forecasting is introduced; the KARIMA method. The technique uses a Kohonen self-organizing map as an initial classifier; each class has an individually tuned ARIMA model associated with it. Using a Kohonen map which is hexagonal in layout eases the problem of

PERAMALAN DERET WAKTU MENGGUNAKAN MODEL FUNGSI BASIS RADIAL (RBF DAN AUTO REGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA

Directory of Open Access Journals (Sweden)

DT Wiyanti

2013-07-01

Full Text Available Salah satu metode peramalan yang paling dikembangkan saat ini adalah time series, yakni menggunakan pendekatan kuantitatif dengan data masa lampau yang dijadikan acuan untuk peramalan masa depan. Berbagai penelitian telah mengusulkan metode-metode untuk menyelesaikan time series, di antaranya statistik, jaringan syaraf, wavelet, dan sistem fuzzy. Metode-metode tersebut memiliki kekurangan dan keunggulan yang berbeda. Namun permasalahan yang ada dalam dunia nyata merupakan masalah yang kompleks. Satu metode saja mungkin tidak mampu mengatasi masalah tersebut dengan baik. Dalam artikel ini dibahas penggabungan dua buah metode yaitu Auto Regressive Integrated Moving Average (ARIMA dan Radial Basis Function (RBF. Alasan penggabungan kedua metode ini adalah karena adanya asumsi bahwa metode tunggal tidak dapat secara total mengidentifikasi semua karakteristik time series. Pada artikel ini dibahas peramalan terhadap data Indeks Harga Perdagangan Besar (IHPB dan data inflasi komoditi Indonesia; kedua data berada pada rentang tahun 2006 hingga beberapa bulan di tahun 2012. Kedua data tersebut masing-masing memiliki enam variabel. Hasil peramalan metode ARIMA-RBF dibandingkan dengan metode ARIMA dan metode RBF secara individual. Hasil analisa menunjukkan bahwa dengan metode penggabungan ARIMA dan RBF, model yang diberikan memiliki hasil yang lebih akurat dibandingkan dengan penggunaan salah satu metode saja. Hal ini terlihat dalam visual plot, MAPE, dan RMSE dari semua variabel pada dua data uji coba. The accuracy of time series forecasting is the subject of many decision-making processes. Time series use a quantitative approach to employ data from the past to make forecast for the future. Many researches have proposed several methods to solve time series, such as using statistics, neural networks, wavelets, and fuzzy systems. These methods have different advantages and disadvantages. But often the problem in the real world is just too complex that a

Forecasting the Reference Evapotranspiration Using Time Series Model

Directory of Open Access Journals (Sweden)

H. Zare Abyaneh

2016-10-01

Full Text Available Introduction: Reference evapotranspiration is one of the most important factors in irrigation timing and field management. Moreover, reference evapotranspiration forecasting can play a vital role in future developments. Therefore in this study, the seasonal autoregressive integrated moving average (ARIMA model was used to forecast the reference evapotranspiration time series in the Esfahan, Semnan, Shiraz, Kerman, and Yazd synoptic stations. Materials and Methods: In the present study in all stations (characteristics of the synoptic stations are given in Table 1, the meteorological data, including mean, maximum and minimum air temperature, relative humidity, dry-and wet-bulb temperature, dew-point temperature, wind speed, precipitation, air vapor pressure and sunshine hours were collected from the Islamic Republic of Iran Meteorological Organization (IRIMO for the 41 years from 1965 to 2005. The FAO Penman-Monteith equation was used to calculate the monthly reference evapotranspiration in the five synoptic stations and the evapotranspiration time series were formed. The unit root test was used to identify whether the time series was stationary, then using the Box-Jenkins method, seasonal ARIMA models were applied to the sample data. Table 1. The geographical location and climate conditions of the synoptic stations Station\tGeographical location\tAltitude (m\tMean air temperature (°C\tMean precipitation (mm\tClimate, according to the De Martonne index classification Longitude (E\tLatitude (N Annual\tMin. and Max. Esfahan\t51° 40'\t32° 37'\t1550.4\t16.36\t9.4-23.3\t122\tArid Semnan\t53° 33'\t35° 35'\t1130.8\t18.0\t12.4-23.8\t140\tArid Shiraz\t52° 36'\t29° 32'\t1484\t18.0\t10.2-25.9\t324\tSemi-arid Kerman\t56° 58'\t30° 15'\t1753.8\t15.6\t6.7-24.6\t142\tArid Yazd\t54° 17'\t31° 54'\t1237.2\t19.2\t11.8-26.0\t61\tArid Results and Discussion: The monthly meteorological data were used as input for the Ref-ET software and monthly reference

A prediction method based on wavelet transform and multiple models fusion for chaotic time series

International Nuclear Information System (INIS)

Zhongda, Tian; Shujiang, Li; Yanhong, Wang; Yi, Sha

2017-01-01

In order to improve the prediction accuracy of chaotic time series, a prediction method based on wavelet transform and multiple models fusion is proposed. The chaotic time series is decomposed and reconstructed by wavelet transform, and approximate components and detail components are obtained. According to different characteristics of each component, least squares support vector machine (LSSVM) is used as predictive model for approximation components. At the same time, an improved free search algorithm is utilized for predictive model parameters optimization. Auto regressive integrated moving average model (ARIMA) is used as predictive model for detail components. The multiple prediction model predictive values are fusion by Gauss–Markov algorithm, the error variance of predicted results after fusion is less than the single model, the prediction accuracy is improved. The simulation results are compared through two typical chaotic time series include Lorenz time series and Mackey–Glass time series. The simulation results show that the prediction method in this paper has a better prediction.

Nonlinear Prediction Model for Hydrologic Time Series Based on Wavelet Decomposition

Science.gov (United States)

Kwon, H.; Khalil, A.; Brown, C.; Lall, U.; Ahn, H.; Moon, Y.

2005-12-01

Traditionally forecasting and characterizations of hydrologic systems is performed utilizing many techniques. Stochastic linear methods such as AR and ARIMA and nonlinear ones such as statistical learning theory based tools have been extensively used. The common difficulty to all methods is the determination of sufficient and necessary information and predictors for a successful prediction. Relationships between hydrologic variables are often highly nonlinear and interrelated across the temporal scale. A new hybrid approach is proposed for the simulation of hydrologic time series combining both the wavelet transform and the nonlinear model. The present model employs some merits of wavelet transform and nonlinear time series model. The Wavelet Transform is adopted to decompose a hydrologic nonlinear process into a set of mono-component signals, which are simulated by nonlinear model. The hybrid methodology is formulated in a manner to improve the accuracy of a long term forecasting. The proposed hybrid model yields much better results in terms of capturing and reproducing the time-frequency properties of the system at hand. Prediction results are promising when compared to traditional univariate time series models. An application of the plausibility of the proposed methodology is provided and the results conclude that wavelet based time series model can be utilized for simulating and forecasting of hydrologic variable reasonably well. This will ultimately serve the purpose of integrated water resources planning and management.

Hospital daily outpatient visits forecasting using a combinatorial model based on ARIMA and SES models.

Science.gov (United States)

Luo, Li; Luo, Le; Zhang, Xinli; He, Xiaoli

2017-07-10

Accurate forecasting of hospital outpatient visits is beneficial for the reasonable planning and allocation of healthcare resource to meet the medical demands. In terms of the multiple attributes of daily outpatient visits, such as randomness, cyclicity and trend, time series methods, ARIMA, can be a good choice for outpatient visits forecasting. On the other hand, the hospital outpatient visits are also affected by the doctors' scheduling and the effects are not pure random. Thinking about the impure specialty, this paper presents a new forecasting model that takes cyclicity and the day of the week effect into consideration. We formulate a seasonal ARIMA (SARIMA) model on a daily time series and then a single exponential smoothing (SES) model on the day of the week time series, and finally establish a combinatorial model by modifying them. The models are applied to 1 year of daily visits data of urban outpatients in two internal medicine departments of a large hospital in Chengdu, for forecasting the daily outpatient visits about 1 week ahead. The proposed model is applied to forecast the cross-sectional data for 7 consecutive days of daily outpatient visits over an 8-weeks period based on 43 weeks of observation data during 1 year. The results show that the two single traditional models and the combinatorial model are simplicity of implementation and low computational intensiveness, whilst being appropriate for short-term forecast horizons. Furthermore, the combinatorial model can capture the comprehensive features of the time series data better. Combinatorial model can achieve better prediction performance than the single model, with lower residuals variance and small mean of residual errors which needs to be optimized deeply on the next research step.

Arima model and exponential smoothing method: A comparison

Science.gov (United States)

Wan Ahmad, Wan Kamarul Ariffin; Ahmad, Sabri

2013-04-01

This study shows the comparison between Autoregressive Moving Average (ARIMA) model and Exponential Smoothing Method in making a prediction. The comparison is focused on the ability of both methods in making the forecasts with the different number of data sources and the different length of forecasting period. For this purpose, the data from The Price of Crude Palm Oil (RM/tonne), Exchange Rates of Ringgit Malaysia (RM) in comparison to Great Britain Pound (GBP) and also The Price of SMR 20 Rubber Type (cents/kg) with three different time series are used in the comparison process. Then, forecasting accuracy of each model is measured by examinethe prediction error that producedby using Mean Squared Error (MSE), Mean Absolute Percentage Error (MAPE), and Mean Absolute deviation (MAD). The study shows that the ARIMA model can produce a better prediction for the long-term forecasting with limited data sources, butcannot produce a better prediction for time series with a narrow range of one point to another as in the time series for Exchange Rates. On the contrary, Exponential Smoothing Method can produce a better forecasting for Exchange Rates that has a narrow range of one point to another for its time series, while itcannot produce a better prediction for a longer forecasting period.

Time Series Modelling using Proc Varmax

DEFF Research Database (Denmark)

Milhøj, Anders

2007-01-01

In this paper it will be demonstrated how various time series problems could be met using Proc Varmax. The procedure is rather new and hence new features like cointegration, testing for Granger causality are included, but it also means that more traditional ARIMA modelling as outlined by Box...

[Prediction of schistosomiasis infection rates of population based on ARIMA-NARNN model].

Science.gov (United States)

Ke-Wei, Wang; Yu, Wu; Jin-Ping, Li; Yu-Yu, Jiang

2016-07-12

To explore the effect of the autoregressive integrated moving average model-nonlinear auto-regressive neural network (ARIMA-NARNN) model on predicting schistosomiasis infection rates of population. The ARIMA model, NARNN model and ARIMA-NARNN model were established based on monthly schistosomiasis infection rates from January 2005 to February 2015 in Jiangsu Province, China. The fitting and prediction performances of the three models were compared. Compared to the ARIMA model and NARNN model, the mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) of the ARIMA-NARNN model were the least with the values of 0.011 1, 0.090 0 and 0.282 4, respectively. The ARIMA-NARNN model could effectively fit and predict schistosomiasis infection rates of population, which might have a great application value for the prevention and control of schistosomiasis.

Development of Seasonal ARIMA Models for Traffic Noise Forecasting

Directory of Open Access Journals (Sweden)

Guarnaccia Claudio

2017-01-01

Full Text Available In this paper, a time series analysis approach is adopted to monitor and predict a traffic noise levels dataset, measured in a site of Messina, Italy. In general, acoustical noise shows a high prediction complexity, since its slope is strongly related to the variability of the sources and to intrinsic randomness. In the analysed site the predominant source is road traffic, that has a periodic and non-stationary behaviour. The study of the time evolution of this hazardous agent is very useful to assess the impact to human health and activities. The time series models adopted in this paper are of the stochastic seasonal ARIMA class; these types of model are based on the strong periodicity registered in the acoustical equivalent levels. The observed periodicity is related to the highly variability of urban traffic in the different days of the week. Three different seasonal ARIMA models are proposed and calibrated on a rich dataset of 800 sound level measurements. The predictive capabilities of these techniques are encouraging. The implemented models show a good forecasting performances in terms of low residuals, i.e. difference between observed and estimated noise values. The residuals are analysed by means of statistical indexes, plots and tests.

Introduction to time series and forecasting

CERN Document Server

Brockwell, Peter J

2016-01-01

This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied to economics, engineering and the natural and social sciences. It assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This third edition contains detailed instructions for the use of the professional version of the Windows-based computer package ITSM2000, now available as a free download from the Springer Extras website. The logic and tools of time series model-building are developed in detail. Numerous exercises are included and the software can be used to analyze and forecast data sets of the user's own choosing. The book can also be used in conjunction with other time series packages such as those included in R. The programs in ITSM2000 however are menu-driven and can be used with minimal investment of time in the computational details. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space mod...

Day-ahead electricity price forecasting using wavelet transform combined with ARIMA and GARCH models

International Nuclear Information System (INIS)

Tan, Zhongfu; Zhang, Jinliang; Xu, Jun; Wang, Jianhui

2010-01-01

This paper proposes a novel price forecasting method based on wavelet transform combined with ARIMA and GARCH models. By wavelet transform, the historical price series is decomposed and reconstructed into one approximation series and some detail series. Then each subseries can be separately predicted by a suitable time series model. The final forecast is obtained by composing the forecasted results of each subseries. This proposed method is examined on Spanish and PJM electricity markets and compared with some other forecasting methods. (author)

Work-related accidents among the Iranian population: a time series analysis, 2000-2011.

Science.gov (United States)

Karimlou, Masoud; Salehi, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood

2015-01-01

Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box-Jenkins modeling to develop a time series model of the total number of accidents. There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection.

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model.

Science.gov (United States)

Xin, Jingzhou; Zhou, Jianting; Yang, Simon X; Li, Xiaoqing; Wang, Yu

2018-01-19

Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model

Directory of Open Access Journals (Sweden)

Jingzhou Xin

2018-01-01

Full Text Available Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA, and generalized autoregressive conditional heteroskedasticity (GARCH. Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS deformation monitoring system demonstrated that: (1 the Kalman filter is capable of denoising the bridge deformation monitoring data; (2 the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3 in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity; the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data

Forecasting Natural Rubber Price In Malaysia Using Arima

Science.gov (United States)

Zahari, Fatin Z.; Khalid, Kamil; Roslan, Rozaini; Sufahani, Suliadi; Mohamad, Mahathir; Saifullah Rusiman, Mohd; Ali, Maselan

2018-04-01

This paper contains introduction, materials and methods, results and discussions, conclusions and references. Based on the title mentioned, high volatility of the price of natural rubber nowadays will give the significant risk to the producers, traders, consumers, and others parties involved in the production of natural rubber. To help them in making decisions, forecasting is needed to predict the price of natural rubber. The main objective of the research is to forecast the upcoming price of natural rubber by using the reliable statistical method. The data are gathered from Malaysia Rubber Board which the data are from January 2000 until December 2015. In this research, average monthly price of Standard Malaysia Rubber 20 (SMR20) will be forecast by using Box-Jenkins approach. Time series plot is used to determine the pattern of the data. The data have trend pattern which indicates the data is non-stationary data and the data need to be transformed. By using the Box-Jenkins method, the best fit model for the time series data is ARIMA (1, 1, 0) which this model satisfy all the criteria needed. Hence, ARIMA (1, 1, 0) is the best fitted model and the model will be used to forecast the average monthly price of Standard Malaysia Rubber 20 (SMR20) for twelve months ahead.

Forecasting daily meteorological time series using ARIMA and regression models

Science.gov (United States)

Murat, Małgorzata; Malinowska, Iwona; Gos, Magdalena; Krzyszczak, Jaromir

2018-04-01

The daily air temperature and precipitation time series recorded between January 1, 1980 and December 31, 2010 in four European sites (Jokioinen, Dikopshof, Lleida and Lublin) from different climatic zones were modeled and forecasted. In our forecasting we used the methods of the Box-Jenkins and Holt- Winters seasonal auto regressive integrated moving-average, the autoregressive integrated moving-average with external regressors in the form of Fourier terms and the time series regression, including trend and seasonality components methodology with R software. It was demonstrated that obtained models are able to capture the dynamics of the time series data and to produce sensible forecasts.

Work-related accidents among the Iranian population: a time series analysis, 2000–2011

Science.gov (United States)

Karimlou, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood

2015-01-01

Background Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. Objectives To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. Methods In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box–Jenkins modeling to develop a time series model of the total number of accidents. Results There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). Conclusions The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection. PMID:26119774

Wind speed forecasting in three different regions of Mexico, using a hybrid ARIMA-ANN model

Energy Technology Data Exchange (ETDEWEB)

Cadenas, Erasmo [Facultad de Ingenieria Mecanica, Universidad Michoacana de San Nicolas de Hidalgo, Santiago Tapia No. 403, Centro (Mexico); Rivera, Wilfrido [Centro de Ivestigacion en Energia, Universidad Nacional Autonoma de Mexico, Apartado Postal 34, Temixco 62580, Morelos (Mexico)

2010-12-15

In this paper the wind speed forecasting in the Isla de Cedros in Baja California, in the Cerro de la Virgen in Zacatecas and in Holbox in Quintana Roo is presented. The time series utilized are average hourly wind speed data obtained directly from the measurements realized in the different sites during about one month. In order to do wind speed forecasting Hybrid models consisting of Autoregressive Integrated Moving Average (ARIMA) models and Artificial Neural Network (ANN) models were developed. The ARIMA models were first used to do the wind speed forecasting of the time series and then with the obtained errors ANN were built taking into account the nonlinear tendencies that the ARIMA technique could not identify, reducing with this the final errors. Once the Hybrid models were developed 48 data out of sample for each one of the sites were used to do the wind speed forecasting and the results were compared with the ARIMA and the ANN models working separately. Statistical error measures such as the mean error (ME), the mean square error (MSE) and the mean absolute error (MAE) were calculated to compare the three methods. The results showed that the Hybrid models predict the wind velocities with a higher accuracy than the ARIMA and ANN models in the three examined sites. (author)

FORECASTING KUALA LUMPUR COMPOSITE INDEX: EVIDENCE OF THE ARTIFICIAL NEURAL NETWORK AND ARIMA

OpenAIRE

Sukmana, Raditya; Solihin, Mahmud Iwan

2007-01-01

The aim of this paper is to use, compare, and analyze two forecasting technique: namelyAuto Regressive Integrated Moving Average(ARIMA) and Artificial NeuralNetwork(ANN) using Kuala Lumpur Composite Index(KLCI) in Malaysia. ArtificialNeural Network is used because of its popularity of capturing the volatility patterns innonlinear time series while ARIMA used since it is a standard method in the forecastingtool. Daily data of Kuala Lumpur Composite Index from 4 January 1999 to 26 September2005...

Forecasting Kuala Lumpur Composite Index: Evidence of the Artificial Neural Network and Arima

OpenAIRE

Mahmud Iwan, Raditya Sukmana,

2007-01-01

The aim of this paper is to use, compare, and analyze two forecasting technique: namely Auto Regressive Integrated Moving Average(ARIMA) and Artificial Neural Network(ANN) using Kuala Lumpur Composite Index(KLCI) in Malaysia. Artificial Neural Network is used because of its popularity of capturing the volatility patterns in nonlinear time series while ARIMA used since it is a standard method in the forecasting tool. Daily data of Kuala Lumpur Composite Index from 4 January 1999 to 26 Septembe...

Hierarchical time series bottom-up approach for forecast the export value in Central Java

Science.gov (United States)

Mahkya, D. A.; Ulama, B. S.; Suhartono

2017-10-01

The purpose of this study is Getting the best modeling and predicting the export value of Central Java using a Hierarchical Time Series. The export value is one variable injection in the economy of a country, meaning that if the export value of the country increases, the country’s economy will increase even more. Therefore, it is necessary appropriate modeling to predict the export value especially in Central Java. Export Value in Central Java are grouped into 21 commodities with each commodity has a different pattern. One approach that can be used time series is a hierarchical approach. Hierarchical Time Series is used Buttom-up. To Forecast the individual series at all levels using Autoregressive Integrated Moving Average (ARIMA), Radial Basis Function Neural Network (RBFNN), and Hybrid ARIMA-RBFNN. For the selection of the best models used Symmetric Mean Absolute Percentage Error (sMAPE). Results of the analysis showed that for the Export Value of Central Java, Bottom-up approach with Hybrid ARIMA-RBFNN modeling can be used for long-term predictions. As for the short and medium-term predictions, it can be used a bottom-up approach RBFNN modeling. Overall bottom-up approach with RBFNN modeling give the best result.

Time Series Analysis of Onchocerciasis Data from Mexico: A Trend towards Elimination

Science.gov (United States)

Pérez-Rodríguez, Miguel A.; Adeleke, Monsuru A.; Orozco-Algarra, María E.; Arrendondo-Jiménez, Juan I.; Guo, Xianwu

2013-01-01

Background In Latin America, there are 13 geographically isolated endemic foci distributed among Mexico, Guatemala, Colombia, Venezuela, Brazil and Ecuador. The communities of the three endemic foci found within Mexico have been receiving ivermectin treatment since 1989. In this study, we predicted the trend of occurrence of cases in Mexico by applying time series analysis to monthly onchocerciasis data reported by the Mexican Secretariat of Health between 1988 and 2011 using the software R. Results A total of 15,584 cases were reported in Mexico from 1988 to 2011. The data of onchocerciasis cases are mainly from the main endemic foci of Chiapas and Oaxaca. The last case in Oaxaca was reported in 1998, but new cases were reported in the Chiapas foci up to 2011. Time series analysis performed for the foci in Mexico showed a decreasing trend of the disease over time. The best-fitted models with the smallest Akaike Information Criterion (AIC) were Auto-Regressive Integrated Moving Average (ARIMA) models, which were used to predict the tendency of onchocerciasis cases for two years ahead. According to the ARIMA models predictions, the cases in very low number (below 1) are expected for the disease between 2012 and 2013 in Chiapas, the last endemic region in Mexico. Conclusion The endemic regions of Mexico evolved from high onchocerciasis-endemic states to the interruption of transmission due to the strategies followed by the MSH, based on treatment with ivermectin. The extremely low level of expected cases as predicted by ARIMA models for the next two years suggest that the onchocerciasis is being eliminated in Mexico. To our knowledge, it is the first study utilizing time series for predicting case dynamics of onchocerciasis, which could be used as a benchmark during monitoring and post-treatment surveillance. PMID:23459370

Application of time series analysis in modelling and forecasting emergency department visits in a medical centre in Southern Taiwan.

Science.gov (United States)

Juang, Wang-Chuan; Huang, Sin-Jhih; Huang, Fong-Dee; Cheng, Pei-Wen; Wann, Shue-Ren

2017-12-01

Emergency department (ED) overcrowding is acknowledged as an increasingly important issue worldwide. Hospital managers are increasingly paying attention to ED crowding in order to provide higher quality medical services to patients. One of the crucial elements for a good management strategy is demand forecasting. Our study sought to construct an adequate model and to forecast monthly ED visits. We retrospectively gathered monthly ED visits from January 2009 to December 2016 to carry out a time series autoregressive integrated moving average (ARIMA) analysis. Initial development of the model was based on past ED visits from 2009 to 2016. A best-fit model was further employed to forecast the monthly data of ED visits for the next year (2016). Finally, we evaluated the predicted accuracy of the identified model with the mean absolute percentage error (MAPE). The software packages SAS/ETS V.9.4 and Office Excel 2016 were used for all statistical analyses. A series of statistical tests showed that six models, including ARIMA (0, 0, 1), ARIMA (1, 0, 0), ARIMA (1, 0, 1), ARIMA (2, 0, 1), ARIMA (3, 0, 1) and ARIMA (5, 0, 1), were candidate models. The model that gave the minimum Akaike information criterion and Schwartz Bayesian criterion and followed the assumptions of residual independence was selected as the adequate model. Finally, a suitable ARIMA (0, 0, 1) structure, yielding a MAPE of 8.91%, was identified and obtained as Visit t =7111.161+(a t +0.37462 a t -1). The ARIMA (0, 0, 1) model can be considered adequate for predicting future ED visits, and its forecast results can be used to aid decision-making processes. © Article author(s) (or their employer(s) unless otherwise stated in the text of the article) 2017. All rights reserved. No commercial use is permitted unless otherwise expressly granted.

Time series modeling for syndromic surveillance

Directory of Open Access Journals (Sweden)

Mandl Kenneth D

2003-01-01

Full Text Available Abstract Background Emergency department (ED based syndromic surveillance systems identify abnormally high visit rates that may be an early signal of a bioterrorist attack. For example, an anthrax outbreak might first be detectable as an unusual increase in the number of patients reporting to the ED with respiratory symptoms. Reliably identifying these abnormal visit patterns requires a good understanding of the normal patterns of healthcare usage. Unfortunately, systematic methods for determining the expected number of (ED visits on a particular day have not yet been well established. We present here a generalized methodology for developing models of expected ED visit rates. Methods Using time-series methods, we developed robust models of ED utilization for the purpose of defining expected visit rates. The models were based on nearly a decade of historical data at a major metropolitan academic, tertiary care pediatric emergency department. The historical data were fit using trimmed-mean seasonal models, and additional models were fit with autoregressive integrated moving average (ARIMA residuals to account for recent trends in the data. The detection capabilities of the model were tested with simulated outbreaks. Results Models were built both for overall visits and for respiratory-related visits, classified according to the chief complaint recorded at the beginning of each visit. The mean absolute percentage error of the ARIMA models was 9.37% for overall visits and 27.54% for respiratory visits. A simple detection system based on the ARIMA model of overall visits was able to detect 7-day-long simulated outbreaks of 30 visits per day with 100% sensitivity and 97% specificity. Sensitivity decreased with outbreak size, dropping to 94% for outbreaks of 20 visits per day, and 57% for 10 visits per day, all while maintaining a 97% benchmark specificity. Conclusions Time series methods applied to historical ED utilization data are an important tool

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

Science.gov (United States)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

Evaluation of the effects of climate and man intervention on ground waters and their dependent ecosystems using time series analysis

Science.gov (United States)

Gemitzi, Alexandra; Stefanopoulos, Kyriakos

2011-06-01

SummaryGroundwaters and their dependent ecosystems are affected both by the meteorological conditions as well as from human interventions, mainly in the form of groundwater abstractions for irrigation needs. This work aims at investigating the quantitative effects of meteorological conditions and man intervention on groundwater resources and their dependent ecosystems. Various seasonal Auto-Regressive Integrated Moving Average (ARIMA) models with external predictor variables were used in order to model the influence of meteorological conditions and man intervention on the groundwater level time series. Initially, a seasonal ARIMA model that simulates the abstraction time series using as external predictor variable temperature ( T) was prepared. Thereafter, seasonal ARIMA models were developed in order to simulate groundwater level time series in 8 monitoring locations, using the appropriate predictor variables determined for each individual case. The spatial component was introduced through the use of Geographical Information Systems (GIS). Application of the proposed methodology took place in the Neon Sidirochorion alluvial aquifer (Northern Greece), for which a 7-year long time series (i.e., 2003-2010) of piezometric and groundwater abstraction data exists. According to the developed ARIMA models, three distinct groups of groundwater level time series exist; the first one proves to be dependent only on the meteorological parameters, the second group demonstrates a mixed dependence both on meteorological conditions and on human intervention, whereas the third group shows a clear influence from man intervention. Moreover, there is evidence that groundwater abstraction has affected an important protected ecosystem.

ARIMA MODEL BUILDING AND FORECASTING ON IMPORTS AND EXPORTS OF PAKISTAN

Directory of Open Access Journals (Sweden)

Ahmad Farooqi

2014-08-01

Full Text Available From the day one, mankind has always been interested in to the future. As the civilization advanced with growing sophistication in all phases of life, the need to look in to the future also grew with it. Today every government, public private organizations, as well as an individual would like to predict and plan for the future. In order to attain a better growth in the economy of a country, modeling and forecasting is the most important tool now a day, this can be done by one of the statistical technique called a Time series analysis. In this paper we tried to build a time series model called ARIMA (Auto Regressive Integrated Moving Average model with particular reference of Box and Jenkins approach on annually total Imports and Exports of Pakistan from the year 1947 to the year 2013 with useful statistical software R. Validity of the fitted model is tested using standard statistical techniques. The fitted model is then use to forecast some future values of Imports and export of Pakistan. It is found that an ARIMA (2, 2, 2 and ARIMA (1, 2, 2 model looks suitable to forecast the annual Imports and Exports of Pakistan respectively. We also found an increasing trend both in case of Imports and Exports during this study.

Analysis of time series for postal shipments in Regional VII East Java Indonesia

Science.gov (United States)

Kusrini, DE; Ulama, B. S. S.; Aridinanti, L.

2018-03-01

The change of number delivery goods through PT. Pos Regional VII East Java Indonesia indicates that the trend of increasing and decreasing the delivery of documents and non-documents in PT. Pos Regional VII East Java Indonesia is strongly influenced by conditions outside of PT. Pos Regional VII East Java Indonesia so that the prediction the number of document and non-documents requires a model that can accommodate it. Based on the time series plot monthly data fluctuations occur from 2013-2016 then the model is done using ARIMA or seasonal ARIMA and selected the best model based on the smallest AIC value. The results of data analysis about the number of shipments on each product sent through the Sub-Regional Postal Office VII East Java indicates that there are 5 post offices of 26 post offices entering the territory. The largest number of shipments is available on the PPB (Paket Pos Biasa is regular package shipment/non-document ) and SKH (Surat Kilat Khusus is Special Express Mail/document) products. The time series model generated is largely a Random walk model meaning that the number of shipment in the future is influenced by random effects that are difficult to predict. Some are AR and MA models, except for Express shipment products with Malang post office destination which has seasonal ARIMA model on lag 6 and 12. This means that the number of items in the following month is affected by the number of items in the previous 6 months.

Modeling Data Containing Outliers using ARIMA Additive Outlier (ARIMA-AO)

Science.gov (United States)

Saleh Ahmar, Ansari; Guritno, Suryo; Abdurakhman; Rahman, Abdul; Awi; Alimuddin; Minggi, Ilham; Arif Tiro, M.; Kasim Aidid, M.; Annas, Suwardi; Utami Sutiksno, Dian; Ahmar, Dewi S.; Ahmar, Kurniawan H.; Abqary Ahmar, A.; Zaki, Ahmad; Abdullah, Dahlan; Rahim, Robbi; Nurdiyanto, Heri; Hidayat, Rahmat; Napitupulu, Darmawan; Simarmata, Janner; Kurniasih, Nuning; Andretti Abdillah, Leon; Pranolo, Andri; Haviluddin; Albra, Wahyudin; Arifin, A. Nurani M.

2018-01-01

The aim this study is discussed on the detection and correction of data containing the additive outlier (AO) on the model ARIMA (p, d, q). The process of detection and correction of data using an iterative procedure popularized by Box, Jenkins, and Reinsel (1994). By using this method we obtained an ARIMA models were fit to the data containing AO, this model is added to the original model of ARIMA coefficients obtained from the iteration process using regression methods. In the simulation data is obtained that the data contained AO initial models are ARIMA (2,0,0) with MSE = 36,780, after the detection and correction of data obtained by the iteration of the model ARIMA (2,0,0) with the coefficients obtained from the regression Zt = 0,106+0,204Z t-1+0,401Z t-2-329X 1(t)+115X 2(t)+35,9X 3(t) and MSE = 19,365. This shows that there is an improvement of forecasting error rate data.

Time series analysis of the behavior of brazilian natural rubber

Directory of Open Access Journals (Sweden)

Antônio Donizette de Oliveira

2009-03-01

Full Text Available The natural rubber is a non-wood product obtained of the coagulation of some lattices of forest species, being Hevea brasiliensis the main one. Native from the Amazon Region, this species was already known by the Indians before the discovery of America. The natural rubber became a product globally valued due to its multiple applications in the economy, being its almost perfect substitute the synthetic rubber derived from the petroleum. Similarly to what happens with other countless products the forecast of future prices of the natural rubber has been object of many studies. The use of models of forecast of univariate timeseries stands out as the more accurate and useful to reduce the uncertainty in the economic decision making process. This studyanalyzed the historical series of prices of the Brazilian natural rubber (R$/kg, in the Jan/99 - Jun/2006 period, in order tocharacterize the rubber price behavior in the domestic market; estimated a model for the time series of monthly natural rubberprices; and foresaw the domestic prices of the natural rubber, in the Jul/2006 - Jun/2007 period, based on the estimated models.The studied models were the ones belonging to the ARIMA family. The main results were: the domestic market of the natural rubberis expanding due to the growth of the world economy; among the adjusted models, the ARIMA (1,1,1 model provided the bestadjustment of the time series of prices of the natural rubber (R$/kg; the prognosis accomplished for the series supplied statistically adequate fittings.

Stochastic approaches for time series forecasting of boron: a case study of Western Turkey.

Science.gov (United States)

Durdu, Omer Faruk

2010-10-01

In the present study, a seasonal and non-seasonal prediction of boron concentrations time series data for the period of 1996-2004 from Büyük Menderes river in western Turkey are addressed by means of linear stochastic models. The methodology presented here is to develop adequate linear stochastic models known as autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to predict boron content in the Büyük Menderes catchment. Initially, the Box-Whisker plots and Kendall's tau test are used to identify the trends during the study period. The measurements locations do not show significant overall trend in boron concentrations, though marginal increasing and decreasing trends are observed for certain periods at some locations. ARIMA modeling approach involves the following three steps: model identification, parameter estimation, and diagnostic checking. In the model identification step, considering the autocorrelation function (ACF) and partial autocorrelation function (PACF) results of boron data series, different ARIMA models are identified. The model gives the minimum Akaike information criterion (AIC) is selected as the best-fit model. The parameter estimation step indicates that the estimated model parameters are significantly different from zero. The diagnostic check step is applied to the residuals of the selected ARIMA models and the results indicate that the residuals are independent, normally distributed, and homoscadastic. For the model validation purposes, the predicted results using the best ARIMA models are compared to the observed data. The predicted data show reasonably good agreement with the actual data. The comparison of the mean and variance of 3-year (2002-2004) observed data vs predicted data from the selected best models show that the boron model from ARIMA modeling approaches could be used in a safe manner since the predicted values from these models preserve the basic

A comparison of the stochastic and machine learning approaches in hydrologic time series forecasting

Science.gov (United States)

Kim, T.; Joo, K.; Seo, J.; Heo, J. H.

2016-12-01

Hydrologic time series forecasting is an essential task in water resources management and it becomes more difficult due to the complexity of runoff process. Traditional stochastic models such as ARIMA family has been used as a standard approach in time series modeling and forecasting of hydrological variables. Due to the nonlinearity in hydrologic time series data, machine learning approaches has been studied with the advantage of discovering relevant features in a nonlinear relation among variables. This study aims to compare the predictability between the traditional stochastic model and the machine learning approach. Seasonal ARIMA model was used as the traditional time series model, and Random Forest model which consists of decision tree and ensemble method using multiple predictor approach was applied as the machine learning approach. In the application, monthly inflow data from 1986 to 2015 of Chungju dam in South Korea were used for modeling and forecasting. In order to evaluate the performances of the used models, one step ahead and multi-step ahead forecasting was applied. Root mean squared error and mean absolute error of two models were compared.

Wet tropospheric delays forecast based on Vienna Mapping Function time series analysis

Science.gov (United States)

Rzepecka, Zofia; Kalita, Jakub

2016-04-01

It is well known that the dry part of the zenith tropospheric delay (ZTD) is much easier to model than the wet part (ZTW). The aim of the research is applying stochastic modeling and prediction of ZTW using time series analysis tools. Application of time series analysis enables closer understanding of ZTW behavior as well as short-term prediction of future ZTW values. The ZTW data used for the studies were obtained from the GGOS service hold by Vienna technical University. The resolution of the data is six hours. ZTW for the years 2010 -2013 were adopted for the study. The International GNSS Service (IGS) permanent stations LAMA and GOPE, located in mid-latitudes, were admitted for the investigations. Initially the seasonal part was separated and modeled using periodic signals and frequency analysis. The prominent annual and semi-annual signals were removed using sines and consines functions. The autocorrelation of the resulting signal is significant for several days (20-30 samples). The residuals of this fitting were further analyzed and modeled with ARIMA processes. For both the stations optimal ARMA processes based on several criterions were obtained. On this basis predicted ZTW values were computed for one day ahead, leaving the white process residuals. Accuracy of the prediction can be estimated at about 3 cm.

Time series analysis of reference crop evapotranspiration for Bokaro District, Jharkhand, India

Directory of Open Access Journals (Sweden)

Gautam Ratnesh

2016-09-01

Full Text Available Evapotranspiration is the one of the major role playing element in water cycle. More accurate measurement and forecasting of Evapotranspiration would enable more efficient water resources management. This study, is therefore, particularly focused on evapotranspiration modelling and forecasting, since forecasting would provide better information for optimal water resources management. There are numerous techniques of evapotranspiration forecasting that include autoregressive (AR and moving average (MA, autoregressive moving average (ARMA, autoregressive integrated moving average (ARIMA, Thomas Feiring, etc. Out of these models ARIMA model has been found to be more suitable for analysis and forecasting of hydrological events. Therefore, in this study ARIMA models have been used for forecasting of mean monthly reference crop evapotranspiration by stochastic analysis. The data series of 102 years i.e. 1224 months of Bokaro District were used for analysis and forecasting. Different order of ARIMA model was selected on the basis of autocorrelation function (ACF and partial autocorrelation (PACF of data series. Maximum likelihood method was used for determining the parameters of the models. To see the statistical parameter of model, best fitted model is ARIMA (0, 1, 4 (0, 1, 112.

A Hybrid Neural Network Model for Sales Forecasting Based on ARIMA and Search Popularity of Article Titles.

Science.gov (United States)

Omar, Hani; Hoang, Van Hai; Liu, Duen-Ren

2016-01-01

Enhancing sales and operations planning through forecasting analysis and business intelligence is demanded in many industries and enterprises. Publishing industries usually pick attractive titles and headlines for their stories to increase sales, since popular article titles and headlines can attract readers to buy magazines. In this paper, information retrieval techniques are adopted to extract words from article titles. The popularity measures of article titles are then analyzed by using the search indexes obtained from Google search engine. Backpropagation Neural Networks (BPNNs) have successfully been used to develop prediction models for sales forecasting. In this study, we propose a novel hybrid neural network model for sales forecasting based on the prediction result of time series forecasting and the popularity of article titles. The proposed model uses the historical sales data, popularity of article titles, and the prediction result of a time series, Autoregressive Integrated Moving Average (ARIMA) forecasting method to learn a BPNN-based forecasting model. Our proposed forecasting model is experimentally evaluated by comparing with conventional sales prediction techniques. The experimental result shows that our proposed forecasting method outperforms conventional techniques which do not consider the popularity of title words.

A Hybrid Neural Network Model for Sales Forecasting Based on ARIMA and Search Popularity of Article Titles

Science.gov (United States)

Omar, Hani; Hoang, Van Hai; Liu, Duen-Ren

2016-01-01

Enhancing sales and operations planning through forecasting analysis and business intelligence is demanded in many industries and enterprises. Publishing industries usually pick attractive titles and headlines for their stories to increase sales, since popular article titles and headlines can attract readers to buy magazines. In this paper, information retrieval techniques are adopted to extract words from article titles. The popularity measures of article titles are then analyzed by using the search indexes obtained from Google search engine. Backpropagation Neural Networks (BPNNs) have successfully been used to develop prediction models for sales forecasting. In this study, we propose a novel hybrid neural network model for sales forecasting based on the prediction result of time series forecasting and the popularity of article titles. The proposed model uses the historical sales data, popularity of article titles, and the prediction result of a time series, Autoregressive Integrated Moving Average (ARIMA) forecasting method to learn a BPNN-based forecasting model. Our proposed forecasting model is experimentally evaluated by comparing with conventional sales prediction techniques. The experimental result shows that our proposed forecasting method outperforms conventional techniques which do not consider the popularity of title words. PMID:27313605

Identificación de un modelo ARIMA cuando existen observaciones faltantes

Directory of Open Access Journals (Sweden)

Elkin Castaño

1997-07-01

Full Text Available Un supuesto común en el análisis de series de tiempo es que las series que van a ser estudiadas disponen de información para cada momento de tiempo en el periodo que se va analizar. Sin embargo, con frecuencia ocurre que faltan datos en la serie, o que algunos de ellos son erróneos. En la literatura de Análisis Series de Tiempo, en particular en la de los procesos ARIMA (Box y Jenkins, 1976, se han propuesto diferentes métodos para estimar estas observaciones, pero la mayoría de ellos supone que el modelo es conocido o que las observaciones son tales que han permitido identificarlo. Este documento presenta una metodología relativamente simple que permite estimar las observaciones faltantes y simultáneamente identificar el modelo ARIMA que generó una serie de tiempo.

Year Ahead Demand Forecast of City Natural Gas Using Seasonal Time Series Methods

Directory of Open Access Journals (Sweden)

Mustafa Akpinar

2016-09-01

Full Text Available Consumption of natural gas, a major clean energy source, increases as energy demand increases. We studied specifically the Turkish natural gas market. Turkey’s natural gas consumption increased as well in parallel with the world‘s over the last decade. This consumption growth in Turkey has led to the formation of a market structure for the natural gas industry. This significant increase requires additional investments since a rise in consumption capacity is expected. One of the reasons for the consumption increase is the user-based natural gas consumption influence. This effect yields imbalances in demand forecasts and if the error rates are out of bounds, penalties may occur. In this paper, three univariate statistical methods, which have not been previously investigated for mid-term year-ahead monthly natural gas forecasting, are used to forecast natural gas demand in Turkey’s Sakarya province. Residential and low-consumption commercial data is used, which may contain seasonality. The goal of this paper is minimizing more or less gas tractions on mid-term consumption while improving the accuracy of demand forecasting. In forecasting models, seasonality and single variable impacts reinforce forecasts. This paper studies time series decomposition, Holt-Winters exponential smoothing and autoregressive integrated moving average (ARIMA methods. Here, 2011–2014 monthly data were prepared and divided into two series. The first series is 2011–2013 monthly data used for finding seasonal effects and model requirements. The second series is 2014 monthly data used for forecasting. For the ARIMA method, a stationary series was prepared and transformation process prior to forecasting was done. Forecasting results confirmed that as the computation complexity of the model increases, forecasting accuracy increases with lower error rates. Also, forecasting errors and the coefficients of determination values give more consistent results. Consequently

[Application of R-based multiple seasonal ARIMA model, in predicting the incidence of hand, foot and mouth disease in Shaanxi province].

Science.gov (United States)

Liu, F; Zhu, N; Qiu, L; Wang, J J; Wang, W H

2016-08-10

To apply the ' auto-regressive integrated moving average product seasonal model' in predicting the number of hand, foot and mouth disease in Shaanxi province. In Shaanxi province, the trend of hand, foot and mouth disease was analyzed and tested, under the use of R software, between January 2009 and June 2015. Multiple seasonal ARIMA model was then fitted under time series to predict the number of hand, foot and mouth disease in 2016 and 2017. Seasonal effect was seen in hand, foot and mouth disease in Shaanxi province. A multiple seasonal ARIMA (2,1,0)×(1,1,0)12 was established, with the equation as (1 -B)(1 -B12)Ln (Xt) =((1-1.000B)/(1-0.532B-0.363B(2))*(1-0.644B12-0.454B12(2)))*Epsilont. The mean of absolute error and the relative error were 531.535 and 0.114, respectively when compared to the simulated number of patients from Jun to Dec in 2015. RESULTS under the prediction of multiple seasonal ARIMA model showed that the numbers of patients in both 2016 and 2017 were similar to that of 2015 in Shaanxi province. Multiple seasonal ARIMA (2,1,0)×(1,1,0)12 model could be used to successfully predict the incidence of hand, foot and mouth disease in Shaanxi province.

RADON CONCENTRATION TIME SERIES MODELING AND APPLICATION DISCUSSION.

Science.gov (United States)

Stránský, V; Thinová, L

2017-11-01

In the year 2010 a continual radon measurement was established at Mladeč Caves in the Czech Republic using a continual radon monitor RADIM3A. In order to model radon time series in the years 2010-15, the Box-Jenkins Methodology, often used in econometrics, was applied. Because of the behavior of radon concentrations (RCs), a seasonal integrated, autoregressive moving averages model with exogenous variables (SARIMAX) has been chosen to model the measured time series. This model uses the time series seasonality, previously acquired values and delayed atmospheric parameters, to forecast RC. The developed model for RC time series is called regARIMA(5,1,3). Model residuals could be retrospectively compared with seismic evidence of local or global earthquakes, which occurred during the RCs measurement. This technique enables us to asses if continuously measured RC could serve an earthquake precursor. © The Author 2017. Published by Oxford University Press. All rights reserved. For Permissions, please email: journals.permissions@oup.com.

Chernobyl effects on domestic and inbound tourism in Sweden. A time series analysis

International Nuclear Information System (INIS)

Hultkrantz, L.; Olsson, C.

1997-01-01

This paper estimates the impact of the Chernobyl nuclear accident on domestic and international tourism in Sweden. From ARIMA time series forecasts, outlier search, and intervention analysis based on regional monthly accommodation data from 1978-1989, no effect on domestic tourism is found. However, there is an enduring deterrence effect on incoming tourism. The loss of gross revenue from incoming tourism because of the Chernobyl accident, is estimated to 2.5 billion SEK. 5 figs., 7 tabs., 1 appendix, 27 refs

Chernobyl effects on domestic and inbound tourism in Sweden. A time series analysis

Energy Technology Data Exchange (ETDEWEB)

Hultkrantz, L. [Department of Economics, University of Uppsala, Uppsala (Sweden); Olsson, C. [Department of Economics, Umeaa University, Umeaa (Sweden)

1997-03-01

This paper estimates the impact of the Chernobyl nuclear accident on domestic and international tourism in Sweden. From ARIMA time series forecasts, outlier search, and intervention analysis based on regional monthly accommodation data from 1978-1989, no effect on domestic tourism is found. However, there is an enduring deterrence effect on incoming tourism. The loss of gross revenue from incoming tourism because of the Chernobyl accident, is estimated to 2.5 billion SEK. 5 figs., 7 tabs., 1 appendix, 27 refs.

Applications and Comparisons of Four Time Series Models in Epidemiological Surveillance Data

Science.gov (United States)

Young, Alistair A.; Li, Xiaosong

2014-01-01

Public health surveillance systems provide valuable data for reliable predication of future epidemic events. This paper describes a study that used nine types of infectious disease data collected through a national public health surveillance system in mainland China to evaluate and compare the performances of four time series methods, namely, two decomposition methods (regression and exponential smoothing), autoregressive integrated moving average (ARIMA) and support vector machine (SVM). The data obtained from 2005 to 2011 and in 2012 were used as modeling and forecasting samples, respectively. The performances were evaluated based on three metrics: mean absolute error (MAE), mean absolute percentage error (MAPE), and mean square error (MSE). The accuracy of the statistical models in forecasting future epidemic disease proved their effectiveness in epidemiological surveillance. Although the comparisons found that no single method is completely superior to the others, the present study indeed highlighted that the SVMs outperforms the ARIMA model and decomposition methods in most cases. PMID:24505382

Drought Forecasting with Vegetation Temperature Condition Index Using ARIMA Models in the Guanzhong Plain

Directory of Open Access Journals (Sweden)

Miao Tian

2016-08-01

Full Text Available This paper works on the agricultural drought forecasting in the Guanzhong Plain of China using Autoregressive Integrated Moving Average (ARIMA models based on the time series of drought monitoring results of Vegetation Temperature Condition Index (VTCI. About 90 VTCI images derived from Advanced Very High Resolution Radiometer (AVHRR data were selected to develop the ARIMA models from the erecting stage to the maturity stage of winter wheat (early March to late May in each year at a ten-day interval of the years from 2000 to 2009. We take the study area overlying on the administration map around the study area, and divide the study area into 17 parts where at least one weather station is located in each part. The pixels where the 17 weather stations are located are firstly chosen and studied for their fitting models, and then the best models for all pixels of the whole area are determined. According to the procedures for the models’ development, the selected best models for the 17 pixels are identified and the forecast is done with three steps. The forecasting results of the ARIMA models were compared with the monitoring ones. The results show that with reference to the categorized VTCI drought monitoring results, the categorized forecasting results of the ARIMA models are in good agreement with the monitoring ones. The categorized drought forecasting results of the ARIMA models are more severity in the northeast of the Plain in April 2009, which are in good agreements with the monitoring ones. The absolute errors of the AR(1 models are lower than the SARIMA models, both in the frequency distributions and in the statistic results. However, the ability of SARIMA models to detect the changes of the drought situation is better than the AR(1 models. These results indicate that the ARIMA models can better forecast the category and extent of droughts and can be applied to forecast droughts in the Plain.

Multiresolution analysis of Bursa Malaysia KLCI time series

Science.gov (United States)

Ismail, Mohd Tahir; Dghais, Amel Abdoullah Ahmed

2017-05-01

In general, a time series is simply a sequence of numbers collected at regular intervals over a period. Financial time series data processing is concerned with the theory and practice of processing asset price over time, such as currency, commodity data, and stock market data. The primary aim of this study is to understand the fundamental characteristics of selected financial time series by using the time as well as the frequency domain analysis. After that prediction can be executed for the desired system for in sample forecasting. In this study, multiresolution analysis which the assist of discrete wavelet transforms (DWT) and maximal overlap discrete wavelet transform (MODWT) will be used to pinpoint special characteristics of Bursa Malaysia KLCI (Kuala Lumpur Composite Index) daily closing prices and return values. In addition, further case study discussions include the modeling of Bursa Malaysia KLCI using linear ARIMA with wavelets to address how multiresolution approach improves fitting and forecasting results.

Penelitian Terapan Ekonometrika Dalam Sistem Informasi Akuntansi Permodelan Time Series Data Penjualan Jasa Salon Kendaraan Bermotor X Dengan Metode Arima Untuk Meningkatkan Kualitas Informasi Kinerja Divisi Penjualan

Directory of Open Access Journals (Sweden)

Bonnie Soeherman

2013-04-01

Full Text Available Information is an absolute fuel to trigger the decision making process. Information failure can be fatal and impact on the future. The concept of accounting information system offered an alternative of how to design systems to produce effective information in efficient way. Historical financial accounting information was not adequate as a basis for strategic decision making. Accounting information should been complemented with information that has future orientation or predictive value. Therefore, this study tried to give new thought to minimize the gap in accounting information and decision-making through econometric or statistical techniques with pilot projects sold data modeling time series with ARIMA method. This research was applied and more emphased on aspects of practical value to the world than to enrich the theory by simply disassembling the variables. I found that future oriented-information had better strategic value for decision making process.

Time series analysis and its applications with R examples

CERN Document Server

Shumway, Robert H

2017-01-01

The fourth edition of this popular graduate textbook, like its predecessors, presents a balanced and comprehensive treatment of both time and frequency domain methods with accompanying theory. Numerous examples using nontrivial data illustrate solutions to problems such as discovering natural and anthropogenic climate change, evaluating pain perception experiments using functional magnetic resonance imaging, and monitoring a nuclear test ban treaty. The book is designed as a textbook for graduate level students in the physical, biological, and social sciences and as a graduate level text in statistics. Some parts may also serve as an undergraduate introductory course. Theory and methodology are separated to allow presentations on different levels. In addition to coverage of classical methods of time series regression, ARIMA models, spectral analysis and state-space models, the text includes modern developments including categorical time series analysis, multivariate spectral methods, long memory series, nonli...

A Comparison of Missing-Data Procedures for Arima Time-Series Analysis

Science.gov (United States)

Velicer, Wayne F.; Colby, Suzanne M.

2005-01-01

Missing data are a common practical problem for longitudinal designs. Time-series analysis is a longitudinal method that involves a large number of observations on a single unit. Four different missing-data methods (deletion, mean substitution, mean of adjacent observations, and maximum likelihood estimation) were evaluated. Computer-generated…

Forecasting malaria cases using climatic factors in delhi, India: a time series analysis.

Science.gov (United States)

Kumar, Varun; Mangal, Abha; Panesar, Sanjeet; Yadav, Geeta; Talwar, Richa; Raut, Deepak; Singh, Saudan

2014-01-01

Background. Malaria still remains a public health problem in developing countries and changing environmental and climatic factors pose the biggest challenge in fighting against the scourge of malaria. Therefore, the study was designed to forecast malaria cases using climatic factors as predictors in Delhi, India. Methods. The total number of monthly cases of malaria slide positives occurring from January 2006 to December 2013 was taken from the register maintained at the malaria clinic at Rural Health Training Centre (RHTC), Najafgarh, Delhi. Climatic data of monthly mean rainfall, relative humidity, and mean maximum temperature were taken from Regional Meteorological Centre, Delhi. Expert modeler of SPSS ver. 21 was used for analyzing the time series data. Results. Autoregressive integrated moving average, ARIMA (0,1,1) (0,1,0)(12), was the best fit model and it could explain 72.5% variability in the time series data. Rainfall (P value = 0.004) and relative humidity (P value = 0.001) were found to be significant predictors for malaria transmission in the study area. Seasonal adjusted factor (SAF) for malaria cases shows peak during the months of August and September. Conclusion. ARIMA models of time series analysis is a simple and reliable tool for producing reliable forecasts for malaria in Delhi, India.

Peramalan Operasional Reservasi dengan Program Minitab menggunakan Pendekatan Arima PT Surindo Andalan

Directory of Open Access Journals (Sweden)

Hadijah Hadijah

2013-03-01

Full Text Available PT. Surindo Andalan is a GSA (General Sales Agent of the airline owned by Oman government, Oman Air. This study aims to analyze the forecasting of one period ahead (December 2012 flight reservation from Jakarta to Muscat (capital of Oman using ARIMA approaches. In this analysis, the authors use MINITAB software for data processing. Starting with autocorrelation testing, it shows that data is stationer therefore differencing should be 0. There are 35 times during data proceed within ARIMA models which are available in MINITAB program. Based on the analysis result that the forecasting model ARIMA (2,0,4 has the smallest value of MS (2709.7 and MSE (225.808333, thus resulting December 2012 forecast amounted reach 122.609.

Application of Holt exponential smoothing and ARIMA method for data population in West Java

Science.gov (United States)

Supriatna, A.; Susanti, D.; Hertini, E.

2017-01-01

One method of time series that is often used to predict data that contains trend is Holt. Holt method using different parameters used in the original data which aims to smooth the trend value. In addition to Holt, ARIMA method can be used on a wide variety of data including data pattern containing a pattern trend. Data actual of population from 1998-2015 contains the trends so can be solved by Holt and ARIMA method to obtain the prediction value of some periods. The best method is measured by looking at the smallest MAPE and MAE error. The result using Holt method is 47.205.749 populations in 2016, 47.535.324 populations in 2017, and 48.041.672 populations in 2018, with MAPE error is 0,469744 and MAE error is 189.731. While the result using ARIMA method is 46.964.682 populations in 2016, 47.342.189 in 2017, and 47.899.696 in 2018, with MAPE error is 0,4380 and MAE is 176.626.

How to statistically analyze nano exposure measurement results: Using an ARIMA time series approach

NARCIS (Netherlands)

Klein Entink, R.H.; Fransman, W.; Brouwer, D.H.

2011-01-01

Measurement strategies for exposure to nano-sized particles differ from traditional integrated sampling methods for exposure assessment by the use of real-time instruments. The resulting measurement series is a time series, where typically the sequential measurements are not independent from each

Diffusive and subdiffusive dynamics of indoor microclimate: a time series modeling.

Science.gov (United States)

Maciejewska, Monika; Szczurek, Andrzej; Sikora, Grzegorz; Wyłomańska, Agnieszka

2012-09-01

The indoor microclimate is an issue in modern society, where people spend about 90% of their time indoors. Temperature and relative humidity are commonly used for its evaluation. In this context, the two parameters are usually considered as behaving in the same manner, just inversely correlated. This opinion comes from observation of the deterministic components of temperature and humidity time series. We focus on the dynamics and the dependency structure of the time series of these parameters, without deterministic components. Here we apply the mean square displacement, the autoregressive integrated moving average (ARIMA), and the methodology for studying anomalous diffusion. The analyzed data originated from five monitoring locations inside a modern office building, covering a period of nearly one week. It was found that the temperature data exhibited a transition between diffusive and subdiffusive behavior, when the building occupancy pattern changed from the weekday to the weekend pattern. At the same time the relative humidity consistently showed diffusive character. Also the structures of the dependencies of the temperature and humidity data sets were different, as shown by the different structures of the ARIMA models which were found appropriate. In the space domain, the dynamics and dependency structure of the particular parameter were preserved. This work proposes an approach to describe the very complex conditions of indoor air and it contributes to the improvement of the representative character of microclimate monitoring.

[Application of ARIMA model on prediction of malaria incidence].

Science.gov (United States)

Jing, Xia; Hua-Xun, Zhang; Wen, Lin; Su-Jian, Pei; Ling-Cong, Sun; Xiao-Rong, Dong; Mu-Min, Cao; Dong-Ni, Wu; Shunxiang, Cai

2016-01-29

To predict the incidence of local malaria of Hubei Province applying the Autoregressive Integrated Moving Average model (ARIMA). SPSS 13.0 software was applied to construct the ARIMA model based on the monthly local malaria incidence in Hubei Province from 2004 to 2009. The local malaria incidence data of 2010 were used for model validation and evaluation. The model of ARIMA (1, 1, 1) (1, 1, 0) 12 was tested as relatively the best optimal with the AIC of 76.085 and SBC of 84.395. All the actual incidence data were in the range of 95% CI of predicted value of the model. The prediction effect of the model was acceptable. The ARIMA model could effectively fit and predict the incidence of local malaria of Hubei Province.

Visibility Graph Based Time Series Analysis.

Science.gov (United States)

Stephen, Mutua; Gu, Changgui; Yang, Huijie

2015-01-01

Network based time series analysis has made considerable achievements in the recent years. By mapping mono/multivariate time series into networks, one can investigate both it's microscopic and macroscopic behaviors. However, most proposed approaches lead to the construction of static networks consequently providing limited information on evolutionary behaviors. In the present paper we propose a method called visibility graph based time series analysis, in which series segments are mapped to visibility graphs as being descriptions of the corresponding states and the successively occurring states are linked. This procedure converts a time series to a temporal network and at the same time a network of networks. Findings from empirical records for stock markets in USA (S&P500 and Nasdaq) and artificial series generated by means of fractional Gaussian motions show that the method can provide us rich information benefiting short-term and long-term predictions. Theoretically, we propose a method to investigate time series from the viewpoint of network of networks.

Visibility Graph Based Time Series Analysis.

Directory of Open Access Journals (Sweden)

Mutua Stephen

Full Text Available Network based time series analysis has made considerable achievements in the recent years. By mapping mono/multivariate time series into networks, one can investigate both it's microscopic and macroscopic behaviors. However, most proposed approaches lead to the construction of static networks consequently providing limited information on evolutionary behaviors. In the present paper we propose a method called visibility graph based time series analysis, in which series segments are mapped to visibility graphs as being descriptions of the corresponding states and the successively occurring states are linked. This procedure converts a time series to a temporal network and at the same time a network of networks. Findings from empirical records for stock markets in USA (S&P500 and Nasdaq and artificial series generated by means of fractional Gaussian motions show that the method can provide us rich information benefiting short-term and long-term predictions. Theoretically, we propose a method to investigate time series from the viewpoint of network of networks.

Comparison between ARIMA and DES Methods of Forecasting Population for Housing Demand in Johor

Directory of Open Access Journals (Sweden)

Alias Ahmad Rizal

2016-01-01

Full Text Available Forecasting accuracy is a primary criterion in selecting appropriate method of prediction. Even though there are various methods of forecasting however not all of these methods are able to predict with good accuracy. This paper presents an evaluation of two methods of population forecasting for housing demand. These methods are Autoregressive Integrated Moving Average (ARIMA and Double Exponential Smoothing (DES. Both of the methods are principally adopting univariate time series analysis which uses past and present data for forecasting. Secondary data obtained from Department of Statistics, Malaysia was used to forecast population for housing demand in Johor. Forecasting processes had generated 14 models to each of the methods and these models where evaluated using Mean Absolute Percentage Error (MAPE. It was found that 14 of Double Exponential Smoothing models and also 14 of ARIMA models had resulted to 1.674% and 5.524% of average MAPE values respectively. Hence, the Double Exponential Smoothing method outperformed the ARIMA method by reducing 4.00 % in forecasting model population for Johor state. These findings help researchers and government agency in selecting appropriate forecasting model for housing demand.

Identificacion de un modelo ARIMA cuando existen observaciones faltantes

OpenAIRE

Elkin Castaño Vélez

1997-01-01

Un supuesto común en el análisis de las series de tiempo es que las series que van a ser estudiadas disponen de información para cada momento de tiempo en el período que se va a analizar. Sin embargo con frecuencia ocurre que faltan datos en la serie o que algunos de ellos son erróneos. En la literatura de análisis series de tiempo, en particular en la de los procesos de ARIMA (Box y Jenkins, 1976) se han propuesto diferentes métodos para estimar estas observaciones, pero la mayoría de ellos ...

Time Series Analysis for Forecasting Hospital Census: Application to the Neonatal Intensive Care Unit.

Science.gov (United States)

Capan, Muge; Hoover, Stephen; Jackson, Eric V; Paul, David; Locke, Robert

2016-01-01

Accurate prediction of future patient census in hospital units is essential for patient safety, health outcomes, and resource planning. Forecasting census in the Neonatal Intensive Care Unit (NICU) is particularly challenging due to limited ability to control the census and clinical trajectories. The fixed average census approach, using average census from previous year, is a forecasting alternative used in clinical practice, but has limitations due to census variations. Our objectives are to: (i) analyze the daily NICU census at a single health care facility and develop census forecasting models, (ii) explore models with and without patient data characteristics obtained at the time of admission, and (iii) evaluate accuracy of the models compared with the fixed average census approach. We used five years of retrospective daily NICU census data for model development (January 2008 - December 2012, N=1827 observations) and one year of data for validation (January - December 2013, N=365 observations). Best-fitting models of ARIMA and linear regression were applied to various 7-day prediction periods and compared using error statistics. The census showed a slightly increasing linear trend. Best fitting models included a non-seasonal model, ARIMA(1,0,0), seasonal ARIMA models, ARIMA(1,0,0)x(1,1,2)7 and ARIMA(2,1,4)x(1,1,2)14, as well as a seasonal linear regression model. Proposed forecasting models resulted on average in 36.49% improvement in forecasting accuracy compared with the fixed average census approach. Time series models provide higher prediction accuracy under different census conditions compared with the fixed average census approach. Presented methodology is easily applicable in clinical practice, can be generalized to other care settings, support short- and long-term census forecasting, and inform staff resource planning.

Arima ascendant

CERN Multimedia

1999-01-01

Editorial which agrees with the decision of Japan's prime minister Keizo Obuchi to retain Akito Arima as minister of education and also appoint him as head of the Science and Technology Agency (5 paragraphs).

Time series modelling and forecasting of emergency department overcrowding.

Science.gov (United States)

Kadri, Farid; Harrou, Fouzi; Chaabane, Sondès; Tahon, Christian

2014-09-01

Efficient management of patient flow (demand) in emergency departments (EDs) has become an urgent issue for many hospital administrations. Today, more and more attention is being paid to hospital management systems to optimally manage patient flow and to improve management strategies, efficiency and safety in such establishments. To this end, EDs require significant human and material resources, but unfortunately these are limited. Within such a framework, the ability to accurately forecast demand in emergency departments has considerable implications for hospitals to improve resource allocation and strategic planning. The aim of this study was to develop models for forecasting daily attendances at the hospital emergency department in Lille, France. The study demonstrates how time-series analysis can be used to forecast, at least in the short term, demand for emergency services in a hospital emergency department. The forecasts were based on daily patient attendances at the paediatric emergency department in Lille regional hospital centre, France, from January 2012 to December 2012. An autoregressive integrated moving average (ARIMA) method was applied separately to each of the two GEMSA categories and total patient attendances. Time-series analysis was shown to provide a useful, readily available tool for forecasting emergency department demand.

PERAMALAN KONSUMSI LISTRIK JANGKA PENDEK DENGAN ARIMA MUSIMAN GANDA DAN ELMAN-RECURRENT NEURAL NETWORK

Directory of Open Access Journals (Sweden)

Suhartono Suhartono

2009-07-01

Full Text Available Neural network (NN is one of many method used to predict the electricity consumption per hour in many countries. NN method which is used in many previous studies is Feed-Forward Neural Network (FFNN or Autoregressive Neural Network(AR-NN. AR-NN model is not able to capture and explain the effect of moving average (MA order on a time series of data. This research was conducted with the purpose of reviewing the application of other types of NN, that is Elman-Recurrent Neural Network (Elman-RNN which could explain MA order effect and compare the result of prediction accuracy with multiple seasonal ARIMA (Autoregressive Integrated Moving Average models. As a case study, we used data electricity consumption per hour in Mengare Gresik. Result of analysis showed that the best of double seasonal Arima models suited to short-term forecasting in the case study data is ARIMA([1,2,3,4,6,7,9,10,14,21,33],1,8(0,1,124 (1,1,0168. This model produces a white noise residuals, but it does not have a normal distribution due to suspected outlier. Outlier detection in iterative produce 14 innovation outliers. There are 4 inputs of Elman-RNN network that were examined and tested for forecasting the data, the input according to lag Arima, input such as lag Arima plus 14 dummy outlier, inputs are the lag-multiples of 24 up to lag 480, and the inputs are lag 1 and lag multiples of 24+1. All of four network uses one hidden layer with tangent sigmoid activation function and one output with a linear function. The result of comparative forecast accuracy through value of MAPE out-sample showed that the fourth networks, namely Elman-RNN (22, 3, 1, is the best model for forecasting electricity consumption per hour in short term in Mengare Gresik.

Comparison between ARIMA and DES Methods of Forecasting Population for Housing Demand in Johor

OpenAIRE

Alias Ahmad Rizal; Zainun Noor Yasmin; Abdul Rahman Ismail

2016-01-01

Forecasting accuracy is a primary criterion in selecting appropriate method of prediction. Even though there are various methods of forecasting however not all of these methods are able to predict with good accuracy. This paper presents an evaluation of two methods of population forecasting for housing demand. These methods are Autoregressive Integrated Moving Average (ARIMA) and Double Exponential Smoothing (DES). Both of the methods are principally adopting univariate time series analysis w...

Time series regression and ARIMAX for forecasting currency flow at Bank Indonesia in Sulawesi region

Science.gov (United States)

Suharsono, Agus; Suhartono, Masyitha, Aulia; Anuravega, Arum

2015-12-01

The purpose of the study is to forecast the outflow and inflow of currency at Indonesian Central Bank or Bank Indonesia (BI) in Sulawesi Region. The currency outflow and inflow data tend to have a trend pattern which is influenced by calendar variation effects. Therefore, this research focuses to apply some forecasting methods that could handle calendar variation effects, i.e. Time Series Regression (TSR) and ARIMAX models, and compare the forecast accuracy with ARIMA model. The best model is selected based on the lowest of Root Mean Squares Errors (RMSE) at out-sample dataset. The results show that ARIMA is the best model for forecasting the currency outflow and inflow at South Sulawesi. Whereas, the best model for forecasting the currency outflow at Central Sulawesi and Southeast Sulawesi, and for forecasting the currency inflow at South Sulawesi and North Sulawesi is TSR. Additionally, ARIMAX is the best model for forecasting the currency outflow at North Sulawesi. Hence, the results show that more complex models do not neccessary yield more accurate forecast than the simpler one.

Forecasting Analysis of Shanghai Stock Index Based on ARIMA Model

Directory of Open Access Journals (Sweden)

Li Chenggang

2017-01-01

Full Text Available Prediction and analysis of the Shanghai Composite Index is conducive for investors to investing in the stock market, and providing investors with reference. This paper selects Shanghai Composite Index monthly closing price from Jan, 2005 to Oct, 2016 to construct ARIMA model. This paper carries on the forecast of the last three monthly closing price of Shanghai Stock Index that have occurred, and compared it with the actual value, which tests the accuracy and feasibility of the model in the short term Shanghai Stock Index forecast. At last, this paper uses the ARIMA model to forecast the Shanghai Composite Index closing price of the last two months in 2016.

Time-Series Approaches for Forecasting the Number of Hospital Daily Discharged Inpatients.

Science.gov (United States)

Ting Zhu; Li Luo; Xinli Zhang; Yingkang Shi; Wenwu Shen

2017-03-01

For hospitals where decisions regarding acceptable rates of elective admissions are made in advance based on expected available bed capacity and emergency requests, accurate predictions of inpatient bed capacity are especially useful for capacity reservation purposes. As given, the remaining unoccupied beds at the end of each day, bed capacity of the next day can be obtained by examining the forecasts of the number of discharged patients during the next day. The features of fluctuations in daily discharges like trend, seasonal cycles, special-day effects, and autocorrelation complicate decision optimizing, while time-series models can capture these features well. This research compares three models: a model combining seasonal regression and ARIMA, a multiplicative seasonal ARIMA (MSARIMA) model, and a combinatorial model based on MSARIMA and weighted Markov Chain models in generating forecasts of daily discharges. The models are applied to three years of discharge data of an entire hospital. Several performance measures like the direction of the symmetry value, normalized mean squared error, and mean absolute percentage error are utilized to capture the under- and overprediction in model selection. The findings indicate that daily discharges can be forecast by using the proposed models. A number of important practical implications are discussed, such as the use of accurate forecasts in discharge planning, admission scheduling, and capacity reservation.

Using forecast modelling to evaluate treatment effects in single-group interrupted time series analysis.

Science.gov (United States)

Linden, Ariel

2018-05-11

Interrupted time series analysis (ITSA) is an evaluation methodology in which a single treatment unit's outcome is studied serially over time and the intervention is expected to "interrupt" the level and/or trend of that outcome. ITSA is commonly evaluated using methods which may produce biased results if model assumptions are violated. In this paper, treatment effects are alternatively assessed by using forecasting methods to closely fit the preintervention observations and then forecast the post-intervention trend. A treatment effect may be inferred if the actual post-intervention observations diverge from the forecasts by some specified amount. The forecasting approach is demonstrated using the effect of California's Proposition 99 for reducing cigarette sales. Three forecast models are fit to the preintervention series-linear regression (REG), Holt-Winters (HW) non-seasonal smoothing, and autoregressive moving average (ARIMA)-and forecasts are generated into the post-intervention period. The actual observations are then compared with the forecasts to assess intervention effects. The preintervention data were fit best by HW, followed closely by ARIMA. REG fit the data poorly. The actual post-intervention observations were above the forecasts in HW and ARIMA, suggesting no intervention effect, but below the forecasts in the REG (suggesting a treatment effect), thereby raising doubts about any definitive conclusion of a treatment effect. In a single-group ITSA, treatment effects are likely to be biased if the model is misspecified. Therefore, evaluators should consider using forecast models to accurately fit the preintervention data and generate plausible counterfactual forecasts, thereby improving causal inference of treatment effects in single-group ITSA studies. © 2018 John Wiley & Sons, Ltd.

Identificación de un modelo ARIMA cuando existen observaciones faltantes

OpenAIRE

Castaño Vélez, Elkin Argemiro

1997-01-01

Un supuesto común en el análisis de series de tiempo es que las series que van a ser estudiadas disponen de información para cada momento de tiempo en el periodo que se va analizar. Sin embargo, con frecuencia ocurre que faltan datos en la serie, o que algunos de ellos son erróneos. En la literatura de Análisis Series de Tiempo, en particular en la de los procesos ARIMA (Box y Jenkins, 1976), se han propuesto diferentes métodos para estimar estas observaciones, pero la mayoría de ellos supone...

Sales forecasting newspaper with ARIMA: A case study

Science.gov (United States)

Permatasari, Carina Intan; Sutopo, Wahyudi; Hisjam, Muh.

2018-02-01

People are beginning to switch to using digital media for their daily activities, including changes in newspaper reading patterns to electronic news. In uncertainty trend, the customers of printed newspaper also have switched to electronic news. It has some negative effects on the printed newspaper demand, where there is often an inaccuracy of supply with demand which means that many newspapers are returned. The aim of this paper is to predict printed newspaper demand as accurately as possible to minimize the number of returns, to keep off the missed sales and to restrain the oversupply. The autoregressive integrated moving average (ARIMA) models were adopted to predict the right number of newspapers for a real case study of a newspaper company in Surakarta. The model parameters were found using maximum likelihood method. Then, the software Eviews 9 were utilized to forecasting any particular variables in the newspaper industry. This paper finally presents the appropriate of modeling and sales forecasting newspaper based on the output of the ARIMA models. In particular, it can be recommended to use ARIMA (1, 1, 0) model in predicting the number of newspapers. ARIMA (1, 1, 0) model was chosen from three different models that it provides the smallest value of the mean absolute percentage error (MAPE).

An open Markov chain scheme model for a credit consumption portfolio fed by ARIMA and SARMA processes

Science.gov (United States)

Esquível, Manuel L.; Fernandes, José Moniz; Guerreiro, Gracinda R.

2016-06-01

We introduce a schematic formalism for the time evolution of a random population entering some set of classes and such that each member of the population evolves among these classes according to a scheme based on a Markov chain model. We consider that the flow of incoming members is modeled by a time series and we detail the time series structure of the elements in each of the classes. We present a practical application to data from a credit portfolio of a Cape Verdian bank; after modeling the entering population in two different ways - namely as an ARIMA process and as a deterministic sigmoid type trend plus a SARMA process for the residues - we simulate the behavior of the population and compare the results. We get that the second method is more accurate in describing the behavior of the populations when compared to the observed values in a direct simulation of the Markov chain.

Near Real-Time Event Detection & Prediction Using Intelligent Software Agents

Science.gov (United States)

2006-03-01

value was 0.06743. Multiple autoregressive integrated moving average ( ARIMA ) models were then build to see if the raw data, differenced data, or...slight improvement. The best adjusted r^2 value was found to be 0.1814. Successful results were not expected from linear or ARIMA -based modelling ...appear, 2005. [63] Mora-Lopez, L., Mora, J., Morales-Bueno, R., et al. Modelling time series of climatic parameters with probabilistic finite

Short Term Prediction of PM10 Concentrations Using Seasonal Time Series Analysis

Directory of Open Access Journals (Sweden)

Hamid Hazrul Abdul

2016-01-01

Full Text Available Air pollution modelling is one of an important tool that usually used to make short term and long term prediction. Since air pollution gives a big impact especially to human health, prediction of air pollutants concentration is needed to help the local authorities to give an early warning to people who are in risk of acute and chronic health effects from air pollution. Finding the best time series model would allow prediction to be made accurately. This research was carried out to find the best time series model to predict the PM10 concentrations in Nilai, Negeri Sembilan, Malaysia. By considering two seasons which is wet season (north east monsoon and dry season (south west monsoon, seasonal autoregressive integrated moving average model were used to find the most suitable model to predict the PM10 concentrations in Nilai, Negeri Sembilan by using three error measures. Based on AIC statistics, results show that ARIMA (1, 1, 1 × (1, 0, 012 is the most suitable model to predict PM10 concentrations in Nilai, Negeri Sembilan.

Multidimensional k-nearest neighbor model based on EEMD for financial time series forecasting

Science.gov (United States)

Zhang, Ningning; Lin, Aijing; Shang, Pengjian

2017-07-01

In this paper, we propose a new two-stage methodology that combines the ensemble empirical mode decomposition (EEMD) with multidimensional k-nearest neighbor model (MKNN) in order to forecast the closing price and high price of the stocks simultaneously. The modified algorithm of k-nearest neighbors (KNN) has an increasingly wide application in the prediction of all fields. Empirical mode decomposition (EMD) decomposes a nonlinear and non-stationary signal into a series of intrinsic mode functions (IMFs), however, it cannot reveal characteristic information of the signal with much accuracy as a result of mode mixing. So ensemble empirical mode decomposition (EEMD), an improved method of EMD, is presented to resolve the weaknesses of EMD by adding white noise to the original data. With EEMD, the components with true physical meaning can be extracted from the time series. Utilizing the advantage of EEMD and MKNN, the new proposed ensemble empirical mode decomposition combined with multidimensional k-nearest neighbor model (EEMD-MKNN) has high predictive precision for short-term forecasting. Moreover, we extend this methodology to the case of two-dimensions to forecast the closing price and high price of the four stocks (NAS, S&P500, DJI and STI stock indices) at the same time. The results indicate that the proposed EEMD-MKNN model has a higher forecast precision than EMD-KNN, KNN method and ARIMA.

Ensemble averaging and stacking of ARIMA and GSTAR model for rainfall forecasting

Science.gov (United States)

Anggraeni, D.; Kurnia, I. F.; Hadi, A. F.

2018-04-01

Unpredictable rainfall changes can affect human activities, such as in agriculture, aviation, shipping which depend on weather forecasts. Therefore, we need forecasting tools with high accuracy in predicting the rainfall in the future. This research focus on local forcasting of the rainfall at Jember in 2005 until 2016, from 77 rainfall stations. The rainfall here was not only related to the occurrence of the previous of its stations, but also related to others, it’s called the spatial effect. The aim of this research is to apply the GSTAR model, to determine whether there are some correlations of spatial effect between one to another stations. The GSTAR model is an expansion of the space-time model that combines the time-related effects, the locations (stations) in a time series effects, and also the location it self. The GSTAR model will also be compared to the ARIMA model that completely ignores the independent variables. The forcested value of the ARIMA and of the GSTAR models then being combined using the ensemble forecasting technique. The averaging and stacking method of ensemble forecasting method here provide us the best model with higher acuracy model that has the smaller RMSE (Root Mean Square Error) value. Finally, with the best model we can offer a better local rainfall forecasting in Jember for the future.

Time Series Analysis and Forecasting of Wastewater Inflow into Bandar Tun Razak Sewage Treatment Plant in Selangor, Malaysia

Science.gov (United States)

Abunama, Taher; Othman, Faridah

2017-06-01

Analysing the fluctuations of wastewater inflow rates in sewage treatment plants (STPs) is essential to guarantee a sufficient treatment of wastewater before discharging it to the environment. The main objectives of this study are to statistically analyze and forecast the wastewater inflow rates into the Bandar Tun Razak STP in Kuala Lumpur, Malaysia. A time series analysis of three years’ weekly influent data (156weeks) has been conducted using the Auto-Regressive Integrated Moving Average (ARIMA) model. Various combinations of ARIMA orders (p, d, q) have been tried to select the most fitted model, which was utilized to forecast the wastewater inflow rates. The linear regression analysis was applied to testify the correlation between the observed and predicted influents. ARIMA (3, 1, 3) model was selected with the highest significance R-square and lowest normalized Bayesian Information Criterion (BIC) value, and accordingly the wastewater inflow rates were forecasted to additional 52weeks. The linear regression analysis between the observed and predicted values of the wastewater inflow rates showed a positive linear correlation with a coefficient of 0.831.

Nationwide survey of Arima syndrome: revised diagnostic criteria from epidemiological analysis.

Science.gov (United States)

Itoh, Masayuki; Iwasaki, Yuji; Ohno, Kohsaku; Inoue, Takehiko; Hayashi, Masaharu; Ito, Shuichi; Matsuzaka, Tetsuo; Ide, Shuhei; Arima, Masataka

2014-05-01

We have never known any epidemiological study of Arima syndrome since it was first described in 1971. To investigate the number of Arima syndrome patients and clarify the clinical differences between Arima syndrome and Joubert syndrome, we performed the first nationwide survey of Arima syndrome, and herein report its results. Furthermore, we revised the diagnostic criteria for Arima syndrome. As a primary survey, we sent out self-administered questionnaires to most of the Japanese hospitals with a pediatric clinic, and facilities for persons with severe motor and intellectual disabilities, inquiring as to the number of patients having symptoms of Arima syndrome, including severe psychomotor delay, agenesis or hypoplasia of cerebellar vermis, renal dysfunction, visual dysfunction and with or without ptosis-like appearance. Next, as the second survey, we sent out detailed clinical questionnaires to the institutes having patients with two or more typical symptoms. The response rate of the primary survey was 72.7% of hospitals with pediatric clinic, 63.5% of national hospitals and 66.7% of municipal and private facilities. The number of patients with 5 typical symptoms was 13 and that with 2-4 symptoms was 32. The response rate of the secondary survey was 52% (23 patients). After reviewing clinical features of 23 patients, we identified 7 Arima syndrome patients and 16 Joubert syndrome patients. Progressive renal dysfunction was noticed in all Arima syndrome patients, but in 33% of those with Joubert syndrome. It is sometimes difficult to distinguish Arima syndrome from Joubert syndrome. Some clinicians described a patient with Joubert syndrome and its complications of visual dysfunction and renal dysfunction, whose current diagnosis was Arima syndrome. Thus, the diagnosis of the two syndromes may be confused. Here, we revised the diagnostic criteria for Arima syndrome. Copyright © 2013 The Japanese Society of Child Neurology. Published by Elsevier B.V. All rights

Time-Series Analysis of Continuously Monitored Blood Glucose: The Impacts of Geographic and Daily Lifestyle Factors

Directory of Open Access Journals (Sweden)

Sean T. Doherty

2015-01-01

Full Text Available Type 2 diabetes is known to be associated with environmental, behavioral, and lifestyle factors. However, the actual impacts of these factors on blood glucose (BG variation throughout the day have remained relatively unexplored. Continuous blood glucose monitors combined with human activity tracking technologies afford new opportunities for exploration in a naturalistic setting. Data from a study of 40 patients with diabetes is utilized in this paper, including continuously monitored BG, food/medicine intake, and patient activity/location tracked using global positioning systems over a 4-day period. Standard linear regression and more disaggregated time-series analysis using autoregressive integrated moving average (ARIMA are used to explore patient BG variation throughout the day and over space. The ARIMA models revealed a wide variety of BG correlating factors related to specific activity types, locations (especially those far from home, and travel modes, although the impacts were highly personal. Traditional variables related to food intake and medications were less often significant. Overall, the time-series analysis revealed considerable patient-by-patient variation in the effects of geographic and daily lifestyle factors. We would suggest that maps of BG spatial variation or an interactive messaging system could provide new tools to engage patients and highlight potential risk factors.

A window-based time series feature extraction method.

Science.gov (United States)

Katircioglu-Öztürk, Deniz; Güvenir, H Altay; Ravens, Ursula; Baykal, Nazife

2017-10-01

This study proposes a robust similarity score-based time series feature extraction method that is termed as Window-based Time series Feature ExtraCtion (WTC). Specifically, WTC generates domain-interpretable results and involves significantly low computational complexity thereby rendering itself useful for densely sampled and populated time series datasets. In this study, WTC is applied to a proprietary action potential (AP) time series dataset on human cardiomyocytes and three precordial leads from a publicly available electrocardiogram (ECG) dataset. This is followed by comparing WTC in terms of predictive accuracy and computational complexity with shapelet transform and fast shapelet transform (which constitutes an accelerated variant of the shapelet transform). The results indicate that WTC achieves a slightly higher classification performance with significantly lower execution time when compared to its shapelet-based alternatives. With respect to its interpretable features, WTC has a potential to enable medical experts to explore definitive common trends in novel datasets. Copyright © 2017 Elsevier Ltd. All rights reserved.

Aplicación de modelo ARIMA para el análisis de series de volúmenes anuales en el río Magdalena

OpenAIRE

Amaris, Gloria; Ávila, Humberto; Guerrero, Thomas

2017-01-01

Resumen Contexto: Los efectos del cambio climático, intervenciones humanas y características de los ríos, son factores que incrementan el riesgo en la población y de los recursos hídricos. Sin embargo, impactos negativos como inundaciones y desecación de ríos pueden ser identificados previamente mediante el uso de herramientas de modelación adecuadas. Objetivos: Se estima un modelo ARIMA para el análisis de series de tiempo de volúmenes anuales (millones de m³/año) en el río Magdalena usando ...

Statistical variability comparison in MODIS and AERONET derived aerosol optical depth over Indo-Gangetic Plains using time series modeling.

Science.gov (United States)

Soni, Kirti; Parmar, Kulwinder Singh; Kapoor, Sangeeta; Kumar, Nishant

2016-05-15

A lot of studies in the literature of Aerosol Optical Depth (AOD) done by using Moderate Resolution Imaging Spectroradiometer (MODIS) derived data, but the accuracy of satellite data in comparison to ground data derived from ARrosol Robotic NETwork (AERONET) has been always questionable. So to overcome from this situation, comparative study of a comprehensive ground based and satellite data for the period of 2001-2012 is modeled. The time series model is used for the accurate prediction of AOD and statistical variability is compared to assess the performance of the model in both cases. Root mean square error (RMSE), mean absolute percentage error (MAPE), stationary R-squared, R-squared, maximum absolute percentage error (MAPE), normalized Bayesian information criterion (NBIC) and Ljung-Box methods are used to check the applicability and validity of the developed ARIMA models revealing significant precision in the model performance. It was found that, it is possible to predict the AOD by statistical modeling using time series obtained from past data of MODIS and AERONET as input data. Moreover, the result shows that MODIS data can be formed from AERONET data by adding 0.251627 ± 0.133589 and vice-versa by subtracting. From the forecast available for AODs for the next four years (2013-2017) by using the developed ARIMA model, it is concluded that the forecasted ground AOD has increased trend. Copyright © 2016 Elsevier B.V. All rights reserved.

Deterministic decomposition and seasonal ARIMA time series models applied to airport noise forecasting

Science.gov (United States)

Guarnaccia, Claudio; Quartieri, Joseph; Tepedino, Carmine

2017-06-01

One of the most hazardous physical polluting agents, considering their effects on human health, is acoustical noise. Airports are a strong source of acoustical noise, due to the airplanes turbines, to the aero-dynamical noise of transits, to the acceleration or the breaking during the take-off and landing phases of aircrafts, to the road traffic around the airport, etc.. The monitoring and the prediction of the acoustical level emitted by airports can be very useful to assess the impact on human health and activities. In the airports noise scenario, thanks to flights scheduling, the predominant sources may have a periodic behaviour. Thus, a Time Series Analysis approach can be adopted, considering that a general trend and a seasonal behaviour can be highlighted and used to build a predictive model. In this paper, two different approaches are adopted, thus two predictive models are constructed and tested. The first model is based on deterministic decomposition and is built composing the trend, that is the long term behaviour, the seasonality, that is the periodic component, and the random variations. The second model is based on seasonal autoregressive moving average, and it belongs to the stochastic class of models. The two different models are fitted on an acoustical level dataset collected close to the Nice (France) international airport. Results will be encouraging and will show good prediction performances of both the adopted strategies. A residual analysis is performed, in order to quantify the forecasting error features.

A Simulation-Based Study on the Comparison of Statistical and Time Series Forecasting Methods for Early Detection of Infectious Disease Outbreaks.

Science.gov (United States)

Yang, Eunjoo; Park, Hyun Woo; Choi, Yeon Hwa; Kim, Jusim; Munkhdalai, Lkhagvadorj; Musa, Ibrahim; Ryu, Keun Ho

2018-05-11

Early detection of infectious disease outbreaks is one of the important and significant issues in syndromic surveillance systems. It helps to provide a rapid epidemiological response and reduce morbidity and mortality. In order to upgrade the current system at the Korea Centers for Disease Control and Prevention (KCDC), a comparative study of state-of-the-art techniques is required. We compared four different temporal outbreak detection algorithms: the CUmulative SUM (CUSUM), the Early Aberration Reporting System (EARS), the autoregressive integrated moving average (ARIMA), and the Holt-Winters algorithm. The comparison was performed based on not only 42 different time series generated taking into account trends, seasonality, and randomly occurring outbreaks, but also real-world daily and weekly data related to diarrhea infection. The algorithms were evaluated using different metrics. These were namely, sensitivity, specificity, positive predictive value (PPV), negative predictive value (NPV), F1 score, symmetric mean absolute percent error (sMAPE), root-mean-square error (RMSE), and mean absolute deviation (MAD). Although the comparison results showed better performance for the EARS C3 method with respect to the other algorithms, despite the characteristics of the underlying time series data, Holt⁻Winters showed better performance when the baseline frequency and the dispersion parameter values were both less than 1.5 and 2, respectively.

Time series analysis of gold production in Malaysia

Science.gov (United States)

Muda, Nora; Hoon, Lee Yuen

2012-05-01

Gold is a soft, malleable, bright yellow metallic element and unaffected by air or most reagents. It is highly valued as an asset or investment commodity and is extensively used in jewellery, industrial application, dentistry and medical applications. In Malaysia, gold mining is limited in several areas such as Pahang, Kelantan, Terengganu, Johor and Sarawak. The main purpose of this case study is to obtain a suitable model for the production of gold in Malaysia. The model can also be used to predict the data of Malaysia's gold production in the future. Box-Jenkins time series method was used to perform time series analysis with the following steps: identification, estimation, diagnostic checking and forecasting. In addition, the accuracy of prediction is tested using mean absolute percentage error (MAPE). From the analysis, the ARIMA (3,1,1) model was found to be the best fitted model with MAPE equals to 3.704%, indicating the prediction is very accurate. Hence, this model can be used for forecasting. This study is expected to help the private and public sectors to understand the gold production scenario and later plan the gold mining activities in Malaysia.

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models

DEFF Research Database (Denmark)

Ørregård Nielsen, Morten

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses...... the multivariate non-cointegrated fractional ARIMA model. The novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set of admissible parameter values, for which the objective function does not converge uniformly in probablity, thus making...

An Energy-Based Similarity Measure for Time Series

Directory of Open Access Journals (Sweden)

Pierre Brunagel

2007-11-01

Full Text Available A new similarity measure, called SimilB, for time series analysis, based on the cross-ΨB-energy operator (2004, is introduced. ΨB is a nonlinear measure which quantifies the interaction between two time series. Compared to Euclidean distance (ED or the Pearson correlation coefficient (CC, SimilB includes the temporal information and relative changes of the time series using the first and second derivatives of the time series. SimilB is well suited for both nonstationary and stationary time series and particularly those presenting discontinuities. Some new properties of ΨB are presented. Particularly, we show that ΨB as similarity measure is robust to both scale and time shift. SimilB is illustrated with synthetic time series and an artificial dataset and compared to the CC and the ED measures.

Time series analysis of reference crop evapotranspiration using soft computing techniques for Ganjam District, Odisha, India

Science.gov (United States)

Patra, S. R.

2017-12-01

Evapotranspiration (ET0) influences water resources and it is considered as a vital process in aridic hydrologic frameworks. It is one of the most important measure in finding the drought condition. Therefore, time series forecasting of evapotranspiration is very important in order to help the decision makers and water system mangers build up proper systems to sustain and manage water resources. Time series considers that -history repeats itself, hence by analysing the past values, better choices, or forecasts, can be carried out for the future. Ten years of ET0 data was used as a part of this study to make sure a satisfactory forecast of monthly values. In this study, three models: (ARIMA) mathematical model, artificial neural network model, support vector machine model are presented. These three models are used for forecasting monthly reference crop evapotranspiration based on ten years of past historical records (1991-2001) of measured evaporation at Ganjam region, Odisha, India without considering the climate data. The developed models will allow water resource managers to predict up to 12 months, making these predictions very useful to optimize the resources needed for effective water resources management. In this study multistep-ahead prediction is performed which is more complex and troublesome than onestep ahead. Our investigation proposed that nonlinear relationships may exist among the monthly indices, so that the ARIMA model might not be able to effectively extract the full relationship hidden in the historical data. Support vector machines are potentially helpful time series forecasting strategies on account of their strong nonlinear mapping capability and resistance to complexity in forecasting data. SVMs have great learning capability in time series modelling compared to ANN. For instance, the SVMs execute the structural risk minimization principle, which allows in better generalization as compared to neural networks that use the empirical risk

PERAMALAN PERSEDIAAN INFUS MENGGUNAKAN METODE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PADA RUMAH SAKIT UMUM PUSAT SANGLAH

OpenAIRE

I PUTU YUDI PRABHADIKA; NI KETUT TARI TASTRAWATI; LUH PUTU IDA HARINI

2018-01-01

Infusion supplies are an important thing that must be considered by the hospital in meeting the needs of patients. This study aims to predict the need for infusion of 0.9% 500 ml of NaCl and 5% 500 ml glucose infusion at Sanglah General Hospital (RSUP) Sanglah so that the hospital can estimate the many infusions needed for the next six months. The forecasting method used in this research is the autoregressive integrated moving average (ARIMA) time series method. The results of this study indi...

The Usage of Time Series Control Charts for Financial Process Analysis

Directory of Open Access Journals (Sweden)

Kovářík Martin

2012-09-01

Full Text Available We will deal with financial proceedings of the company using methods of SPC (Statistical Process Control, specifically through time series control charts. The paper will outline the intersection of two disciplines which are econometrics and statistical process control. The theoretical part will discuss the methodology of time series control charts and in the research part there will be this methodology demonstrated in three case studies. The first study will focus on the regulation of simulated financial flows for a company by CUSUM control chart. The second study will involve the regulation of financial flows for a heteroskedastic financial process by EWMA control chart. The last case study of our paper will be devoted to applications of ARIMA, EWMA and CUSUM control charts in the financial data that are sensitive to the mean shifting while calculating the autocorrelation in the data. In this paper, we highlight the versatility of control charts not only in manufacturing but also in managing the financial stability of cash flows.

Electric Load Forecasting Based on a Least Squares Support Vector Machine with Fuzzy Time Series and Global Harmony Search Algorithm

Directory of Open Access Journals (Sweden)

Yan Hong Chen

2016-01-01

Full Text Available This paper proposes a new electric load forecasting model by hybridizing the fuzzy time series (FTS and global harmony search algorithm (GHSA with least squares support vector machines (LSSVM, namely GHSA-FTS-LSSVM model. Firstly, the fuzzy c-means clustering (FCS algorithm is used to calculate the clustering center of each cluster. Secondly, the LSSVM is applied to model the resultant series, which is optimized by GHSA. Finally, a real-world example is adopted to test the performance of the proposed model. In this investigation, the proposed model is verified using experimental datasets from the Guangdong Province Industrial Development Database, and results are compared against autoregressive integrated moving average (ARIMA model and other algorithms hybridized with LSSVM including genetic algorithm (GA, particle swarm optimization (PSO, harmony search, and so on. The forecasting results indicate that the proposed GHSA-FTS-LSSVM model effectively generates more accurate predictive results.

Peramalan trafik SMS Area Jabotabek Dengan Metode ARIMA

Directory of Open Access Journals (Sweden)

Lusi Alvina Tofani

2012-09-01

Full Text Available Dalam dunia telekomunikasi, pertukaran informasidituntut memiliki performansi yang baik. Salah satu layanantelekomunikasi yang banyak digunakan adalah SMS (ShortMessage Service. Dalam tugas akhir ini akan dilakukanpemodelan dan peramalan trafik SMS pada jaringan GSM(Global System for Mobile Communication area Jabotabekmenggunakan metode ARIMA. Penelitian ini dipusatkan denganmengambil data dari 2 lokasi SMSC (Short Message ServiceCenter yaitu SMSC yang menampung transaksi SMS peer topeer GSM-T dan SMSC yang menampung transaksi SMS alloperator. Data tersebut merupakan trafik harian selama 4 bulandari bulan Maret hingga Juni 2011 yang akan digunakan untukpemodelan dan Bulan Juli 2011 yang akan digunakan sebagaidata testing. Ada 2 kategori pemodelan yaitu untuk tipe SMSCall operator pada selang waktu 0-15 sec dan 16-30 sec sedangkantipe yang kedua yaitu tipe SMSC peer to peer GSM-T padaselang waktu 0-15 sec dan 16-30 sec. Dari penelitian ini diperoleh4 model dari data selama 4 bulan yaitu model ARIMA untuk alloperator 0-15 sec adalah ([6,9],1,2, model ARIMA untuk alloperator 16-30 sec adalah (1,0,[1,4,5], model ARIMA untuk peerto peer GSM-T 0-15 sec adalah (1,0,[1,7], dan model ARIMAuntuk peer to peer GSM-T 16-30 sec adalah ([1,5],0,5. Kemudianuntuk hasil peramalan dari 4 model tersebut didapatkan nilaiMAPE terendah yaitu pada model ARIMA untuk trafik alloperator GSM-T 0-15 sec sebesar 0,32883%. Hasil peramalan iniyang akan digunakan sebagai prediksi trafik kedepan.

Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices

International Nuclear Information System (INIS)

Keles, Dogan; Genoese, Massimo; Möst, Dominik; Fichtner, Wolf

2012-01-01

This paper evaluates different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA) and general autoregressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations. However, as these models are developed to describe the stochastic behaviour of electricity prices, they are extended by a separate data treatment for the deterministic components (trend, daily, weekly and annual cycles) of electricity spot prices. Furthermore price jumps are considered and implemented within a regime-switching model. Since 2008 market design allows for negative prices at the European Energy Exchange, which also occurred for several hours in the last years. Up to now, only a few financial and time series approaches exist, which are able to capture negative prices. This paper presents a new approach incorporating negative prices. The evaluation of the different approaches presented points out that the mean reversion and the ARMA models deliver the lowest mean root square error between simulated and historical electricity spot prices gained from the European Energy Exchange. These models posses also lower mean average errors than GARCH models. Hence, they are more suitable to simulate well-fitting price paths. Furthermore it is shown that the daily structure of historical price curves is better captured applying ARMA or ARIMA processes instead of mean-reversion or GARCH models. Another important outcome of the paper is that the regime-switching approach and the consideration of negative prices via the new proposed approach lead to a significant improvement of the electricity price simulation. - Highlights: ► Considering negative prices improves the results of time-series and financial models for electricity prices. ► Regime-switching approach captures the jumps and base prices quite well. ► Removing and separate modelling of deterministic annual, weekly and daily

Modelling of cayenne production in Central Java using ARIMA-GARCH

Science.gov (United States)

Tarno; Sudarno; Ispriyanti, Dwi; Suparti

2018-05-01

Some regencies/cities in Central Java Province are known as producers of horticultural crops in Indonesia, for example, Brebes which is the largest area of shallot producer in Central Java, while the others, such as Cilacap and Wonosobo are the areas of cayenne commodities production. Currently, cayenne is a strategic commodity and it has broad impact to Indonesian economic development. Modelling the cayenne production is necessary to predict about the commodity to meet the need for society. The needs fulfillment of society will affect stability of the concerned commodity price. Based on the reality, the decreasing of cayenne production will cause the increasing of society’s basic needs price, and finally it will affect the inflation level at that area. This research focused on autoregressive integrated moving average (ARIMA) modelling by considering the effect of autoregressive conditional heteroscedasticity (ARCH) to study about cayenne production in Central Java. The result of empirical study of ARIMA-GARCH modelling for cayenne production in Central Java from January 2003 to November 2015 is ARIMA([1,3],0,0)-GARCH(1,0) as the best model.

Forecasting dengue hemorrhagic fever cases using ARIMA model: a case study in Asahan district

Science.gov (United States)

Siregar, Fazidah A.; Makmur, Tri; Saprin, S.

2018-01-01

Time series analysis had been increasingly used to forecast the number of dengue hemorrhagic fever in many studies. Since no vaccine exist and poor public health infrastructure, predicting the occurrence of dengue hemorrhagic fever (DHF) is crucial. This study was conducted to determine trend and forecasting the occurrence of DHF in Asahan district, North Sumatera Province. Monthly reported dengue cases for the years 2012-2016 were obtained from the district health offices. A time series analysis was conducted by Autoregressive integrated moving average (ARIMA) modeling to forecast the occurrence of DHF. The results demonstrated that the reported DHF cases showed a seasonal variation. The SARIMA (1,0,0)(0,1,1)12 model was the best model and adequate for the data. The SARIMA model for DHF is necessary and could applied to predict the incidence of DHF in Asahan district and assist with design public health maesures to prevent and control the diseases.

Time series analysis of temporal networks

Science.gov (United States)

Sikdar, Sandipan; Ganguly, Niloy; Mukherjee, Animesh

2016-01-01

A common but an important feature of all real-world networks is that they are temporal in nature, i.e., the network structure changes over time. Due to this dynamic nature, it becomes difficult to propose suitable growth models that can explain the various important characteristic properties of these networks. In fact, in many application oriented studies only knowing these properties is sufficient. For instance, if one wishes to launch a targeted attack on a network, this can be done even without the knowledge of the full network structure; rather an estimate of some of the properties is sufficient enough to launch the attack. We, in this paper show that even if the network structure at a future time point is not available one can still manage to estimate its properties. We propose a novel method to map a temporal network to a set of time series instances, analyze them and using a standard forecast model of time series, try to predict the properties of a temporal network at a later time instance. To our aim, we consider eight properties such as number of active nodes, average degree, clustering coefficient etc. and apply our prediction framework on them. We mainly focus on the temporal network of human face-to-face contacts and observe that it represents a stochastic process with memory that can be modeled as Auto-Regressive-Integrated-Moving-Average (ARIMA). We use cross validation techniques to find the percentage accuracy of our predictions. An important observation is that the frequency domain properties of the time series obtained from spectrogram analysis could be used to refine the prediction framework by identifying beforehand the cases where the error in prediction is likely to be high. This leads to an improvement of 7.96% (for error level ≤20%) in prediction accuracy on an average across all datasets. As an application we show how such prediction scheme can be used to launch targeted attacks on temporal networks. Contribution to the Topical Issue

A travel time forecasting model based on change-point detection method

Science.gov (United States)

LI, Shupeng; GUANG, Xiaoping; QIAN, Yongsheng; ZENG, Junwei

2017-06-01

Travel time parameters obtained from road traffic sensors data play an important role in traffic management practice. A travel time forecasting model is proposed for urban road traffic sensors data based on the method of change-point detection in this paper. The first-order differential operation is used for preprocessing over the actual loop data; a change-point detection algorithm is designed to classify the sequence of large number of travel time data items into several patterns; then a travel time forecasting model is established based on autoregressive integrated moving average (ARIMA) model. By computer simulation, different control parameters are chosen for adaptive change point search for travel time series, which is divided into several sections of similar state.Then linear weight function is used to fit travel time sequence and to forecast travel time. The results show that the model has high accuracy in travel time forecasting.

Hybrid model for forecasting time series with trend, seasonal and salendar variation patterns

Science.gov (United States)

Suhartono; Rahayu, S. P.; Prastyo, D. D.; Wijayanti, D. G. P.; Juliyanto

2017-09-01

Most of the monthly time series data in economics and business in Indonesia and other Moslem countries not only contain trend and seasonal, but also affected by two types of calendar variation effects, i.e. the effect of the number of working days or trading and holiday effects. The purpose of this research is to develop a hybrid model or a combination of several forecasting models to predict time series that contain trend, seasonal and calendar variation patterns. This hybrid model is a combination of classical models (namely time series regression and ARIMA model) and/or modern methods (artificial intelligence method, i.e. Artificial Neural Networks). A simulation study was used to show that the proposed procedure for building the hybrid model could work well for forecasting time series with trend, seasonal and calendar variation patterns. Furthermore, the proposed hybrid model is applied for forecasting real data, i.e. monthly data about inflow and outflow of currency at Bank Indonesia. The results show that the hybrid model tend to provide more accurate forecasts than individual forecasting models. Moreover, this result is also in line with the third results of the M3 competition, i.e. the hybrid model on average provides a more accurate forecast than the individual model.

Effectiveness of firefly algorithm based neural network in time series ...

African Journals Online (AJOL)

Effectiveness of firefly algorithm based neural network in time series forecasting. ... In the experiments, three well known time series were used to evaluate the performance. Results obtained were compared with ... Keywords: Time series, Artificial Neural Network, Firefly Algorithm, Particle Swarm Optimization, Overfitting ...

Time series regression model for infectious disease and weather.

Science.gov (United States)

Imai, Chisato; Armstrong, Ben; Chalabi, Zaid; Mangtani, Punam; Hashizume, Masahiro

2015-10-01

Time series regression has been developed and long used to evaluate the short-term associations of air pollution and weather with mortality or morbidity of non-infectious diseases. The application of the regression approaches from this tradition to infectious diseases, however, is less well explored and raises some new issues. We discuss and present potential solutions for five issues often arising in such analyses: changes in immune population, strong autocorrelations, a wide range of plausible lag structures and association patterns, seasonality adjustments, and large overdispersion. The potential approaches are illustrated with datasets of cholera cases and rainfall from Bangladesh and influenza and temperature in Tokyo. Though this article focuses on the application of the traditional time series regression to infectious diseases and weather factors, we also briefly introduce alternative approaches, including mathematical modeling, wavelet analysis, and autoregressive integrated moving average (ARIMA) models. Modifications proposed to standard time series regression practice include using sums of past cases as proxies for the immune population, and using the logarithm of lagged disease counts to control autocorrelation due to true contagion, both of which are motivated from "susceptible-infectious-recovered" (SIR) models. The complexity of lag structures and association patterns can often be informed by biological mechanisms and explored by using distributed lag non-linear models. For overdispersed models, alternative distribution models such as quasi-Poisson and negative binomial should be considered. Time series regression can be used to investigate dependence of infectious diseases on weather, but may need modifying to allow for features specific to this context. Copyright © 2015 The Authors. Published by Elsevier Inc. All rights reserved.

Development of temporal modelling for forecasting and prediction of malaria infections using time-series and ARIMAX analyses: a case study in endemic districts of Bhutan.

Science.gov (United States)

Wangdi, Kinley; Singhasivanon, Pratap; Silawan, Tassanee; Lawpoolsri, Saranath; White, Nicholas J; Kaewkungwal, Jaranit

2010-09-03

Malaria still remains a public health problem in some districts of Bhutan despite marked reduction of cases in last few years. To strengthen the country's prevention and control measures, this study was carried out to develop forecasting and prediction models of malaria incidence in the endemic districts of Bhutan using time series and ARIMAX. This study was carried out retrospectively using the monthly reported malaria cases from the health centres to Vector-borne Disease Control Programme (VDCP) and the meteorological data from Meteorological Unit, Department of Energy, Ministry of Economic Affairs. Time series analysis was performed on monthly malaria cases, from 1994 to 2008, in seven malaria endemic districts. The time series models derived from a multiplicative seasonal autoregressive integrated moving average (ARIMA) was deployed to identify the best model using data from 1994 to 2006. The best-fit model was selected for each individual district and for the overall endemic area was developed and the monthly cases from January to December 2009 and 2010 were forecasted. In developing the prediction model, the monthly reported malaria cases and the meteorological factors from 1996 to 2008 of the seven districts were analysed. The method of ARIMAX modelling was employed to determine predictors of malaria of the subsequent month. It was found that the ARIMA (p, d, q) (P, D, Q)s model (p and P representing the auto regressive and seasonal autoregressive; d and D representing the non-seasonal differences and seasonal differencing; and q and Q the moving average parameters and seasonal moving average parameters, respectively and s representing the length of the seasonal period) for the overall endemic districts was (2,1,1)(0,1,1)12; the modelling data from each district revealed two most common ARIMA models including (2,1,1)(0,1,1)12 and (1,1,1)(0,1,1)12. The forecasted monthly malaria cases from January to December 2009 and 2010 varied from 15 to 82 cases in 2009

Hybrid empirical mode decomposition- ARIMA for forecasting exchange rates

Science.gov (United States)

Abadan, Siti Sarah; Shabri, Ani; Ismail, Shuhaida

2015-02-01

This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial crisis causing the exchange rates are fixed to 3.800 from 2nd of September 1998 until 21st of July 2005. Thus, the chosen data in this paper is the post-July 2005 data, starting from August 2005 to July 2010. The comparative study using root mean square error (RMSE) and mean absolute error (MAE) showed that the EMD-ARIMA outperformed the single-ARIMA and the random walk benchmark model.

Univaried models in the series of temperature of the air

International Nuclear Information System (INIS)

Leon Aristizabal Gloria esperanza

2000-01-01

The theoretical framework for the study of the air's temperature time series is the theory of stochastic processes, particularly those known as ARIMA, that make it possible to carry out a univaried analysis. ARIMA models are built in order to explain the structure of the monthly temperatures corresponding to the mean, the absolute maximum, absolute minimum, maximum mean and minimum mean temperatures, for four stations in Colombia. By means of those models, the possible evolution of the latter variables is estimated with predictive aims in mind. The application and utility of the models is discussed

Drunk driving detection based on classification of multivariate time series.

Science.gov (United States)

Li, Zhenlong; Jin, Xue; Zhao, Xiaohua

2015-09-01

This paper addresses the problem of detecting drunk driving based on classification of multivariate time series. First, driving performance measures were collected from a test in a driving simulator located in the Traffic Research Center, Beijing University of Technology. Lateral position and steering angle were used to detect drunk driving. Second, multivariate time series analysis was performed to extract the features. A piecewise linear representation was used to represent multivariate time series. A bottom-up algorithm was then employed to separate multivariate time series. The slope and time interval of each segment were extracted as the features for classification. Third, a support vector machine classifier was used to classify driver's state into two classes (normal or drunk) according to the extracted features. The proposed approach achieved an accuracy of 80.0%. Drunk driving detection based on the analysis of multivariate time series is feasible and effective. The approach has implications for drunk driving detection. Copyright © 2015 Elsevier Ltd and National Safety Council. All rights reserved.

Adaptive Anchoring Model: How Static and Dynamic Presentations of Time Series Influence Judgments and Predictions.

Science.gov (United States)

Kusev, Petko; van Schaik, Paul; Tsaneva-Atanasova, Krasimira; Juliusson, Asgeir; Chater, Nick

2018-01-01

When attempting to predict future events, people commonly rely on historical data. One psychological characteristic of judgmental forecasting of time series, established by research, is that when people make forecasts from series, they tend to underestimate future values for upward trends and overestimate them for downward ones, so-called trend-damping (modeled by anchoring on, and insufficient adjustment from, the average of recent time series values). Events in a time series can be experienced sequentially (dynamic mode), or they can also be retrospectively viewed simultaneously (static mode), not experienced individually in real time. In one experiment, we studied the influence of presentation mode (dynamic and static) on two sorts of judgment: (a) predictions of the next event (forecast) and (b) estimation of the average value of all the events in the presented series (average estimation). Participants' responses in dynamic mode were anchored on more recent events than in static mode for all types of judgment but with different consequences; hence, dynamic presentation improved prediction accuracy, but not estimation. These results are not anticipated by existing theoretical accounts; we develop and present an agent-based model-the adaptive anchoring model (ADAM)-to account for the difference between processing sequences of dynamically and statically presented stimuli (visually presented data). ADAM captures how variation in presentation mode produces variation in responses (and the accuracy of these responses) in both forecasting and judgment tasks. ADAM's model predictions for the forecasting and judgment tasks fit better with the response data than a linear-regression time series model. Moreover, ADAM outperformed autoregressive-integrated-moving-average (ARIMA) and exponential-smoothing models, while neither of these models accounts for people's responses on the average estimation task. Copyright © 2017 The Authors. Cognitive Science published by Wiley

Real time detection of farm-level swine mycobacteriosis outbreak using time series modeling of the number of condemned intestines in abattoirs.

Science.gov (United States)

Adachi, Yasumoto; Makita, Kohei

2015-09-01

Mycobacteriosis in swine is a common zoonosis found in abattoirs during meat inspections, and the veterinary authority is expected to inform the producer for corrective actions when an outbreak is detected. The expected value of the number of condemned carcasses due to mycobacteriosis therefore would be a useful threshold to detect an outbreak, and the present study aims to develop such an expected value through time series modeling. The model was developed using eight years of inspection data (2003 to 2010) obtained at 2 abattoirs of the Higashi-Mokoto Meat Inspection Center, Japan. The resulting model was validated by comparing the predicted time-dependent values for the subsequent 2 years with the actual data for 2 years between 2011 and 2012. For the modeling, at first, periodicities were checked using Fast Fourier Transformation, and the ensemble average profiles for weekly periodicities were calculated. An Auto-Regressive Integrated Moving Average (ARIMA) model was fitted to the residual of the ensemble average on the basis of minimum Akaike's information criterion (AIC). The sum of the ARIMA model and the weekly ensemble average was regarded as the time-dependent expected value. During 2011 and 2012, the number of whole or partial condemned carcasses exceeded the 95% confidence interval of the predicted values 20 times. All of these events were associated with the slaughtering of pigs from three producers with the highest rate of condemnation due to mycobacteriosis.

Predicting the incidence of hand, foot and mouth disease in Sichuan province, China using the ARIMA model.

Science.gov (United States)

Liu, L; Luan, R S; Yin, F; Zhu, X P; Lü, Q

2016-01-01

Hand, foot and mouth disease (HFMD) is an infectious disease caused by enteroviruses, which usually occurs in children aged ARIMA) model to forecast HFMD incidence in Sichuan province, China. HFMD infection data from January 2010 to June 2014 were used to fit the ARIMA model. The coefficient of determination (R 2), normalized Bayesian Information Criterion (BIC) and mean absolute percentage of error (MAPE) were used to evaluate the goodness-of-fit of the constructed models. The fitted ARIMA model was applied to forecast the incidence of HMFD from April to June 2014. The goodness-of-fit test generated the optimum general multiplicative seasonal ARIMA (1,0,1) × (0,1,0)12 model (R 2 = 0·692, MAPE = 15·982, BIC = 5·265), which also showed non-significant autocorrelations in the residuals of the model (P = 0·893). The forecast incidence values of the ARIMA (1,0,1) × (0,1,0)12 model from July to December 2014 were 4103-9987, which were proximate forecasts. The ARIMA model could be applied to forecast HMFD incidence trend and provide support for HMFD prevention and control. Further observations should be carried out continually into the time sequence, and the parameters of the models could be adjusted because HMFD incidence will not be absolutely stationary in the future.

Describing temporal variability of the mean Estonian precipitation series in climate time scale

Science.gov (United States)

Post, P.; Kärner, O.

2009-04-01

Applicability of the random walk type models to represent the temporal variability of various atmospheric temperature series has been successfully demonstrated recently (e.g. Kärner, 2002). Main problem in the temperature modeling is connected to the scale break in the generally self similar air temperature anomaly series (Kärner, 2005). The break separates short-range strong non-stationarity from nearly stationary longer range variability region. This is an indication of the fact that several geophysical time series show a short-range non-stationary behaviour and a stationary behaviour in longer range (Davis et al., 1996). In order to model series like that the choice of time step appears to be crucial. To characterize the long-range variability we can neglect the short-range non-stationary fluctuations, provided that we are able to model properly the long-range tendencies. The structure function (Monin and Yaglom, 1975) was used to determine an approximate segregation line between the short and the long scale in terms of modeling. The longer scale can be called climate one, because such models are applicable in scales over some decades. In order to get rid of the short-range fluctuations in daily series the variability can be examined using sufficiently long time step. In the present paper, we show that the same philosophy is useful to find a model to represent a climate-scale temporal variability of the Estonian daily mean precipitation amount series over 45 years (1961-2005). Temporal variability of the obtained daily time series is examined by means of an autoregressive and integrated moving average (ARIMA) family model of the type (0,1,1). This model is applicable for daily precipitation simulating if to select an appropriate time step that enables us to neglet the short-range non-stationary fluctuations. A considerably longer time step than one day (30 days) is used in the current paper to model the precipitation time series variability. Each ARIMA (0

Hybrid Wavelet De-noising and Rank-Set Pair Analysis approach for forecasting hydro-meteorological time series

Science.gov (United States)

WANG, D.; Wang, Y.; Zeng, X.

2017-12-01

Accurate, fast forecasting of hydro-meteorological time series is presently a major challenge in drought and flood mitigation. This paper proposes a hybrid approach, Wavelet De-noising (WD) and Rank-Set Pair Analysis (RSPA), that takes full advantage of a combination of the two approaches to improve forecasts of hydro-meteorological time series. WD allows decomposition and reconstruction of a time series by the wavelet transform, and hence separation of the noise from the original series. RSPA, a more reliable and efficient version of Set Pair Analysis, is integrated with WD to form the hybrid WD-RSPA approach. Two types of hydro-meteorological data sets with different characteristics and different levels of human influences at some representative stations are used to illustrate the WD-RSPA approach. The approach is also compared to three other generic methods: the conventional Auto Regressive Integrated Moving Average (ARIMA) method, Artificial Neural Networks (ANNs) (BP-error Back Propagation, MLP-Multilayer Perceptron and RBF-Radial Basis Function), and RSPA alone. Nine error metrics are used to evaluate the model performance. The results show that WD-RSPA is accurate, feasible, and effective. In particular, WD-RSPA is found to be the best among the various generic methods compared in this paper, even when the extreme events are included within a time series.

Pseudo-random bit generator based on lag time series

Science.gov (United States)

García-Martínez, M.; Campos-Cantón, E.

2014-12-01

In this paper, we present a pseudo-random bit generator (PRBG) based on two lag time series of the logistic map using positive and negative values in the bifurcation parameter. In order to hidden the map used to build the pseudo-random series we have used a delay in the generation of time series. These new series when they are mapped xn against xn+1 present a cloud of points unrelated to the logistic map. Finally, the pseudo-random sequences have been tested with the suite of NIST giving satisfactory results for use in stream ciphers.

0.1 Trend analysis of δ18O composition of precipitation in Germany: Combining Mann-Kendall trend test and ARIMA models to correct for higher order serial correlation

Science.gov (United States)

Klaus, Julian; Pan Chun, Kwok; Stumpp, Christine

2015-04-01

Spatio-temporal dynamics of stable oxygen (18O) and hydrogen (2H) isotopes in precipitation can be used as proxies for changing hydro-meteorological and regional and global climate patterns. While spatial patterns and distributions gained much attention in recent years the temporal trends in stable isotope time series are rarely investigated and our understanding of them is still limited. These might be a result of a lack of proper trend detection tools and effort for exploring trend processes. Here we make use of an extensive data set of stable isotope in German precipitation. In this study we investigate temporal trends of δ18O in precipitation at 17 observation station in Germany between 1978 and 2009. For that we test different approaches for proper trend detection, accounting for first and higher order serial correlation. We test if significant trends in the isotope time series based on different models can be observed. We apply the Mann-Kendall trend tests on the isotope series, using general multiplicative seasonal autoregressive integrate moving average (ARIMA) models which account for first and higher order serial correlations. With the approach we can also account for the effects of temperature, precipitation amount on the trend. Further we investigate the role of geographic parameters on isotope trends. To benchmark our proposed approach, the ARIMA results are compared to a trend-free prewhiting (TFPW) procedure, the state of the art method for removing the first order autocorrelation in environmental trend studies. Moreover, we explore whether higher order serial correlations in isotope series affects our trend results. The results show that three out of the 17 stations have significant changes when higher order autocorrelation are adjusted, and four stations show a significant trend when temperature and precipitation effects are considered. Significant trends in the isotope time series are generally observed at low elevation stations (≤315 m a

Modeling seasonal leptospirosis transmission and its association with rainfall and temperature in Thailand using time-series and ARIMAX analyses.

Science.gov (United States)

Chadsuthi, Sudarat; Modchang, Charin; Lenbury, Yongwimon; Iamsirithaworn, Sopon; Triampo, Wannapong

2012-07-01

To study the number of leptospirosis cases in relations to the seasonal pattern, and its association with climate factors. Time series analysis was used to study the time variations in the number of leptospirosis cases. The Autoregressive Integrated Moving Average (ARIMA) model was used in data curve fitting and predicting the next leptospirosis cases. We found that the amount of rainfall was correlated to leptospirosis cases in both regions of interest, namely the northern and northeastern region of Thailand, while the temperature played a role in the northeastern region only. The use of multivariate ARIMA (ARIMAX) model showed that factoring in rainfall (with an 8 months lag) yields the best model for the northern region while the model, which factors in rainfall (with a 10 months lag) and temperature (with an 8 months lag) was the best for the northeastern region. The models are able to show the trend in leptospirosis cases and closely fit the recorded data in both regions. The models can also be used to predict the next seasonal peak quite accurately. Copyright © 2012 Hainan Medical College. Published by Elsevier B.V. All rights reserved.

PEMODELAN ARIMA DAN DETEKSI OUTLIER DATA CURAH HUJAN SEBAGAI EVALUASI SISTEM RADIO GELOMBANG MILIMETER

Directory of Open Access Journals (Sweden)

Achmad Mauludiyanto

2009-01-01

Full Text Available The purpose of this paper is to provide the results of Arima modeling and outlier detection in the rainfall data in Surabaya. This paper explained about the steps in the formation of rainfall models, especially Box-Jenkins procedure for Arima modeling and outlier detection. Early stages of modeling stasioneritas Arima is the identification of data, both in mean and variance. Stasioneritas evaluation data in the variance can be done with Box-Cox transformation. Meanwhile, in the mean stasioneritas can be done with the plot data and forms of ACF. Identification of ACF and PACF of the stationary data is used to determine the order of allegations Arima model. The next stage is to estimate the parameters and diagnostic checks to see the suitability model. Process diagnostics check conducted to evaluate whether the residual model is eligible berdistribusi white noise and normal. Ljung-Box Test is a test that can be used to validate the white noise condition, while the Kolmogorov-Smirnov Test is an evaluation test for normal distribution. Residual normality test results showed that the residual model of Arima not white noise, and indicates the existence of outlier in the data. Thus, the next step taken is outlier detection to eliminate outlier effects and increase the accuracy of predictions of the model Arima. Arima modeling implementation and outlier detection is done by using MINITAB package and MATLAB. The research shows that the modeling Arima and outlier detection can reduce the prediction error as measured by the criteria Mean Square Error (MSE. Quantitatively, the decline in the value of MSE by incorporating outlier detection is 23.7%, with an average decline 6.5%.

Análisis de la serie temporal del Ibex-35 desde 1992 a 1997.Conclusiones predictivas.

Directory of Open Access Journals (Sweden)

Gamero, J.

1998-01-01

Full Text Available En la presente comunicación nos proponemos analizar el comportamiento como serie temporal del índice bursátil IBEX-35 desde 1992 hasta 1997 incorporando también datos de 1998. Dicho estudio lo realizaremos usando elementos de la modelización ARIMA además de otros elementos habituales en la metodología estadística. Nuestro propósito no es otro que analizar la estructura, en los últimos años de dicho índice, partiendo de la base de que la modelización ARIMA ya se ha usado para describir fenómenos bursátiles, siendo un resultado casi clásico que la evolución de las cotizaciones en una bolsa sigue un modelo similar al camino aleatorio (o proceso ARIMA(0,1,0. El objetivo será describir la serie IBEX-35 en los últimos años haciendo hincapié en sus regularidades y en sus heterogeneidades a lo largo del tiempo, así como comprobar si dicha serie temporal se puede describir adecuadamente como un proceso ARIMA consistente a través del tiempo. Aunque en este trabajo no nos centraremos en la predicción del índice IBEX, sí que se comentarán brevemente aspectos predictivos sobre el año 1998.

Time series models for prediction the total and dissolved heavy metals concentration in road runoff and soil solution of roadside embankments

Science.gov (United States)

Aljoumani, Basem; Kluge, Björn; sanchez, Josep; Wessolek, Gerd

2017-04-01

Highways and main roads are potential sources of contamination for the surrounding environment. High traffic rates result in elevated heavy metal concentrations in road runoff, soil and water seepage, which has attracted much attention in the recent past. Prediction of heavy metals transfer near the roadside into deeper soil layers are very important to prevent the groundwater pollution. This study was carried out on data of a number of lysimeters which were installed along the A115 highway (Germany) with a mean daily traffic of 90.000 vehicles per day. Three polyethylene (PE) lysimeters were installed at the A115 highway. They have the following dimensions: length 150 cm, width 100 cm, height 60 cm. The lysimeters were filled with different soil materials, which were recently used for embankment construction in Germany. With the obtained data, we will develop a time series analysis model to predict total and dissolved metal concentration in road runoff and in soil solution of the roadside embankments. The time series consisted of monthly measurements of heavy metals and was transformed to a stationary situation. Subsequently, the transformed data will be used to conduct analyses in the time domain in order to obtain the parameters of a seasonal autoregressive integrated moving average (ARIMA) model. Four phase approaches for identifying and fitting ARIMA models will be used: identification, parameter estimation, diagnostic checking, and forecasting. An automatic selection criterion, such as the Akaike information criterion, will use to enhance this flexible approach to model building

Forecasting of Water Consumptions Expenditure Using Holt-Winter’s and ARIMA

Science.gov (United States)

Razali, S. N. A. M.; Rusiman, M. S.; Zawawi, N. I.; Arbin, N.

2018-04-01

This study is carried out to forecast water consumption expenditure of Malaysian university specifically at University Tun Hussein Onn Malaysia (UTHM). The proposed Holt-Winter’s and Auto-Regressive Integrated Moving Average (ARIMA) models were applied to forecast the water consumption expenditure in Ringgit Malaysia from year 2006 until year 2014. The two models were compared and performance measurement of the Mean Absolute Percentage Error (MAPE) and Mean Absolute Deviation (MAD) were used. It is found that ARIMA model showed better results regarding the accuracy of forecast with lower values of MAPE and MAD. Analysis showed that ARIMA (2,1,4) model provided a reasonable forecasting tool for university campus water usage.

Model-based Clustering of Categorical Time Series with Multinomial Logit Classification

Science.gov (United States)

Frühwirth-Schnatter, Sylvia; Pamminger, Christoph; Winter-Ebmer, Rudolf; Weber, Andrea

2010-09-01

A common problem in many areas of applied statistics is to identify groups of similar time series in a panel of time series. However, distance-based clustering methods cannot easily be extended to time series data, where an appropriate distance-measure is rather difficult to define, particularly for discrete-valued time series. Markov chain clustering, proposed by Pamminger and Frühwirth-Schnatter [6], is an approach for clustering discrete-valued time series obtained by observing a categorical variable with several states. This model-based clustering method is based on finite mixtures of first-order time-homogeneous Markov chain models. In order to further explain group membership we present an extension to the approach of Pamminger and Frühwirth-Schnatter [6] by formulating a probabilistic model for the latent group indicators within the Bayesian classification rule by using a multinomial logit model. The parameters are estimated for a fixed number of clusters within a Bayesian framework using an Markov chain Monte Carlo (MCMC) sampling scheme representing a (full) Gibbs-type sampler which involves only draws from standard distributions. Finally, an application to a panel of Austrian wage mobility data is presented which leads to an interesting segmentation of the Austrian labour market.

Optimasi parameter neural network pada data time series

Directory of Open Access Journals (Sweden)

Muzakir Hi Sultan

2014-05-01

Full Text Available Gempa bumi merupakan suatu pergerakan tanah yang terjadi secara tiba-tiba hingga menimbulkan getaran, besarnya kekuatan gempa dapat mengakibatkan bencana baik kerusakan maupun korban jiwa. Untuk mengantisipasi bencana yang akan datang maka diperlukan suatu model khususnya untuk meramalkan besarnya kekuatan gempa. Pada penelitian ini, digunakan model ARIMA dan model kombinasi dari Neural Network-Algoritma Genetik (NN-GA untuk memprediksi rata-rata kekuatan gempa bumi setiap bulan khususnya yang terjadi di wilayah Maluku Utara. Data yang digunakan adalah data kekuatan gempa berdasarkan skala richter yang diperoleh dari Badan Meteorologi, Klimatologi dan Geofisika (BMKG kota Ternate. Sebagai input pada model ARIMA dan NN-GA digunakan rata-rata kekuatan gempa bumi 36 bulan dan rata-rata kekuatan gempa 36 bulan berikutnya digunakan sebagai target untuk prediksi. Untuk meng-update parameter (bobot dari Neural Network digunakan metode Gradient Descent dan untuk mendapatkan parameter yang lebih optimal pada layer Output, maka di diterapkan Algoritma Genetik. Hasil peramalan dari kedua model kemudian dibandingkan dan model terbaik ditentukan dari nilai Mean square Error (MSE yang terkecil. dari hasil peramalan dengan model ARIMA diperoleh MSE sebesar 1.0125, sedangkan pada model NN-GA diperoleh MSE sebesar 0.9196. Nilai tersebut, menunjukkan bahwa model NN-GA lebih baik dari model ARIMA untuk peramalan rata-rata kekuatan gempa bumi beberapa bulan ke depan

Forecast of electric power market to short-term: a time series approcah

International Nuclear Information System (INIS)

Costa, Roberio Neves Pelinca da.

1994-01-01

Three different time series approaches are analysed by this dissertation in the Brazilian electricity markert context. The aim is to compare the predictive performance of these approaches from a simulated exercise using the main series of the Brazilian consumption of electricity: Total Consumption, Industrial Consumption, Residencial Consumption and Commercial Consumption. One concludes that these appraches offer an enormous potentiality to the short-term planning system of the Electric Sector. Among the univariate models, the results for the analysed period point out that the forecast produced by Holt-Winter's models are more accurate than those produced by ARIMA and structural models. When explanatory variables are introduced in the last models, one can notice, in general, an improvement in the predictive performance of the models, although there is no sufficient evidence to consider that they are superior to Holt-Winter's models. The models with explanatory variables can be particularly useful, however, when one intends either to build scenarios or to study the effects of some variables on the consumption of electricity. (author). 73 refs., 19 figs., 13 tabs

Fuzzy time-series based on Fibonacci sequence for stock price forecasting

Science.gov (United States)

Chen, Tai-Liang; Cheng, Ching-Hsue; Jong Teoh, Hia

2007-07-01

Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311-319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609-624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481-491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

An Interrupted Time-Series Analysis of Durkheim's Social Deregulation Thesis: The Case of the Russian Federation.

Science.gov (United States)

Pridemore, William Alex; Chamlin, Mitchell B; Cochran, John K

2007-06-01

The dissolution of the Soviet Union resulted in sudden, widespread, and fundamental changes to Russian society. The former social welfare system-with its broad guarantees of employment, healthcare, education, and other forms of social support-was dismantled in the shift toward democracy, rule of law, and a free-market economy. This unique natural experiment provides a rare opportunity to examine the potentially disintegrative effects of rapid social change on deviance, and thus to evaluate one of Durkheim's core tenets. We took advantage of this opportunity by performing interrupted time-series analyses of annual age-adjusted homicide, suicide, and alcohol-related mortality rates for the Russian Federation using data from 1956 to 2002, with 1992-2002 as the postintervention time-frame. The ARIMA models indicate that, controlling for the long-term processes that generated these three time series, the breakup of the Soviet Union was associated with an appreciable increase in each of the cause-of-death rates. We interpret these findings as being consistent with the Durkheimian hypothesis that rapid social change disrupts social order, thereby increasing the level of crime and deviance.

[Approximation to the dynamics of meningococcal meningitis through dynamic systems and time series].

Science.gov (United States)

Canals, M

1996-02-01

Meningococcal meningitis is subjected to epidemiological surveillance due to its severity and the occasional presentation of epidemic outbreaks. This work analyses previous disease models, generate new ones and analyses monthly cases using ARIMA time series models. The results show that disease dynamics for closed populations is epidemic and the epidemic size is related to the proportion of carriers and the transmissiveness of the agent. In open populations, disease dynamics depends on the admission rate of susceptible and the relative admission of infected individuals. Our model considers a logistic populational growth and carrier admission proportional to populational size, generating an endemic dynamics. Considering a non-instantaneous system response, a greater realism is obtained establishing that the endemic situation may present a dynamics highly sensitive to initial conditions, depending on the transmissiveness and proportion of susceptible individuals in the population. Time series model showed an adequate predictive capacity in terms no longer than 10 months. The lack of long term predictability was attributed to local changes in the proportion of carriers or on transmissiveness that lead to chaotic dynamics over a seasonal pattern. Predictions for 1995 and 1996 were obtained.

Time Series Imputation via L1 Norm-Based Singular Spectrum Analysis

Science.gov (United States)

Kalantari, Mahdi; Yarmohammadi, Masoud; Hassani, Hossein; Silva, Emmanuel Sirimal

Missing values in time series data is a well-known and important problem which many researchers have studied extensively in various fields. In this paper, a new nonparametric approach for missing value imputation in time series is proposed. The main novelty of this research is applying the L1 norm-based version of Singular Spectrum Analysis (SSA), namely L1-SSA which is robust against outliers. The performance of the new imputation method has been compared with many other established methods. The comparison is done by applying them to various real and simulated time series. The obtained results confirm that the SSA-based methods, especially L1-SSA can provide better imputation in comparison to other methods.

Stochastic model stationarization by eliminating the periodic term and its effect on time series prediction

Science.gov (United States)

Moeeni, Hamid; Bonakdari, Hossein; Fatemi, Seyed Ehsan

2017-04-01

Because time series stationarization has a key role in stochastic modeling results, three methods are analyzed in this study. The methods are seasonal differencing, seasonal standardization and spectral analysis to eliminate the periodic effect on time series stationarity. First, six time series including 4 streamflow series and 2 water temperature series are stationarized. The stochastic term for these series obtained with ARIMA is subsequently modeled. For the analysis, 9228 models are introduced. It is observed that seasonal standardization and spectral analysis eliminate the periodic term completely, while seasonal differencing maintains seasonal correlation structures. The obtained results indicate that all three methods present acceptable performance overall. However, model accuracy in monthly streamflow prediction is higher with seasonal differencing than with the other two methods. Another advantage of seasonal differencing over the other methods is that the monthly streamflow is never estimated as negative. Standardization is the best method for predicting monthly water temperature although it is quite similar to seasonal differencing, while spectral analysis performed the weakest in all cases. It is concluded that for each monthly seasonal series, seasonal differencing is the best stationarization method in terms of periodic effect elimination. Moreover, the monthly water temperature is predicted with more accuracy than monthly streamflow. The criteria of the average stochastic term divided by the amplitude of the periodic term obtained for monthly streamflow and monthly water temperature were 0.19 and 0.30, 0.21 and 0.13, and 0.07 and 0.04 respectively. As a result, the periodic term is more dominant than the stochastic term for water temperature in the monthly water temperature series compared to streamflow series.

Ratio-based lengths of intervals to improve fuzzy time series forecasting.

Science.gov (United States)

Huarng, Kunhuang; Yu, Tiffany Hui-Kuang

2006-04-01

The objective of this study is to explore ways of determining the useful lengths of intervals in fuzzy time series. It is suggested that ratios, instead of equal lengths of intervals, can more properly represent the intervals among observations. Ratio-based lengths of intervals are, therefore, proposed to improve fuzzy time series forecasting. Algebraic growth data, such as enrollments and the stock index, and exponential growth data, such as inventory demand, are chosen as the forecasting targets, before forecasting based on the various lengths of intervals is performed. Furthermore, sensitivity analyses are also carried out for various percentiles. The ratio-based lengths of intervals are found to outperform the effective lengths of intervals, as well as the arbitrary ones in regard to the different statistical measures. The empirical analysis suggests that the ratio-based lengths of intervals can also be used to improve fuzzy time series forecasting.

Application of residual modification approach in seasonal ARIMA for electricity demand forecasting: A case study of China

International Nuclear Information System (INIS)

Wang Yuanyuan; Wang Jianzhou; Zhao Ge; Dong Yao

2012-01-01

Electricity demand forecasting could prove to be a useful policy tool for decision-makers; thus, accurate forecasting of electricity demand is valuable in allowing both power generators and consumers to make their plans. Although a seasonal ARIMA model is widely used in electricity demand analysis and is a high-precision approach for seasonal data forecasting, errors are unavoidable in the forecasting process. Consequently, a significant research goal is to further improve forecasting precision. To help people in the electricity sectors make more sensible decisions, this study proposes residual modification models to improve the precision of seasonal ARIMA for electricity demand forecasting. In this study, PSO optimal Fourier method, seasonal ARIMA model and combined models of PSO optimal Fourier method with seasonal ARIMA are applied in the Northwest electricity grid of China to correct the forecasting results of seasonal ARIMA. The modification models forecasting of the electricity demand appears to be more workable than that of the single seasonal ARIMA. The results indicate that the prediction accuracy of the three residual modification models is higher than the single seasonal ARIMA model and that the combined model is the most satisfactory of the three models. - Highlights: ► Three residual modification models are proposed to improve the precision of seasonal ARIMA. ► Accurate electricity demand forecast is helpful for a power production sector to come to a correct and reasonable decision. ► The results conclude that the residual modification approaches could enhance the prediction accuracy of seasonal ARIMA. ► The modification models could be applied to forecast electricity demand.

Fourier Magnitude-Based Privacy-Preserving Clustering on Time-Series Data

Science.gov (United States)

Kim, Hea-Suk; Moon, Yang-Sae

Privacy-preserving clustering (PPC in short) is important in publishing sensitive time-series data. Previous PPC solutions, however, have a problem of not preserving distance orders or incurring privacy breach. To solve this problem, we propose a new PPC approach that exploits Fourier magnitudes of time-series. Our magnitude-based method does not cause privacy breach even though its techniques or related parameters are publicly revealed. Using magnitudes only, however, incurs the distance order problem, and we thus present magnitude selection strategies to preserve as many Euclidean distance orders as possible. Through extensive experiments, we showcase the superiority of our magnitude-based approach.

Assessment and prediction of road accident injuries trend using time-series models in Kurdistan.

Science.gov (United States)

Parvareh, Maryam; Karimi, Asrin; Rezaei, Satar; Woldemichael, Abraha; Nili, Sairan; Nouri, Bijan; Nasab, Nader Esmail

2018-01-01

Road traffic accidents are commonly encountered incidents that can cause high-intensity injuries to the victims and have direct impacts on the members of the society. Iran has one of the highest incident rates of road traffic accidents. The objective of this study was to model the patterns of road traffic accidents leading to injury in Kurdistan province, Iran. A time-series analysis was conducted to characterize and predict the frequency of road traffic accidents that lead to injury in Kurdistan province. The injuries were categorized into three separate groups which were related to the car occupants, motorcyclists and pedestrian road traffic accident injuries. The Box-Jenkins time-series analysis was used to model the injury observations applying autoregressive integrated moving average (ARIMA) and seasonal autoregressive integrated moving average (SARIMA) from March 2009 to February 2015 and to predict the accidents up to 24 months later (February 2017). The analysis was carried out using R-3.4.2 statistical software package. A total of 5199 pedestrians, 9015 motorcyclists, and 28,906 car occupants' accidents were observed. The mean (SD) number of car occupant, motorcyclist and pedestrian accident injuries observed were 401.01 (SD 32.78), 123.70 (SD 30.18) and 71.19 (SD 17.92) per year, respectively. The best models for the pattern of car occupant, motorcyclist, and pedestrian injuries were the ARIMA (1, 0, 0), SARIMA (1, 0, 2) (1, 0, 0) 12 , and SARIMA (1, 1, 1) (0, 0, 1) 12 , respectively. The motorcyclist and pedestrian injuries showed a seasonal pattern and the peak was during summer (August). The minimum frequency for the motorcyclist and pedestrian injuries were observed during the late autumn and early winter (December and January). Our findings revealed that the observed motorcyclist and pedestrian injuries had a seasonal pattern that was explained by air temperature changes overtime. These findings call the need for close monitoring of the

Satellite Image Time Series Decomposition Based on EEMD

Directory of Open Access Journals (Sweden)

Yun-long Kong

2015-11-01

Full Text Available Satellite Image Time Series (SITS have recently been of great interest due to the emerging remote sensing capabilities for Earth observation. Trend and seasonal components are two crucial elements of SITS. In this paper, a novel framework of SITS decomposition based on Ensemble Empirical Mode Decomposition (EEMD is proposed. EEMD is achieved by sifting an ensemble of adaptive orthogonal components called Intrinsic Mode Functions (IMFs. EEMD is noise-assisted and overcomes the drawback of mode mixing in conventional Empirical Mode Decomposition (EMD. Inspired by these advantages, the aim of this work is to employ EEMD to decompose SITS into IMFs and to choose relevant IMFs for the separation of seasonal and trend components. In a series of simulations, IMFs extracted by EEMD achieved a clear representation with physical meaning. The experimental results of 16-day compositions of Moderate Resolution Imaging Spectroradiometer (MODIS, Normalized Difference Vegetation Index (NDVI, and Global Environment Monitoring Index (GEMI time series with disturbance illustrated the effectiveness and stability of the proposed approach to monitoring tasks, such as applications for the detection of abrupt changes.

Energy-Based Wavelet De-Noising of Hydrologic Time Series

Science.gov (United States)

Sang, Yan-Fang; Liu, Changming; Wang, Zhonggen; Wen, Jun; Shang, Lunyu

2014-01-01

De-noising is a substantial issue in hydrologic time series analysis, but it is a difficult task due to the defect of methods. In this paper an energy-based wavelet de-noising method was proposed. It is to remove noise by comparing energy distribution of series with the background energy distribution, which is established from Monte-Carlo test. Differing from wavelet threshold de-noising (WTD) method with the basis of wavelet coefficient thresholding, the proposed method is based on energy distribution of series. It can distinguish noise from deterministic components in series, and uncertainty of de-noising result can be quantitatively estimated using proper confidence interval, but WTD method cannot do this. Analysis of both synthetic and observed series verified the comparable power of the proposed method and WTD, but de-noising process by the former is more easily operable. The results also indicate the influences of three key factors (wavelet choice, decomposition level choice and noise content) on wavelet de-noising. Wavelet should be carefully chosen when using the proposed method. The suitable decomposition level for wavelet de-noising should correspond to series' deterministic sub-signal which has the smallest temporal scale. If too much noise is included in a series, accurate de-noising result cannot be obtained by the proposed method or WTD, but the series would show pure random but not autocorrelation characters, so de-noising is no longer needed. PMID:25360533

Forecasting and Analysis of Monthly Rainfalls in Ardabil Province by Arima, Autoregrressive, and Winters Models

Directory of Open Access Journals (Sweden)

B. Salahi

2017-01-01

Full Text Available Introduction: Rainfall has the highest variability at time and place scale. Rainfall fluctuation in different geographical areas reveals the necessity of investigating this climate element and suitable models to forecast the rate of precipitation for regional planning. Ardabil province has always faced rainfall fluctuations and shortage of water supply. Precipitation is one of the most important features of the environment. The amount of precipitation over time and in different places is subject to large fluctuations which may be periodical. Studies show that, due to the certain complexities of rainfall, the models which used to predict future values will also need greater accuracy and less error. Among the forecasting models, Arima has more applications and it has replaced with other models. Materials and Methods: In this research, through order 2 Autoregrressive, Winters, and Arima models, monthly rainfalls of Ardabil synoptic station (representing Ardabil province for a 31-year period (1977-2007 were investigated. To assess the presence or absence of significant changes in mean precipitation of Ardabil synoptic station, rainfall of this station was divided into two periods: 1977-1993 and 1994-2010. T-test was used to statistically examine the difference between the two periods. After adjusting the data, descriptive statistics were applied. In order to model the total monthly precipitation of Ardabil synoptic station, Winters, Autoregressive, and Arima models were used. Among different models, the best options were chosen to predict the time series including the mean absolute deviation (MAD, the mean squared errors (MSE, root mean square errors (RMSE and mean absolute percentage errors (MAPE. In order to select the best model among the available options under investigation, the predicted value of the deviation of the actual value was utilized for the months of 2006-2010. Results and Discussion: Statistical characteristics of the total monthly

Trend Estimation and Regression Analysis in Climatological Time Series: An Application of Structural Time Series Models and the Kalman Filter.

Science.gov (United States)

Visser, H.; Molenaar, J.

1995-05-01

The detection of trends in climatological data has become central to the discussion on climate change due to the enhanced greenhouse effect. To prove detection, a method is needed (i) to make inferences on significant rises or declines in trends, (ii) to take into account natural variability in climate series, and (iii) to compare output from GCMs with the trends in observed climate data. To meet these requirements, flexible mathematical tools are needed. A structural time series model is proposed with which a stochastic trend, a deterministic trend, and regression coefficients can be estimated simultaneously. The stochastic trend component is described using the class of ARIMA models. The regression component is assumed to be linear. However, the regression coefficients corresponding with the explanatory variables may be time dependent to validate this assumption. The mathematical technique used to estimate this trend-regression model is the Kaiman filter. The main features of the filter are discussed.Examples of trend estimation are given using annual mean temperatures at a single station in the Netherlands (1706-1990) and annual mean temperatures at Northern Hemisphere land stations (1851-1990). The inclusion of explanatory variables is shown by regressing the latter temperature series on four variables: Southern Oscillation index (SOI), volcanic dust index (VDI), sunspot numbers (SSN), and a simulated temperature signal, induced by increasing greenhouse gases (GHG). In all analyses, the influence of SSN on global temperatures is found to be negligible. The correlations between temperatures and SOI and VDI appear to be negative. For SOI, this correlation is significant, but for VDI it is not, probably because of a lack of volcanic eruptions during the sample period. The relation between temperatures and GHG is positive, which is in agreement with the hypothesis of a warming climate because of increasing levels of greenhouse gases. The prediction performance of

A COMPARATIVE STUDY OF FORECASTING MODELS FOR TREND AND SEASONAL TIME SERIES DOES COMPLEX MODEL ALWAYS YIELD BETTER FORECAST THAN SIMPLE MODELS

Directory of Open Access Journals (Sweden)

Suhartono Suhartono

2005-01-01

Full Text Available Many business and economic time series are non-stationary time series that contain trend and seasonal variations. Seasonality is a periodic and recurrent pattern caused by factors such as weather, holidays, or repeating promotions. A stochastic trend is often accompanied with the seasonal variations and can have a significant impact on various forecasting methods. In this paper, we will investigate and compare some forecasting methods for modeling time series with both trend and seasonal patterns. These methods are Winter's, Decomposition, Time Series Regression, ARIMA and Neural Networks models. In this empirical research, we study on the effectiveness of the forecasting performance, particularly to answer whether a complex method always give a better forecast than a simpler method. We use a real data, that is airline passenger data. The result shows that the more complex model does not always yield a better result than a simpler one. Additionally, we also find the possibility to do further research especially the use of hybrid model by combining some forecasting method to get better forecast, for example combination between decomposition (as data preprocessing and neural network model.

Estimation of Dusty Days Using the Model of Time Series: A Case Study of Hormozgan Province

Directory of Open Access Journals (Sweden)

Mohsen Farahi

2016-04-01

Full Text Available Dust storm is one of the climatic hazards in the arid and semi-arid regions. Southern Iran with its hot and dry climate is more likely affected by the adverse consequences of dust storms due to the proximity to the dusty deserts of Saudi Arabia and Iraq, on one hand, and the synoptic situation for the occurrence of the dust storms in the Persian Gulf, on the other hand. In this study, the frequency of dusty days in Hormozgan Province was investigated and predicted. To this end, data were collected from the three synoptic stations in Bandar Abbas, Bandar Lengeh and Bandar-e Jask from the Iran Meteorological Organization during the statistical period of 1968-2008. Then, using the non-seasonal ARIMA (p, d, q, were analyzed in 16Minitab and the frequency of the dusty days in the region were predicted. Results of the study show that the ARIMA (1, 1, 1noc was the most appropriate pattern for predicting the frequency of dusty days in Hormozgan Province. The results showed that the predictions for Bandar-e Jask, compared to those of Bandar Abbas and Bandar Lengeh are more accurate in terms of continuous increasing trend and the interval stability of the time series prediction and the smaller difference between the observed values with the predicted values.

An Interrupted Time-Series Analysis of Durkheim's Social Deregulation Thesis: The Case of the Russian Federation

Science.gov (United States)

Pridemore, William Alex; Chamlin, Mitchell B.; Cochran, John K.

2009-01-01

The dissolution of the Soviet Union resulted in sudden, widespread, and fundamental changes to Russian society. The former social welfare system-with its broad guarantees of employment, healthcare, education, and other forms of social support-was dismantled in the shift toward democracy, rule of law, and a free-market economy. This unique natural experiment provides a rare opportunity to examine the potentially disintegrative effects of rapid social change on deviance, and thus to evaluate one of Durkheim's core tenets. We took advantage of this opportunity by performing interrupted time-series analyses of annual age-adjusted homicide, suicide, and alcohol-related mortality rates for the Russian Federation using data from 1956 to 2002, with 1992-2002 as the postintervention time-frame. The ARIMA models indicate that, controlling for the long-term processes that generated these three time series, the breakup of the Soviet Union was associated with an appreciable increase in each of the cause-of-death rates. We interpret these findings as being consistent with the Durkheimian hypothesis that rapid social change disrupts social order, thereby increasing the level of crime and deviance. PMID:20165565

Quality Control Procedure Based on Partitioning of NMR Time Series

Directory of Open Access Journals (Sweden)

Michał Staniszewski

2018-03-01

Full Text Available The quality of the magnetic resonance spectroscopy (MRS depends on the stability of magnetic resonance (MR system performance and optimal hardware functioning, which ensure adequate levels of signal-to-noise ratios (SNR as well as good spectral resolution and minimal artifacts in the spectral data. MRS quality control (QC protocols and methodologies are based on phantom measurements that are repeated regularly. In this work, a signal partitioning algorithm based on a dynamic programming (DP method for QC assessment of the spectral data is described. The proposed algorithm allows detection of the change points—the abrupt variations in the time series data. The proposed QC method was tested using the simulated and real phantom data. Simulated data were randomly generated time series distorted by white noise. The real data were taken from the phantom quality control studies of the MRS scanner collected for four and a half years and analyzed by LCModel software. Along with the proposed algorithm, performance of various literature methods was evaluated for the predefined number of change points based on the error values calculated by subtracting the mean values calculated for the periods between the change-points from the original data points. The time series were checked using external software, a set of external methods and the proposed tool, and the obtained results were comparable. The application of dynamic programming in the analysis of the phantom MRS data is a novel approach to QC. The obtained results confirm that the presented change-point-detection tool can be used either for independent analysis of MRS time series (or any other or as a part of quality control.

Toeplitz Inverse Covariance-Based Clustering of Multivariate Time Series Data

Science.gov (United States)

Hallac, David; Vare, Sagar; Boyd, Stephen; Leskovec, Jure

2018-01-01

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of only a small number of states, or clusters. For example, raw sensor data from a fitness-tracking application can be expressed as a timeline of a select few actions (i.e., walking, sitting, running). However, discovering these patterns is challenging because it requires simultaneous segmentation and clustering of the time series. Furthermore, interpreting the resulting clusters is difficult, especially when the data is high-dimensional. Here we propose a new method of model-based clustering, which we call Toeplitz Inverse Covariance-based Clustering (TICC). Each cluster in the TICC method is defined by a correlation network, or Markov random field (MRF), characterizing the interdependencies between different observations in a typical subsequence of that cluster. Based on this graphical representation, TICC simultaneously segments and clusters the time series data. We solve the TICC problem through alternating minimization, using a variation of the expectation maximization (EM) algorithm. We derive closed-form solutions to efficiently solve the two resulting subproblems in a scalable way, through dynamic programming and the alternating direction method of multipliers (ADMM), respectively. We validate our approach by comparing TICC to several state-of-the-art baselines in a series of synthetic experiments, and we then demonstrate on an automobile sensor dataset how TICC can be used to learn interpretable clusters in real-world scenarios. PMID:29770257

Multiscale multifractal multiproperty analysis of financial time series based on Rényi entropy

Science.gov (United States)

Yujun, Yang; Jianping, Li; Yimei, Yang

This paper introduces a multiscale multifractal multiproperty analysis based on Rényi entropy (3MPAR) method to analyze short-range and long-range characteristics of financial time series, and then applies this method to the five time series of five properties in four stock indices. Combining the two analysis techniques of Rényi entropy and multifractal detrended fluctuation analysis (MFDFA), the 3MPAR method focuses on the curves of Rényi entropy and generalized Hurst exponent of five properties of four stock time series, which allows us to study more universal and subtle fluctuation characteristics of financial time series. By analyzing the curves of the Rényi entropy and the profiles of the logarithm distribution of MFDFA of five properties of four stock indices, the 3MPAR method shows some fluctuation characteristics of the financial time series and the stock markets. Then, it also shows a richer information of the financial time series by comparing the profile of five properties of four stock indices. In this paper, we not only focus on the multifractality of time series but also the fluctuation characteristics of the financial time series and subtle differences in the time series of different properties. We find that financial time series is far more complex than reported in some research works using one property of time series.

Trend analysis using non-stationary time series clustering based on the finite element method

Science.gov (United States)

Gorji Sefidmazgi, M.; Sayemuzzaman, M.; Homaifar, A.; Jha, M. K.; Liess, S.

2014-05-01

In order to analyze low-frequency variability of climate, it is useful to model the climatic time series with multiple linear trends and locate the times of significant changes. In this paper, we have used non-stationary time series clustering to find change points in the trends. Clustering in a multi-dimensional non-stationary time series is challenging, since the problem is mathematically ill-posed. Clustering based on the finite element method (FEM) is one of the methods that can analyze multidimensional time series. One important attribute of this method is that it is not dependent on any statistical assumption and does not need local stationarity in the time series. In this paper, it is shown how the FEM-clustering method can be used to locate change points in the trend of temperature time series from in situ observations. This method is applied to the temperature time series of North Carolina (NC) and the results represent region-specific climate variability despite higher frequency harmonics in climatic time series. Next, we investigated the relationship between the climatic indices with the clusters/trends detected based on this clustering method. It appears that the natural variability of climate change in NC during 1950-2009 can be explained mostly by AMO and solar activity.

Time Series Analysis Based on Running Mann Whitney Z Statistics

Science.gov (United States)

A sensitive and objective time series analysis method based on the calculation of Mann Whitney U statistics is described. This method samples data rankings over moving time windows, converts those samples to Mann-Whitney U statistics, and then normalizes the U statistics to Z statistics using Monte-...

A hybrid wavelet de-noising and Rank-Set Pair Analysis approach for forecasting hydro-meteorological time series.

Science.gov (United States)

Wang, Dong; Borthwick, Alistair G; He, Handan; Wang, Yuankun; Zhu, Jieyu; Lu, Yuan; Xu, Pengcheng; Zeng, Xiankui; Wu, Jichun; Wang, Lachun; Zou, Xinqing; Liu, Jiufu; Zou, Ying; He, Ruimin

2018-01-01

Accurate, fast forecasting of hydro-meteorological time series is presently a major challenge in drought and flood mitigation. This paper proposes a hybrid approach, wavelet de-noising (WD) and Rank-Set Pair Analysis (RSPA), that takes full advantage of a combination of the two approaches to improve forecasts of hydro-meteorological time series. WD allows decomposition and reconstruction of a time series by the wavelet transform, and hence separation of the noise from the original series. RSPA, a more reliable and efficient version of Set Pair Analysis, is integrated with WD to form the hybrid WD-RSPA approach. Two types of hydro-meteorological data sets with different characteristics and different levels of human influences at some representative stations are used to illustrate the WD-RSPA approach. The approach is also compared to three other generic methods: the conventional Auto Regressive Integrated Moving Average (ARIMA) method, Artificial Neural Networks (ANNs) (BP-error Back Propagation, MLP-Multilayer Perceptron and RBF-Radial Basis Function), and RSPA alone. Nine error metrics are used to evaluate the model performance. Compared to three other generic methods, the results generated by WD-REPA model presented invariably smaller error measures which means the forecasting capability of the WD-REPA model is better than other models. The results show that WD-RSPA is accurate, feasible, and effective. In particular, WD-RSPA is found to be the best among the various generic methods compared in this paper, even when the extreme events are included within a time series. Copyright © 2017 Elsevier Inc. All rights reserved.

Time Series Analysis and Forecasting by Example

CERN Document Server

Bisgaard, Soren

2011-01-01

An intuition-based approach enables you to master time series analysis with ease Time Series Analysis and Forecasting by Example provides the fundamental techniques in time series analysis using various examples. By introducing necessary theory through examples that showcase the discussed topics, the authors successfully help readers develop an intuitive understanding of seemingly complicated time series models and their implications. The book presents methodologies for time series analysis in a simplified, example-based approach. Using graphics, the authors discuss each presented example in

Predicting fuelwood prices in Greece with the use of ARIMA models, artificial neural networks and a hybrid ARIMA-ANN model

International Nuclear Information System (INIS)

Koutroumanidis, Theodoros; Ioannou, Konstantinos; Arabatzis, Garyfallos

2009-01-01

Throughout history, energy resources have acquired a strategic significance for the economic growth and social welfare of any country. The large-scale oil crisis of 1973 coupled with various environmental protection issues, have led many countries to look for new, alternative energy sources. Biomass and fuelwood in particular, constitutes a major renewable energy source (RES) that can make a significant contribution, as a substitute for oil. This paper initially provides a description of the contribution of renewable energy sources to the production of electricity, and also examines the role of forests in the production of fuelwood in Greece. Following this, autoregressive integrated moving average (ARIMA) models, artificial neural networks (ANN) and a hybrid model are used to predict the future selling prices of the fuelwood (from broadleaved and coniferous species) produced by Greek state forest farms. The use of the ARIMA-ANN hybrid model provided the optimum prediction results, thus enabling decision-makers to proceed with a more rational planning for the production and fuelwood market. (author)

ESTIMATING RELIABILITY OF DISTURBANCES IN SATELLITE TIME SERIES DATA BASED ON STATISTICAL ANALYSIS

Directory of Open Access Journals (Sweden)

Z.-G. Zhou

2016-06-01

Full Text Available Normally, the status of land cover is inherently dynamic and changing continuously on temporal scale. However, disturbances or abnormal changes of land cover — caused by such as forest fire, flood, deforestation, and plant diseases — occur worldwide at unknown times and locations. Timely detection and characterization of these disturbances is of importance for land cover monitoring. Recently, many time-series-analysis methods have been developed for near real-time or online disturbance detection, using satellite image time series. However, the detection results were only labelled with “Change/ No change” by most of the present methods, while few methods focus on estimating reliability (or confidence level of the detected disturbances in image time series. To this end, this paper propose a statistical analysis method for estimating reliability of disturbances in new available remote sensing image time series, through analysis of full temporal information laid in time series data. The method consists of three main steps. (1 Segmenting and modelling of historical time series data based on Breaks for Additive Seasonal and Trend (BFAST. (2 Forecasting and detecting disturbances in new time series data. (3 Estimating reliability of each detected disturbance using statistical analysis based on Confidence Interval (CI and Confidence Levels (CL. The method was validated by estimating reliability of disturbance regions caused by a recent severe flooding occurred around the border of Russia and China. Results demonstrated that the method can estimate reliability of disturbances detected in satellite image with estimation error less than 5% and overall accuracy up to 90%.

Analysis of Container Yard Capacity In North TPK Using ARIMA Method

Science.gov (United States)

Sirajuddin; Cut Gebrina Hisbach, M.; Ekawati, Ratna; Ade Irman, SM

2018-03-01

North container terminal known as North TPK is container terminal located in Indonesia Port Corporation area serving domestic container loading and unloading. It has 1006 ground slots with a total capacity of 5,544 TEUs and the maximum throughput of containers is 539,616 TEUs / year. Container throughput in the North TPK is increasing year by year. In 2011-2012, the North TPK container throughput is 165,080 TEUs / year and in 2015-2016 has reached 213,147 TEUs / year. To avoid congestion, and prevent possible losses in the future, this paper will analyze the flow of containers and the level of Yard Occupation Ratio in the North TPK at Tanjung Priok Port. The method used is the Autoregressive Integrated Moving Average (ARIMA) Model. ARIMA is a model that completely ignores independent variables in making forecasting. ARIMA results show that in 2016-2017 the total throughput of containers reached 234,006 TEUs / year with field effectiveness of 43.4% and in 2017-2018 the total throughput of containers reached 249,417 TEUs / year with field effectiveness 46.2%.

Clustering of financial time series

Science.gov (United States)

D'Urso, Pierpaolo; Cappelli, Carmela; Di Lallo, Dario; Massari, Riccardo

2013-05-01

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.

Location of Faults in Power Transmission Lines Using the ARIMA Method

Directory of Open Access Journals (Sweden)

Danilo Pinto Moreira de Souza

2017-10-01

Full Text Available One of the major problems in transmission lines is the occurrence of failures that affect the quality of the electric power supplied, as the exact localization of the fault must be known for correction. In order to streamline the work of maintenance teams and standardize services, this paper proposes a method of locating faults in power transmission lines by analyzing the voltage oscillographic signals extracted at the line monitoring terminals. The developed method relates time series models obtained specifically for each failure pattern. The parameters of the autoregressive integrated moving average (ARIMA model are estimated in order to adjust the voltage curves and calculate the distance from the initial fault localization to the terminals. Simulations of the failures are performed through the ATPDraw ® (5.5 software and the analyses were completed using the RStudio ® (1.0.143 software. The results obtained with respect to the failures, which did not involve earth return, were satisfactory when compared with widely used techniques in the literature, particularly when the fault distance became larger in relation to the beginning of the transmission line.

Forecasting of primary energy consumption data in the United States: A comparison between ARIMA and Holter-Winters models

Science.gov (United States)

Rahman, A.; Ahmar, A. S.

2017-09-01

This research has a purpose to compare ARIMA Model and Holt-Winters Model based on MAE, RSS, MSE, and RMS criteria in predicting Primary Energy Consumption Total data in the US. The data from this research ranges from January 1973 to December 2016. This data will be processed by using R Software. Based on the results of data analysis that has been done, it is found that the model of Holt-Winters Additive type (MSE: 258350.1) is the most appropriate model in predicting Primary Energy Consumption Total data in the US. This model is more appropriate when compared with Holt-Winters Multiplicative type (MSE: 262260,4) and ARIMA Seasonal model (MSE: 723502,2).

Using time-series intervention analysis to understand U.S. Medicaid expenditures on antidepressant agents.

Science.gov (United States)

Ferrand, Yann; Kelton, Christina M L; Guo, Jeff J; Levy, Martin S; Yu, Yan

2011-03-01

Medicaid programs' spending on antidepressants increased from $159 million in 1991 to $2 billion in 2005. The National Institute for Health Care Management attributed this expenditure growth to increases in drug utilization, entry of newer higher-priced antidepressants, and greater prescription drug insurance coverage. Rising enrollment in Medicaid has also contributed to this expenditure growth. This research examines the impact of specific events, including branded-drug and generic entry, a black box warning, direct-to-consumer advertising (DTCA), and new indication approval, on Medicaid spending on antidepressants. Using quarterly expenditure data for 1991-2005 from the national Medicaid pharmacy claims database maintained by the Centers for Medicare and Medicaid Services, a time-series autoregressive integrated moving average (ARIMA) intervention analysis was performed on 6 specific antidepressant drugs and on overall antidepressant spending. Twenty-nine potentially relevant interventions and their dates of occurrence were identified from the literature. Each was tested for an impact on the time series. Forecasts from the models were compared with a holdout sample of actual expenditure data. Interventions with significant impacts on Medicaid expenditures included the patent expiration of Prozac® (P0.05), implying that the expanding market for antidepressants overwhelmed the effect of generic competition. Copyright © 2011 Elsevier Inc. All rights reserved.

Time series modelling of global mean temperature for managerial decision-making.

Science.gov (United States)

Romilly, Peter

2005-07-01

Climate change has important implications for business and economic activity. Effective management of climate change impacts will depend on the availability of accurate and cost-effective forecasts. This paper uses univariate time series techniques to model the properties of a global mean temperature dataset in order to develop a parsimonious forecasting model for managerial decision-making over the short-term horizon. Although the model is estimated on global temperature data, the methodology could also be applied to temperature data at more localised levels. The statistical techniques include seasonal and non-seasonal unit root testing with and without structural breaks, as well as ARIMA and GARCH modelling. A forecasting evaluation shows that the chosen model performs well against rival models. The estimation results confirm the findings of a number of previous studies, namely that global mean temperatures increased significantly throughout the 20th century. The use of GARCH modelling also shows the presence of volatility clustering in the temperature data, and a positive association between volatility and global mean temperature.

A Two-Dimensional Solar Tracking Stationary Guidance Method Based on Feature-Based Time Series

Directory of Open Access Journals (Sweden)

Keke Zhang

2018-01-01

Full Text Available The amount of satellite energy acquired has a direct impact on operational capacities of the satellite. As for practical high functional density microsatellites, solar tracking guidance design of solar panels plays an extremely important role. Targeted at stationary tracking problems incurred in a new system that utilizes panels mounted in the two-dimensional turntable to acquire energies to the greatest extent, a two-dimensional solar tracking stationary guidance method based on feature-based time series was proposed under the constraint of limited satellite attitude coupling control capability. By analyzing solar vector variation characteristics within an orbit period and solar vector changes within the whole life cycle, such a method could be adopted to establish a two-dimensional solar tracking guidance model based on the feature-based time series to realize automatic switching of feature-based time series and stationary guidance under the circumstance of different β angles and the maximum angular velocity control, which was applicable to near-earth orbits of all orbital inclination. It was employed to design a two-dimensional solar tracking stationary guidance system, and a mathematical simulation for guidance performance was carried out in diverse conditions under the background of in-orbit application. The simulation results show that the solar tracking accuracy of two-dimensional stationary guidance reaches 10∘ and below under the integrated constraints, which meet engineering application requirements.

Mapping Rice Cropping Systems in Vietnam Using an NDVI-Based Time-Series Similarity Measurement Based on DTW Distance

Directory of Open Access Journals (Sweden)

Xudong Guan

2016-01-01

Full Text Available Normalized Difference Vegetation Index (NDVI derived from Moderate Resolution Imaging Spectroradiometer (MODIS time-series data has been widely used in the fields of crop and rice classification. The cloudy and rainy weather characteristics of the monsoon season greatly reduce the likelihood of obtaining high-quality optical remote sensing images. In addition, the diverse crop-planting system in Vietnam also hinders the comparison of NDVI among different crop stages. To address these problems, we apply a Dynamic Time Warping (DTW distance-based similarity measure approach and use the entire yearly NDVI time series to reduce the inaccuracy of classification using a single image. We first de-noise the NDVI time series using S-G filtering based on the TIMESAT software. Then, a standard NDVI time-series base for rice growth is established based on field survey data and Google Earth sample data. NDVI time-series data for each pixel are constructed and the DTW distance with the standard rice growth NDVI time series is calculated. Then, we apply thresholds to extract rice growth areas. A qualitative assessment using statistical data and a spatial assessment using sampled data from the rice-cropping map reveal a high mapping accuracy at the national scale between the statistical data, with the corresponding R2 being as high as 0.809; however, the mapped rice accuracy decreased at the provincial scale due to the reduced number of rice planting areas per province. An analysis of the results indicates that the 500-m resolution MODIS data are limited in terms of mapping scattered rice parcels. The results demonstrate that the DTW-based similarity measure of the NDVI time series can be effectively used to map large-area rice cropping systems with diverse cultivation processes.

A novel water quality data analysis framework based on time-series data mining.

Science.gov (United States)

Deng, Weihui; Wang, Guoyin

2017-07-01

The rapid development of time-series data mining provides an emerging method for water resource management research. In this paper, based on the time-series data mining methodology, we propose a novel and general analysis framework for water quality time-series data. It consists of two parts: implementation components and common tasks of time-series data mining in water quality data. In the first part, we propose to granulate the time series into several two-dimensional normal clouds and calculate the similarities in the granulated level. On the basis of the similarity matrix, the similarity search, anomaly detection, and pattern discovery tasks in the water quality time-series instance dataset can be easily implemented in the second part. We present a case study of this analysis framework on weekly Dissolve Oxygen time-series data collected from five monitoring stations on the upper reaches of Yangtze River, China. It discovered the relationship of water quality in the mainstream and tributary as well as the main changing patterns of DO. The experimental results show that the proposed analysis framework is a feasible and efficient method to mine the hidden and valuable knowledge from water quality historical time-series data. Copyright © 2017 Elsevier Ltd. All rights reserved.

Arima and integrated arfima models for forecasting air pollution index in Shah Alam, Selangor

International Nuclear Information System (INIS)

Lim, Ying Siew; Lim, Ying Chin; Pauline, Mah Jin Wee

2008-01-01

Air pollution is one of the major issues that has been affecting human health, agricultural crops, forest species and ecosystems. Since 1980, Malaysia has had a series of haze episodes and the worst ever was reported in 1997. As a result, the government has established the Malaysia Air Quality Guidelines, the Air Pollution Index (API) and Haze Action Plan, to improve the air quality. The API was introduced as an index system for classifying and reporting the ambient air quality in Malaysia. The API for a given period is calculated based on the sub-index value (sub-API) for all the five air pollutants, namely sulphur dioxide (SO 2 ), nitrogen dioxide (NO 2 ), ozone (O 3 ), carbon monoxide (CO) and particulate matter below 10 micron size (PM 10 ). The forecast of air pollution can be used for air pollution assessment and management. It can serve as information and warning to the public in cases of high air pollution levels and for policy management of many different chemical compounds. Hence, the objective of this project is to fit and illustrate the use of time series models in forecasting the API in Shah Alam, Selangor. The data used in this study consists of 70 monthly observations of API (from March 1998 to December 2003) published in the Annual Reports of the Department of Environment, Selangor. The time series models that were being considered were the Integrated Autoregressive Moving Average (ARIMA) and the Integrated Long Memory Model (ARFIMA) models. The lowest MAE, RMSE and MAPE values were used as the model selection criteria. Between these two models considered, the integrated ARFIMA model appears to be the better model as it has the lowest MAPE value. However, the actual value of May 2003 falls outside the 95% forecast interval, probably due to emissions from mobile sources (i.e., motor vehicles), industrial emissions, burning of solid wastes and forest fires. (author)

Configuring calendar variation based on time series regression method for forecasting of monthly currency inflow and outflow in Central Java

Science.gov (United States)

Setiawan, Suhartono, Ahmad, Imam Safawi; Rahmawati, Noorgam Ika

2015-12-01

Bank Indonesia (BI) as the central bank of Republic Indonesiahas a single overarching objective to establish and maintain rupiah stability. This objective could be achieved by monitoring traffic of inflow and outflow money currency. Inflow and outflow are related to stock and distribution of money currency around Indonesia territory. It will effect of economic activities. Economic activities of Indonesia,as one of Moslem country, absolutely related to Islamic Calendar (lunar calendar), that different with Gregorian calendar. This research aims to forecast the inflow and outflow money currency of Representative Office (RO) of BI Semarang Central Java region. The results of the analysis shows that the characteristics of inflow and outflow money currency influenced by the effects of the calendar variations, that is the day of Eid al-Fitr (moslem holyday) as well as seasonal patterns. In addition, the period of a certain week during Eid al-Fitr also affect the increase of inflow and outflow money currency. The best model based on the value of the smallestRoot Mean Square Error (RMSE) for inflow data is ARIMA model. While the best model for predicting the outflow data in RO of BI Semarang is ARIMAX model or Time Series Regression, because both of them have the same model. The results forecast in a period of 2015 shows an increase of inflow money currency happened in August, while the increase in outflow money currency happened in July.

Phase synchronization based minimum spanning trees for analysis of financial time series with nonlinear correlations

Science.gov (United States)

Radhakrishnan, Srinivasan; Duvvuru, Arjun; Sultornsanee, Sivarit; Kamarthi, Sagar

2016-02-01

The cross correlation coefficient has been widely applied in financial time series analysis, in specific, for understanding chaotic behaviour in terms of stock price and index movements during crisis periods. To better understand time series correlation dynamics, the cross correlation matrices are represented as networks, in which a node stands for an individual time series and a link indicates cross correlation between a pair of nodes. These networks are converted into simpler trees using different schemes. In this context, Minimum Spanning Trees (MST) are the most favoured tree structures because of their ability to preserve all the nodes and thereby retain essential information imbued in the network. Although cross correlations underlying MSTs capture essential information, they do not faithfully capture dynamic behaviour embedded in the time series data of financial systems because cross correlation is a reliable measure only if the relationship between the time series is linear. To address the issue, this work investigates a new measure called phase synchronization (PS) for establishing correlations among different time series which relate to one another, linearly or nonlinearly. In this approach the strength of a link between a pair of time series (nodes) is determined by the level of phase synchronization between them. We compare the performance of phase synchronization based MST with cross correlation based MST along selected network measures across temporal frame that includes economically good and crisis periods. We observe agreement in the directionality of the results across these two methods. They show similar trends, upward or downward, when comparing selected network measures. Though both the methods give similar trends, the phase synchronization based MST is a more reliable representation of the dynamic behaviour of financial systems than the cross correlation based MST because of the former's ability to quantify nonlinear relationships among time

The detection of local irreversibility in time series based on segmentation

Science.gov (United States)

Teng, Yue; Shang, Pengjian

2018-06-01

We propose a strategy for the detection of local irreversibility in stationary time series based on multiple scale. The detection is beneficial to evaluate the displacement of irreversibility toward local skewness. By means of this method, we can availably discuss the local irreversible fluctuations of time series as the scale changes. The method was applied to simulated nonlinear signals generated by the ARFIMA process and logistic map to show how the irreversibility functions react to the increasing of the multiple scale. The method was applied also to series of financial markets i.e., American, Chinese and European markets. The local irreversibility for different markets demonstrate distinct characteristics. Simulations and real data support the need of exploring local irreversibility.

Adjust of the residuals of the Arima model by means of the analysis of the residuals of the explanatory variables by means of the analysis of main components

International Nuclear Information System (INIS)

Bernal Suarez, Nestor Ricardo; Montealegre Bocanegra, Jose Edgar

2000-01-01

Based on the previous knowledge and understanding of the causality relationships between the fields of surface temperature of the Pacific and North and South tropical Atlantic oceans and rainfall behaviour in Colombia, we purport to model those relations with a (statistical) transfer model. This work is aimed at improving the adjustment of the model for the monthly mean rainfall registered in Funza (nearby the Capital Bogota). The residues of ARIMA models with six explanatory variables may contribute some percentage to the explanation of the total variability of rainfall as a consequence of their interrelationship. Such effect can be represented as a summary of the six variables, which can be achieved with principal components, taking into account that they are not mutually dependent, since they are white noise time series

Recursive wind speed forecasting based on Hammerstein Auto-Regressive model

International Nuclear Information System (INIS)

Ait Maatallah, Othman; Achuthan, Ajit; Janoyan, Kerop; Marzocca, Pier

2015-01-01

Highlights: • Developed a new recursive WSF model for 1–24 h horizon based on Hammerstein model. • Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series. • Recursive WSF intrinsic error accumulation corrected by applying rotation. • Model verified for real wind speed data from two sites with different characteristics. • HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction. - Abstract: A new Wind Speed Forecasting (WSF) model, suitable for a short term 1–24 h forecast horizon, is developed by adapting Hammerstein model to an Autoregressive approach. The model is applied to real data collected for a period of three years (2004–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical Autoregressive Integrated Moving Average (ARIMA) model and a multi-layer perceptron Artificial Neural Network (ANN). Results show that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can better capture various wind speed characteristics, including asymmetric (non-gaussian) wind speed distribution, non-stationary time series profile, and the chaotic dynamics. The new model is beneficial for various applications in the renewable energy area, particularly for power scheduling

[The trial of business data analysis at the Department of Radiology by constructing the auto-regressive integrated moving-average (ARIMA) model].

Science.gov (United States)

Tani, Yuji; Ogasawara, Katsuhiko

2012-01-01

This study aimed to contribute to the management of a healthcare organization by providing management information using time-series analysis of business data accumulated in the hospital information system, which has not been utilized thus far. In this study, we examined the performance of the prediction method using the auto-regressive integrated moving-average (ARIMA) model, using the business data obtained at the Radiology Department. We made the model using the data used for analysis, which was the number of radiological examinations in the past 9 years, and we predicted the number of radiological examinations in the last 1 year. Then, we compared the actual value with the forecast value. We were able to establish that the performance prediction method was simple and cost-effective by using free software. In addition, we were able to build the simple model by pre-processing the removal of trend components using the data. The difference between predicted values and actual values was 10%; however, it was more important to understand the chronological change rather than the individual time-series values. Furthermore, our method was highly versatile and adaptable compared to the general time-series data. Therefore, different healthcare organizations can use our method for the analysis and forecasting of their business data.

Network structure of multivariate time series.

Science.gov (United States)

Lacasa, Lucas; Nicosia, Vincenzo; Latora, Vito

2015-10-21

Our understanding of a variety of phenomena in physics, biology and economics crucially depends on the analysis of multivariate time series. While a wide range tools and techniques for time series analysis already exist, the increasing availability of massive data structures calls for new approaches for multidimensional signal processing. We present here a non-parametric method to analyse multivariate time series, based on the mapping of a multidimensional time series into a multilayer network, which allows to extract information on a high dimensional dynamical system through the analysis of the structure of the associated multiplex network. The method is simple to implement, general, scalable, does not require ad hoc phase space partitioning, and is thus suitable for the analysis of large, heterogeneous and non-stationary time series. We show that simple structural descriptors of the associated multiplex networks allow to extract and quantify nontrivial properties of coupled chaotic maps, including the transition between different dynamical phases and the onset of various types of synchronization. As a concrete example we then study financial time series, showing that a multiplex network analysis can efficiently discriminate crises from periods of financial stability, where standard methods based on time-series symbolization often fail.

Monthly electric energy demand forecasting with neural networks and Fourier series

International Nuclear Information System (INIS)

Gonzalez-Romera, E.; Jaramillo-Moran, M.A.; Carmona-Fernandez, D.

2008-01-01

Medium-term electric energy demand forecasting is a useful tool for grid maintenance planning and market research of electric energy companies. Several methods, such as ARIMA, regression or artificial intelligence, have been usually used to carry out those predictions. Some approaches include weather or economic variables, which strongly influence electric energy demand. Economic variables usually influence the general series trend, while weather provides a periodic behavior because of its seasonal nature. This work investigates the periodic behavior of the Spanish monthly electric demand series, obtained by rejecting the trend from the consumption series. A novel hybrid approach is proposed: the periodic behavior is forecasted with a Fourier series while the trend is predicted with a neural network. Satisfactory results have been obtained, with a lower than 2% MAPE, which improve those reached when only neural networks or ARIMA were used for the same purpose. (author)

Multifractal analysis of visibility graph-based Ito-related connectivity time series.

Science.gov (United States)

Czechowski, Zbigniew; Lovallo, Michele; Telesca, Luciano

2016-02-01

In this study, we investigate multifractal properties of connectivity time series resulting from the visibility graph applied to normally distributed time series generated by the Ito equations with multiplicative power-law noise. We show that multifractality of the connectivity time series (i.e., the series of numbers of links outgoing any node) increases with the exponent of the power-law noise. The multifractality of the connectivity time series could be due to the width of connectivity degree distribution that can be related to the exit time of the associated Ito time series. Furthermore, the connectivity time series are characterized by persistence, although the original Ito time series are random; this is due to the procedure of visibility graph that, connecting the values of the time series, generates persistence but destroys most of the nonlinear correlations. Moreover, the visibility graph is sensitive for detecting wide "depressions" in input time series.

Trend analysis using non-stationary time series clustering based on the finite element method

OpenAIRE

Gorji Sefidmazgi, M.; Sayemuzzaman, M.; Homaifar, A.; Jha, M. K.; Liess, S.

2014-01-01

In order to analyze low-frequency variability of climate, it is useful to model the climatic time series with multiple linear trends and locate the times of significant changes. In this paper, we have used non-stationary time series clustering to find change points in the trends. Clustering in a multi-dimensional non-stationary time series is challenging, since the problem is mathematically ill-posed. Clustering based on the finite element method (FEM) is one of the methods ...

Application of Time-series Model to Predict Groundwater Quality Parameters for Agriculture: (Plain Mehran Case Study)

Science.gov (United States)

Mehrdad Mirsanjari, Mir; Mohammadyari, Fatemeh

2018-03-01

Underground water is regarded as considerable water source which is mainly available in arid and semi arid with deficient surface water source. Forecasting of hydrological variables are suitable tools in water resources management. On the other hand, time series concepts is considered efficient means in forecasting process of water management. In this study the data including qualitative parameters (electrical conductivity and sodium adsorption ratio) of 17 underground water wells in Mehran Plain has been used to model the trend of parameters change over time. Using determined model, the qualitative parameters of groundwater is predicted for the next seven years. Data from 2003 to 2016 has been collected and were fitted by AR, MA, ARMA, ARIMA and SARIMA models. Afterward, the best model is determined using information criterion or Akaike (AIC) and correlation coefficient. After modeling parameters, the map of agricultural land use in 2016 and 2023 were generated and the changes between these years were studied. Based on the results, the average of predicted SAR (Sodium Adsorption Rate) in all wells in the year 2023 will increase compared to 2016. EC (Electrical Conductivity) average in the ninth and fifteenth holes and decreases in other wells will be increased. The results indicate that the quality of groundwater for Agriculture Plain Mehran will decline in seven years.

Short-term electricity prices forecasting based on support vector regression and Auto-regressive integrated moving average modeling

International Nuclear Information System (INIS)

Che Jinxing; Wang Jianzhou

2010-01-01

In this paper, we present the use of different mathematical models to forecast electricity price under deregulated power. A successful prediction tool of electricity price can help both power producers and consumers plan their bidding strategies. Inspired by that the support vector regression (SVR) model, with the ε-insensitive loss function, admits of the residual within the boundary values of ε-tube, we propose a hybrid model that combines both SVR and Auto-regressive integrated moving average (ARIMA) models to take advantage of the unique strength of SVR and ARIMA models in nonlinear and linear modeling, which is called SVRARIMA. A nonlinear analysis of the time-series indicates the convenience of nonlinear modeling, the SVR is applied to capture the nonlinear patterns. ARIMA models have been successfully applied in solving the residuals regression estimation problems. The experimental results demonstrate that the model proposed outperforms the existing neural-network approaches, the traditional ARIMA models and other hybrid models based on the root mean square error and mean absolute percentage error.

Uncertainty Reduction in Power Generation Forecast Using Coupled Wavelet-ARIMA

Energy Technology Data Exchange (ETDEWEB)

Hou, Zhangshuan; Etingov, Pavel V.; Makarov, Yuri V.; Samaan, Nader A.

2014-10-27

In this paper, we introduce a new approach without implying normal distributions and stationarity of power generation forecast errors. In addition, it is desired to more accurately quantify the forecast uncertainty by reducing prediction intervals of forecasts. We use automatically coupled wavelet transform and autoregressive integrated moving-average (ARIMA) forecasting to reflect multi-scale variability of forecast errors. The proposed analysis reveals slow-changing “quasi-deterministic” components of forecast errors. This helps improve forecasts produced by other means, e.g., using weather-based models, and reduce forecast errors prediction intervals.

Automated classification of Permanent Scatterers time-series based on statistical characterization tests

Science.gov (United States)

Berti, Matteo; Corsini, Alessandro; Franceschini, Silvia; Iannacone, Jean Pascal

2013-04-01

The application of space borne synthetic aperture radar interferometry has progressed, over the last two decades, from the pioneer use of single interferograms for analyzing changes on the earth's surface to the development of advanced multi-interferogram techniques to analyze any sort of natural phenomena which involves movements of the ground. The success of multi-interferograms techniques in the analysis of natural hazards such as landslides and subsidence is widely documented in the scientific literature and demonstrated by the consensus among the end-users. Despite the great potential of this technique, radar interpretation of slope movements is generally based on the sole analysis of average displacement velocities, while the information embraced in multi interferogram time series is often overlooked if not completely neglected. The underuse of PS time series is probably due to the detrimental effect of residual atmospheric errors, which make the PS time series characterized by erratic, irregular fluctuations often difficult to interpret, and also to the difficulty of performing a visual, supervised analysis of the time series for a large dataset. In this work is we present a procedure for automatic classification of PS time series based on a series of statistical characterization tests. The procedure allows to classify the time series into six distinctive target trends (0=uncorrelated; 1=linear; 2=quadratic; 3=bilinear; 4=discontinuous without constant velocity; 5=discontinuous with change in velocity) and retrieve for each trend a series of descriptive parameters which can be efficiently used to characterize the temporal changes of ground motion. The classification algorithms were developed and tested using an ENVISAT datasets available in the frame of EPRS-E project (Extraordinary Plan of Environmental Remote Sensing) of the Italian Ministry of Environment (track "Modena", Northern Apennines). This dataset was generated using standard processing, then the

Forecasting seeing and parameters of long-exposure images by means of ARIMA

Science.gov (United States)

Kornilov, Matwey V.

2016-02-01

Atmospheric turbulence is the one of the major limiting factors for ground-based astronomical observations. In this paper, the problem of short-term forecasting seeing is discussed. The real data that were obtained by atmospheric optical turbulence (OT) measurements above Mount Shatdzhatmaz in 2007-2013 have been analysed. Linear auto-regressive integrated moving average (ARIMA) models are used for the forecasting. A new procedure for forecasting the image characteristics of direct astronomical observations (central image intensity, full width at half maximum, radius encircling 80 % of the energy) has been proposed. Probability density functions of the forecast of these quantities are 1.5-2 times thinner than the respective unconditional probability density functions. Overall, this study found that the described technique could adequately describe temporal stochastic variations of the OT power.

Data mining in time series databases

CERN Document Server

Kandel, Abraham; Bunke, Horst

2004-01-01

Adding the time dimension to real-world databases produces Time SeriesDatabases (TSDB) and introduces new aspects and difficulties to datamining and knowledge discovery. This book covers the state-of-the-artmethodology for mining time series databases. The novel data miningmethods presented in the book include techniques for efficientsegmentation, indexing, and classification of noisy and dynamic timeseries. A graph-based method for anomaly detection in time series isdescribed and the book also studies the implications of a novel andpotentially useful representation of time series as strings. Theproblem of detecting changes in data mining models that are inducedfrom temporal databases is additionally discussed.

Intuitionistic Fuzzy Time Series Forecasting Model Based on Intuitionistic Fuzzy Reasoning

Directory of Open Access Journals (Sweden)

Ya’nan Wang

2016-01-01

Full Text Available Fuzzy sets theory cannot describe the data comprehensively, which has greatly limited the objectivity of fuzzy time series in uncertain data forecasting. In this regard, an intuitionistic fuzzy time series forecasting model is built. In the new model, a fuzzy clustering algorithm is used to divide the universe of discourse into unequal intervals, and a more objective technique for ascertaining the membership function and nonmembership function of the intuitionistic fuzzy set is proposed. On these bases, forecast rules based on intuitionistic fuzzy approximate reasoning are established. At last, contrast experiments on the enrollments of the University of Alabama and the Taiwan Stock Exchange Capitalization Weighted Stock Index are carried out. The results show that the new model has a clear advantage of improving the forecast accuracy.

A Recurrent Probabilistic Neural Network with Dimensionality Reduction Based on Time-series Discriminant Component Analysis.

Science.gov (United States)

Hayashi, Hideaki; Shibanoki, Taro; Shima, Keisuke; Kurita, Yuichi; Tsuji, Toshio

2015-12-01

This paper proposes a probabilistic neural network (NN) developed on the basis of time-series discriminant component analysis (TSDCA) that can be used to classify high-dimensional time-series patterns. TSDCA involves the compression of high-dimensional time series into a lower dimensional space using a set of orthogonal transformations and the calculation of posterior probabilities based on a continuous-density hidden Markov model with a Gaussian mixture model expressed in the reduced-dimensional space. The analysis can be incorporated into an NN, which is named a time-series discriminant component network (TSDCN), so that parameters of dimensionality reduction and classification can be obtained simultaneously as network coefficients according to a backpropagation through time-based learning algorithm with the Lagrange multiplier method. The TSDCN is considered to enable high-accuracy classification of high-dimensional time-series patterns and to reduce the computation time taken for network training. The validity of the TSDCN is demonstrated for high-dimensional artificial data and electroencephalogram signals in the experiments conducted during the study.

Pengaruh Hari Raya Galungan Pada Seasonal Adjustment IHK dan Penentuan Komoditas Utama Yang Mempengaruhi Inflasi di Provinsi Bali: Analisis ARIMA

Directory of Open Access Journals (Sweden)

Putu Simpen Arini

2012-10-01

Full Text Available Inflation is one of macroeconomic indicators that show a rise of prices in the general level of goods and services over a period of time. The research conducted by Bank Indonesia in 2003 and 2004 show that the largest component that determine the inflation was people’s expectation. One of the required information to controling inflation expectation is the prediction of future inflation and the main commodity that make a big contribution to inflation. Consumer Price Index (CPI data use to prediction of future inflation rate. Forecasting the time series data of CPI must be preceded with seasonal adjustment to reduce a seasonal component in time series data. Seasonal component which is tested in this study is Galungan (one of Balinese’s big ceremony. This is based on fact that the majority of Balinese are Hindust. Data which used in this research are Consumer Price Index (CPI, inflation rate, commodity price index, producer prices, and consumer prices. The method which used to seasonal adjusted is X-12 ARIMA and the method which used to forecast is SARIMA. Modus method and the principal component analysis are use to determine the main commodity which make an influence to Bali’s inflation. The results of this research are: (1 Galungan has unsignificant result as seasonal component to effect the Bali’s CPI, (2 The forecast for Bali’s inflation rate in 2012 is 6,23 percent, and (3 The main commodity that has a big contribution to influence the Bali’s inflation rate is rice.  

The Selection of ARIMA Models with or without Regressors

DEFF Research Database (Denmark)

Johansen, Søren; Riani, Marco; Atkinson, Anthony C.

We develop a $C_{p}$ statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum...

Day-ahead wind speed forecasting using f-ARIMA models

International Nuclear Information System (INIS)

Kavasseri, Rajesh G.; Seetharaman, Krithika

2009-01-01

With the integration of wind energy into electricity grids, it is becoming increasingly important to obtain accurate wind speed/power forecasts. Accurate wind speed forecasts are necessary to schedule dispatchable generation and tariffs in the day-ahead electricity market. This paper examines the use of fractional-ARIMA or f-ARIMA models to model, and forecast wind speeds on the day-ahead (24 h) and two-day-ahead (48 h) horizons. The models are applied to wind speed records obtained from four potential wind generation sites in North Dakota. The forecasted wind speeds are used in conjunction with the power curve of an operational (NEG MICON, 750 kW) turbine to obtain corresponding forecasts of wind power production. The forecast errors in wind speed/power are analyzed and compared with the persistence model. Results indicate that significant improvements in forecasting accuracy are obtained with the proposed models compared to the persistence method. (author)

Markov transition probability-based network from time series for characterizing experimental two-phase flow

International Nuclear Information System (INIS)

Gao Zhong-Ke; Hu Li-Dan; Jin Ning-De

2013-01-01

We generate a directed weighted complex network by a method based on Markov transition probability to represent an experimental two-phase flow. We first systematically carry out gas—liquid two-phase flow experiments for measuring the time series of flow signals. Then we construct directed weighted complex networks from various time series in terms of a network generation method based on Markov transition probability. We find that the generated network inherits the main features of the time series in the network structure. In particular, the networks from time series with different dynamics exhibit distinct topological properties. Finally, we construct two-phase flow directed weighted networks from experimental signals and associate the dynamic behavior of gas-liquid two-phase flow with the topological statistics of the generated networks. The results suggest that the topological statistics of two-phase flow networks allow quantitative characterization of the dynamic flow behavior in the transitions among different gas—liquid flow patterns. (general)

TIME SERIES ANALYSIS USING A UNIQUE MODEL OF TRANSFORMATION

Directory of Open Access Journals (Sweden)

Goran Klepac

2007-12-01

Full Text Available REFII1 model is an authorial mathematical model for time series data mining. The main purpose of that model is to automate time series analysis, through a unique transformation model of time series. An advantage of this approach of time series analysis is the linkage of different methods for time series analysis, linking traditional data mining tools in time series, and constructing new algorithms for analyzing time series. It is worth mentioning that REFII model is not a closed system, which means that we have a finite set of methods. At first, this is a model for transformation of values of time series, which prepares data used by different sets of methods based on the same model of transformation in a domain of problem space. REFII model gives a new approach in time series analysis based on a unique model of transformation, which is a base for all kind of time series analysis. The advantage of REFII model is its possible application in many different areas such as finance, medicine, voice recognition, face recognition and text mining.

A Gaussian Process Based Online Change Detection Algorithm for Monitoring Periodic Time Series

Energy Technology Data Exchange (ETDEWEB)

Chandola, Varun [ORNL; Vatsavai, Raju [ORNL

2011-01-01

Online time series change detection is a critical component of many monitoring systems, such as space and air-borne remote sensing instruments, cardiac monitors, and network traffic profilers, which continuously analyze observations recorded by sensors. Data collected by such sensors typically has a periodic (seasonal) component. Most existing time series change detection methods are not directly applicable to handle such data, either because they are not designed to handle periodic time series or because they cannot operate in an online mode. We propose an online change detection algorithm which can handle periodic time series. The algorithm uses a Gaussian process based non-parametric time series prediction model and monitors the difference between the predictions and actual observations within a statistically principled control chart framework to identify changes. A key challenge in using Gaussian process in an online mode is the need to solve a large system of equations involving the associated covariance matrix which grows with every time step. The proposed algorithm exploits the special structure of the covariance matrix and can analyze a time series of length T in O(T^2) time while maintaining a O(T) memory footprint, compared to O(T^4) time and O(T^2) memory requirement of standard matrix manipulation methods. We experimentally demonstrate the superiority of the proposed algorithm over several existing time series change detection algorithms on a set of synthetic and real time series. Finally, we illustrate the effectiveness of the proposed algorithm for identifying land use land cover changes using Normalized Difference Vegetation Index (NDVI) data collected for an agricultural region in Iowa state, USA. Our algorithm is able to detect different types of changes in a NDVI validation data set (with ~80% accuracy) which occur due to crop type changes as well as disruptive changes (e.g., natural disasters).

New prediction of chaotic time series based on local Lyapunov exponent

International Nuclear Information System (INIS)

Zhang Yong

2013-01-01

A new method of predicting chaotic time series is presented based on a local Lyapunov exponent, by quantitatively measuring the exponential rate of separation or attraction of two infinitely close trajectories in state space. After reconstructing state space from one-dimensional chaotic time series, neighboring multiple-state vectors of the predicting point are selected to deduce the prediction formula by using the definition of the local Lyapunov exponent. Numerical simulations are carried out to test its effectiveness and verify its higher precision over two older methods. The effects of the number of referential state vectors and added noise on forecasting accuracy are also studied numerically. (general)

Grammar-based feature generation for time-series prediction

CERN Document Server

De Silva, Anthony Mihirana

2015-01-01

This book proposes a novel approach for time-series prediction using machine learning techniques with automatic feature generation. Application of machine learning techniques to predict time-series continues to attract considerable attention due to the difficulty of the prediction problems compounded by the non-linear and non-stationary nature of the real world time-series. The performance of machine learning techniques, among other things, depends on suitable engineering of features. This book proposes a systematic way for generating suitable features using context-free grammar. A number of feature selection criteria are investigated and a hybrid feature generation and selection algorithm using grammatical evolution is proposed. The book contains graphical illustrations to explain the feature generation process. The proposed approaches are demonstrated by predicting the closing price of major stock market indices, peak electricity load and net hourly foreign exchange client trade volume. The proposed method ...

Predicting chaotic time series

International Nuclear Information System (INIS)

Farmer, J.D.; Sidorowich, J.J.

1987-01-01

We present a forecasting technique for chaotic data. After embedding a time series in a state space using delay coordinates, we ''learn'' the induced nonlinear mapping using local approximation. This allows us to make short-term predictions of the future behavior of a time series, using information based only on past values. We present an error estimate for this technique, and demonstrate its effectiveness by applying it to several examples, including data from the Mackey-Glass delay differential equation, Rayleigh-Benard convection, and Taylor-Couette flow

Time Series Outlier Detection Based on Sliding Window Prediction

Directory of Open Access Journals (Sweden)

Yufeng Yu

2014-01-01

Full Text Available In order to detect outliers in hydrological time series data for improving data quality and decision-making quality related to design, operation, and management of water resources, this research develops a time series outlier detection method for hydrologic data that can be used to identify data that deviate from historical patterns. The method first built a forecasting model on the history data and then used it to predict future values. Anomalies are assumed to take place if the observed values fall outside a given prediction confidence interval (PCI, which can be calculated by the predicted value and confidence coefficient. The use of PCI as threshold is mainly on the fact that it considers the uncertainty in the data series parameters in the forecasting model to address the suitable threshold selection problem. The method performs fast, incremental evaluation of data as it becomes available, scales to large quantities of data, and requires no preclassification of anomalies. Experiments with different hydrologic real-world time series showed that the proposed methods are fast and correctly identify abnormal data and can be used for hydrologic time series analysis.

Time series forecasting based on deep extreme learning machine

NARCIS (Netherlands)

Guo, Xuqi; Pang, Y.; Yan, Gaowei; Qiao, Tiezhu; Yang, Guang-Hong; Yang, Dan

2017-01-01

Multi-layer Artificial Neural Networks (ANN) has caught widespread attention as a new method for time series forecasting due to the ability of approximating any nonlinear function. In this paper, a new local time series prediction model is established with the nearest neighbor domain theory, in

Time Series Based for Online Signature Verification

Directory of Open Access Journals (Sweden)

I Ketut Gede Darma Putra

2013-11-01

Full Text Available Signature verification system is to match the tested signature with a claimed signature. This paper proposes time series based for feature extraction method and dynamic time warping for match method. The system made by process of testing 900 signatures belong to 50 participants, 3 signatures for reference and 5 signatures from original user, simple imposters and trained imposters for signatures test. The final result system was tested with 50 participants with 3 references. This test obtained that system accuracy without imposters is 90,44897959% at threshold 44 with rejection errors (FNMR is 5,2% and acceptance errors (FMR is 4,35102%, when with imposters system accuracy is 80,1361% at threshold 27 with error rejection (FNMR is 15,6% and acceptance errors (average FMR is 4,263946%, with details as follows: acceptance errors is 0,391837%, acceptance errors simple imposters is 3,2% and acceptance errors trained imposters is 9,2%.

[Predicting Incidence of Hepatitis E in Chinausing Fuzzy Time Series Based on Fuzzy C-Means Clustering Analysis].

Science.gov (United States)

Luo, Yi; Zhang, Tao; Li, Xiao-song

2016-05-01

To explore the application of fuzzy time series model based on fuzzy c-means clustering in forecasting monthly incidence of Hepatitis E in mainland China. Apredictive model (fuzzy time series method based on fuzzy c-means clustering) was developed using Hepatitis E incidence data in mainland China between January 2004 and July 2014. The incidence datafrom August 2014 to November 2014 were used to test the fitness of the predictive model. The forecasting results were compared with those resulted from traditional fuzzy time series models. The fuzzy time series model based on fuzzy c-means clustering had 0.001 1 mean squared error (MSE) of fitting and 6.977 5 x 10⁻⁴ MSE of forecasting, compared with 0.0017 and 0.0014 from the traditional forecasting model. The results indicate that the fuzzy time series model based on fuzzy c-means clustering has a better performance in forecasting incidence of Hepatitis E.

A Time-Series Water Level Forecasting Model Based on Imputation and Variable Selection Method

OpenAIRE

Jun-He Yang; Ching-Hsue Cheng; Chia-Pan Chan

2017-01-01

Reservoirs are important for households and impact the national economy. This paper proposed a time-series forecasting model based on estimating a missing value followed by variable selection to forecast the reservoir's water level. This study collected data from the Taiwan Shimen Reservoir as well as daily atmospheric data from 2008 to 2015. The two datasets are concatenated into an integrated dataset based on ordering of the data as a research dataset. The proposed time-series forecasting m...

Forecasting the number of zoonotic cutaneous leishmaniasis cases in south of Fars province, Iran using seasonal ARIMA time series method.

Science.gov (United States)

Sharafi, Mehdi; Ghaem, Haleh; Tabatabaee, Hamid Reza; Faramarzi, Hossein

2017-01-01

To predict the trend of cutaneous leishmaniasis and assess the relationship between the disease trend and weather variables in south of Fars province using Seasonal Autoregressive Integrated Moving Average (SARIMA) model. The trend of cutaneous leishmaniasis was predicted using Mini tab software and SARIMA model. Besides, information about the disease and weather conditions was collected monthly based on time series design during January 2010 to March 2016. Moreover, various SARIMA models were assessed and the best one was selected. Then, the model's fitness was evaluated based on normality of the residuals' distribution, correspondence between the fitted and real amounts, and calculation of Akaike Information Criteria (AIC) and Bayesian Information Criteria (BIC). The study results indicated that SARIMA model (4,1,4)(0,1,0) (12) in general and SARIMA model (4,1,4)(0,1,1) (12) in below and above 15 years age groups could appropriately predict the disease trend in the study area. Moreover, temperature with a three-month delay (lag3) increased the disease trend, rainfall with a four-month delay (lag4) decreased the disease trend, and rainfall with a nine-month delay (lag9) increased the disease trend. Based on the results, leishmaniasis follows a descending trend in the study area in case drought condition continues, SARIMA models can suitably measure the disease trend, and the disease follows a seasonal trend. Copyright © 2017 Hainan Medical University. Production and hosting by Elsevier B.V. All rights reserved.

A robust anomaly based change detection method for time-series remote sensing images

Science.gov (United States)

Shoujing, Yin; Qiao, Wang; Chuanqing, Wu; Xiaoling, Chen; Wandong, Ma; Huiqin, Mao

2014-03-01

Time-series remote sensing images record changes happening on the earth surface, which include not only abnormal changes like human activities and emergencies (e.g. fire, drought, insect pest etc.), but also changes caused by vegetation phenology and climate changes. Yet, challenges occur in analyzing global environment changes and even the internal forces. This paper proposes a robust Anomaly Based Change Detection method (ABCD) for time-series images analysis by detecting abnormal points in data sets, which do not need to follow a normal distribution. With ABCD we can detect when and where changes occur, which is the prerequisite condition of global change studies. ABCD was tested initially with 10-day SPOT VGT NDVI (Normalized Difference Vegetation Index) times series tracking land cover type changes, seasonality and noise, then validated to real data in a large area in Jiangxi, south of China. Initial results show that ABCD can precisely detect spatial and temporal changes from long time series images rapidly.

Global Population Density Grid Time Series Estimates

Data.gov (United States)

National Aeronautics and Space Administration — Global Population Density Grid Time Series Estimates provide a back-cast time series of population density grids based on the year 2000 population grid from SEDAC's...

Adaptive time-variant models for fuzzy-time-series forecasting.

Science.gov (United States)

Wong, Wai-Keung; Bai, Enjian; Chu, Alice Wai-Ching

2010-12-01

A fuzzy time series has been applied to the prediction of enrollment, temperature, stock indices, and other domains. Related studies mainly focus on three factors, namely, the partition of discourse, the content of forecasting rules, and the methods of defuzzification, all of which greatly influence the prediction accuracy of forecasting models. These studies use fixed analysis window sizes for forecasting. In this paper, an adaptive time-variant fuzzy-time-series forecasting model (ATVF) is proposed to improve forecasting accuracy. The proposed model automatically adapts the analysis window size of fuzzy time series based on the prediction accuracy in the training phase and uses heuristic rules to generate forecasting values in the testing phase. The performance of the ATVF model is tested using both simulated and actual time series including the enrollments at the University of Alabama, Tuscaloosa, and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The experiment results show that the proposed ATVF model achieves a significant improvement in forecasting accuracy as compared to other fuzzy-time-series forecasting models.

Power Forecasting of Combined Heating and Cooling Systems Based on Chaotic Time Series

Directory of Open Access Journals (Sweden)

Liu Hai

2015-01-01

Full Text Available Theoretic analysis shows that the output power of the distributed generation system is nonlinear and chaotic. And it is coupled with the microenvironment meteorological data. Chaos is an inherent property of nonlinear dynamic system. A predicator of the output power of the distributed generation system is to establish a nonlinear model of the dynamic system based on real time series in the reconstructed phase space. Firstly, chaos should be detected and quantified for the intensive studies of nonlinear systems. If the largest Lyapunov exponent is positive, the dynamical system must be chaotic. Then, the embedding dimension and the delay time are chosen based on the improved C-C method. The attractor of chaotic power time series can be reconstructed based on the embedding dimension and delay time in the phase space. By now, the neural network can be trained based on the training samples, which are observed from the distributed generation system. The neural network model will approximate the curve of output power adequately. Experimental results show that the maximum power point of the distributed generation system will be predicted based on the meteorological data. The system can be controlled effectively based on the prediction.

Time averaging, ageing and delay analysis of financial time series

Science.gov (United States)

Cherstvy, Andrey G.; Vinod, Deepak; Aghion, Erez; Chechkin, Aleksei V.; Metzler, Ralf

2017-06-01

We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.

Forecasting Jakarta composite index (IHSG) based on chen fuzzy time series and firefly clustering algorithm

Science.gov (United States)

Ningrum, R. W.; Surarso, B.; Farikhin; Safarudin, Y. M.

2018-03-01

This paper proposes the combination of Firefly Algorithm (FA) and Chen Fuzzy Time Series Forecasting. Most of the existing fuzzy forecasting methods based on fuzzy time series use the static length of intervals. Therefore, we apply an artificial intelligence, i.e., Firefly Algorithm (FA) to set non-stationary length of intervals for each cluster on Chen Method. The method is evaluated by applying on the Jakarta Composite Index (IHSG) and compare with classical Chen Fuzzy Time Series Forecasting. Its performance verified through simulation using Matlab.

Hybrid perturbation methods based on statistical time series models

Science.gov (United States)

San-Juan, Juan Félix; San-Martín, Montserrat; Pérez, Iván; López, Rosario

2016-04-01

In this work we present a new methodology for orbit propagation, the hybrid perturbation theory, based on the combination of an integration method and a prediction technique. The former, which can be a numerical, analytical or semianalytical theory, generates an initial approximation that contains some inaccuracies derived from the fact that, in order to simplify the expressions and subsequent computations, not all the involved forces are taken into account and only low-order terms are considered, not to mention the fact that mathematical models of perturbations not always reproduce physical phenomena with absolute precision. The prediction technique, which can be based on either statistical time series models or computational intelligence methods, is aimed at modelling and reproducing missing dynamics in the previously integrated approximation. This combination results in the precision improvement of conventional numerical, analytical and semianalytical theories for determining the position and velocity of any artificial satellite or space debris object. In order to validate this methodology, we present a family of three hybrid orbit propagators formed by the combination of three different orders of approximation of an analytical theory and a statistical time series model, and analyse their capability to process the effect produced by the flattening of the Earth. The three considered analytical components are the integration of the Kepler problem, a first-order and a second-order analytical theories, whereas the prediction technique is the same in the three cases, namely an additive Holt-Winters method.

Characterizing time series via complexity-entropy curves

Science.gov (United States)

Ribeiro, Haroldo V.; Jauregui, Max; Zunino, Luciano; Lenzi, Ervin K.

2017-06-01

The search for patterns in time series is a very common task when dealing with complex systems. This is usually accomplished by employing a complexity measure such as entropies and fractal dimensions. However, such measures usually only capture a single aspect of the system dynamics. Here, we propose a family of complexity measures for time series based on a generalization of the complexity-entropy causality plane. By replacing the Shannon entropy by a monoparametric entropy (Tsallis q entropy) and after considering the proper generalization of the statistical complexity (q complexity), we build up a parametric curve (the q -complexity-entropy curve) that is used for characterizing and classifying time series. Based on simple exact results and numerical simulations of stochastic processes, we show that these curves can distinguish among different long-range, short-range, and oscillating correlated behaviors. Also, we verify that simulated chaotic and stochastic time series can be distinguished based on whether these curves are open or closed. We further test this technique in experimental scenarios related to chaotic laser intensity, stock price, sunspot, and geomagnetic dynamics, confirming its usefulness. Finally, we prove that these curves enhance the automatic classification of time series with long-range correlations and interbeat intervals of healthy subjects and patients with heart disease.

Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods

Science.gov (United States)

He, Jiayi; Shang, Pengjian; Xiong, Hui

2018-06-01

Stocks, as the concrete manifestation of financial time series with plenty of potential information, are often used in the study of financial time series. In this paper, we utilize the stock data to recognize their patterns through out the dissimilarity matrix based on modified cross-sample entropy, then three-dimensional perceptual maps of the results are provided through multidimensional scaling method. Two modified multidimensional scaling methods are proposed in this paper, that is, multidimensional scaling based on Kronecker-delta cross-sample entropy (MDS-KCSE) and multidimensional scaling based on permutation cross-sample entropy (MDS-PCSE). These two methods use Kronecker-delta based cross-sample entropy and permutation based cross-sample entropy to replace the distance or dissimilarity measurement in classical multidimensional scaling (MDS). Multidimensional scaling based on Chebyshev distance (MDSC) is employed to provide a reference for comparisons. Our analysis reveals a clear clustering both in synthetic data and 18 indices from diverse stock markets. It implies that time series generated by the same model are easier to have similar irregularity than others, and the difference in the stock index, which is caused by the country or region and the different financial policies, can reflect the irregularity in the data. In the synthetic data experiments, not only the time series generated by different models can be distinguished, the one generated under different parameters of the same model can also be detected. In the financial data experiment, the stock indices are clearly divided into five groups. Through analysis, we find that they correspond to five regions, respectively, that is, Europe, North America, South America, Asian-Pacific (with the exception of mainland China), mainland China and Russia. The results also demonstrate that MDS-KCSE and MDS-PCSE provide more effective divisions in experiments than MDSC.

Wind Speed Prediction with Wavelet Time Series Based on Lorenz Disturbance

Directory of Open Access Journals (Sweden)

ZHANG, Y.

2017-08-01

Full Text Available Due to the sustainable and pollution-free characteristics, wind energy has been one of the fastest growing renewable energy sources. However, the intermittent and random fluctuation of wind speed presents many challenges for reliable wind power integration and normal operation of wind farm. Accurate wind speed prediction is the key to ensure the safe operation of power system and to develop wind energy resources. Therefore, this paper has presented a wavelet time series wind speed prediction model based on Lorenz disturbance. Therefore, in this paper, combined with the atmospheric dynamical system, a wavelet-time series improved wind speed prediction model based on Lorenz disturbance is proposed and the wind turbines of different climate types in Spain and China are used to simulate the disturbances of Lorenz equations with different initial values. The prediction results show that the improved model can effectively correct the preliminary prediction of wind speed, improving the prediction. In a word, the research work in this paper will be helpful to arrange the electric power dispatching plan and ensure the normal operation of the wind farm.

Geometric noise reduction for multivariate time series.

Science.gov (United States)

Mera, M Eugenia; Morán, Manuel

2006-03-01

We propose an algorithm for the reduction of observational noise in chaotic multivariate time series. The algorithm is based on a maximum likelihood criterion, and its goal is to reduce the mean distance of the points of the cleaned time series to the attractor. We give evidence of the convergence of the empirical measure associated with the cleaned time series to the underlying invariant measure, implying the possibility to predict the long run behavior of the true dynamics.

BRITS: Bidirectional Recurrent Imputation for Time Series

OpenAIRE

Cao, Wei; Wang, Dong; Li, Jian; Zhou, Hao; Li, Lei; Li, Yitan

2018-01-01

Time series are widely used as signals in many classification/regression tasks. It is ubiquitous that time series contains many missing values. Given multiple correlated time series data, how to fill in missing values and to predict their class labels? Existing imputation methods often impose strong assumptions of the underlying data generating process, such as linear dynamics in the state space. In this paper, we propose BRITS, a novel method based on recurrent neural networks for missing va...

Assessing air quality in Aksaray with time series analysis

Science.gov (United States)

Kadilar, Gamze Özel; Kadilar, Cem

2017-04-01

Sulphur dioxide (SO2) is a major air pollutant caused by the dominant usage of diesel, petrol and fuels by vehicles and industries. One of the most air-polluted city in Turkey is Aksaray. Hence, in this study, the level of SO2 is analyzed in Aksaray based on the database monitored at air quality monitoring station of Turkey. Seasonal Autoregressive Integrated Moving Average (SARIMA) approach is used to forecast the level of SO2 air quality parameter. The results indicate that the seasonal ARIMA model provides reliable and satisfactory predictions for the air quality parameters and expected to be an alternative tool for practical assessment and justification.

Forecasting Marine Corps Enlisted Manpower Inventory Levels With Univariate Time Series Models

National Research Council Canada - National Science Library

Feiring, Douglas I

2006-01-01

.... Models are developed for 44 representative population groups using Holt-Winters exponential smoothing, multiplicative decomposition, and Box-Jenkins autoregressive integrated moving average (ARIMA...

Financial time series analysis based on information categorization method

Science.gov (United States)

Tian, Qiang; Shang, Pengjian; Feng, Guochen

2014-12-01

The paper mainly applies the information categorization method to analyze the financial time series. The method is used to examine the similarity of different sequences by calculating the distances between them. We apply this method to quantify the similarity of different stock markets. And we report the results of similarity in US and Chinese stock markets in periods 1991-1998 (before the Asian currency crisis), 1999-2006 (after the Asian currency crisis and before the global financial crisis), and 2007-2013 (during and after global financial crisis) by using this method. The results show the difference of similarity between different stock markets in different time periods and the similarity of the two stock markets become larger after these two crises. Also we acquire the results of similarity of 10 stock indices in three areas; it means the method can distinguish different areas' markets from the phylogenetic trees. The results show that we can get satisfactory information from financial markets by this method. The information categorization method can not only be used in physiologic time series, but also in financial time series.

Long-range dependence and sea level forecasting

CERN Document Server

Ercan, Ali; Abbasov, Rovshan K

2013-01-01

This study shows that the Caspian Sea level time series possess long range dependence even after removing linear trends, based on analyses of the Hurst statistic, the sample autocorrelation functions, and the periodogram of the series. Forecasting performance of ARMA, ARIMA, ARFIMA and Trend Line-ARFIMA (TL-ARFIMA) combination models are investigated. The forecast confidence bands and the forecast updating methodology, provided for ARIMA models in the literature, are modified for the ARFIMA models. Sample autocorrelation functions are utilized to estimate the differencing lengths of the ARFIMA

Quantifying memory in complex physiological time-series.

Science.gov (United States)

Shirazi, Amir H; Raoufy, Mohammad R; Ebadi, Haleh; De Rui, Michele; Schiff, Sami; Mazloom, Roham; Hajizadeh, Sohrab; Gharibzadeh, Shahriar; Dehpour, Ahmad R; Amodio, Piero; Jafari, G Reza; Montagnese, Sara; Mani, Ali R

2013-01-01

In a time-series, memory is a statistical feature that lasts for a period of time and distinguishes the time-series from a random, or memory-less, process. In the present study, the concept of "memory length" was used to define the time period, or scale over which rare events within a physiological time-series do not appear randomly. The method is based on inverse statistical analysis and provides empiric evidence that rare fluctuations in cardio-respiratory time-series are 'forgotten' quickly in healthy subjects while the memory for such events is significantly prolonged in pathological conditions such as asthma (respiratory time-series) and liver cirrhosis (heart-beat time-series). The memory length was significantly higher in patients with uncontrolled asthma compared to healthy volunteers. Likewise, it was significantly higher in patients with decompensated cirrhosis compared to those with compensated cirrhosis and healthy volunteers. We also observed that the cardio-respiratory system has simple low order dynamics and short memory around its average, and high order dynamics around rare fluctuations.

A stochastic HMM-based forecasting model for fuzzy time series.

Science.gov (United States)

Li, Sheng-Tun; Cheng, Yi-Chung

2010-10-01

Recently, fuzzy time series have attracted more academic attention than traditional time series due to their capability of dealing with the uncertainty and vagueness inherent in the data collected. The formulation of fuzzy relations is one of the key issues affecting forecasting results. Most of the present works adopt IF-THEN rules for relationship representation, which leads to higher computational overhead and rule redundancy. Sullivan and Woodall proposed a Markov-based formulation and a forecasting model to reduce computational overhead; however, its applicability is limited to handling one-factor problems. In this paper, we propose a novel forecasting model based on the hidden Markov model by enhancing Sullivan and Woodall's work to allow handling of two-factor forecasting problems. Moreover, in order to make the nature of conjecture and randomness of forecasting more realistic, the Monte Carlo method is adopted to estimate the outcome. To test the effectiveness of the resulting stochastic model, we conduct two experiments and compare the results with those from other models. The first experiment consists of forecasting the daily average temperature and cloud density in Taipei, Taiwan, and the second experiment is based on the Taiwan Weighted Stock Index by forecasting the exchange rate of the New Taiwan dollar against the U.S. dollar. In addition to improving forecasting accuracy, the proposed model adheres to the central limit theorem, and thus, the result statistically approximates to the real mean of the target value being forecast.

Climate Prediction Center (CPC) Global Temperature Time Series

Data.gov (United States)

National Oceanic and Atmospheric Administration, Department of Commerce — The global temperature time series provides time series charts using station based observations of daily temperature. These charts provide information about the...

A New Navigation Satellite Clock Bias Prediction Method Based on Modified Clock-bias Quadratic Polynomial Model

Science.gov (United States)

Wang, Y. P.; Lu, Z. P.; Sun, D. S.; Wang, N.

2016-01-01

In order to better express the characteristics of satellite clock bias (SCB) and improve SCB prediction precision, this paper proposed a new SCB prediction model which can take physical characteristics of space-borne atomic clock, the cyclic variation, and random part of SCB into consideration. First, the new model employs a quadratic polynomial model with periodic items to fit and extract the trend term and cyclic term of SCB; then based on the characteristics of fitting residuals, a time series ARIMA ~(Auto-Regressive Integrated Moving Average) model is used to model the residuals; eventually, the results from the two models are combined to obtain final SCB prediction values. At last, this paper uses precise SCB data from IGS (International GNSS Service) to conduct prediction tests, and the results show that the proposed model is effective and has better prediction performance compared with the quadratic polynomial model, grey model, and ARIMA model. In addition, the new method can also overcome the insufficiency of the ARIMA model in model recognition and order determination.

Modelo ARIMA para pronosticar valores de tráfico en una red de datos Wi-Fi

Directory of Open Access Journals (Sweden)

Cesar Augusto Hernández Suarez

2009-05-01

Full Text Available El presente artículo de investigación científica y tecnológica tiene por objetivo demostrar que las series de tiempo son una exce- lente herramienta para el modelamiento de tráfico de datos en redes Wi-Fi. Para lograr este objetivo se utilizó la metodología de Box-Jenkins, la cual se describe. El modelamiento de tráfico Wi-Fi a través de modelos correlacionados como las series de tiem- po, permiten ajustar gran parte de la dinámica del comportamiento de los datos en una ecuación y con base en esto estimar va- lores futuros de tráfico. Lo anterior es una ventaja para la planeación de cobertura, reservación de recursos y la realización de un control más oportuno y eficiente en forma integrada a diferentes niveles de la jerarquía funcional de la red de datos Wi-Fi. Como resultado de la investigación se obtuvo un modelo de tráfico ARIMA de orden 6, el cual realizó pronósticos de tráfico con valores del error cuadrático medio relativamente pequeños, para un periodo de 18 días.

GPS Position Time Series @ JPL

Science.gov (United States)

Owen, Susan; Moore, Angelyn; Kedar, Sharon; Liu, Zhen; Webb, Frank; Heflin, Mike; Desai, Shailen

2013-01-01

Different flavors of GPS time series analysis at JPL - Use same GPS Precise Point Positioning Analysis raw time series - Variations in time series analysis/post-processing driven by different users. center dot JPL Global Time Series/Velocities - researchers studying reference frame, combining with VLBI/SLR/DORIS center dot JPL/SOPAC Combined Time Series/Velocities - crustal deformation for tectonic, volcanic, ground water studies center dot ARIA Time Series/Coseismic Data Products - Hazard monitoring and response focused center dot ARIA data system designed to integrate GPS and InSAR - GPS tropospheric delay used for correcting InSAR - Caltech's GIANT time series analysis uses GPS to correct orbital errors in InSAR - Zhen Liu's talking tomorrow on InSAR Time Series analysis

Multivariate Time Series Decomposition into Oscillation Components.

Science.gov (United States)

Matsuda, Takeru; Komaki, Fumiyasu

2017-08-01

Many time series are considered to be a superposition of several oscillation components. We have proposed a method for decomposing univariate time series into oscillation components and estimating their phases (Matsuda & Komaki, 2017 ). In this study, we extend that method to multivariate time series. We assume that several oscillators underlie the given multivariate time series and that each variable corresponds to a superposition of the projections of the oscillators. Thus, the oscillators superpose on each variable with amplitude and phase modulation. Based on this idea, we develop gaussian linear state-space models and use them to decompose the given multivariate time series. The model parameters are estimated from data using the empirical Bayes method, and the number of oscillators is determined using the Akaike information criterion. Therefore, the proposed method extracts underlying oscillators in a data-driven manner and enables investigation of phase dynamics in a given multivariate time series. Numerical results show the effectiveness of the proposed method. From monthly mean north-south sunspot number data, the proposed method reveals an interesting phase relationship.

Shilling attack detection for recommender systems based on credibility of group users and rating time series.

Science.gov (United States)

Zhou, Wei; Wen, Junhao; Qu, Qiang; Zeng, Jun; Cheng, Tian

2018-01-01

Recommender systems are vulnerable to shilling attacks. Forged user-generated content data, such as user ratings and reviews, are used by attackers to manipulate recommendation rankings. Shilling attack detection in recommender systems is of great significance to maintain the fairness and sustainability of recommender systems. The current studies have problems in terms of the poor universality of algorithms, difficulty in selection of user profile attributes, and lack of an optimization mechanism. In this paper, a shilling behaviour detection structure based on abnormal group user findings and rating time series analysis is proposed. This paper adds to the current understanding in the field by studying the credibility evaluation model in-depth based on the rating prediction model to derive proximity-based predictions. A method for detecting suspicious ratings based on suspicious time windows and target item analysis is proposed. Suspicious rating time segments are determined by constructing a time series, and data streams of the rating items are examined and suspicious rating segments are checked. To analyse features of shilling attacks by a group user's credibility, an abnormal group user discovery method based on time series and time window is proposed. Standard testing datasets are used to verify the effect of the proposed method.

Fishery landing forecasting using EMD-based least square support vector machine models

Science.gov (United States)

Shabri, Ani

2015-05-01

In this paper, the novel hybrid ensemble learning paradigm integrating ensemble empirical mode decomposition (EMD) and least square support machine (LSSVM) is proposed to improve the accuracy of fishery landing forecasting. This hybrid is formulated specifically to address in modeling fishery landing, which has high nonlinear, non-stationary and seasonality time series which can hardly be properly modelled and accurately forecasted by traditional statistical models. In the hybrid model, EMD is used to decompose original data into a finite and often small number of sub-series. The each sub-series is modeled and forecasted by a LSSVM model. Finally the forecast of fishery landing is obtained by aggregating all forecasting results of sub-series. To assess the effectiveness and predictability of EMD-LSSVM, monthly fishery landing record data from East Johor of Peninsular Malaysia, have been used as a case study. The result shows that proposed model yield better forecasts than Autoregressive Integrated Moving Average (ARIMA), LSSVM and EMD-ARIMA models on several criteria..

Time series modeling by a regression approach based on a latent process.

Science.gov (United States)

Chamroukhi, Faicel; Samé, Allou; Govaert, Gérard; Aknin, Patrice

2009-01-01

Time series are used in many domains including finance, engineering, economics and bioinformatics generally to represent the change of a measurement over time. Modeling techniques may then be used to give a synthetic representation of such data. A new approach for time series modeling is proposed in this paper. It consists of a regression model incorporating a discrete hidden logistic process allowing for activating smoothly or abruptly different polynomial regression models. The model parameters are estimated by the maximum likelihood method performed by a dedicated Expectation Maximization (EM) algorithm. The M step of the EM algorithm uses a multi-class Iterative Reweighted Least-Squares (IRLS) algorithm to estimate the hidden process parameters. To evaluate the proposed approach, an experimental study on simulated data and real world data was performed using two alternative approaches: a heteroskedastic piecewise regression model using a global optimization algorithm based on dynamic programming, and a Hidden Markov Regression Model whose parameters are estimated by the Baum-Welch algorithm. Finally, in the context of the remote monitoring of components of the French railway infrastructure, and more particularly the switch mechanism, the proposed approach has been applied to modeling and classifying time series representing the condition measurements acquired during switch operations.

Time series analysis time series analysis methods and applications

CERN Document Server

Rao, Tata Subba; Rao, C R

2012-01-01

The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodology, applications, and recent developments. The Handbook of Statistics is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with Volume 30 dealing with time series. The series is addressed to the entire community of statisticians and scientists in various disciplines who use statistical methodology in their work. At the same time, special emphasis is placed on applications-oriented techniques, with the applied statistician in mind as the primary audience. Comprehensively presents the various aspects of statistical methodology Discusses a wide variety of diverse applications and recent developments Contributors are internationally renowened experts in their respect...

Efficient Algorithms for Segmentation of Item-Set Time Series

Science.gov (United States)

Chundi, Parvathi; Rosenkrantz, Daniel J.

We propose a special type of time series, which we call an item-set time series, to facilitate the temporal analysis of software version histories, email logs, stock market data, etc. In an item-set time series, each observed data value is a set of discrete items. We formalize the concept of an item-set time series and present efficient algorithms for segmenting a given item-set time series. Segmentation of a time series partitions the time series into a sequence of segments where each segment is constructed by combining consecutive time points of the time series. Each segment is associated with an item set that is computed from the item sets of the time points in that segment, using a function which we call a measure function. We then define a concept called the segment difference, which measures the difference between the item set of a segment and the item sets of the time points in that segment. The segment difference values are required to construct an optimal segmentation of the time series. We describe novel and efficient algorithms to compute segment difference values for each of the measure functions described in the paper. We outline a dynamic programming based scheme to construct an optimal segmentation of the given item-set time series. We use the item-set time series segmentation techniques to analyze the temporal content of three different data sets—Enron email, stock market data, and a synthetic data set. The experimental results show that an optimal segmentation of item-set time series data captures much more temporal content than a segmentation constructed based on the number of time points in each segment, without examining the item set data at the time points, and can be used to analyze different types of temporal data.

A Comparison of Various Forecasting Methods for Autocorrelated Time Series

Directory of Open Access Journals (Sweden)

Karin Kandananond

2012-07-01

Full Text Available The accuracy of forecasts significantly affects the overall performance of a whole supply chain system. Sometimes, the nature of consumer products might cause difficulties in forecasting for the future demands because of its complicated structure. In this study, two machine learning methods, artificial neural network (ANN and support vector machine (SVM, and a traditional approach, the autoregressive integrated moving average (ARIMA model, were utilized to predict the demand for consumer products. The training data used were the actual demand of six different products from a consumer product company in Thailand. Initially, each set of data was analysed using Ljung‐Box‐Q statistics to test for autocorrelation. Afterwards, each method was applied to different sets of data. The results indicated that the SVM method had a better forecast quality (in terms of MAPE than ANN and ARIMA in every category of products.

Highly comparative time-series analysis: the empirical structure of time series and their methods.

Science.gov (United States)

Fulcher, Ben D; Little, Max A; Jones, Nick S

2013-06-06

The process of collecting and organizing sets of observations represents a common theme throughout the history of science. However, despite the ubiquity of scientists measuring, recording and analysing the dynamics of different processes, an extensive organization of scientific time-series data and analysis methods has never been performed. Addressing this, annotated collections of over 35 000 real-world and model-generated time series, and over 9000 time-series analysis algorithms are analysed in this work. We introduce reduced representations of both time series, in terms of their properties measured by diverse scientific methods, and of time-series analysis methods, in terms of their behaviour on empirical time series, and use them to organize these interdisciplinary resources. This new approach to comparing across diverse scientific data and methods allows us to organize time-series datasets automatically according to their properties, retrieve alternatives to particular analysis methods developed in other scientific disciplines and automate the selection of useful methods for time-series classification and regression tasks. The broad scientific utility of these tools is demonstrated on datasets of electroencephalograms, self-affine time series, heartbeat intervals, speech signals and others, in each case contributing novel analysis techniques to the existing literature. Highly comparative techniques that compare across an interdisciplinary literature can thus be used to guide more focused research in time-series analysis for applications across the scientific disciplines.

Dimension reduction of frequency-based direct Granger causality measures on short time series.

Science.gov (United States)

Siggiridou, Elsa; Kimiskidis, Vasilios K; Kugiumtzis, Dimitris

2017-09-01

The mainstream in the estimation of effective brain connectivity relies on Granger causality measures in the frequency domain. If the measure is meant to capture direct causal effects accounting for the presence of other observed variables, as in multi-channel electroencephalograms (EEG), typically the fit of a vector autoregressive (VAR) model on the multivariate time series is required. For short time series of many variables, the estimation of VAR may not be stable requiring dimension reduction resulting in restricted or sparse VAR models. The restricted VAR obtained by the modified backward-in-time selection method (mBTS) is adapted to the generalized partial directed coherence (GPDC), termed restricted GPDC (RGPDC). Dimension reduction on other frequency based measures, such the direct directed transfer function (dDTF), is straightforward. First, a simulation study using linear stochastic multivariate systems is conducted and RGPDC is favorably compared to GPDC on short time series in terms of sensitivity and specificity. Then the two measures are tested for their ability to detect changes in brain connectivity during an epileptiform discharge (ED) from multi-channel scalp EEG. It is shown that RGPDC identifies better than GPDC the connectivity structure of the simulated systems, as well as changes in the brain connectivity, and is less dependent on the free parameter of VAR order. The proposed dimension reduction in frequency measures based on VAR constitutes an appropriate strategy to estimate reliably brain networks within short-time windows. Copyright © 2017 Elsevier B.V. All rights reserved.

Analysis of financial time series using multiscale entropy based on skewness and kurtosis

Science.gov (United States)

Xu, Meng; Shang, Pengjian

2018-01-01

There is a great interest in studying dynamic characteristics of the financial time series of the daily stock closing price in different regions. Multi-scale entropy (MSE) is effective, mainly in quantifying the complexity of time series on different time scales. This paper applies a new method for financial stability from the perspective of MSE based on skewness and kurtosis. To better understand the superior coarse-graining method for the different kinds of stock indexes, we take into account the developmental characteristics of the three continents of Asia, North America and European stock markets. We study the volatility of different financial time series in addition to analyze the similarities and differences of coarsening time series from the perspective of skewness and kurtosis. A kind of corresponding relationship between the entropy value of stock sequences and the degree of stability of financial markets, were observed. The three stocks which have particular characteristics in the eight piece of stock sequences were discussed, finding the fact that it matches the result of applying the MSE method to showing results on a graph. A comparative study is conducted to simulate over synthetic and real world data. Results show that the modified method is more effective to the change of dynamics and has more valuable information. The result is obtained at the same time, finding the results of skewness and kurtosis discrimination is obvious, but also more stable.

Reconstruction of ensembles of coupled time-delay systems from time series.

Science.gov (United States)

Sysoev, I V; Prokhorov, M D; Ponomarenko, V I; Bezruchko, B P

2014-06-01

We propose a method to recover from time series the parameters of coupled time-delay systems and the architecture of couplings between them. The method is based on a reconstruction of model delay-differential equations and estimation of statistical significance of couplings. It can be applied to networks composed of nonidentical nodes with an arbitrary number of unidirectional and bidirectional couplings. We test our method on chaotic and periodic time series produced by model equations of ensembles of diffusively coupled time-delay systems in the presence of noise, and apply it to experimental time series obtained from electronic oscillators with delayed feedback coupled by resistors.

Physician and nurse supply in Serbia using time-series data.

Science.gov (United States)

Santric-Milicevic, Milena; Vasic, Vladimir; Marinkovic, Jelena

2013-06-17

Unemployment among health professionals in Serbia has risen in the recent past and continues to increase. This highlights the need to understand how to change policies to meet real and projected needs. This study identified variables that were significantly related to physician and nurse employment rates in the public healthcare sector in Serbia from 1961 to 2008 and used these to develop parameters to model physician and nurse supply in the public healthcare sector through to 2015. The relationships among six variables used for planning physician and nurse employment in public healthcare sector in Serbia were identified for two periods: 1961 to 1982 and 1983 to 2008. Those variables included: the annual total national population; gross domestic product adjusted to 1994 prices; inpatient care discharges; outpatient care visits; students enrolled in the first year of medical studies at public universities; and the annual number of graduated physicians. Based on historic trends, physician supply and nurse supply in the public healthcare sector by 2015 (with corresponding 95% confidence level) have been modeled using Autoregressive Integrated Moving Average (ARIMA) / Transfer function (TF) models. The ARIMA/TF modeling yielded stable and significant forecasts of physician supply (stationary R2 squared = 0.71) and nurse supply (stationary R2 squared = 0.92) in the public healthcare sector in Serbia through to 2015. The most significant predictors for physician employment were the population and GDP. The supply of nursing staff was, in turn, related to the number of physicians. Physician and nurse rates per 100,000 population increased by 13%. The model predicts a seven-year mismatch between the supply of graduates and vacancies in the public healthcare sector is forecasted at 8,698 physicians - a net surplus. The ARIMA model can be used to project trends, especially those that identify significant mismatches between forecasted supply of physicians and vacancies and can

Introduction to Time Series Modeling

CERN Document Server

Kitagawa, Genshiro

2010-01-01

In time series modeling, the behavior of a certain phenomenon is expressed in relation to the past values of itself and other covariates. Since many important phenomena in statistical analysis are actually time series and the identification of conditional distribution of the phenomenon is an essential part of the statistical modeling, it is very important and useful to learn fundamental methods of time series modeling. Illustrating how to build models for time series using basic methods, "Introduction to Time Series Modeling" covers numerous time series models and the various tools f

Scale-dependent intrinsic entropies of complex time series.

Science.gov (United States)

Yeh, Jia-Rong; Peng, Chung-Kang; Huang, Norden E

2016-04-13

Multi-scale entropy (MSE) was developed as a measure of complexity for complex time series, and it has been applied widely in recent years. The MSE algorithm is based on the assumption that biological systems possess the ability to adapt and function in an ever-changing environment, and these systems need to operate across multiple temporal and spatial scales, such that their complexity is also multi-scale and hierarchical. Here, we present a systematic approach to apply the empirical mode decomposition algorithm, which can detrend time series on various time scales, prior to analysing a signal's complexity by measuring the irregularity of its dynamics on multiple time scales. Simulated time series of fractal Gaussian noise and human heartbeat time series were used to study the performance of this new approach. We show that our method can successfully quantify the fractal properties of the simulated time series and can accurately distinguish modulations in human heartbeat time series in health and disease. © 2016 The Author(s).

Analysis of forecasting malaria case with climatic factors as predictor in Mandailing Natal Regency: a time series study

Science.gov (United States)

Aulia, D.; Ayu, S. F.; Matondang, A.

2018-01-01

Malaria is the most contagious global concern. As a public health problem with outbreaks, affect the quality of life and economy, also could lead to death. Therefore, this research is to forecast malaria cases with climatic factors as predictors in Mandailing Natal Regency. The total number of positive malaria cases on January 2008 to December 2016 were taken from health department of Mandailing Natal Regency. Climates data such as rainfall, humidity, and temperature were taken from Center of Statistic Department of Mandailing Natal Regency. E-views ver. 9 is used to analyze this study. Autoregressive integrated average, ARIMA (0,1,1) (1,0,0)12 is the best model to explain the 67,2% variability data in time series study. Rainfall (P value = 0.0005), temperature (P value = 0,0029) and humidity (P value = 0.0001) are significant predictors for malaria transmission. Seasonal adjusted factor (SAF) in November and March shows peak for malaria cases.

Similarity estimators for irregular and age uncertain time series

Science.gov (United States)

Rehfeld, K.; Kurths, J.

2013-09-01

Paleoclimate time series are often irregularly sampled and age uncertain, which is an important technical challenge to overcome for successful reconstruction of past climate variability and dynamics. Visual comparison and interpolation-based linear correlation approaches have been used to infer dependencies from such proxy time series. While the first is subjective, not measurable and not suitable for the comparison of many datasets at a time, the latter introduces interpolation bias, and both face difficulties if the underlying dependencies are nonlinear. In this paper we investigate similarity estimators that could be suitable for the quantitative investigation of dependencies in irregular and age uncertain time series. We compare the Gaussian-kernel based cross correlation (gXCF, Rehfeld et al., 2011) and mutual information (gMI, Rehfeld et al., 2013) against their interpolation-based counterparts and the new event synchronization function (ESF). We test the efficiency of the methods in estimating coupling strength and coupling lag numerically, using ensembles of synthetic stalagmites with short, autocorrelated, linear and nonlinearly coupled proxy time series, and in the application to real stalagmite time series. In the linear test case coupling strength increases are identified consistently for all estimators, while in the nonlinear test case the correlation-based approaches fail. The lag at which the time series are coupled is identified correctly as the maximum of the similarity functions in around 60-55% (in the linear case) to 53-42% (for the nonlinear processes) of the cases when the dating of the synthetic stalagmite is perfectly precise. If the age uncertainty increases beyond 5% of the time series length, however, the true coupling lag is not identified more often than the others for which the similarity function was estimated. Age uncertainty contributes up to half of the uncertainty in the similarity estimation process. Time series irregularity

Similarity estimators for irregular and age-uncertain time series

Science.gov (United States)

Rehfeld, K.; Kurths, J.

2014-01-01

Paleoclimate time series are often irregularly sampled and age uncertain, which is an important technical challenge to overcome for successful reconstruction of past climate variability and dynamics. Visual comparison and interpolation-based linear correlation approaches have been used to infer dependencies from such proxy time series. While the first is subjective, not measurable and not suitable for the comparison of many data sets at a time, the latter introduces interpolation bias, and both face difficulties if the underlying dependencies are nonlinear. In this paper we investigate similarity estimators that could be suitable for the quantitative investigation of dependencies in irregular and age-uncertain time series. We compare the Gaussian-kernel-based cross-correlation (gXCF, Rehfeld et al., 2011) and mutual information (gMI, Rehfeld et al., 2013) against their interpolation-based counterparts and the new event synchronization function (ESF). We test the efficiency of the methods in estimating coupling strength and coupling lag numerically, using ensembles of synthetic stalagmites with short, autocorrelated, linear and nonlinearly coupled proxy time series, and in the application to real stalagmite time series. In the linear test case, coupling strength increases are identified consistently for all estimators, while in the nonlinear test case the correlation-based approaches fail. The lag at which the time series are coupled is identified correctly as the maximum of the similarity functions in around 60-55% (in the linear case) to 53-42% (for the nonlinear processes) of the cases when the dating of the synthetic stalagmite is perfectly precise. If the age uncertainty increases beyond 5% of the time series length, however, the true coupling lag is not identified more often than the others for which the similarity function was estimated. Age uncertainty contributes up to half of the uncertainty in the similarity estimation process. Time series irregularity

Short-Term Bus Passenger Demand Prediction Based on Time Series Model and Interactive Multiple Model Approach

Directory of Open Access Journals (Sweden)

Rui Xue

2015-01-01

Full Text Available Although bus passenger demand prediction has attracted increased attention during recent years, limited research has been conducted in the context of short-term passenger demand forecasting. This paper proposes an interactive multiple model (IMM filter algorithm-based model to predict short-term passenger demand. After aggregated in 15 min interval, passenger demand data collected from a busy bus route over four months were used to generate time series. Considering that passenger demand exhibits various characteristics in different time scales, three time series were developed, named weekly, daily, and 15 min time series. After the correlation, periodicity, and stationarity analyses, time series models were constructed. Particularly, the heteroscedasticity of time series was explored to achieve better prediction performance. Finally, IMM filter algorithm was applied to combine individual forecasting models with dynamically predicted passenger demand for next interval. Different error indices were adopted for the analyses of individual and hybrid models. The performance comparison indicates that hybrid model forecasts are superior to individual ones in accuracy. Findings of this study are of theoretical and practical significance in bus scheduling.

Using autoregressive integrated moving average (ARIMA models to predict and monitor the number of beds occupied during a SARS outbreak in a tertiary hospital in Singapore

Directory of Open Access Journals (Sweden)

Earnest Arul

2005-05-01

Full Text Available Abstract Background The main objective of this study is to apply autoregressive integrated moving average (ARIMA models to make real-time predictions on the number of beds occupied in Tan Tock Seng Hospital, during the recent SARS outbreak. Methods This is a retrospective study design. Hospital admission and occupancy data for isolation beds was collected from Tan Tock Seng hospital for the period 14th March 2003 to 31st May 2003. The main outcome measure was daily number of isolation beds occupied by SARS patients. Among the covariates considered were daily number of people screened, daily number of people admitted (including observation, suspect and probable cases and days from the most recent significant event discovery. We utilized the following strategy for the analysis. Firstly, we split the outbreak data into two. Data from 14th March to 21st April 2003 was used for model development. We used structural ARIMA models in an attempt to model the number of beds occupied. Estimation is via the maximum likelihood method using the Kalman filter. For the ARIMA model parameters, we considered the simplest parsimonious lowest order model. Results We found that the ARIMA (1,0,3 model was able to describe and predict the number of beds occupied during the SARS outbreak well. The mean absolute percentage error (MAPE for the training set and validation set were 5.7% and 8.6% respectively, which we found was reasonable for use in the hospital setting. Furthermore, the model also provided three-day forecasts of the number of beds required. Total number of admissions and probable cases admitted on the previous day were also found to be independent prognostic factors of bed occupancy. Conclusion ARIMA models provide useful tools for administrators and clinicians in planning for real-time bed capacity during an outbreak of an infectious disease such as SARS. The model could well be used in planning for bed-capacity during outbreaks of other infectious

Using autoregressive integrated moving average (ARIMA) models to predict and monitor the number of beds occupied during a SARS outbreak in a tertiary hospital in Singapore.

Science.gov (United States)

Earnest, Arul; Chen, Mark I; Ng, Donald; Sin, Leo Yee

2005-05-11

The main objective of this study is to apply autoregressive integrated moving average (ARIMA) models to make real-time predictions on the number of beds occupied in Tan Tock Seng Hospital, during the recent SARS outbreak. This is a retrospective study design. Hospital admission and occupancy data for isolation beds was collected from Tan Tock Seng hospital for the period 14th March 2003 to 31st May 2003. The main outcome measure was daily number of isolation beds occupied by SARS patients. Among the covariates considered were daily number of people screened, daily number of people admitted (including observation, suspect and probable cases) and days from the most recent significant event discovery. We utilized the following strategy for the analysis. Firstly, we split the outbreak data into two. Data from 14th March to 21st April 2003 was used for model development. We used structural ARIMA models in an attempt to model the number of beds occupied. Estimation is via the maximum likelihood method using the Kalman filter. For the ARIMA model parameters, we considered the simplest parsimonious lowest order model. We found that the ARIMA (1,0,3) model was able to describe and predict the number of beds occupied during the SARS outbreak well. The mean absolute percentage error (MAPE) for the training set and validation set were 5.7% and 8.6% respectively, which we found was reasonable for use in the hospital setting. Furthermore, the model also provided three-day forecasts of the number of beds required. Total number of admissions and probable cases admitted on the previous day were also found to be independent prognostic factors of bed occupancy. ARIMA models provide useful tools for administrators and clinicians in planning for real-time bed capacity during an outbreak of an infectious disease such as SARS. The model could well be used in planning for bed-capacity during outbreaks of other infectious diseases as well.

Item Anomaly Detection Based on Dynamic Partition for Time Series in Recommender Systems.

Science.gov (United States)

Gao, Min; Tian, Renli; Wen, Junhao; Xiong, Qingyu; Ling, Bin; Yang, Linda

2015-01-01

In recent years, recommender systems have become an effective method to process information overload. However, recommendation technology still suffers from many problems. One of the problems is shilling attacks-attackers inject spam user profiles to disturb the list of recommendation items. There are two characteristics of all types of shilling attacks: 1) Item abnormality: The rating of target items is always maximum or minimum; and 2) Attack promptness: It takes only a very short period time to inject attack profiles. Some papers have proposed item anomaly detection methods based on these two characteristics, but their detection rate, false alarm rate, and universality need to be further improved. To solve these problems, this paper proposes an item anomaly detection method based on dynamic partitioning for time series. This method first dynamically partitions item-rating time series based on important points. Then, we use chi square distribution (χ2) to detect abnormal intervals. The experimental results on MovieLens 100K and 1M indicate that this approach has a high detection rate and a low false alarm rate and is stable toward different attack models and filler sizes.

Item Anomaly Detection Based on Dynamic Partition for Time Series in Recommender Systems

Science.gov (United States)

Gao, Min; Tian, Renli; Wen, Junhao; Xiong, Qingyu; Ling, Bin; Yang, Linda

2015-01-01

In recent years, recommender systems have become an effective method to process information overload. However, recommendation technology still suffers from many problems. One of the problems is shilling attacks-attackers inject spam user profiles to disturb the list of recommendation items. There are two characteristics of all types of shilling attacks: 1) Item abnormality: The rating of target items is always maximum or minimum; and 2) Attack promptness: It takes only a very short period time to inject attack profiles. Some papers have proposed item anomaly detection methods based on these two characteristics, but their detection rate, false alarm rate, and universality need to be further improved. To solve these problems, this paper proposes an item anomaly detection method based on dynamic partitioning for time series. This method first dynamically partitions item-rating time series based on important points. Then, we use chi square distribution (χ2) to detect abnormal intervals. The experimental results on MovieLens 100K and 1M indicate that this approach has a high detection rate and a low false alarm rate and is stable toward different attack models and filler sizes. PMID:26267477

[Winter wheat area estimation with MODIS-NDVI time series based on parcel].

Science.gov (United States)

Li, Le; Zhang, Jin-shui; Zhu, Wen-quan; Hu, Tan-gao; Hou, Dong

2011-05-01

Several attributes of MODIS (moderate resolution imaging spectrometer) data, especially the short temporal intervals and the global coverage, provide an extremely efficient way to map cropland and monitor its seasonal change. However, the reliability of their measurement results is challenged because of the limited spatial resolution. The parcel data has clear geo-location and obvious boundary information of cropland. Also, the spectral differences and the complexity of mixed pixels are weak in parcels. All of these make that area estimation based on parcels presents more advantage than on pixels. In the present study, winter wheat area estimation based on MODIS-NDVI time series has been performed with the support of cultivated land parcel in Tongzhou, Beijing. In order to extract the regional winter wheat acreage, multiple regression methods were used to simulate the stable regression relationship between MODIS-NDVI time series data and TM samples in parcels. Through this way, the consistency of the extraction results from MODIS and TM can stably reach up to 96% when the amount of samples accounts for 15% of the whole area. The results shows that the use of parcel data can effectively improve the error in recognition results in MODIS-NDVI based multi-series data caused by the low spatial resolution. Therefore, with combination of moderate and low resolution data, the winter wheat area estimation became available in large-scale region which lacks completed medium resolution images or has images covered with clouds. Meanwhile, it carried out the preliminary experiments for other crop area estimation.

A graph-based approach to detect spatiotemporal dynamics in satellite image time series

Science.gov (United States)

Guttler, Fabio; Ienco, Dino; Nin, Jordi; Teisseire, Maguelonne; Poncelet, Pascal

2017-08-01

Enhancing the frequency of satellite acquisitions represents a key issue for Earth Observation community nowadays. Repeated observations are crucial for monitoring purposes, particularly when intra-annual process should be taken into account. Time series of images constitute a valuable source of information in these cases. The goal of this paper is to propose a new methodological framework to automatically detect and extract spatiotemporal information from satellite image time series (SITS). Existing methods dealing with such kind of data are usually classification-oriented and cannot provide information about evolutions and temporal behaviors. In this paper we propose a graph-based strategy that combines object-based image analysis (OBIA) with data mining techniques. Image objects computed at each individual timestamp are connected across the time series and generates a set of evolution graphs. Each evolution graph is associated to a particular area within the study site and stores information about its temporal evolution. Such information can be deeply explored at the evolution graph scale or used to compare the graphs and supply a general picture at the study site scale. We validated our framework on two study sites located in the South of France and involving different types of natural, semi-natural and agricultural areas. The results obtained from a Landsat SITS support the quality of the methodological approach and illustrate how the framework can be employed to extract and characterize spatiotemporal dynamics.

A Python-based interface to examine motions in time series of solar images

Science.gov (United States)

Campos-Rozo, J. I.; Vargas Domínguez, S.

2017-10-01

Python is considered to be a mature programming language, besides of being widely accepted as an engaging option for scientific analysis in multiple areas, as will be presented in this work for the particular case of solar physics research. SunPy is an open-source library based on Python that has been recently developed to furnish software tools to solar data analysis and visualization. In this work we present a graphical user interface (GUI) based on Python and Qt to effectively compute proper motions for the analysis of time series of solar data. This user-friendly computing interface, that is intended to be incorporated to the Sunpy library, uses a local correlation tracking technique and some extra tools that allows the selection of different parameters to calculate, vizualize and analyze vector velocity fields of solar data, i.e. time series of solar filtergrams and magnetograms.

Métodos de modelamiento y predicción de tráfico orientados a plataformas de transmisión de video e IPTV usando series de tiempo1

Directory of Open Access Journals (Sweden)

ayron Villanueva Ocampo

2012-12-01

Full Text Available This paper, intends to review the most important techniques that allow per- forming statistic video traffic modeling and forecasting, focusing in time series models, so we can identify which models are better to describe the representative IPTV stochastic traffic. For this purpose, we make a short introduction to time series analysis, and a review of the state of the art on video traffic modeling over data networks. From this research we conclude that, of all the available models to describe and forecast network traffic, the more appropriate to use within IPTV systems are ARIMA time series models, from which SARIMA model are the best option.

Long-Run Neutrality and Superneutrality in an ARIMA Framework.

OpenAIRE

Fisher, Mark E; Seater, John J

1993-01-01

The authors formalize long-run neutrality and long-run superneutrality in the context of a bivariate ARIMA model; show how the restrictions implied by long-run neutrality and long-run superneutrality depend on the orders of integration of the variables; apply their analysis to previous work, showing how that work is related to long-run neutrality and long-run superneutrality; and provide some new evidence on long-run neutrality and long-run superneutrality. Copyright 1993 by American Economic...

Time Series Forecasting with Missing Values

Directory of Open Access Journals (Sweden)

Shin-Fu Wu

2015-11-01

Full Text Available Time series prediction has become more popular in various kinds of applications such as weather prediction, control engineering, financial analysis, industrial monitoring, etc. To deal with real-world problems, we are often faced with missing values in the data due to sensor malfunctions or human errors. Traditionally, the missing values are simply omitted or replaced by means of imputation methods. However, omitting those missing values may cause temporal discontinuity. Imputation methods, on the other hand, may alter the original time series. In this study, we propose a novel forecasting method based on least squares support vector machine (LSSVM. We employ the input patterns with the temporal information which is defined as local time index (LTI. Time series data as well as local time indexes are fed to LSSVM for doing forecasting without imputation. We compare the forecasting performance of our method with other imputation methods. Experimental results show that the proposed method is promising and is worth further investigations.

Predicción de series de tiempo con redes cascada-correlación

Directory of Open Access Journals (Sweden)

Juan David Velásquez

2010-01-01

Full Text Available Las redes neuronales, y en particular los perceptrones multicapa (MLP, han sido reconocidos como una de las más poderosas técnicas para estimar series de tiempo; sin embargo, la técnica de redes cascada-correlación (CC es un fuerte competidor para pronosticar series temporales pues incorpora mejoras a los problemas de identificabilidad estadística del modelo del MLP. En és- te artículo se compara el rendimiento de las redes CC respecto de otras técnicas, entre ellas el MLP, ANN y Arima, usando va- rias series de tiempo no lineales del mundo real, con el fin de determinar si las CC ofrecen buenos resultados en la práctica. Los resultados indican que las redes CC, en la mayoría de los casos, son superiores a los MLP, ANN y Arima, logrando errores me- nores en magnitud que los reportados en la literatura usando dichas técnicas, mientras que en relación a DAN2 se lograron e- rrores cercanos e incluso mejores.

Muertes por causas violentas y ciclo económico en Bogotá, Colombia: un estudio de series de tiempo, 1997-2006 Death from violent causes and economic cycles in Bogota, Colombia: a time-series study, 1997-2006

Directory of Open Access Journals (Sweden)

José Moreno Montoya

2009-07-01

á, Colombia from 1997-2006 and to analyze any possible associations with the city's economic cycles. METHODS: An ecologic study based on the official death toll from violence registered between January 1997 and September 2006 in Santa Fe de Bogotá, Colombia. Auto Regressive Integrated Moving Average (ARIMA time-series trimester models were used to describe the behavior of violent deaths. The explanatory variables for the city's economic cycles were the trimester series of the consumer price index, the unemployment rate, and the total number of people employed; these were related to the death series through transfer function models. RESULTS: Of the 36575 total deaths from violence in Bogotá, 57.7% were homicides and 23.7% resulted from traffic accidents. The homicide, suicide, and traffic accident deaths showed downward trends, with a noteworthy seasonal pattern in the traffic accident and suicide deaths that peaked during the last two trimesters of each year. Significant associations were found between all the death series from all the different causes and at least one economic series, and in each case a respective transfer function model was identified. CONCLUSIONS: Homicides constituted the largest portion of the violent deaths, and exposed a seasonal pattern to this death type. Significant associations were found between deaths from violence and some economic variables, revealing a cycle tied to the life of the city. The socioeconomic circumstances affecting a society were confirmed to influence the level of violence.

On nonstationarity and antipersistency in global temperature series

Science.gov (United States)

KäRner, O.

2002-10-01

Statistical analysis is carried out for satellite-based global daily tropospheric and stratospheric temperature anomaly and solar irradiance data sets. Behavior of the series appears to be nonstationary with stationary daily increments. Estimating long-range dependence between the increments reveals a remarkable difference between the two temperature series. Global average tropospheric temperature anomaly behaves similarly to the solar irradiance anomaly. Their daily increments show antipersistency for scales longer than 2 months. The property points at a cumulative negative feedback in the Earth climate system governing the tropospheric variability during the last 22 years. The result emphasizes a dominating role of the solar irradiance variability in variations of the tropospheric temperature and gives no support to the theory of anthropogenic climate change. The global average stratospheric temperature anomaly proceeds like a 1-dim random walk at least up to 11 years, allowing good presentation by means of the autoregressive integrated moving average (ARIMA) models for monthly series.

International Work-Conference on Time Series

CERN Document Server

Pomares, Héctor; Valenzuela, Olga

2017-01-01

This volume of selected and peer-reviewed contributions on the latest developments in time series analysis and forecasting updates the reader on topics such as analysis of irregularly sampled time series, multi-scale analysis of univariate and multivariate time series, linear and non-linear time series models, advanced time series forecasting methods, applications in time series analysis and forecasting, advanced methods and online learning in time series and high-dimensional and complex/big data time series. The contributions were originally presented at the International Work-Conference on Time Series, ITISE 2016, held in Granada, Spain, June 27-29, 2016. The series of ITISE conferences provides a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting.  It focuses on interdisciplinary and multidisciplinary rese arch encompassing the disciplines of comput...

A Dynamic Fuzzy Cluster Algorithm for Time Series

Directory of Open Access Journals (Sweden)

Min Ji

2013-01-01

clustering time series by introducing the definition of key point and improving FCM algorithm. The proposed algorithm works by determining those time series whose class labels are vague and further partitions them into different clusters over time. The main advantage of this approach compared with other existing algorithms is that the property of some time series belonging to different clusters over time can be partially revealed. Results from simulation-based experiments on geographical data demonstrate the excellent performance and the desired results have been obtained. The proposed algorithm can be applied to solve other clustering problems in data mining.

A hybrid ARIMA and neural network model applied to forecast catch volumes of Selar crumenophthalmus

Science.gov (United States)

Aquino, Ronald L.; Alcantara, Nialle Loui Mar T.; Addawe, Rizavel C.

2017-11-01

The Selar crumenophthalmus with the English name big-eyed scad fish, locally known as matang-baka, is one of the fishes commonly caught along the waters of La Union, Philippines. The study deals with the forecasting of catch volumes of big-eyed scad fish for commercial consumption. The data used are quarterly caught volumes of big-eyed scad fish from 2002 to first quarter of 2017. This actual data is available from the open stat database published by the Philippine Statistics Authority (PSA)whose task is to collect, compiles, analyzes and publish information concerning different aspects of the Philippine setting. Autoregressive Integrated Moving Average (ARIMA) models, Artificial Neural Network (ANN) model and the Hybrid model consisting of ARIMA and ANN were developed to forecast catch volumes of big-eyed scad fish. Statistical errors such as Mean Absolute Errors (MAE) and Root Mean Square Errors (RMSE) were computed and compared to choose the most suitable model for forecasting the catch volume for the next few quarters. A comparison of the results of each model and corresponding statistical errors reveals that the hybrid model, ARIMA-ANN (2,1,2)(6:3:1), is the most suitable model to forecast the catch volumes of the big-eyed scad fish for the next few quarters.

Arima modelling of annual rainfalls in the Bregalnica River basin

OpenAIRE

Jovanovski, Vlatko; Delipetrov, Todor

2007-01-01

Changes in the hydrological characteristics have an impact on the environment. The reasons for the impact in the Bregalnica river basin are heavy rains and long droughts. Monitoring the undenstanding of hydrological impacts may provide useful assessment ingand forecast in several fields. This paper analysis hydrological processes, and offeres data processing of the monitor with ARIMA Modelling in STATISTICA packet like good techniques for estimation forecast of the hydrological caracterist...

DTW-APPROACH FOR UNCORRELATED MULTIVARIATE TIME SERIES IMPUTATION

OpenAIRE

Phan , Thi-Thu-Hong; Poisson Caillault , Emilie; Bigand , André; Lefebvre , Alain

2017-01-01

International audience; Missing data are inevitable in almost domains of applied sciences. Data analysis with missing values can lead to a loss of efficiency and unreliable results, especially for large missing sub-sequence(s). Some well-known methods for multivariate time series imputation require high correlations between series or their features. In this paper , we propose an approach based on the shape-behaviour relation in low/un-correlated multivariate time series under an assumption of...

Introduction to time series analysis and forecasting

CERN Document Server

Montgomery, Douglas C; Kulahci, Murat

2008-01-01

An accessible introduction to the most current thinking in and practicality of forecasting techniques in the context of time-oriented data. Analyzing time-oriented data and forecasting are among the most important problems that analysts face across many fields, ranging from finance and economics to production operations and the natural sciences. As a result, there is a widespread need for large groups of people in a variety of fields to understand the basic concepts of time series analysis and forecasting. Introduction to Time Series Analysis and Forecasting presents the time series analysis branch of applied statistics as the underlying methodology for developing practical forecasts, and it also bridges the gap between theory and practice by equipping readers with the tools needed to analyze time-oriented data and construct useful, short- to medium-term, statistically based forecasts.

From Networks to Time Series

Science.gov (United States)

Shimada, Yutaka; Ikeguchi, Tohru; Shigehara, Takaomi

2012-10-01

In this Letter, we propose a framework to transform a complex network to a time series. The transformation from complex networks to time series is realized by the classical multidimensional scaling. Applying the transformation method to a model proposed by Watts and Strogatz [Nature (London) 393, 440 (1998)], we show that ring lattices are transformed to periodic time series, small-world networks to noisy periodic time series, and random networks to random time series. We also show that these relationships are analytically held by using the circulant-matrix theory and the perturbation theory of linear operators. The results are generalized to several high-dimensional lattices.

Time series prediction of apple scab using meteorological ...

African Journals Online (AJOL)

A new prediction model for the early warning of apple scab is proposed in this study. The method is based on artificial intelligence and time series prediction. The infection period of apple scab was evaluated as the time series prediction model instead of summation of wetness duration. Also, the relations of different ...

Modeling pollen time series using seasonal-trend decomposition procedure based on LOESS smoothing.

Science.gov (United States)

Rojo, Jesús; Rivero, Rosario; Romero-Morte, Jorge; Fernández-González, Federico; Pérez-Badia, Rosa

2017-02-01

Analysis of airborne pollen concentrations provides valuable information on plant phenology and is thus a useful tool in agriculture-for predicting harvests in crops such as the olive and for deciding when to apply phytosanitary treatments-as well as in medicine and the environmental sciences. Variations in airborne pollen concentrations, moreover, are indicators of changing plant life cycles. By modeling pollen time series, we can not only identify the variables influencing pollen levels but also predict future pollen concentrations. In this study, airborne pollen time series were modeled using a seasonal-trend decomposition procedure based on LOcally wEighted Scatterplot Smoothing (LOESS) smoothing (STL). The data series-daily Poaceae pollen concentrations over the period 2006-2014-was broken up into seasonal and residual (stochastic) components. The seasonal component was compared with data on Poaceae flowering phenology obtained by field sampling. Residuals were fitted to a model generated from daily temperature and rainfall values, and daily pollen concentrations, using partial least squares regression (PLSR). This method was then applied to predict daily pollen concentrations for 2014 (independent validation data) using results for the seasonal component of the time series and estimates of the residual component for the period 2006-2013. Correlation between predicted and observed values was r = 0.79 (correlation coefficient) for the pre-peak period (i.e., the period prior to the peak pollen concentration) and r = 0.63 for the post-peak period. Separate analysis of each of the components of the pollen data series enables the sources of variability to be identified more accurately than by analysis of the original non-decomposed data series, and for this reason, this procedure has proved to be a suitable technique for analyzing the main environmental factors influencing airborne pollen concentrations.

On the plurality of times: disunified time and the A-series | Nefdt ...

African Journals Online (AJOL)

Then, I attempt to show that disunified time is a problem for a semantics based on the A-series since A-truthmakers are hard to come by in a universe of temporally disconnected time-series. Finally, I provide a novel argument showing that presentists should be particularly fearful of such a universe. South African Journal of ...

Chaos Time Series Prediction Based on Membrane Optimization Algorithms

Directory of Open Access Journals (Sweden)

Meng Li

2015-01-01

Full Text Available This paper puts forward a prediction model based on membrane computing optimization algorithm for chaos time series; the model optimizes simultaneously the parameters of phase space reconstruction (τ,m and least squares support vector machine (LS-SVM (γ,σ by using membrane computing optimization algorithm. It is an important basis for spectrum management to predict accurately the change trend of parameters in the electromagnetic environment, which can help decision makers to adopt an optimal action. Then, the model presented in this paper is used to forecast band occupancy rate of frequency modulation (FM broadcasting band and interphone band. To show the applicability and superiority of the proposed model, this paper will compare the forecast model presented in it with conventional similar models. The experimental results show that whether single-step prediction or multistep prediction, the proposed model performs best based on three error measures, namely, normalized mean square error (NMSE, root mean square error (RMSE, and mean absolute percentage error (MAPE.

Robust Forecasting of Non-Stationary Time Series

OpenAIRE

Croux, C.; Fried, R.; Gijbels, I.; Mahieu, K.

2010-01-01

This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed method is shown to produce reliable forecasts in the presence of outliers, non-linearity, and heteroscedasticity. In the absence of outliers, the forecasts are only slightly less precise than those based on a localized Least Squares estima...

A SPIRAL-BASED DOWNSCALING METHOD FOR GENERATING 30 M TIME SERIES IMAGE DATA

Directory of Open Access Journals (Sweden)

B. Liu

2017-09-01

Full Text Available The spatial detail and updating frequency of land cover data are important factors influencing land surface dynamic monitoring applications in high spatial resolution scale. However, the fragmentized patches and seasonal variable of some land cover types (e. g. small crop field, wetland make it labor-intensive and difficult in the generation of land cover data. Utilizing the high spatial resolution multi-temporal image data is a possible solution. Unfortunately, the spatial and temporal resolution of available remote sensing data like Landsat or MODIS datasets can hardly satisfy the minimum mapping unit and frequency of current land cover mapping / updating at the same time. The generation of high resolution time series may be a compromise to cover the shortage in land cover updating process. One of popular way is to downscale multi-temporal MODIS data with other high spatial resolution auxiliary data like Landsat. But the usual manner of downscaling pixel based on a window may lead to the underdetermined problem in heterogeneous area, result in the uncertainty of some high spatial resolution pixels. Therefore, the downscaled multi-temporal data can hardly reach high spatial resolution as Landsat data. A spiral based method was introduced to downscale low spatial and high temporal resolution image data to high spatial and high temporal resolution image data. By the way of searching the similar pixels around the adjacent region based on the spiral, the pixel set was made up in the adjacent region pixel by pixel. The underdetermined problem is prevented to a large extent from solving the linear system when adopting the pixel set constructed. With the help of ordinary least squares, the method inverted the endmember values of linear system. The high spatial resolution image was reconstructed on the basis of high spatial resolution class map and the endmember values band by band. Then, the high spatial resolution time series was formed with these

Efficient Approximate OLAP Querying Over Time Series

DEFF Research Database (Denmark)

Perera, Kasun Baruhupolage Don Kasun Sanjeewa; Hahmann, Martin; Lehner, Wolfgang

2016-01-01

The ongoing trend for data gathering not only produces larger volumes of data, but also increases the variety of recorded data types. Out of these, especially time series, e.g. various sensor readings, have attracted attention in the domains of business intelligence and decision making. As OLAP...... queries play a major role in these domains, it is desirable to also execute them on time series data. While this is not a problem on the conceptual level, it can become a bottleneck with regards to query run-time. In general, processing OLAP queries gets more computationally intensive as the volume...... of data grows. This is a particular problem when querying time series data, which generally contains multiple measures recorded at fine time granularities. Usually, this issue is addressed either by scaling up hardware or by employing workload based query optimization techniques. However, these solutions...

A Data-Driven Modeling Strategy for Smart Grid Power Quality Coupling Assessment Based on Time Series Pattern Matching

Directory of Open Access Journals (Sweden)

Hao Yu

2018-01-01

Full Text Available This study introduces a data-driven modeling strategy for smart grid power quality (PQ coupling assessment based on time series pattern matching to quantify the influence of single and integrated disturbance among nodes in different pollution patterns. Periodic and random PQ patterns are constructed by using multidimensional frequency-domain decomposition for all disturbances. A multidimensional piecewise linear representation based on local extreme points is proposed to extract the patterns features of single and integrated disturbance in consideration of disturbance variation trend and severity. A feature distance of pattern (FDP is developed to implement pattern matching on univariate PQ time series (UPQTS and multivariate PQ time series (MPQTS to quantify the influence of single and integrated disturbance among nodes in the pollution patterns. Case studies on a 14-bus distribution system are performed and analyzed; the accuracy and applicability of the FDP in the smart grid PQ coupling assessment are verified by comparing with other time series pattern matching methods.

Duality between Time Series and Networks

Science.gov (United States)

Campanharo, Andriana S. L. O.; Sirer, M. Irmak; Malmgren, R. Dean; Ramos, Fernando M.; Amaral, Luís A. Nunes.

2011-01-01

Studying the interaction between a system's components and the temporal evolution of the system are two common ways to uncover and characterize its internal workings. Recently, several maps from a time series to a network have been proposed with the intent of using network metrics to characterize time series. Although these maps demonstrate that different time series result in networks with distinct topological properties, it remains unclear how these topological properties relate to the original time series. Here, we propose a map from a time series to a network with an approximate inverse operation, making it possible to use network statistics to characterize time series and time series statistics to characterize networks. As a proof of concept, we generate an ensemble of time series ranging from periodic to random and confirm that application of the proposed map retains much of the information encoded in the original time series (or networks) after application of the map (or its inverse). Our results suggest that network analysis can be used to distinguish different dynamic regimes in time series and, perhaps more importantly, time series analysis can provide a powerful set of tools that augment the traditional network analysis toolkit to quantify networks in new and useful ways. PMID:21858093

Long time series

DEFF Research Database (Denmark)

Hisdal, H.; Holmqvist, E.; Hyvärinen, V.

Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the......Awareness that emission of greenhouse gases will raise the global temperature and change the climate has led to studies trying to identify such changes in long-term climate and hydrologic time series. This report, written by the...

Detrended fluctuation analysis based on higher-order moments of financial time series

Science.gov (United States)

Teng, Yue; Shang, Pengjian

2018-01-01

In this paper, a generalized method of detrended fluctuation analysis (DFA) is proposed as a new measure to assess the complexity of a complex dynamical system such as stock market. We extend DFA and local scaling DFA to higher moments such as skewness and kurtosis (labeled SMDFA and KMDFA), so as to investigate the volatility scaling property of financial time series. Simulations are conducted over synthetic and financial data for providing the comparative study. We further report the results of volatility behaviors in three American countries, three Chinese and three European stock markets by using DFA and LSDFA method based on higher moments. They demonstrate the dynamics behaviors of time series in different aspects, which can quantify the changes of complexity for stock market data and provide us with more meaningful information than single exponent. And the results reveal some higher moments volatility and higher moments multiscale volatility details that cannot be obtained using the traditional DFA method.

Time Series Decomposition into Oscillation Components and Phase Estimation.

Science.gov (United States)

Matsuda, Takeru; Komaki, Fumiyasu

2017-02-01

Many time series are naturally considered as a superposition of several oscillation components. For example, electroencephalogram (EEG) time series include oscillation components such as alpha, beta, and gamma. We propose a method for decomposing time series into such oscillation components using state-space models. Based on the concept of random frequency modulation, gaussian linear state-space models for oscillation components are developed. In this model, the frequency of an oscillator fluctuates by noise. Time series decomposition is accomplished by this model like the Bayesian seasonal adjustment method. Since the model parameters are estimated from data by the empirical Bayes' method, the amplitudes and the frequencies of oscillation components are determined in a data-driven manner. Also, the appropriate number of oscillation components is determined with the Akaike information criterion (AIC). In this way, the proposed method provides a natural decomposition of the given time series into oscillation components. In neuroscience, the phase of neural time series plays an important role in neural information processing. The proposed method can be used to estimate the phase of each oscillation component and has several advantages over a conventional method based on the Hilbert transform. Thus, the proposed method enables an investigation of the phase dynamics of time series. Numerical results show that the proposed method succeeds in extracting intermittent oscillations like ripples and detecting the phase reset phenomena. We apply the proposed method to real data from various fields such as astronomy, ecology, tidology, and neuroscience.

Research on PM2.5 time series characteristics based on data mining technology

Science.gov (United States)

Zhao, Lifang; Jia, Jin

2018-02-01

With the development of data mining technology and the establishment of environmental air quality database, it is necessary to discover the potential correlations and rules by digging the massive environmental air quality information and analyzing the air pollution process. In this paper, we have presented a sequential pattern mining method based on the air quality data and pattern association technology to analyze the PM2.5 time series characteristics. Utilizing the real-time monitoring data of urban air quality in China, the time series rule and variation properties of PM2.5 under different pollution levels are extracted and analyzed. The analysis results show that the time sequence features of the PM2.5 concentration is directly affected by the alteration of the pollution degree. The longest time that PM2.5 remained stable is about 24 hours. As the pollution degree gets severer, the instability time and step ascending time gradually changes from 12-24 hours to 3 hours. The presented method is helpful for the controlling and forecasting of the air quality while saving the measuring costs, which is of great significance for the government regulation and public prevention of the air pollution.

A Time Series Forecasting Method

Directory of Open Access Journals (Sweden)

Wang Zhao-Yu

2017-01-01

Full Text Available This paper proposes a novel time series forecasting method based on a weighted self-constructing clustering technique. The weighted self-constructing clustering processes all the data patterns incrementally. If a data pattern is not similar enough to an existing cluster, it forms a new cluster of its own. However, if a data pattern is similar enough to an existing cluster, it is removed from the cluster it currently belongs to and added to the most similar cluster. During the clustering process, weights are learned for each cluster. Given a series of time-stamped data up to time t, we divide it into a set of training patterns. By using the weighted self-constructing clustering, the training patterns are grouped into a set of clusters. To estimate the value at time t + 1, we find the k nearest neighbors of the input pattern and use these k neighbors to decide the estimation. Experimental results are shown to demonstrate the effectiveness of the proposed approach.

[Correlation coefficient-based principle and method for the classification of jump degree in hydrological time series].

Science.gov (United States)

Wu, Zi Yi; Xie, Ping; Sang, Yan Fang; Gu, Hai Ting

2018-04-01

The phenomenon of jump is one of the importantly external forms of hydrological variabi-lity under environmental changes, representing the adaption of hydrological nonlinear systems to the influence of external disturbances. Presently, the related studies mainly focus on the methods for identifying the jump positions and jump times in hydrological time series. In contrast, few studies have focused on the quantitative description and classification of jump degree in hydrological time series, which make it difficult to understand the environmental changes and evaluate its potential impacts. Here, we proposed a theatrically reliable and easy-to-apply method for the classification of jump degree in hydrological time series, using the correlation coefficient as a basic index. The statistical tests verified the accuracy, reasonability, and applicability of this method. The relationship between the correlation coefficient and the jump degree of series were described using mathematical equation by derivation. After that, several thresholds of correlation coefficients under different statistical significance levels were chosen, based on which the jump degree could be classified into five levels: no, weak, moderate, strong and very strong. Finally, our method was applied to five diffe-rent observed hydrological time series, with diverse geographic and hydrological conditions in China. The results of the classification of jump degrees in those series were closely accorded with their physically hydrological mechanisms, indicating the practicability of our method.

Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance.

Science.gov (United States)

Liu, Yongli; Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao

2018-01-01

Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy.

Incremental fuzzy C medoids clustering of time series data using dynamic time warping distance

Science.gov (United States)

Chen, Jingli; Wu, Shuai; Liu, Zhizhong; Chao, Hao

2018-01-01

Clustering time series data is of great significance since it could extract meaningful statistics and other characteristics. Especially in biomedical engineering, outstanding clustering algorithms for time series may help improve the health level of people. Considering data scale and time shifts of time series, in this paper, we introduce two incremental fuzzy clustering algorithms based on a Dynamic Time Warping (DTW) distance. For recruiting Single-Pass and Online patterns, our algorithms could handle large-scale time series data by splitting it into a set of chunks which are processed sequentially. Besides, our algorithms select DTW to measure distance of pair-wise time series and encourage higher clustering accuracy because DTW could determine an optimal match between any two time series by stretching or compressing segments of temporal data. Our new algorithms are compared to some existing prominent incremental fuzzy clustering algorithms on 12 benchmark time series datasets. The experimental results show that the proposed approaches could yield high quality clusters and were better than all the competitors in terms of clustering accuracy. PMID:29795600

Forest Disturbance Mapping Using Dense Synthetic Landsat/MODIS Time-Series and Permutation-Based Disturbance Index Detection

Directory of Open Access Journals (Sweden)

David Frantz

2016-03-01

Full Text Available Spatio-temporal information on process-based forest loss is essential for a wide range of applications. Despite remote sensing being the only feasible means of monitoring forest change at regional or greater scales, there is no retrospectively available remote sensor that meets the demand of monitoring forests with the required spatial detail and guaranteed high temporal frequency. As an alternative, we employed the Spatial and Temporal Adaptive Reflectance Fusion Model (STARFM to produce a dense synthetic time series by fusing Landsat and Moderate Resolution Imaging Spectroradiometer (MODIS nadir Bidirectional Reflectance Distribution Function (BRDF adjusted reflectance. Forest loss was detected by applying a multi-temporal disturbance detection approach implementing a Disturbance Index-based detection strategy. The detection thresholds were permutated with random numbers for the normal distribution in order to generate a multi-dimensional threshold confidence area. As a result, a more robust parameterization and a spatially more coherent detection could be achieved. (i The original Landsat time series; (ii synthetic time series; and a (iii combined hybrid approach were used to identify the timing and extent of disturbances. The identified clearings in the Landsat detection were verified using an annual woodland clearing dataset from Queensland’s Statewide Landcover and Trees Study. Disturbances caused by stand-replacing events were successfully identified. The increased temporal resolution of the synthetic time series indicated promising additional information on disturbance timing. The results of the hybrid detection unified the benefits of both approaches, i.e., the spatial quality and general accuracy of the Landsat detection and the increased temporal information of synthetic time series. Results indicated that a temporal improvement in the detection of the disturbance date could be achieved relative to the irregularly spaced Landsat

Multi-Scale Dissemination of Time Series Data

DEFF Research Database (Denmark)

Guo, Qingsong; Zhou, Yongluan; Su, Li

2013-01-01

In this paper, we consider the problem of continuous dissemination of time series data, such as sensor measurements, to a large number of subscribers. These subscribers fall into multiple subscription levels, where each subscription level is specified by the bandwidth constraint of a subscriber......, which is an abstract indicator for both the physical limits and the amount of data that the subscriber would like to handle. To handle this problem, we propose a system framework for multi-scale time series data dissemination that employs a typical tree-based dissemination network and existing time...

Predicting Charging Time of Battery Electric Vehicles Based on Regression and Time-Series Methods: A Case Study of Beijing

Directory of Open Access Journals (Sweden)

Jun Bi

2018-04-01

Full Text Available Battery electric vehicles (BEVs reduce energy consumption and air pollution as compared with conventional vehicles. However, the limited driving range and potential long charging time of BEVs create new problems. Accurate charging time prediction of BEVs helps drivers determine travel plans and alleviate their range anxiety during trips. This study proposed a combined model for charging time prediction based on regression and time-series methods according to the actual data from BEVs operating in Beijing, China. After data analysis, a regression model was established by considering the charged amount for charging time prediction. Furthermore, a time-series method was adopted to calibrate the regression model, which significantly improved the fitting accuracy of the model. The parameters of the model were determined by using the actual data. Verification results confirmed the accuracy of the model and showed that the model errors were small. The proposed model can accurately depict the charging time characteristics of BEVs in Beijing.

Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing

OpenAIRE

Inoue, Akihiko; Kasahara, Yukio

2004-01-01

Let {Xn : ∈Z} be a fractional ARIMA(p,d,q) process with partial autocorrelation function α(·). In this paper, we prove that if d∈(−1/2,0) then |α(n)|~|d|/n as n→∞. This extends the previous result for the case 0

Segmentation of Nonstationary Time Series with Geometric Clustering

DEFF Research Database (Denmark)

Bocharov, Alexei; Thiesson, Bo

2013-01-01

We introduce a non-parametric method for segmentation in regimeswitching time-series models. The approach is based on spectral clustering of target-regressor tuples and derives a switching regression tree, where regime switches are modeled by oblique splits. Such models can be learned efficiently...... from data, where clustering is used to propose one single split candidate at each split level. We use the class of ART time series models to serve as illustration, but because of the non-parametric nature of our segmentation approach, it readily generalizes to a wide range of time-series models that go...

Building Chaotic Model From Incomplete Time Series

Science.gov (United States)

Siek, Michael; Solomatine, Dimitri

2010-05-01

This paper presents a number of novel techniques for building a predictive chaotic model from incomplete time series. A predictive chaotic model is built by reconstructing the time-delayed phase space from observed time series and the prediction is made by a global model or adaptive local models based on the dynamical neighbors found in the reconstructed phase space. In general, the building of any data-driven models depends on the completeness and quality of the data itself. However, the completeness of the data availability can not always be guaranteed since the measurement or data transmission is intermittently not working properly due to some reasons. We propose two main solutions dealing with incomplete time series: using imputing and non-imputing methods. For imputing methods, we utilized the interpolation methods (weighted sum of linear interpolations, Bayesian principle component analysis and cubic spline interpolation) and predictive models (neural network, kernel machine, chaotic model) for estimating the missing values. After imputing the missing values, the phase space reconstruction and chaotic model prediction are executed as a standard procedure. For non-imputing methods, we reconstructed the time-delayed phase space from observed time series with missing values. This reconstruction results in non-continuous trajectories. However, the local model prediction can still be made from the other dynamical neighbors reconstructed from non-missing values. We implemented and tested these methods to construct a chaotic model for predicting storm surges at Hoek van Holland as the entrance of Rotterdam Port. The hourly surge time series is available for duration of 1990-1996. For measuring the performance of the proposed methods, a synthetic time series with missing values generated by a particular random variable to the original (complete) time series is utilized. There exist two main performance measures used in this work: (1) error measures between the actual

FPGA-Based Stochastic Echo State Networks for Time-Series Forecasting.

Science.gov (United States)

Alomar, Miquel L; Canals, Vincent; Perez-Mora, Nicolas; Martínez-Moll, Víctor; Rosselló, Josep L

2016-01-01

Hardware implementation of artificial neural networks (ANNs) allows exploiting the inherent parallelism of these systems. Nevertheless, they require a large amount of resources in terms of area and power dissipation. Recently, Reservoir Computing (RC) has arisen as a strategic technique to design recurrent neural networks (RNNs) with simple learning capabilities. In this work, we show a new approach to implement RC systems with digital gates. The proposed method is based on the use of probabilistic computing concepts to reduce the hardware required to implement different arithmetic operations. The result is the development of a highly functional system with low hardware resources. The presented methodology is applied to chaotic time-series forecasting.

Nonparametric factor analysis of time series

OpenAIRE

Rodríguez-Poo, Juan M.; Linton, Oliver Bruce

1998-01-01

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel.

Effectiveness of Multivariate Time Series Classification Using Shapelets

Directory of Open Access Journals (Sweden)

A. P. Karpenko

2015-01-01

Full Text Available Typically, time series classifiers require signal pre-processing (filtering signals from noise and artifact removal, etc., enhancement of signal features (amplitude, frequency, spectrum, etc., classification of signal features in space using the classical techniques and classification algorithms of multivariate data. We consider a method of classifying time series, which does not require enhancement of the signal features. The method uses the shapelets of time series (time series shapelets i.e. small fragments of this series, which reflect properties of one of its classes most of all.Despite the significant number of publications on the theory and shapelet applications for classification of time series, the task to evaluate the effectiveness of this technique remains relevant. An objective of this publication is to study the effectiveness of a number of modifications of the original shapelet method as applied to the multivariate series classification that is a littlestudied problem. The paper presents the problem statement of multivariate time series classification using the shapelets and describes the shapelet–based basic method of binary classification, as well as various generalizations and proposed modification of the method. It also offers the software that implements a modified method and results of computational experiments confirming the effectiveness of the algorithmic and software solutions.The paper shows that the modified method and the software to use it allow us to reach the classification accuracy of about 85%, at best. The shapelet search time increases in proportion to input data dimension.

Kolmogorov Space in Time Series Data

OpenAIRE

Kanjamapornkul, K.; Pinčák, R.

2016-01-01

We provide the proof that the space of time series data is a Kolmogorov space with $T_{0}$-separation axiom using the loop space of time series data. In our approach we define a cyclic coordinate of intrinsic time scale of time series data after empirical mode decomposition. A spinor field of time series data comes from the rotation of data around price and time axis by defining a new extradimension to time series data. We show that there exist hidden eight dimensions in Kolmogorov space for ...

On the Use of Running Trends as Summary Statistics for Univariate Time Series and Time Series Association

OpenAIRE

Trottini, Mario; Vigo, Isabel; Belda, Santiago

2015-01-01

Given a time series, running trends analysis (RTA) involves evaluating least squares trends over overlapping time windows of L consecutive time points, with overlap by all but one observation. This produces a new series called the “running trends series,” which is used as summary statistics of the original series for further analysis. In recent years, RTA has been widely used in climate applied research as summary statistics for time series and time series association. There is no doubt that ...

Nonlinear regression and ARIMA models for precipitation chemistry in East Central Florida from 1978 to 1997

International Nuclear Information System (INIS)

Nickerson, David M.; Madsen, Brooks C.

2005-01-01

Continuous monitoring of precipitation in East Central Florida has occurred since 1978 at a sampling site located on the University of Central Florida (UCF) campus. Monthly volume-weighted average (VWA) concentration for several major analytes that are present in precipitation samples was calculated from samples collected daily. Monthly VWA concentration and wet deposition of H + , NH 4 + , Ca 2+ , Mg 2+ , NO 3 - , Cl - and SO 4 2- were evaluated by a nonlinear regression (NLR) model that considered 10-year data (from 1978 to 1987) and 20-year data (from 1978 to 1997). Little change in the NLR parameter estimates was indicated among the 10-year and 20-year evaluations except for general decreases in the predicted trends from the 10-year to the 20-year fits. Box-Jenkins autoregressive integrated moving average (ARIMA) models with linear trend were considered as an alternative to the NLR models for these data. The NLR and ARIMA model forecasts for 1998 were compared to the actual 1998 data. For monthly VWA concentration values, the two models gave similar results. For the wet deposition values, the ARIMA models performed considerably better. - Autoregressive integrated moving average models of precipitation data are an improvement over nonlinear models for the prediction of precipitation chemistry composition

Multiple Indicator Stationary Time Series Models.

Science.gov (United States)

Sivo, Stephen A.

2001-01-01

Discusses the propriety and practical advantages of specifying multivariate time series models in the context of structural equation modeling for time series and longitudinal panel data. For time series data, the multiple indicator model specification improves on classical time series analysis. For panel data, the multiple indicator model…

A perturbative approach for enhancing the performance of time series forecasting.

Science.gov (United States)

de Mattos Neto, Paulo S G; Ferreira, Tiago A E; Lima, Aranildo R; Vasconcelos, Germano C; Cavalcanti, George D C

2017-04-01

This paper proposes a method to perform time series prediction based on perturbation theory. The approach is based on continuously adjusting an initial forecasting model to asymptotically approximate a desired time series model. First, a predictive model generates an initial forecasting for a time series. Second, a residual time series is calculated as the difference between the original time series and the initial forecasting. If that residual series is not white noise, then it can be used to improve the accuracy of the initial model and a new predictive model is adjusted using residual series. The whole process is repeated until convergence or the residual series becomes white noise. The output of the method is then given by summing up the outputs of all trained predictive models in a perturbative sense. To test the method, an experimental investigation was conducted on six real world time series. A comparison was made with six other methods experimented and ten other results found in the literature. Results show that not only the performance of the initial model is significantly improved but also the proposed method outperforms the other results previously published. Copyright © 2017 Elsevier Ltd. All rights reserved.

Time Series Momentum

DEFF Research Database (Denmark)

Moskowitz, Tobias J.; Ooi, Yao Hua; Heje Pedersen, Lasse

2012-01-01

We document significant “time series momentum” in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider. We find persistence in returns for one to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial...... under-reaction and delayed over-reaction. A diversified portfolio of time series momentum strategies across all asset classes delivers substantial abnormal returns with little exposure to standard asset pricing factors and performs best during extreme markets. Examining the trading activities...

International Work-Conference on Time Series

CERN Document Server

Pomares, Héctor

2016-01-01

This volume presents selected peer-reviewed contributions from The International Work-Conference on Time Series, ITISE 2015, held in Granada, Spain, July 1-3, 2015. It discusses topics in time series analysis and forecasting, advanced methods and online learning in time series, high-dimensional and complex/big data time series as well as forecasting in real problems. The International Work-Conferences on Time Series (ITISE) provide a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting. It focuses on interdisciplinary and multidisciplinary research encompassing the disciplines of computer science, mathematics, statistics and econometrics.

Prediksi Kerawanan Wilayah Terhadap Tindak Pencurian Sepeda Motor Menggunakan Metode (SARIMA Dan CART

Directory of Open Access Journals (Sweden)

Pradita Eko Prasetyo Utomo

2017-07-01

Full Text Available Motor vehicle theft is a crime that is most common in Indonesia. Growth of vehicle motorcycle significant in each year accompanied by the increasing theft of motorcycles in each year, we need a system that is able to forecast the development and the theft of the motorcycle. This research proposes the development of forecasting models vulnerability criminal offense of theft of motorcycles with ARIMA forecasting method. This method not only forecast from variable of theft but also residents, vehicles and unemployment. The study also determined the classification level of vulnerability to the crime of theft of a motorcycle using a method based on the Decision Tree CART ARIMA forecasting method. Forecasting time series data with ARIMA method performed by each of the variables to produce the best ARIMA forecasting model which varies based on the data pattern of each of those variables. The results of classification by CART method to get the value of accuracy of 92% for the city of Yogyakarta and 85% for DIY. Based on the above, the results of ARIMA forecasting and classification CART can be used in determining the level of vulnerability to the crime of theft of motorcycles.

A cluster merging method for time series microarray with production values.

Science.gov (United States)

Chira, Camelia; Sedano, Javier; Camara, Monica; Prieto, Carlos; Villar, Jose R; Corchado, Emilio

2014-09-01

A challenging task in time-course microarray data analysis is to cluster genes meaningfully combining the information provided by multiple replicates covering the same key time points. This paper proposes a novel cluster merging method to accomplish this goal obtaining groups with highly correlated genes. The main idea behind the proposed method is to generate a clustering starting from groups created based on individual temporal series (representing different biological replicates measured in the same time points) and merging them by taking into account the frequency by which two genes are assembled together in each clustering. The gene groups at the level of individual time series are generated using several shape-based clustering methods. This study is focused on a real-world time series microarray task with the aim to find co-expressed genes related to the production and growth of a certain bacteria. The shape-based clustering methods used at the level of individual time series rely on identifying similar gene expression patterns over time which, in some models, are further matched to the pattern of production/growth. The proposed cluster merging method is able to produce meaningful gene groups which can be naturally ranked by the level of agreement on the clustering among individual time series. The list of clusters and genes is further sorted based on the information correlation coefficient and new problem-specific relevant measures. Computational experiments and results of the cluster merging method are analyzed from a biological perspective and further compared with the clustering generated based on the mean value of time series and the same shape-based algorithm.

FPGA-Based Stochastic Echo State Networks for Time-Series Forecasting

Directory of Open Access Journals (Sweden)

Miquel L. Alomar

2016-01-01

Full Text Available Hardware implementation of artificial neural networks (ANNs allows exploiting the inherent parallelism of these systems. Nevertheless, they require a large amount of resources in terms of area and power dissipation. Recently, Reservoir Computing (RC has arisen as a strategic technique to design recurrent neural networks (RNNs with simple learning capabilities. In this work, we show a new approach to implement RC systems with digital gates. The proposed method is based on the use of probabilistic computing concepts to reduce the hardware required to implement different arithmetic operations. The result is the development of a highly functional system with low hardware resources. The presented methodology is applied to chaotic time-series forecasting.

The Hierarchical Spectral Merger Algorithm: A New Time Series Clustering Procedure

KAUST Repository

Euá n, Carolina; Ombao, Hernando; Ortega, Joaquí n

2018-01-01

We present a new method for time series clustering which we call the Hierarchical Spectral Merger (HSM) method. This procedure is based on the spectral theory of time series and identifies series that share similar oscillations or waveforms

UniFIeD Univariate Frequency-based Imputation for Time Series Data

OpenAIRE

Friese, Martina; Stork, Jörg; Ramos Guerra, Ricardo; Bartz-Beielstein, Thomas; Thaker, Soham; Flasch, Oliver; Zaefferer, Martin

2013-01-01

This paper introduces UniFIeD, a new data preprocessing method for time series. UniFIeD can cope with large intervals of missing data. A scalable test function generator, which allows the simulation of time series with different gap sizes, is presented additionally. An experimental study demonstrates that (i) UniFIeD shows a significant better performance than simple imputation methods and (ii) UniFIeD is able to handle situations, where advanced imputation methods fail. The results are indep...

Stochastic models for time series

CERN Document Server

Doukhan, Paul

2018-01-01

This book presents essential tools for modelling non-linear time series. The first part of the book describes the main standard tools of probability and statistics that directly apply to the time series context to obtain a wide range of modelling possibilities. Functional estimation and bootstrap are discussed, and stationarity is reviewed. The second part describes a number of tools from Gaussian chaos and proposes a tour of linear time series models. It goes on to address nonlinearity from polynomial or chaotic models for which explicit expansions are available, then turns to Markov and non-Markov linear models and discusses Bernoulli shifts time series models. Finally, the volume focuses on the limit theory, starting with the ergodic theorem, which is seen as the first step for statistics of time series. It defines the distributional range to obtain generic tools for limit theory under long or short-range dependences (LRD/SRD) and explains examples of LRD behaviours. More general techniques (central limit ...

Graphical Data Analysis on the Circle: Wrap-Around Time Series Plots for (Interrupted) Time Series Designs.

Science.gov (United States)

Rodgers, Joseph Lee; Beasley, William Howard; Schuelke, Matthew

2014-01-01

Many data structures, particularly time series data, are naturally seasonal, cyclical, or otherwise circular. Past graphical methods for time series have focused on linear plots. In this article, we move graphical analysis onto the circle. We focus on 2 particular methods, one old and one new. Rose diagrams are circular histograms and can be produced in several different forms using the RRose software system. In addition, we propose, develop, illustrate, and provide software support for a new circular graphical method, called Wrap-Around Time Series Plots (WATS Plots), which is a graphical method useful to support time series analyses in general but in particular in relation to interrupted time series designs. We illustrate the use of WATS Plots with an interrupted time series design evaluating the effect of the Oklahoma City bombing on birthrates in Oklahoma County during the 10 years surrounding the bombing of the Murrah Building in Oklahoma City. We compare WATS Plots with linear time series representations and overlay them with smoothing and error bands. Each method is shown to have advantages in relation to the other; in our example, the WATS Plots more clearly show the existence and effect size of the fertility differential.

Autoregressive-model-based missing value estimation for DNA microarray time series data.

Science.gov (United States)

Choong, Miew Keen; Charbit, Maurice; Yan, Hong

2009-01-01

Missing value estimation is important in DNA microarray data analysis. A number of algorithms have been developed to solve this problem, but they have several limitations. Most existing algorithms are not able to deal with the situation where a particular time point (column) of the data is missing entirely. In this paper, we present an autoregressive-model-based missing value estimation method (ARLSimpute) that takes into account the dynamic property of microarray temporal data and the local similarity structures in the data. ARLSimpute is especially effective for the situation where a particular time point contains many missing values or where the entire time point is missing. Experiment results suggest that our proposed algorithm is an accurate missing value estimator in comparison with other imputation methods on simulated as well as real microarray time series datasets.

Time series regression-based pairs trading in the Korean equities market

Science.gov (United States)

Kim, Saejoon; Heo, Jun

2017-07-01

Pairs trading is an instance of statistical arbitrage that relies on heavy quantitative data analysis to profit by capitalising low-risk trading opportunities provided by anomalies of related assets. A key element in pairs trading is the rule by which open and close trading triggers are defined. This paper investigates the use of time series regression to define the rule which has previously been identified with fixed threshold-based approaches. Empirical results indicate that our approach may yield significantly increased excess returns compared to ones obtained by previous approaches on large capitalisation stocks in the Korean equities market.

Time Series with Long Memory

OpenAIRE

西埜, 晴久

2004-01-01

The paper investigates an application of long-memory processes to economic time series. We show properties of long-memory processes, which are motivated to model a long-memory phenomenon in economic time series. An FARIMA model is described as an example of long-memory model in statistical terms. The paper explains basic limit theorems and estimation methods for long-memory processes in order to apply long-memory models to economic time series.

Previsão e séries temporais para tomada de decisão empresarial em uma indústria moveleira da região de Criciúma–SC = A study of forecasting and time series for business decision making in a furniture industry in Criciúma-SC

Directory of Open Access Journals (Sweden)

Fernanda Cristina Barbosa Pereira Queiroz

2012-07-01

Full Text Available Uma previsão adequada deve dar suporte a uma decisão minimizadora de risco por parte dos tomadores de decisão, sendo essencial para o planejamento individual e organizacional de agentes econômicos. Neste sentido, o objetivo deste artigo é realizar um estudo sobre previsão e séries temporais para tomada de decisão empresarial em uma indústria moveleira da região de Criciúma–SC. A metodologia utilizada fundamenta-se na construção de modelos univariados de previsão de preços, com base em dados de séries temporais. O estudo é classificado como exploratório, bibliográfico e um estudo de caso com dados quantitativos. Há uma grande variedade de modelos aplicáveis a estudos desta natureza. Para fins desta pesquisa, optou-se por selecionar o método linear Holt e Holt-Winters e o modelo ARIMA (Auto Regressive Integrate Moving Average. Procurou-se, neste sentido, apresentar os diferentes modelos disponíveis na literatura, objetivando estimar a demanda por móveis para banheiro e projetar vendas futuras. Os resultados mostraram que o modelo ARIMA (Auto Regressive Integrate Moving Average não se mostrou eficiente no caso analisado, devido ao número pequeno de dados, o que impossibilitou uma análise da sazonalidade, sugerindo-se que a empresa utilize o método de Holt, a fim de estimar o número de produtos a ser vendido e que, à medida que os novos produtos sejam vendidos, os demais modelos sejam testados novamente, uma vez que a incorporação de novos dados irá permitir confirmar a existência ou não da sazonalidade. An adequate forecast should give support to minimize risk decisions by the decision makers, being essential for individual and organizational planning of economic agents. In this sense, the purpose of this paper is to conduct a study about forecast and time series for business decision-making in a furniture industry in the region of Criciúma, SC. The methodology was based on the construction of univariate models

On clustering fMRI time series

DEFF Research Database (Denmark)

Goutte, Cyril; Toft, Peter Aundal; Rostrup, E.

1999-01-01

Analysis of fMRI time series is often performed by extracting one or more parameters for the individual voxels. Methods based, e.g., on various statistical tests are then used to yield parameters corresponding to probability of activation or activation strength. However, these methods do...

Forecasting of energy and diesel consumption and the cost of energy production in isolated electrical systems in the Amazon using a fuzzification process in time series models

Energy Technology Data Exchange (ETDEWEB)

Neto, Joao C. do L, E-mail: jcaldas@ufam.edu.br [Group of Optimization and Fuzzy Systems, Federal University of Amazonas, General Rodrigo Octavio Jordao Ramos Avenue, 3000, Academic Campus, 69077-000 Manaus, Amazonas (Brazil); Costa Junior, Carlos T. da [Postgraduate Program in Electrical Engineering, Institute of Technology, Federal University of Para, Augusto Correa Street, 1, Guama, 66075-900 Belem, Para (Brazil); Bitar, Sandro D.B. [Group of Optimization and Fuzzy Systems, Federal University of Amazonas, General Rodrigo Octavio Jordao Ramos Avenue, 3000, Academic Campus, 69077-000 Manaus, Amazonas (Brazil); Junior, Walter B. [Postgraduate Program in Electrical Engineering, Institute of Technology, Federal University of Para, Augusto Correa Street, 1, Guama, 66075-900 Belem, Para (Brazil)

2011-09-15

Understanding the uncertainty inherent in the analysis of diesel fuel consumption and its impact on the generation of electricity is an important topic for planning the expansion of isolated thermoelectric systems in the state of Amazonas. In light of this, a decision support system has been developed to forecast the cost of electricity production using non-stationary data by integrating the methodology of time series models with fuzzy systems and optimization tools. The method presented herein combines the potential of the Autoregressive Integrated Moving Average (ARIMA) and the Seasonal ARIMA (SARIMA) models, such as the forecasting tool, with the advantages of fuzzy set theory to compensate for the uncertainties and errors encountered in the observed data, which would degrade the validity of forecasted values. The results show that incorporation of the {alpha}-cut concept facilitated the evaluation of risks while allowing simultaneous consideration of intervals for the unitary cost of energy production. This provides the analyst with the ability to make decisions using various predicted intervals with different membership values instead of the common practice of simply using the specific costs. - Highlights: > A decision support system has been developed using SARIMA with fuzzy systems and optimizations tools. > It assists the decision-making process for planning the expansion in isolated thermoelectric systems. > The {alpha}-cut concept facilitated the evaluation of risks for the cost of electricity production. > Provides decisions using various forecasted interval for this cost with different membership values.

Forecasting of energy and diesel consumption and the cost of energy production in isolated electrical systems in the Amazon using a fuzzification process in time series models

International Nuclear Information System (INIS)

Neto, Joao C. do L; Costa Junior, Carlos T. da; Bitar, Sandro D.B.; Junior, Walter B.

2011-01-01

Understanding the uncertainty inherent in the analysis of diesel fuel consumption and its impact on the generation of electricity is an important topic for planning the expansion of isolated thermoelectric systems in the state of Amazonas. In light of this, a decision support system has been developed to forecast the cost of electricity production using non-stationary data by integrating the methodology of time series models with fuzzy systems and optimization tools. The method presented herein combines the potential of the Autoregressive Integrated Moving Average (ARIMA) and the Seasonal ARIMA (SARIMA) models, such as the forecasting tool, with the advantages of fuzzy set theory to compensate for the uncertainties and errors encountered in the observed data, which would degrade the validity of forecasted values. The results show that incorporation of the α-cut concept facilitated the evaluation of risks while allowing simultaneous consideration of intervals for the unitary cost of energy production. This provides the analyst with the ability to make decisions using various predicted intervals with different membership values instead of the common practice of simply using the specific costs. - Highlights: → A decision support system has been developed using SARIMA with fuzzy systems and optimizations tools. → It assists the decision-making process for planning the expansion in isolated thermoelectric systems. → The α-cut concept facilitated the evaluation of risks for the cost of electricity production. → Provides decisions using various forecasted interval for this cost with different membership values.

Development of indicators of vegetation recovery based on time series analysis of SPOT Vegetation data

Science.gov (United States)

Lhermitte, S.; Tips, M.; Verbesselt, J.; Jonckheere, I.; Van Aardt, J.; Coppin, Pol

2005-10-01

Large-scale wild fires have direct impacts on natural ecosystems and play a major role in the vegetation ecology and carbon budget. Accurate methods for describing post-fire development of vegetation are therefore essential for the understanding and monitoring of terrestrial ecosystems. Time series analysis of satellite imagery offers the potential to quantify these parameters with spatial and temporal accuracy. Current research focuses on the potential of time series analysis of SPOT Vegetation S10 data (1999-2001) to quantify the vegetation recovery of large-scale burns detected in the framework of GBA2000. The objective of this study was to provide quantitative estimates of the spatio-temporal variation of vegetation recovery based on remote sensing indicators. Southern Africa was used as a pilot study area, given the availability of ground and satellite data. An automated technique was developed to extract consistent indicators of vegetation recovery from the SPOT-VGT time series. Reference areas were used to quantify the vegetation regrowth by means of Regeneration Indices (RI). Two kinds of recovery indicators (time and value- based) were tested for RI's of NDVI, SR, SAVI, NDWI, and pure band information. The effects of vegetation structure and temporal fire regime features on the recovery indicators were subsequently analyzed. Statistical analyses were conducted to assess whether the recovery indicators were different for different vegetation types and dependent on timing of the burning season. Results highlighted the importance of appropriate reference areas and the importance of correct normalization of the SPOT-VGT data.

Multi-step-prediction of chaotic time series based on co-evolutionary recurrent neural network

International Nuclear Information System (INIS)

Ma Qianli; Zheng Qilun; Peng Hong; Qin Jiangwei; Zhong Tanwei

2008-01-01

This paper proposes a co-evolutionary recurrent neural network (CERNN) for the multi-step-prediction of chaotic time series, it estimates the proper parameters of phase space reconstruction and optimizes the structure of recurrent neural networks by co-evolutionary strategy. The searching space was separated into two subspaces and the individuals are trained in a parallel computational procedure. It can dynamically combine the embedding method with the capability of recurrent neural network to incorporate past experience due to internal recurrence. The effectiveness of CERNN is evaluated by using three benchmark chaotic time series data sets: the Lorenz series, Mackey-Glass series and real-world sun spot series. The simulation results show that CERNN improves the performances of multi-step-prediction of chaotic time series

Two-fractal overlap time series: Earthquakes and market crashes

Indian Academy of Sciences (India)

velocity over the other and time series of stock prices. An anticipation method for some of the crashes have been proposed here, based on these observations. Keywords. Cantor set; time series; earthquake; market crash. PACS Nos 05.00; 02.50.-r; 64.60; 89.65.Gh; 95.75.Wx. 1. Introduction. Capturing dynamical patterns of ...

Non-linear time series extreme events and integer value problems

CERN Document Server

Turkman, Kamil Feridun; Zea Bermudez, Patrícia

2014-01-01

This book offers a useful combination of probabilistic and statistical tools for analyzing nonlinear time series. Key features of the book include a study of the extremal behavior of nonlinear time series and a comprehensive list of nonlinear models that address different aspects of nonlinearity. Several inferential methods, including quasi likelihood methods, sequential Markov Chain Monte Carlo Methods and particle filters, are also included so as to provide an overall view of the available tools for parameter estimation for nonlinear models. A chapter on integer time series models based on several thinning operations, which brings together all recent advances made in this area, is also included. Readers should have attended a prior course on linear time series, and a good grasp of simulation-based inferential methods is recommended. This book offers a valuable resource for second-year graduate students and researchers in statistics and other scientific areas who need a basic understanding of nonlinear time ...

Non-linear forecasting in high-frequency financial time series

Science.gov (United States)

Strozzi, F.; Zaldívar, J. M.

2005-08-01

A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has been tested using 18 high-frequency foreign exchange time series. The results are in apparent contradiction with the efficient market hypothesis which states that no profitable information about future movements can be obtained by studying the past prices series. In our (off-line) analysis positive gain may be obtained in all those series. The trading methodology is quite general and may be adapted to other financial time series. Finally, the steps for its on-line application are discussed.

Burned area detection based on Landsat time series in savannas of southern Burkina Faso

Science.gov (United States)

Liu, Jinxiu; Heiskanen, Janne; Maeda, Eduardo Eiji; Pellikka, Petri K. E.

2018-02-01

West African savannas are subject to regular fires, which have impacts on vegetation structure, biodiversity and carbon balance. An efficient and accurate mapping of burned area associated with seasonal fires can greatly benefit decision making in land management. Since coarse resolution burned area products cannot meet the accuracy needed for fire management and climate modelling at local scales, the medium resolution Landsat data is a promising alternative for local scale studies. In this study, we developed an algorithm for continuous monitoring of annual burned areas using Landsat time series. The algorithm is based on burned pixel detection using harmonic model fitting with Landsat time series and breakpoint identification in the time series data. This approach was tested in a savanna area in southern Burkina Faso using 281 images acquired between October 2000 and April 2016. An overall accuracy of 79.2% was obtained with balanced omission and commission errors. This represents a significant improvement in comparison with MODIS burned area product (67.6%), which had more omission errors than commission errors, indicating underestimation of the total burned area. By observing the spatial distribution of burned areas, we found that the Landsat based method misclassified cropland and cloud shadows as burned areas due to the similar spectral response, and MODIS burned area product omitted small and fragmented burned areas. The proposed algorithm is flexible and robust against decreased data availability caused by clouds and Landsat 7 missing lines, therefore having a high potential for being applied in other landscapes in future studies.

Dynamic Forecasting Conditional Probability of Bombing Attacks Based on Time-Series and Intervention Analysis.

Science.gov (United States)

Li, Shuying; Zhuang, Jun; Shen, Shifei

2017-07-01

In recent years, various types of terrorist attacks occurred, causing worldwide catastrophes. According to the Global Terrorism Database (GTD), among all attack tactics, bombing attacks happened most frequently, followed by armed assaults. In this article, a model for analyzing and forecasting the conditional probability of bombing attacks (CPBAs) based on time-series methods is developed. In addition, intervention analysis is used to analyze the sudden increase in the time-series process. The results show that the CPBA increased dramatically at the end of 2011. During that time, the CPBA increased by 16.0% in a two-month period to reach the peak value, but still stays 9.0% greater than the predicted level after the temporary effect gradually decays. By contrast, no significant fluctuation can be found in the conditional probability process of armed assault. It can be inferred that some social unrest, such as America's troop withdrawal from Afghanistan and Iraq, could have led to the increase of the CPBA in Afghanistan, Iraq, and Pakistan. The integrated time-series and intervention model is used to forecast the monthly CPBA in 2014 and through 2064. The average relative error compared with the real data in 2014 is 3.5%. The model is also applied to the total number of attacks recorded by the GTD between 2004 and 2014. © 2016 Society for Risk Analysis.

Assessment of trend and seasonality in road accident data: an Iranian case study.

Science.gov (United States)

Razzaghi, Alireza; Bahrampour, Abbas; Baneshi, Mohammad Reza; Zolala, Farzaneh

2013-06-01

Road traffic accidents and their related deaths have become a major concern, particularly in developing countries. Iran has adopted a series of policies and interventions to control the high number of accidents occurring over the past few years. In this study we used a time series model to understand the trend of accidents, and ascertain the viability of applying ARIMA models on data from Taybad city. This study is a cross-sectional study. We used data from accidents occurring in Taybad between 2007 and 2011. We obtained the data from the Ministry of Health (MOH) and used the time series method with a time lag of one month. After plotting the trend, non-stationary data in mean and variance were removed using Box-Cox transformation and a differencing method respectively. The ACF and PACF plots were used to control the stationary situation. The traffic accidents in our study had an increasing trend over the five years of study. Based on ACF and PACF plots gained after applying Box-Cox transformation and differencing, data did not fit to a time series model. Therefore, neither ARIMA model nor seasonality were observed. Traffic accidents in Taybad have an upward trend. In addition, we expected either the AR model, MA model or ARIMA model to have a seasonal trend, yet this was not observed in this analysis. Several reasons may have contributed to this situation, such as uncertainty of the quality of data, weather changes, and behavioural factors that are not taken into account by time series analysis.

Assessment of Trend and Seasonality in Road Accident Data: An Iranian Case Study

Directory of Open Access Journals (Sweden)

Farzaneh Zolala

2013-05-01

Full Text Available Road traffic accidents and their related deaths have become a major concern, particularly in developing countries. Iran has adopted a series of policies and interventions to control the high number of accidents occurring over the past few years. In this study we used a time series model to understand the trend of accidents, and ascertain the viability of applying ARIMA models on data from Taybad city. Methods This study is a cross-sectional study. We used data from accidents occurring in Taybad between 2007 and 2011. We obtained the data from the Ministry of Health (MOH and used the time series method with a time lag of one month. After plotting the trend, non stationary data in mean and variance were removed using Box-Cox transformation and a differencing method respectively. The ACF and PACF plots were used to control the stationary situation. Results The traffic accidents in our study had an increasing trend over the five years of study. Based on ACF and PACF plots gained after applying Box-Cox transformation and differencing, data did not fit to a time series model. Therefore, neither ARIMA model nor seasonality were observed. Conclusion Traffic accidents in Taybad have an upward trend. In addition, we expected either the AR model, MA model or ARIMA model to have a seasonal trend, yet this was not observed in this analysis. Several reasons may have contributed to this situation, such as uncertainty of the quality of data, weather changes, and behavioural factors that are not taken into account by time series analysis.

Chaotic time series prediction: From one to another

International Nuclear Information System (INIS)

Zhao Pengfei; Xing Lei; Yu Jun

2009-01-01

In this Letter, a new local linear prediction model is proposed to predict a chaotic time series of a component x(t) by using the chaotic time series of another component y(t) in the same system with x(t). Our approach is based on the phase space reconstruction coming from the Takens embedding theorem. To illustrate our results, we present an example of Lorenz system and compare with the performance of the original local linear prediction model.

What marketing scholars should know about time series analysis : time series applications in marketing

NARCIS (Netherlands)

Horváth, Csilla; Kornelis, Marcel; Leeflang, Peter S.H.

2002-01-01

In this review, we give a comprehensive summary of time series techniques in marketing, and discuss a variety of time series analysis (TSA) techniques and models. We classify them in the sets (i) univariate TSA, (ii) multivariate TSA, and (iii) multiple TSA. We provide relevant marketing

Time-varying surrogate data to assess nonlinearity in nonstationary time series: application to heart rate variability.

Science.gov (United States)

Faes, Luca; Zhao, He; Chon, Ki H; Nollo, Giandomenico

2009-03-01

We propose a method to extend to time-varying (TV) systems the procedure for generating typical surrogate time series, in order to test the presence of nonlinear dynamics in potentially nonstationary signals. The method is based on fitting a TV autoregressive (AR) model to the original series and then regressing the model coefficients with random replacements of the model residuals to generate TV AR surrogate series. The proposed surrogate series were used in combination with a TV sample entropy (SE) discriminating statistic to assess nonlinearity in both simulated and experimental time series, in comparison with traditional time-invariant (TIV) surrogates combined with the TIV SE discriminating statistic. Analysis of simulated time series showed that using TIV surrogates, linear nonstationary time series may be erroneously regarded as nonlinear and weak TV nonlinearities may remain unrevealed, while the use of TV AR surrogates markedly increases the probability of a correct interpretation. Application to short (500 beats) heart rate variability (HRV) time series recorded at rest (R), after head-up tilt (T), and during paced breathing (PB) showed: 1) modifications of the SE statistic that were well interpretable with the known cardiovascular physiology; 2) significant contribution of nonlinear dynamics to HRV in all conditions, with significant increase during PB at 0.2 Hz respiration rate; and 3) a disagreement between TV AR surrogates and TIV surrogates in about a quarter of the series, suggesting that nonstationarity may affect HRV recordings and bias the outcome of the traditional surrogate-based nonlinearity test.

Effects of Forecasts on the Revisions of Concurrent Seasonally Adjusted Data Using the X-11 Seasonal Adjustment Procedure.

Science.gov (United States)

Bobbitt, Larry; Otto, Mark

Three Autoregressive Integrated Moving Averages (ARIMA) forecast procedures for Census Bureau X-11 concurrent seasonal adjustment were empirically tested. Forty time series from three Census Bureau economic divisions (business, construction, and industry) were analyzed. Forecasts were obtained from fitted seasonal ARIMA models augmented with…

Models for dependent time series

CERN Document Server

Tunnicliffe Wilson, Granville; Haywood, John

2015-01-01

Models for Dependent Time Series addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. Whether you work in the economic, physical, or life sciences, the book shows you how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vector) time series data.The first four chapters discuss the two main pillars of the subject that have been developed over the last 60 years: vector autoregressive modeling and multivariate spectral analysis. These chapters provide the foundational mater

Data imputation analysis for Cosmic Rays time series

Science.gov (United States)

Fernandes, R. C.; Lucio, P. S.; Fernandez, J. H.

2017-05-01

The occurrence of missing data concerning Galactic Cosmic Rays time series (GCR) is inevitable since loss of data is due to mechanical and human failure or technical problems and different periods of operation of GCR stations. The aim of this study was to perform multiple dataset imputation in order to depict the observational dataset. The study has used the monthly time series of GCR Climax (CLMX) and Roma (ROME) from 1960 to 2004 to simulate scenarios of 10%, 20%, 30%, 40%, 50%, 60%, 70%, 80% and 90% of missing data compared to observed ROME series, with 50 replicates. Then, the CLMX station as a proxy for allocation of these scenarios was used. Three different methods for monthly dataset imputation were selected: AMÉLIA II - runs the bootstrap Expectation Maximization algorithm, MICE - runs an algorithm via Multivariate Imputation by Chained Equations and MTSDI - an Expectation Maximization algorithm-based method for imputation of missing values in multivariate normal time series. The synthetic time series compared with the observed ROME series has also been evaluated using several skill measures as such as RMSE, NRMSE, Agreement Index, R, R2, F-test and t-test. The results showed that for CLMX and ROME, the R2 and R statistics were equal to 0.98 and 0.96, respectively. It was observed that increases in the number of gaps generate loss of quality of the time series. Data imputation was more efficient with MTSDI method, with negligible errors and best skill coefficients. The results suggest a limit of about 60% of missing data for imputation, for monthly averages, no more than this. It is noteworthy that CLMX, ROME and KIEL stations present no missing data in the target period. This methodology allowed reconstructing 43 time series.

Algorithm for Compressing Time-Series Data

Science.gov (United States)

Hawkins, S. Edward, III; Darlington, Edward Hugo

2012-01-01

An algorithm based on Chebyshev polynomials effects lossy compression of time-series data or other one-dimensional data streams (e.g., spectral data) that are arranged in blocks for sequential transmission. The algorithm was developed for use in transmitting data from spacecraft scientific instruments to Earth stations. In spite of its lossy nature, the algorithm preserves the information needed for scientific analysis. The algorithm is computationally simple, yet compresses data streams by factors much greater than two. The algorithm is not restricted to spacecraft or scientific uses: it is applicable to time-series data in general. The algorithm can also be applied to general multidimensional data that have been converted to time-series data, a typical example being image data acquired by raster scanning. However, unlike most prior image-data-compression algorithms, this algorithm neither depends on nor exploits the two-dimensional spatial correlations that are generally present in images. In order to understand the essence of this compression algorithm, it is necessary to understand that the net effect of this algorithm and the associated decompression algorithm is to approximate the original stream of data as a sequence of finite series of Chebyshev polynomials. For the purpose of this algorithm, a block of data or interval of time for which a Chebyshev polynomial series is fitted to the original data is denoted a fitting interval. Chebyshev approximation has two properties that make it particularly effective for compressing serial data streams with minimal loss of scientific information: The errors associated with a Chebyshev approximation are nearly uniformly distributed over the fitting interval (this is known in the art as the "equal error property"); and the maximum deviations of the fitted Chebyshev polynomial from the original data have the smallest possible values (this is known in the art as the "min-max property").

Visual time series analysis

DEFF Research Database (Denmark)

Fischer, Paul; Hilbert, Astrid

2012-01-01

We introduce a platform which supplies an easy-to-handle, interactive, extendable, and fast analysis tool for time series analysis. In contrast to other software suits like Maple, Matlab, or R, which use a command-line-like interface and where the user has to memorize/look-up the appropriate...... commands, our application is select-and-click-driven. It allows to derive many different sequences of deviations for a given time series and to visualize them in different ways in order to judge their expressive power and to reuse the procedure found. For many transformations or model-ts, the user may...... choose between manual and automated parameter selection. The user can dene new transformations and add them to the system. The application contains efficient implementations of advanced and recent techniques for time series analysis including techniques related to extreme value analysis and filtering...

Applied time series analysis and innovative computing

CERN Document Server

Ao, Sio-Iong

2010-01-01

This text is a systematic, state-of-the-art introduction to the use of innovative computing paradigms as an investigative tool for applications in time series analysis. It includes frontier case studies based on recent research.

Time series patterns and language support in DBMS

Science.gov (United States)

Telnarova, Zdenka

2017-07-01

This contribution is focused on pattern type Time Series as a rich in semantics representation of data. Some example of implementation of this pattern type in traditional Data Base Management Systems is briefly presented. There are many approaches how to manipulate with patterns and query patterns. Crucial issue can be seen in systematic approach to pattern management and specific pattern query language which takes into consideration semantics of patterns. Query language SQL-TS for manipulating with patterns is shown on Time Series data.

Parametric, nonparametric and parametric modelling of a chaotic circuit time series

Science.gov (United States)

Timmer, J.; Rust, H.; Horbelt, W.; Voss, H. U.

2000-09-01

The determination of a differential equation underlying a measured time series is a frequently arising task in nonlinear time series analysis. In the validation of a proposed model one often faces the dilemma that it is hard to decide whether possible discrepancies between the time series and model output are caused by an inappropriate model or by bad estimates of parameters in a correct type of model, or both. We propose a combination of parametric modelling based on Bock's multiple shooting algorithm and nonparametric modelling based on optimal transformations as a strategy to test proposed models and if rejected suggest and test new ones. We exemplify this strategy on an experimental time series from a chaotic circuit where we obtain an extremely accurate reconstruction of the observed attractor.

A Review of Subsequence Time Series Clustering

Directory of Open Access Journals (Sweden)

Seyedjamal Zolhavarieh

2014-01-01

Full Text Available Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.

A review of subsequence time series clustering.

Science.gov (United States)

Zolhavarieh, Seyedjamal; Aghabozorgi, Saeed; Teh, Ying Wah

2014-01-01

Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies.

A Review of Subsequence Time Series Clustering

Science.gov (United States)

Teh, Ying Wah

2014-01-01

Clustering of subsequence time series remains an open issue in time series clustering. Subsequence time series clustering is used in different fields, such as e-commerce, outlier detection, speech recognition, biological systems, DNA recognition, and text mining. One of the useful fields in the domain of subsequence time series clustering is pattern recognition. To improve this field, a sequence of time series data is used. This paper reviews some definitions and backgrounds related to subsequence time series clustering. The categorization of the literature reviews is divided into three groups: preproof, interproof, and postproof period. Moreover, various state-of-the-art approaches in performing subsequence time series clustering are discussed under each of the following categories. The strengths and weaknesses of the employed methods are evaluated as potential issues for future studies. PMID:25140332

A KST framework for correlation network construction from time series signals

Science.gov (United States)

Qi, Jin-Peng; Gu, Quan; Zhu, Ying; Zhang, Ping

2018-04-01

A KST (Kolmogorov-Smirnov test and T statistic) method is used for construction of a correlation network based on the fluctuation of each time series within the multivariate time signals. In this method, each time series is divided equally into multiple segments, and the maximal data fluctuation in each segment is calculated by a KST change detection procedure. Connections between each time series are derived from the data fluctuation matrix, and are used for construction of the fluctuation correlation network (FCN). The method was tested with synthetic simulations and the result was compared with those from using KS or T only for detection of data fluctuation. The novelty of this study is that the correlation analyses was based on the data fluctuation in each segment of each time series rather than on the original time signals, which would be more meaningful for many real world applications and for analysis of large-scale time signals where prior knowledge is uncertain.

An accuracy assessment of realtime GNSS time series toward semi- real time seafloor geodetic observation

Science.gov (United States)

Osada, Y.; Ohta, Y.; Demachi, T.; Kido, M.; Fujimoto, H.; Azuma, R.; Hino, R.

2013-12-01

Large interplate earthquake repeatedly occurred in Japan Trench. Recently, the detail crustal deformation revealed by the nation-wide inland GPS network called as GEONET by GSI. However, the maximum displacement region for interplate earthquake is mainly located offshore region. GPS/Acoustic seafloor geodetic observation (hereafter GPS/A) is quite important and useful for understanding of shallower part of the interplate coupling between subducting and overriding plates. We typically conduct GPS/A in specific ocean area based on repeated campaign style using research vessel or buoy. Therefore, we cannot monitor the temporal variation of seafloor crustal deformation in real time. The one of technical issue on real time observation is kinematic GPS analysis because kinematic GPS analysis based on reference and rover data. If the precise kinematic GPS analysis will be possible in the offshore region, it should be promising method for real time GPS/A with USV (Unmanned Surface Vehicle) and a moored buoy. We assessed stability, precision and accuracy of StarFireTM global satellites based augmentation system. We primarily tested for StarFire in the static condition. In order to assess coordinate precision and accuracy, we compared 1Hz StarFire time series and post-processed precise point positioning (PPP) 1Hz time series by GIPSY-OASIS II processing software Ver. 6.1.2 with three difference product types (ultra-rapid, rapid, and final orbits). We also used difference interval clock information (30 and 300 seconds) for the post-processed PPP processing. The standard deviation of real time StarFire time series is less than 30 mm (horizontal components) and 60 mm (vertical component) based on 1 month continuous processing. We also assessed noise spectrum of the estimated time series by StarFire and post-processed GIPSY PPP results. We found that the noise spectrum of StarFire time series is similar pattern with GIPSY-OASIS II processing result based on JPL rapid orbit

Analysis of Heavy-Tailed Time Series

DEFF Research Database (Denmark)

Xie, Xiaolei

This thesis is about analysis of heavy-tailed time series. We discuss tail properties of real-world equity return series and investigate the possibility that a single tail index is shared by all return series of actively traded equities in a market. Conditions for this hypothesis to be true...... are identified. We study the eigenvalues and eigenvectors of sample covariance and sample auto-covariance matrices of multivariate heavy-tailed time series, and particularly for time series with very high dimensions. Asymptotic approximations of the eigenvalues and eigenvectors of such matrices are found...... and expressed in terms of the parameters of the dependence structure, among others. Furthermore, we study an importance sampling method for estimating rare-event probabilities of multivariate heavy-tailed time series generated by matrix recursion. We show that the proposed algorithm is efficient in the sense...

Quantifying Selection with Pool-Seq Time Series Data.

Science.gov (United States)

Taus, Thomas; Futschik, Andreas; Schlötterer, Christian

2017-11-01

Allele frequency time series data constitute a powerful resource for unraveling mechanisms of adaptation, because the temporal dimension captures important information about evolutionary forces. In particular, Evolve and Resequence (E&R), the whole-genome sequencing of replicated experimentally evolving populations, is becoming increasingly popular. Based on computer simulations several studies proposed experimental parameters to optimize the identification of the selection targets. No such recommendations are available for the underlying parameters selection strength and dominance. Here, we introduce a highly accurate method to estimate selection parameters from replicated time series data, which is fast enough to be applied on a genome scale. Using this new method, we evaluate how experimental parameters can be optimized to obtain the most reliable estimates for selection parameters. We show that the effective population size (Ne) and the number of replicates have the largest impact. Because the number of time points and sequencing coverage had only a minor effect, we suggest that time series analysis is feasible without major increase in sequencing costs. We anticipate that time series analysis will become routine in E&R studies. © The Author 2017. Published by Oxford University Press on behalf of the Society for Molecular Biology and Evolution.

Interpretable Categorization of Heterogeneous Time Series Data

Science.gov (United States)

Lee, Ritchie; Kochenderfer, Mykel J.; Mengshoel, Ole J.; Silbermann, Joshua

2017-01-01

We analyze data from simulated aircraft encounters to validate and inform the development of a prototype aircraft collision avoidance system. The high-dimensional and heterogeneous time series dataset is analyzed to discover properties of near mid-air collisions (NMACs) and categorize the NMAC encounters. Domain experts use these properties to better organize and understand NMAC occurrences. Existing solutions either are not capable of handling high-dimensional and heterogeneous time series datasets or do not provide explanations that are interpretable by a domain expert. The latter is critical to the acceptance and deployment of safety-critical systems. To address this gap, we propose grammar-based decision trees along with a learning algorithm. Our approach extends decision trees with a grammar framework for classifying heterogeneous time series data. A context-free grammar is used to derive decision expressions that are interpretable, application-specific, and support heterogeneous data types. In addition to classification, we show how grammar-based decision trees can also be used for categorization, which is a combination of clustering and generating interpretable explanations for each cluster. We apply grammar-based decision trees to a simulated aircraft encounter dataset and evaluate the performance of four variants of our learning algorithm. The best algorithm is used to analyze and categorize near mid-air collisions in the aircraft encounter dataset. We describe each discovered category in detail and discuss its relevance to aircraft collision avoidance.

Forecasting with nonlinear time series models

DEFF Research Database (Denmark)

Kock, Anders Bredahl; Teräsvirta, Timo

In this paper, nonlinear models are restricted to mean nonlinear parametric models. Several such models popular in time series econo- metrics are presented and some of their properties discussed. This in- cludes two models based on universal approximators: the Kolmogorov- Gabor polynomial model...... applied to economic fore- casting problems, is briefly highlighted. A number of large published studies comparing macroeconomic forecasts obtained using different time series models are discussed, and the paper also contains a small simulation study comparing recursive and direct forecasts in a partic...... and two versions of a simple artificial neural network model. Techniques for generating multi-period forecasts from nonlinear models recursively are considered, and the direct (non-recursive) method for this purpose is mentioned as well. Forecasting with com- plex dynamic systems, albeit less frequently...

Desert locust populations, rainfall and climate change: insights from phenomenological models using gridded monthly data

OpenAIRE

Tratalos, Jamie A.; Cheke, Robert A.; Healey, Richard G.; Stenseth, Nils Chr.

2010-01-01

Using autocorrelation analysis and autoregressive integrated moving average (ARIMA)modelling, we analysed a time series of the monthly number of 1° grid squares infested with desert locust Schistocerca gregaria swarms throughout the geographical range of the species from 1930–1987. Statistically significant first- and higher-order autocorrelations were found in the series. Although endogenous components captured much of the variance, adding rainfall data improved endogenous ARIMA models and r...

Frequency-based time-series gene expression recomposition using PRIISM

Directory of Open Access Journals (Sweden)

Rosa Bruce A

2012-06-01

Full Text Available Abstract Background Circadian rhythm pathways influence the expression patterns of as much as 31% of the Arabidopsis genome through complicated interaction pathways, and have been found to be significantly disrupted by biotic and abiotic stress treatments, complicating treatment-response gene discovery methods due to clock pattern mismatches in the fold change-based statistics. The PRIISM (Pattern Recomposition for the Isolation of Independent Signals in Microarray data algorithm outlined in this paper is designed to separate pattern changes induced by different forces, including treatment-response pathways and circadian clock rhythm disruptions. Results Using the Fourier transform, high-resolution time-series microarray data is projected to the frequency domain. By identifying the clock frequency range from the core circadian clock genes, we separate the frequency spectrum to different sections containing treatment-frequency (representing up- or down-regulation by an adaptive treatment response, clock-frequency (representing the circadian clock-disruption response and noise-frequency components. Then, we project the components’ spectra back to the expression domain to reconstruct isolated, independent gene expression patterns representing the effects of the different influences. By applying PRIISM on a high-resolution time-series Arabidopsis microarray dataset under a cold treatment, we systematically evaluated our method using maximum fold change and principal component analyses. The results of this study showed that the ranked treatment-frequency fold change results produce fewer false positives than the original methodology, and the 26-hour timepoint in our dataset was the best statistic for distinguishing the most known cold-response genes. In addition, six novel cold-response genes were discovered. PRIISM also provides gene expression data which represents only circadian clock influences, and may be useful for circadian clock studies

Time series with tailored nonlinearities

Science.gov (United States)

Räth, C.; Laut, I.

2015-10-01

It is demonstrated how to generate time series with tailored nonlinearities by inducing well-defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of nonlinearities are established and their origin is explained. By applying a set of simple constraints on the phases of an originally linear and uncorrelated Gaussian time series, the observed scaling behavior of the intensity distribution of empirical time series can be reproduced. The power law character of the intensity distributions being typical for, e.g., turbulence and financial data can thus be explained in terms of phase correlations.

An advection-based model to increase the temporal resolution of PIV time series.

Science.gov (United States)

Scarano, Fulvio; Moore, Peter

A numerical implementation of the advection equation is proposed to increase the temporal resolution of PIV time series. The method is based on the principle that velocity fluctuations are transported passively, similar to Taylor's hypothesis of frozen turbulence . In the present work, the advection model is extended to unsteady three-dimensional flows. The main objective of the method is that of lowering the requirement on the PIV repetition rate from the Eulerian frequency toward the Lagrangian one. The local trajectory of the fluid parcel is obtained by forward projection of the instantaneous velocity at the preceding time instant and backward projection from the subsequent time step. The trajectories are approximated by the instantaneous streamlines, which yields accurate results when the amplitude of velocity fluctuations is small with respect to the convective motion. The verification is performed with two experiments conducted at temporal resolutions significantly higher than that dictated by Nyquist criterion. The flow past the trailing edge of a NACA0012 airfoil closely approximates frozen turbulence , where the largest ratio between the Lagrangian and Eulerian temporal scales is expected. An order of magnitude reduction of the needed acquisition frequency is demonstrated by the velocity spectra of super-sampled series. The application to three-dimensional data is made with time-resolved tomographic PIV measurements of a transitional jet. Here, the 3D advection equation is implemented to estimate the fluid trajectories. The reduction in the minimum sampling rate by the use of super-sampling in this case is less, due to the fact that vortices occurring in the jet shear layer are not well approximated by sole advection at large time separation. Both cases reveal that the current requirements for time-resolved PIV experiments can be revised when information is poured from space to time . An additional favorable effect is observed by the analysis in the

Is the population level link between drinking and harm similar for women and men?--a time series analysis with focus on gender-specific drinking and alcohol-related hospitalizations in Sweden.

Science.gov (United States)

Engdahl, Barbro; Ramstedt, Mats

2011-08-01

A question that has not been addressed in the literature is whether the population level association between alcohol and harm differs between men and women. The main aim of this article is to fill this gap by analysing recently collected time series data of male and female self-reported drinking in relation to gender-specific harm indicators in Sweden. Male and female per capita and risk consumption was estimated on the basis of self-reported data from monthly alcohol surveys for the period 2002-07. Overall per capita consumption including recorded sales and estimates of unrecorded consumption were also collected for the same period. Alcohol-related hospitalizations were used as indicators of alcohol-related harm. Data were aggregated into quarterly observations and analysed by means of time series analyses (ARIMA-modelling). Overall per capita consumption was significantly related to both male and female alcohol-related hospitalizations. Male per capita consumption and risk consumption were also significantly related to alcohol-related hospitalizations among men. Female per capita consumption and risk consumption had also a positive association with alcohol-related hospitalizations but statistical significance was only reached for alcohol poisonings where the association was even stronger than for men. Changes in alcohol consumption in Sweden was associated with changes in male and female alcohol-related hospitalizations also in analyses based on gender-specific consumption measures. There was no clear evidence that the population level association between alcohol and harm differed between men and women.

Classification of biosensor time series using dynamic time warping: applications in screening cancer cells with characteristic biomarkers.

Science.gov (United States)

Rai, Shesh N; Trainor, Patrick J; Khosravi, Farhad; Kloecker, Goetz; Panchapakesan, Balaji

2016-01-01

The development of biosensors that produce time series data will facilitate improvements in biomedical diagnostics and in personalized medicine. The time series produced by these devices often contains characteristic features arising from biochemical interactions between the sample and the sensor. To use such characteristic features for determining sample class, similarity-based classifiers can be utilized. However, the construction of such classifiers is complicated by the variability in the time domains of such series that renders the traditional distance metrics such as Euclidean distance ineffective in distinguishing between biological variance and time domain variance. The dynamic time warping (DTW) algorithm is a sequence alignment algorithm that can be used to align two or more series to facilitate quantifying similarity. In this article, we evaluated the performance of DTW distance-based similarity classifiers for classifying time series that mimics electrical signals produced by nanotube biosensors. Simulation studies demonstrated the positive performance of such classifiers in discriminating between time series containing characteristic features that are obscured by noise in the intensity and time domains. We then applied a DTW distance-based k -nearest neighbors classifier to distinguish the presence/absence of mesenchymal biomarker in cancer cells in buffy coats in a blinded test. Using a train-test approach, we find that the classifier had high sensitivity (90.9%) and specificity (81.8%) in differentiating between EpCAM-positive MCF7 cells spiked in buffy coats and those in plain buffy coats.

Wind Speed Prediction Using a Univariate ARIMA Model and a Multivariate NARX Model

Directory of Open Access Journals (Sweden)

Erasmo Cadenas

2016-02-01

Full Text Available Two on step ahead wind speed forecasting models were compared. A univariate model was developed using a linear autoregressive integrated moving average (ARIMA. This method’s performance is well studied for a large number of prediction problems. The other is a multivariate model developed using a nonlinear autoregressive exogenous artificial neural network (NARX. This uses the variables: barometric pressure, air temperature, wind direction and solar radiation or relative humidity, as well as delayed wind speed. Both models were developed from two databases from two sites: an hourly average measurements database from La Mata, Oaxaca, Mexico, and a ten minute average measurements database from Metepec, Hidalgo, Mexico. The main objective was to compare the impact of the various meteorological variables on the performance of the multivariate model of wind speed prediction with respect to the high performance univariate linear model. The NARX model gave better results with improvements on the ARIMA model of between 5.5% and 10. 6% for the hourly database and of between 2.3% and 12.8% for the ten minute database for mean absolute error and mean squared error, respectively.

A novel model for Time-Series Data Clustering Based on piecewise SVD and BIRCH for Stock Data Analysis on Hadoop Platform

Directory of Open Access Journals (Sweden)

Ibgtc Bowala

2017-06-01

Full Text Available With the rapid growth of financial markets, analyzers are paying more attention on predictions. Stock data are time series data, with huge amounts. Feasible solution for handling the increasing amount of data is to use a cluster for parallel processing, and Hadoop parallel computing platform is a typical representative. There are various statistical models for forecasting time series data, but accurate clusters are a pre-requirement. Clustering analysis for time series data is one of the main methods for mining time series data for many other analysis processes. However, general clustering algorithms cannot perform clustering for time series data because series data has a special structure and a high dimensionality has highly co-related values due to high noise level. A novel model for time series clustering is presented using BIRCH, based on piecewise SVD, leading to a novel dimension reduction approach. Highly co-related features are handled using SVD with a novel approach for dimensionality reduction in order to keep co-related behavior optimal and then use BIRCH for clustering. The algorithm is a novel model that can handle massive time series data. Finally, this new model is successfully applied to real stock time series data of Yahoo finance with satisfactory results.

Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models

Science.gov (United States)

Price, Larry R.

2012-01-01

The aim of this study was to compare the small sample (N = 1, 3, 5, 10, 15) performance of a Bayesian multivariate vector autoregressive (BVAR-SEM) time series model relative to frequentist power and parameter estimation bias. A multivariate autoregressive model was developed based on correlated autoregressive time series vectors of varying…

A Time-Series Water Level Forecasting Model Based on Imputation and Variable Selection Method.

Science.gov (United States)

Yang, Jun-He; Cheng, Ching-Hsue; Chan, Chia-Pan

2017-01-01

Reservoirs are important for households and impact the national economy. This paper proposed a time-series forecasting model based on estimating a missing value followed by variable selection to forecast the reservoir's water level. This study collected data from the Taiwan Shimen Reservoir as well as daily atmospheric data from 2008 to 2015. The two datasets are concatenated into an integrated dataset based on ordering of the data as a research dataset. The proposed time-series forecasting model summarily has three foci. First, this study uses five imputation methods to directly delete the missing value. Second, we identified the key variable via factor analysis and then deleted the unimportant variables sequentially via the variable selection method. Finally, the proposed model uses a Random Forest to build the forecasting model of the reservoir's water level. This was done to compare with the listing method under the forecasting error. These experimental results indicate that the Random Forest forecasting model when applied to variable selection with full variables has better forecasting performance than the listing model. In addition, this experiment shows that the proposed variable selection can help determine five forecast methods used here to improve the forecasting capability.

On-line diagnostic techniques for air-operated control valves based on time series analysis

International Nuclear Information System (INIS)

Ito, Kenji; Matsuoka, Yoshinori; Minamikawa, Shigeru; Komatsu, Yasuki; Satoh, Takeshi.

1996-01-01

The objective of this research is to study the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves - numerous valves of the type which are used in PWR plants. Generally the techniques can detect anomalies by failures in the initial stages for which detection is difficult by conventional surveillance of process parameters measured directly. However, the effectiveness of these techniques depends on the system being diagnosed. The difficulties in applying diagnostic techniques to air-operated control valves seem to come from the reduced sensitivity of their response as compared with hydraulic control systems, as well as the need to identify anomalies in low level signals that fluctuate only slightly but continuously. In this research, simulation tests were performed by setting various kinds of failure modes for a test valve with the same specifications as of a valve actually used in the plants. Actual control signals recorded from an operating plant were then used as input signals for simulation. The results of the tests confirmed the feasibility of applying on-line diagnostic techniques based on time series analysis to air-operated control valves. (author)

Stochastic generation of hourly wind speed time series

International Nuclear Information System (INIS)

Shamshad, A.; Wan Mohd Ali Wan Hussin; Bawadi, M.A.; Mohd Sanusi, S.A.

2006-01-01

In the present study hourly wind speed data of Kuala Terengganu in Peninsular Malaysia are simulated by using transition matrix approach of Markovian process. The wind speed time series is divided into various states based on certain criteria. The next wind speed states are selected based on the previous states. The cumulative probability transition matrix has been formed in which each row ends with 1. Using the uniform random numbers between 0 and 1, a series of future states is generated. These states have been converted to the corresponding wind speed values using another uniform random number generator. The accuracy of the model has been determined by comparing the statistical characteristics such as average, standard deviation, root mean square error, probability density function and autocorrelation function of the generated data to those of the original data. The generated wind speed time series data is capable to preserve the wind speed characteristics of the observed data

Rainfall Prediction of Indian Peninsula: Comparison of Time Series Based Approach and Predictor Based Approach using Machine Learning Techniques

Science.gov (United States)

Dash, Y.; Mishra, S. K.; Panigrahi, B. K.

2017-12-01

Prediction of northeast/post monsoon rainfall which occur during October, November and December (OND) over Indian peninsula is a challenging task due to the dynamic nature of uncertain chaotic climate. It is imperative to elucidate this issue by examining performance of different machine leaning (ML) approaches. The prime objective of this research is to compare between a) statistical prediction using historical rainfall observations and global atmosphere-ocean predictors like Sea Surface Temperature (SST) and Sea Level Pressure (SLP) and b) empirical prediction based on a time series analysis of past rainfall data without using any other predictors. Initially, ML techniques have been applied on SST and SLP data (1948-2014) obtained from NCEP/NCAR reanalysis monthly mean provided by the NOAA ESRL PSD. Later, this study investigated the applicability of ML methods using OND rainfall time series for 1948-2014 and forecasted up to 2018. The predicted values of aforementioned methods were verified using observed time series data collected from Indian Institute of Tropical Meteorology and the result revealed good performance of ML algorithms with minimal error scores. Thus, it is found that both statistical and empirical methods are useful for long range climatic projections.

Nonlinear Time Series Analysis via Neural Networks

Science.gov (United States)

Volná, Eva; Janošek, Michal; Kocian, Václav; Kotyrba, Martin

This article deals with a time series analysis based on neural networks in order to make an effective forex market [Moore and Roche, J. Int. Econ. 58, 387-411 (2002)] pattern recognition. Our goal is to find and recognize important patterns which repeatedly appear in the market history to adapt our trading system behaviour based on them.

Downsizer - A Graphical User Interface-Based Application for Browsing, Acquiring, and Formatting Time-Series Data for Hydrologic Modeling

Science.gov (United States)

Ward-Garrison, Christian; Markstrom, Steven L.; Hay, Lauren E.

2009-01-01

The U.S. Geological Survey Downsizer is a computer application that selects, downloads, verifies, and formats station-based time-series data for environmental-resource models, particularly the Precipitation-Runoff Modeling System. Downsizer implements the client-server software architecture. The client presents a map-based, graphical user interface that is intuitive to modelers; the server provides streamflow and climate time-series data from over 40,000 measurement stations across the United States. This report is the Downsizer user's manual and provides (1) an overview of the software design, (2) installation instructions, (3) a description of the graphical user interface, (4) a description of selected output files, and (5) troubleshooting information.

Track Irregularity Time Series Analysis and Trend Forecasting

Directory of Open Access Journals (Sweden)

Jia Chaolong

2012-01-01

Full Text Available The combination of linear and nonlinear methods is widely used in the prediction of time series data. This paper analyzes track irregularity time series data by using gray incidence degree models and methods of data transformation, trying to find the connotative relationship between the time series data. In this paper, GM (1,1 is based on first-order, single variable linear differential equations; after an adaptive improvement and error correction, it is used to predict the long-term changing trend of track irregularity at a fixed measuring point; the stochastic linear AR, Kalman filtering model, and artificial neural network model are applied to predict the short-term changing trend of track irregularity at unit section. Both long-term and short-term changes prove that the model is effective and can achieve the expected accuracy.

Modelling road accidents: An approach using structural time series

Science.gov (United States)

Junus, Noor Wahida Md; Ismail, Mohd Tahir

2014-09-01

In this paper, the trend of road accidents in Malaysia for the years 2001 until 2012 was modelled using a structural time series approach. The structural time series model was identified using a stepwise method, and the residuals for each model were tested. The best-fitted model was chosen based on the smallest Akaike Information Criterion (AIC) and prediction error variance. In order to check the quality of the model, a data validation procedure was performed by predicting the monthly number of road accidents for the year 2012. Results indicate that the best specification of the structural time series model to represent road accidents is the local level with a seasonal model.

Koopman Operator Framework for Time Series Modeling and Analysis

Science.gov (United States)

Surana, Amit

2018-01-01

We propose an interdisciplinary framework for time series classification, forecasting, and anomaly detection by combining concepts from Koopman operator theory, machine learning, and linear systems and control theory. At the core of this framework is nonlinear dynamic generative modeling of time series using the Koopman operator which is an infinite-dimensional but linear operator. Rather than working with the underlying nonlinear model, we propose two simpler linear representations or model forms based on Koopman spectral properties. We show that these model forms are invariants of the generative model and can be readily identified directly from data using techniques for computing Koopman spectral properties without requiring the explicit knowledge of the generative model. We also introduce different notions of distances on the space of such model forms which is essential for model comparison/clustering. We employ the space of Koopman model forms equipped with distance in conjunction with classical machine learning techniques to develop a framework for automatic feature generation for time series classification. The forecasting/anomaly detection framework is based on using Koopman model forms along with classical linear systems and control approaches. We demonstrate the proposed framework for human activity classification, and for time series forecasting/anomaly detection in power grid application.

Analysis of JET ELMy time series

International Nuclear Information System (INIS)

Zvejnieks, G.; Kuzovkov, V.N.

2005-01-01

Full text: Achievement of the planned operational regime in the next generation tokamaks (such as ITER) still faces principal problems. One of the main challenges is obtaining the control of edge localized modes (ELMs), which should lead to both long plasma pulse times and reasonable divertor life time. In order to control ELMs the hypothesis was proposed by Degeling [1] that ELMs exhibit features of chaotic dynamics and thus a standard chaos control methods might be applicable. However, our findings which are based on the nonlinear autoregressive (NAR) model contradict this hypothesis for JET ELMy time-series. In turn, it means that ELM behavior is of a relaxation or random type. These conclusions coincide with our previous results obtained for ASDEX Upgrade time series [2]. [1] A.W. Degeling, Y.R. Martin, P.E. Bak, J. B.Lister, and X. Llobet, Plasma Phys. Control. Fusion 43, 1671 (2001). [2] G. Zvejnieks, V.N. Kuzovkov, O. Dumbrajs, A.W. Degeling, W. Suttrop, H. Urano, and H. Zohm, Physics of Plasmas 11, 5658 (2004)

Data Mining Smart Energy Time Series

Directory of Open Access Journals (Sweden)

Janina POPEANGA

2015-07-01

Full Text Available With the advent of smart metering technology the amount of energy data will increase significantly and utilities industry will have to face another big challenge - to find relationships within time-series data and even more - to analyze such huge numbers of time series to find useful patterns and trends with fast or even real-time response. This study makes a small review of the literature in the field, trying to demonstrate how essential is the application of data mining techniques in the time series to make the best use of this large quantity of data, despite all the difficulties. Also, the most important Time Series Data Mining techniques are presented, highlighting their applicability in the energy domain.

Application of Time Series Analysis in Determination of Lag Time in Jahanbin Basin

Directory of Open Access Journals (Sweden)

Seied Yahya Mirzaee

2005-11-01

    One of the important issues that have significant role in study of hydrology of basin is determination of lag time. Lag time has significant role in hydrological studies. Quantity of rainfall related lag time depends on several factors, such as permeability, vegetation cover, catchments slope, rainfall intensity, storm duration and type of rain. Determination of lag time is important parameter in many projects such as dam design and also water resource studies. Lag time of basin could be calculated using various methods. One of these methods is time series analysis of spectral density. The analysis is based on fouries series. The time series is approximated with Sinuous and Cosines functions. In this method harmonically significant quantities with individual frequencies are presented. Spectral density under multiple time series could be used to obtain basin lag time for annual runoff and short-term rainfall fluctuation. A long lag time could be due to snowmelt as well as melting ice due to rainfalls in freezing days. In this research the lag time of Jahanbin basin has been determined using spectral density method. The catchments is subjected to both rainfall and snowfall. For short term rainfall fluctuation with a return period  2, 3, 4 months, the lag times were found 0.18, 0.5 and 0.083 month, respectively.

Long Range Dependence Prognostics for Bearing Vibration Intensity Chaotic Time Series

Directory of Open Access Journals (Sweden)

Qing Li

2016-01-01

Full Text Available According to the chaotic features and typical fractional order characteristics of the bearing vibration intensity time series, a forecasting approach based on long range dependence (LRD is proposed. In order to reveal the internal chaotic properties, vibration intensity time series are reconstructed based on chaos theory in phase-space, the delay time is computed with C-C method and the optimal embedding dimension and saturated correlation dimension are calculated via the Grassberger–Procaccia (G-P method, respectively, so that the chaotic characteristics of vibration intensity time series can be jointly determined by the largest Lyapunov exponent and phase plane trajectory of vibration intensity time series, meanwhile, the largest Lyapunov exponent is calculated by the Wolf method and phase plane trajectory is illustrated using Duffing-Holmes Oscillator (DHO. The Hurst exponent and long range dependence prediction method are proposed to verify the typical fractional order features and improve the prediction accuracy of bearing vibration intensity time series, respectively. Experience shows that the vibration intensity time series have chaotic properties and the LRD prediction method is better than the other prediction methods (largest Lyapunov, auto regressive moving average (ARMA and BP neural network (BPNN model in prediction accuracy and prediction performance, which provides a new approach for running tendency predictions for rotating machinery and provide some guidance value to the engineering practice.

Transformation-cost time-series method for analyzing irregularly sampled data.

Science.gov (United States)

Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G Baris; Kurths, Jürgen

2015-06-01

Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations-with associated costs-to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.

Transformation-cost time-series method for analyzing irregularly sampled data

Science.gov (United States)

Ozken, Ibrahim; Eroglu, Deniz; Stemler, Thomas; Marwan, Norbert; Bagci, G. Baris; Kurths, Jürgen

2015-06-01

Irregular sampling of data sets is one of the challenges often encountered in time-series analysis, since traditional methods cannot be applied and the frequently used interpolation approach can corrupt the data and bias the subsequence analysis. Here we present the TrAnsformation-Cost Time-Series (TACTS) method, which allows us to analyze irregularly sampled data sets without degenerating the quality of the data set. Instead of using interpolation we consider time-series segments and determine how close they are to each other by determining the cost needed to transform one segment into the following one. Using a limited set of operations—with associated costs—to transform the time series segments, we determine a new time series, that is our transformation-cost time series. This cost time series is regularly sampled and can be analyzed using standard methods. While our main interest is the analysis of paleoclimate data, we develop our method using numerical examples like the logistic map and the Rössler oscillator. The numerical data allows us to test the stability of our method against noise and for different irregular samplings. In addition we provide guidance on how to choose the associated costs based on the time series at hand. The usefulness of the TACTS method is demonstrated using speleothem data from the Secret Cave in Borneo that is a good proxy for paleoclimatic variability in the monsoon activity around the maritime continent.