相关论文: Parsimony, model adequacy and periodic correlation…

This is a case study discussing the supervised artificial neural network for the purpose of forecasting with comparison of the Box-Jenkins methodology by using the data of well known emergency service Rescue 1122. We fits a variety of…

Streamflow, as a natural phenomenon, is continuous in time and so are the meteorological variables which influence its variability. In practice, it can be of interest to forecast the whole flow curve instead of points (daily or hourly). To…

Model averaging combines forecasts obtained from a range of models, and it often produces more accurate forecasts than a forecast from a single model. The crucial part of forecast accuracy improvement in using the model averaging lies in…

Variational inference is a popular method for estimating model parameters and conditional distributions in hierarchical and mixed models, which arise frequently in many settings in the health, social, and biological sciences. Variational…

A wide range of approaches for batch processes monitoring can be found in the literature. This kind of process generates a very peculiar data structure, in which successive measurements of many process variables in each batch run are…

The increasing complexity of supply chains and the rising costs associated with defective or substandard goods (bad goods) highlight the urgent need for advanced predictive methodologies to mitigate risks and enhance operational efficiency.…

Performative prediction is a framework accounting for the shift in the data distribution induced by the prediction of a model deployed in the real world. Ensuring rapid convergence to a stable solution where the data distribution remains…

We prove that a time series satisfying a (linear) multivariate autoregressive moving average (VARMA) model satisfies the same model assumption in the reversed time direction, too, if all innovations are normally distributed. This…

This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. To…

Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little…

The use of the annual maximum series for flood frequency analyses limits the considered information to one event per year and one sample that is assumed to be homogeneous. However, flood may have different generating processes, such as…

Improvement of time series forecasting accuracy through combining multiple models is an important as well as a dynamic area of research. As a result, various forecasts combination methods have been developed in literature. However, most of…

Providing forecasts for ultra-long time series plays a vital role in various activities, such as investment decisions, industrial production arrangements, and farm management. This paper develops a novel distributed forecasting framework to…

Undetected anomalies in time series can trigger catastrophic failures in safety-critical systems, such as chemical plant explosions or power grid outages. Although many detection methods have been proposed, their performance remains unclear…

The simulation of complex nonlinear engineering systems such as compressible fluid flows may be targeted to make more efficient and accurate the approximation of a specific (scalar) quantity of interest of the system. Putting aside modeling…

Bayesian Model Averaging (BMA) is an application of Bayesian inference to the problems of model selection, combined estimation and prediction that produces a straightforward model choice criteria and less risky predictions. However, the…

Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study the properties of empirical risk minimization for time series. The analysis is carried out in a general framework that…

What does it mean to say that, for example, the probability for rain tomorrow is between 20% and 30%? The theory for the evaluation of precise probabilistic forecasts is well-developed and is grounded in the key concepts of proper scoring…

Forecast reconciliation is a post-forecasting process that involves transforming a set of incoherent forecasts into coherent forecasts which satisfy a given set of linear constraints for a multivariate time series. In this paper we extend…

We introduce twenty four two-parameter families of advanced time series forecasting functions using a new and nonparametric approach. We also introduce the concept of powering and derive nonseasonal and seasonal models with examples in…