Tunnel boring machines(TBMs)have been widely utilised in tunnel construction due to their high efficiency and reliability.Accurately predicting TBM performance can improve project time management,cost control,and risk...Tunnel boring machines(TBMs)have been widely utilised in tunnel construction due to their high efficiency and reliability.Accurately predicting TBM performance can improve project time management,cost control,and risk management.This study aims to use deep learning to develop real-time models for predicting the penetration rate(PR).The models are built using data from the Changsha metro project,and their performances are evaluated using unseen data from the Zhengzhou Metro project.In one-step forecast,the predicted penetration rate follows the trend of the measured penetration rate in both training and testing.The autoregressive integrated moving average(ARIMA)model is compared with the recurrent neural network(RNN)model.The results show that univariate models,which only consider historical penetration rate itself,perform better than multivariate models that take into account multiple geological and operational parameters(GEO and OP).Next,an RNN variant combining time series of penetration rate with the last-step geological and operational parameters is developed,and it performs better than other models.A sensitivity analysis shows that the penetration rate is the most important parameter,while other parameters have a smaller impact on time series forecasting.It is also found that smoothed data are easier to predict with high accuracy.Nevertheless,over-simplified data can lose real characteristics in time series.In conclusion,the RNN variant can accurately predict the next-step penetration rate,and data smoothing is crucial in time series forecasting.This study provides practical guidance for TBM performance forecasting in practical engineering.展开更多
Forecasting uncertainties among meteorological fields have long been recognized as the main limitation on the accuracy and predictability of air quality forecasts.However,the particular impact of meteorological foreca...Forecasting uncertainties among meteorological fields have long been recognized as the main limitation on the accuracy and predictability of air quality forecasts.However,the particular impact of meteorological forecasting uncertainties on air quality forecasts specific to different seasons is still not well known.In this study,a series of forecasts with different forecast lead times for January,April,July,and October of 2018 are conducted over the Beijing-Tianjin-Hebei(BTH)region and the impacts of meteorological forecasting uncertainties on surface PM_(2.5)concentration forecasts with each lead time are investigated.With increased lead time,the forecasted PM_(2.5)concentrations significantly change and demonstrate obvious seasonal variations.In general,the forecasting uncertainties in monthly mean surface PM_(2.5)concentrations in the BTH region due to lead time are the largest(80%)in spring,followed by autumn(~50%),summer(~40%),and winter(20%).In winter,the forecasting uncertainties in total surface PM_(2.5)mass due to lead time are mainly due to the uncertainties in PBL heights and hence the PBL mixing of anthropogenic primary particles.In spring,the forecasting uncertainties are mainly from the impacts of lead time on lower-tropospheric northwesterly winds,thereby further enhancing the condensation production of anthropogenic secondary particles by the long-range transport of natural dust.In summer,the forecasting uncertainties result mainly from the decrease in dry and wet deposition rates,which are associated with the reduction of near-surface wind speed and precipitation rate.In autumn,the forecasting uncertainties arise mainly from the change in the transport of remote natural dust and anthropogenic particles,which is associated with changes in the large-scale circulation.展开更多
This study investigated the impacts of increasing model resolutions and shortening forecast lead times on the quantitative precipitation forecast(QPF)for heavy-rainfall events over south China during the rainy seasons...This study investigated the impacts of increasing model resolutions and shortening forecast lead times on the quantitative precipitation forecast(QPF)for heavy-rainfall events over south China during the rainy seasons in 2013-2020.The control experiment,where the analysis-forecast cycles run with model resolutions of about 3 km,was compared to a lower-resolution experiment with model resolutions of about 9 km,and a longer-term experiment activated 12 hours earlier.Rainfall forecasting in the presummer rainy season was significantly improved by improving model resolutions,with more improvements in cases with stronger synoptic-scale forcings.This is partially attributed to the improved initial conditions(ICs)and subsequent forecasts for low-level jets(LLJs).Forecasts of heavy rainfall induced by landfalling tropical cyclones(TCs)benefited from increasing model resolutions in the first 6 hours.Forecast improvements in rainfall due to shortening forecast lead times were more significant at earlier(1-6 h)and later(7-12 h)lead times for cases with stronger and weaker synoptic-scale forcings,respectively,due to the area-and case-dependent improvements in ICs for nonprecipitation variables.Specifically,significant improvements mainly presented over the northern South China Sea for low-level onshore wind of weak-forcing cases but over south China for LLJs of strong-forcing cases during the presummer rainy season,and over south China for all the nonprecipitation variables above the surface during the TC season.However,some disadvantages of higher-resolution and shorter-term forecasts in QPFs highlight the importance of developing ensemble forecasting with proper IC perturbations,which include the complementary advantages of lower-resolution and longer-term forecasts.展开更多
In this paper a new .mnultidimensional time series forecasting scheme based on the empirical orthogonal function (EOF) stepwise iteration process is introduced. The scheme is tested in a series of forecast experiments...In this paper a new .mnultidimensional time series forecasting scheme based on the empirical orthogonal function (EOF) stepwise iteration process is introduced. The scheme is tested in a series of forecast experiments of Nino3 SST anomalies and Tahiti-Darwin SO index. The results show that the scheme is feasible and ENSO predictable.展开更多
Accurate and reliable flood forecast is crucial for efficient real-time river management, including flood control, flood warning, reservoir operation and river regulation. In order to improve the estimate of the initi...Accurate and reliable flood forecast is crucial for efficient real-time river management, including flood control, flood warning, reservoir operation and river regulation. In order to improve the estimate of the initial state of the forecasting system and to reduce the errors in the forecast period a data assimilation procedure was often need. The Kalman filter was proven to be an efficient method to adjust real-time flood series and improve the initial conditions before the forecast. A new model integrating the hydraulic model with the Kalman filter for real-time correction of flood forecast was developed and applied in the Three Gorges interzone of the Yangtze River. The method was calibrated and verified against the observed flood stage and discharge during Three Gorges Dam construction periods （2004）. The results demonstrate that the new model incorporates an accurate and fast updating technique can improve the reliability of the flood forecast.展开更多
Background:Improving financial time series forecasting is one of the most challenging and vital issues facing numerous financial analysts and decision makers.Given its direct impact on related decisions,various attemp...Background:Improving financial time series forecasting is one of the most challenging and vital issues facing numerous financial analysts and decision makers.Given its direct impact on related decisions,various attempts have been made to achieve more accurate and reliable forecasting results,of which the combining of individual models remains a widely applied approach.In general,individual models are combined under two main strategies:series and parallel.While it has been proven that these strategies can improve overall forecasting accuracy,the literature on time series forecasting remains vague on the choice of an appropriate strategy to generate a more accurate hybrid model.Methods:Therefore,this study’s key aim is to evaluate the performance of series and parallel strategies to determine a more accurate one.Results:Accordingly,the predictive capabilities of five hybrid models are constructed on the basis of series and parallel strategies compared with each other and with their base models to forecast stock price.To do so,autoregressive integrated moving average(ARIMA)and multilayer perceptrons(MLPs)are used to construct two series hybrid models,ARIMA-MLP and MLP-ARIMA,and three parallel hybrid models,simple average,linear regression,and genetic algorithm models.Conclusion:The empirical forecasting results for two benchmark datasets,that is,the closing of the Shenzhen Integrated Index(SZII)and that of Standard and Poor’s 500(S&P 500),indicate that although all hybrid models perform better than at least one of their individual components,the series combination strategy produces more accurate hybrid models for financial time series forecasting.展开更多
Statistical analyses and descriptive characterizations are sometimes assumed to be offering information on time series forecastability.Despite the scientific interest suggested by such assumptions,the relationships be...Statistical analyses and descriptive characterizations are sometimes assumed to be offering information on time series forecastability.Despite the scientific interest suggested by such assumptions,the relationships between descriptive time series features(e.g.,temporal dependence,entropy,seasonality,trend and linearity features)and actual time series forecastability(quantified by issuing and assessing forecasts for the past)are scarcely studied and quantified in the literature.In this work,we aim to fill in this gap by investigating such relationships,and the way that they can be exploited for understanding hydroclimatic forecastability and its patterns.To this end,we follow a systematic framework bringing together a variety of–mostly new for hydrology–concepts and methods,including 57 descriptive features and nine seasonal time series forecasting methods(i.e.,one simple,five exponential smoothing,two state space and one automated autoregressive fractionally integrated moving average methods).We apply this framework to three global datasets originating from the larger Global Historical Climatology Network(GHCN)and Global Streamflow Indices and Metadata(GSIM)archives.As these datasets comprise over 13,000 monthly temperature,precipitation and river flow time series from several continents and hydroclimatic regimes,they allow us to provide trustable characterizations and interpretations of 12-month ahead hydroclimatic forecastability at the global scale.We first find that the exponential smoothing and state space methods for time series forecasting are rather equally efficient in identifying an upper limit of this forecastability in terms of Nash-Sutcliffe efficiency,while the simple method is shown to be mostly useful in identifying its lower limit.We then demonstrate that the assessed forecastability is strongly related to several descriptive features,including seasonality,entropy,(partial)autocorrelation,stability,(non)linearity,spikiness and heterogeneity features,among others.We further(i)show that,if such descriptive information is available for a monthly hydroclimatic time series,we can even foretell the quality of its future forecasts with a considerable degree of confidence,and(ii)rank the features according to their efficiency in explaining and foretelling forecastability.We believe that the obtained rankings are of key importance for understanding forecastability.Spatial forecastability patterns are also revealed through our experiments,with East Asia(Europe)being characterized by larger(smaller)monthly temperature time series forecastability and the Indian subcontinent(Australia)being characterized by larger(smaller)monthly precipitation time series forecastability,compared to other continental-scale regions,and less notable differences characterizing monthly river flow from continent to continent.A comprehensive interpretation of such patters through massive feature extraction and feature-based time series clustering is shown to be possible.Indeed,continental-scale regions characterized by different degrees of forecastability are also attributed to different clusters or mixtures of clusters(because of their essential differences in terms of descriptive features).展开更多
Time series forecasting has become an important aspect of data analysis and has many real-world applications.However,undesirable missing values are often encountered,which may adversely affect many forecasting tasks.I...Time series forecasting has become an important aspect of data analysis and has many real-world applications.However,undesirable missing values are often encountered,which may adversely affect many forecasting tasks.In this study,we evaluate and compare the effects of imputationmethods for estimating missing values in a time series.Our approach does not include a simulation to generate pseudo-missing data,but instead perform imputation on actual missing data and measure the performance of the forecasting model created therefrom.In an experiment,therefore,several time series forecasting models are trained using different training datasets prepared using each imputation method.Subsequently,the performance of the imputation methods is evaluated by comparing the accuracy of the forecasting models.The results obtained from a total of four experimental cases show that the k-nearest neighbor technique is the most effective in reconstructing missing data and contributes positively to time series forecasting compared with other imputation methods.展开更多
Fuzzy sets theory cannot describe the neutrality degreeof data, which has largely limited the objectivity of fuzzy time seriesin uncertain data forecasting. With this regard, a multi-factor highorderintuitionistic fuz...Fuzzy sets theory cannot describe the neutrality degreeof data, which has largely limited the objectivity of fuzzy time seriesin uncertain data forecasting. With this regard, a multi-factor highorderintuitionistic fuzzy time series forecasting model is built. Inthe new model, a fuzzy clustering algorithm is used to get unequalintervals, and a more objective technique for ascertaining membershipand non-membership functions of the intuitionistic fuzzy setis proposed. On these bases, forecast rules based on multidimensionalintuitionistic fuzzy modus ponens inference are established.Finally, contrast experiments on the daily mean temperature ofBeijing are carried out, which show that the novel model has aclear advantage of improving the forecast accuracy.展开更多
Using real-time correction technology for typhoons, this paper discusses real-time correction for forecasting the track of four typhoons during 2009 and 2010 in Japan, Beijing, Guangzhou, and Shanghai. It was determin...Using real-time correction technology for typhoons, this paper discusses real-time correction for forecasting the track of four typhoons during 2009 and 2010 in Japan, Beijing, Guangzhou, and Shanghai. It was determined that the short-time forecast effect was better than the original objective mode. By selecting four types of integration schemes after multiple mode path integration for those four objective modes, the forecast effect of the multi-mode path integration is better, on average, than any single model. Moreover, multi-mode ensemble forecasting has obvious advantages during the initial 36 h.展开更多
To solve the problem of the flashover forecasting of contaminated or polluted insulator,a flashover forecasting model of contaminated insulators based on nonlinear time series analysis is proposed in the paper.The ESD...To solve the problem of the flashover forecasting of contaminated or polluted insulator,a flashover forecasting model of contaminated insulators based on nonlinear time series analysis is proposed in the paper.The ESDD is the key of flashover on polluted insulator.The ESDD value of insulator can be forecasted by the method of nonlinear time series analysis of the ESDD time series and a forecasting model of polluted insulator flashover is proposed in the paper.The forecasting model consists of two artificial neural networks that reflect relationship of environment,ESDD and flashover probability.The first is used to estimate the ESDD time series of insulator and the second is employed to calculate the probability of the flashover.A series of artificial pollution tests show that the results of the forecasting model is acceptable.展开更多
During the assembly of internal combustion engines, the specific size of crankshaft shell bearing is not known until the crankshaft is fitted to the engine block. Though the build requirements for the engine are consi...During the assembly of internal combustion engines, the specific size of crankshaft shell bearing is not known until the crankshaft is fitted to the engine block. Though the build requirements for the engine are consistent, the consumption profile of the different size shell bearings can follow a highly volatile trajectory due to minor variation in the dimensions of the crankshaft and engine block. The paper assesses the suitability of time series models including ARIMA and exponential smoothing as an appropriate method to forecast future requirements. Additionally, a Monte Carlo method is applied through building a VBA simulation tool in Microsoft Excel and comparing the output to the time series forecasts.展开更多
Due to the relative uncertainty involved with the variables which affect financial market behavior, forecasting future variations in a time series of the Brazilian stock market Index (Ibovespa) can be considered a dif...Due to the relative uncertainty involved with the variables which affect financial market behavior, forecasting future variations in a time series of the Brazilian stock market Index (Ibovespa) can be considered a difficult task. This article aims to evaluate the performance of the model ARIMA for time series forecasting of Ibovespa. The research method utilized was mathematical modeling and followed the Box-Jenkins method. In order to compare results with other smoothing models, the parameter of evaluation MAPE (Mean Absolute Percentage Error) was used. The results showed that the model utilized obtained lower MAPE values, thus indicating greater suitability. This therefore demonstrates that the ARIMA model can be used for time-series indices related to stock market index forecasting.展开更多
Today, COVID-19 pandemic has become the greatest worldwide threat, as it spreads rapidly among individuals in most countries around the world. This study concerns the problem of daily prediction of new COVID-19 cases ...Today, COVID-19 pandemic has become the greatest worldwide threat, as it spreads rapidly among individuals in most countries around the world. This study concerns the problem of daily prediction of new COVID-19 cases in Italy, aiming to find the best predictive model for daily infection number in countries with a large number of confirmed cases. Finding the most accurate forecasting model would help allocate medical resources, handle the spread of the pandemic and get more prepared in terms of health care systems. We compare the forecasting performance of linear and nonlinear forecasting models using daily COVID-19 data for the period between 22 February 2020 and 10 January 2022. We discuss various forecasting approaches, including an Autoregressive Integrated Moving Average (ARIMA) model, a Nonlinear Autoregressive Neural Network (NARNN) model, a TBATS model and Exponential Smoothing on the data collected from 22 February 2020 to 10 January 2022 and compared their accuracy using the data collected from 26 March 2020 to 04 April 2020, choosing the model with the lowest Mean Absolute Percentage Error (MAPE) value. Since the linear models seem not to easily follow the nonlinear patterns of daily confirmed COVID-19 cases, Artificial Neural Network (ANN) has been successfully applied to solve problems of forecasting nonlinear models. The model has been used for daily prediction of COVID-19 cases for the next 20 days without any additional intervention. The prediction model can be applied to other countries struggling with the COVID-19 pandemic and to any possible future pandemics.展开更多
This paper discusses the modeling method of time series with neural network. In order to improve the adaptability of direct multi-step prediction models, this paper proposes a method of combining the temporal differen...This paper discusses the modeling method of time series with neural network. In order to improve the adaptability of direct multi-step prediction models, this paper proposes a method of combining the temporal differences methods with back-propagation algorithm for updating the parameters continuously on the basis of recent data. This method can make the neural network model fit the recent characteristic of the time series as close as possible, therefore improves the prediction accuracy. We built models and made predictions for the sunspot series. The prediction results of adaptive modeling method are better than that of non-adaptive modeling methods.展开更多
A time-lagged ensemble method is used to improve 6-15 day precipitation forecasts from the Beijing Climate Center Atmospheric General Circulation Model,version 2.0.1.The approach averages the deterministic predictions...A time-lagged ensemble method is used to improve 6-15 day precipitation forecasts from the Beijing Climate Center Atmospheric General Circulation Model,version 2.0.1.The approach averages the deterministic predictions of precipitation from the most recent model run and from earlier runs,all at the same forecast valid time.This lagged average forecast （LAF） method assigns equal weight to each ensemble member and produces a forecast by taking the ensemble mean.Our analyses of the Equitable Threat Score,the Hanssen and Kuipers Score,and the frequency bias indicate that the LAF using five members at time-lagged intervals of 6 h improves 6-15 day forecasts of precipitation frequency above 1 mm d-1 and 5 mm d-1 in many regions of China,and is more effective than the LAF method with selection of the time-lagged interval of 12 or 24 h between ensemble members.In particular,significant improvements are seen over regions where the frequencies of rainfall days are higher than about 40％-50％ in the summer season; these regions include northeastern and central to southern China,and the southeastem Tibetan Plateau.展开更多
To enhance the accuracy of intuitionistic fuzzy time series forecasting model, this paper analyses the influence of universe of discourse partition and compares with relevant literature. Traditional models usually par...To enhance the accuracy of intuitionistic fuzzy time series forecasting model, this paper analyses the influence of universe of discourse partition and compares with relevant literature. Traditional models usually partition the global universe of discourse, which is not appropriate for all objectives. For example, the universe of the secular trend model is continuously variational. In addition, most forecasting methods rely on prior information, i.e., fuzzy relationship groups (FRG). Numerous relationship groups lead to the explosive growth of relationship library in a linear model and increase the computational complexity. To overcome problems above and ascertain an appropriate order, an intuitionistic fuzzy time series forecasting model based on order decision and adaptive partition algorithm is proposed. By forecasting the vector operator matrix, the proposed model can adjust partitions and intervals adaptively. The proposed model is tested on student enrollments of Alabama dataset, typical seasonal dataset Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and a secular trend dataset of total retail sales for social consumer goods in China. Experimental results illustrate the validity and applicability of the proposed method for different patterns of dataset.展开更多
文摘Tunnel boring machines(TBMs)have been widely utilised in tunnel construction due to their high efficiency and reliability.Accurately predicting TBM performance can improve project time management,cost control,and risk management.This study aims to use deep learning to develop real-time models for predicting the penetration rate(PR).The models are built using data from the Changsha metro project,and their performances are evaluated using unseen data from the Zhengzhou Metro project.In one-step forecast,the predicted penetration rate follows the trend of the measured penetration rate in both training and testing.The autoregressive integrated moving average(ARIMA)model is compared with the recurrent neural network(RNN)model.The results show that univariate models,which only consider historical penetration rate itself,perform better than multivariate models that take into account multiple geological and operational parameters(GEO and OP).Next,an RNN variant combining time series of penetration rate with the last-step geological and operational parameters is developed,and it performs better than other models.A sensitivity analysis shows that the penetration rate is the most important parameter,while other parameters have a smaller impact on time series forecasting.It is also found that smoothed data are easier to predict with high accuracy.Nevertheless,over-simplified data can lose real characteristics in time series.In conclusion,the RNN variant can accurately predict the next-step penetration rate,and data smoothing is crucial in time series forecasting.This study provides practical guidance for TBM performance forecasting in practical engineering.
基金Supported by National High Technology Research and Development Program of China （863 Program） （2007AA11Z221）, International Cooperation Project of Shanghai （08210707500）, and Natural Science Foundation of Shanghai.（08ZR1420600） . _
基金supported by the National Key Research and Development Program of China(No.2022YFC3700701)National Natural Science Foundation of China(Grant Nos.41775146,42061134009)+1 种基金USTC Research Funds of the Double First-Class Initiative(YD2080002007)Strategic Priority Research Program of Chinese Academy of Sciences(XDB41000000).
文摘Forecasting uncertainties among meteorological fields have long been recognized as the main limitation on the accuracy and predictability of air quality forecasts.However,the particular impact of meteorological forecasting uncertainties on air quality forecasts specific to different seasons is still not well known.In this study,a series of forecasts with different forecast lead times for January,April,July,and October of 2018 are conducted over the Beijing-Tianjin-Hebei(BTH)region and the impacts of meteorological forecasting uncertainties on surface PM_(2.5)concentration forecasts with each lead time are investigated.With increased lead time,the forecasted PM_(2.5)concentrations significantly change and demonstrate obvious seasonal variations.In general,the forecasting uncertainties in monthly mean surface PM_(2.5)concentrations in the BTH region due to lead time are the largest(80%)in spring,followed by autumn(~50%),summer(~40%),and winter(20%).In winter,the forecasting uncertainties in total surface PM_(2.5)mass due to lead time are mainly due to the uncertainties in PBL heights and hence the PBL mixing of anthropogenic primary particles.In spring,the forecasting uncertainties are mainly from the impacts of lead time on lower-tropospheric northwesterly winds,thereby further enhancing the condensation production of anthropogenic secondary particles by the long-range transport of natural dust.In summer,the forecasting uncertainties result mainly from the decrease in dry and wet deposition rates,which are associated with the reduction of near-surface wind speed and precipitation rate.In autumn,the forecasting uncertainties arise mainly from the change in the transport of remote natural dust and anthropogenic particles,which is associated with changes in the large-scale circulation.
基金National Key Research and Development Program of China(2017YFC1501603)National Natural Science Foundation of China(41975136,42075014)+2 种基金Startup Foundation for Introducing Talent of NUIST(2023r121)Guangdong Basic and Applied Basic Research Foundation(2019A1515011118)Guangzhou Municipal Science and Technology Planning Project of China(202103000030)。
文摘This study investigated the impacts of increasing model resolutions and shortening forecast lead times on the quantitative precipitation forecast(QPF)for heavy-rainfall events over south China during the rainy seasons in 2013-2020.The control experiment,where the analysis-forecast cycles run with model resolutions of about 3 km,was compared to a lower-resolution experiment with model resolutions of about 9 km,and a longer-term experiment activated 12 hours earlier.Rainfall forecasting in the presummer rainy season was significantly improved by improving model resolutions,with more improvements in cases with stronger synoptic-scale forcings.This is partially attributed to the improved initial conditions(ICs)and subsequent forecasts for low-level jets(LLJs).Forecasts of heavy rainfall induced by landfalling tropical cyclones(TCs)benefited from increasing model resolutions in the first 6 hours.Forecast improvements in rainfall due to shortening forecast lead times were more significant at earlier(1-6 h)and later(7-12 h)lead times for cases with stronger and weaker synoptic-scale forcings,respectively,due to the area-and case-dependent improvements in ICs for nonprecipitation variables.Specifically,significant improvements mainly presented over the northern South China Sea for low-level onshore wind of weak-forcing cases but over south China for LLJs of strong-forcing cases during the presummer rainy season,and over south China for all the nonprecipitation variables above the surface during the TC season.However,some disadvantages of higher-resolution and shorter-term forecasts in QPFs highlight the importance of developing ensemble forecasting with proper IC perturbations,which include the complementary advantages of lower-resolution and longer-term forecasts.
文摘In this paper a new .mnultidimensional time series forecasting scheme based on the empirical orthogonal function (EOF) stepwise iteration process is introduced. The scheme is tested in a series of forecast experiments of Nino3 SST anomalies and Tahiti-Darwin SO index. The results show that the scheme is feasible and ENSO predictable.
基金the National Science and Technology Planning (Grant No. 2006BAC05B02)
文摘Accurate and reliable flood forecast is crucial for efficient real-time river management, including flood control, flood warning, reservoir operation and river regulation. In order to improve the estimate of the initial state of the forecasting system and to reduce the errors in the forecast period a data assimilation procedure was often need. The Kalman filter was proven to be an efficient method to adjust real-time flood series and improve the initial conditions before the forecast. A new model integrating the hydraulic model with the Kalman filter for real-time correction of flood forecast was developed and applied in the Three Gorges interzone of the Yangtze River. The method was calibrated and verified against the observed flood stage and discharge during Three Gorges Dam construction periods （2004）. The results demonstrate that the new model incorporates an accurate and fast updating technique can improve the reliability of the flood forecast.
文摘Background:Improving financial time series forecasting is one of the most challenging and vital issues facing numerous financial analysts and decision makers.Given its direct impact on related decisions,various attempts have been made to achieve more accurate and reliable forecasting results,of which the combining of individual models remains a widely applied approach.In general,individual models are combined under two main strategies:series and parallel.While it has been proven that these strategies can improve overall forecasting accuracy,the literature on time series forecasting remains vague on the choice of an appropriate strategy to generate a more accurate hybrid model.Methods:Therefore,this study’s key aim is to evaluate the performance of series and parallel strategies to determine a more accurate one.Results:Accordingly,the predictive capabilities of five hybrid models are constructed on the basis of series and parallel strategies compared with each other and with their base models to forecast stock price.To do so,autoregressive integrated moving average(ARIMA)and multilayer perceptrons(MLPs)are used to construct two series hybrid models,ARIMA-MLP and MLP-ARIMA,and three parallel hybrid models,simple average,linear regression,and genetic algorithm models.Conclusion:The empirical forecasting results for two benchmark datasets,that is,the closing of the Shenzhen Integrated Index(SZII)and that of Standard and Poor’s 500(S&P 500),indicate that although all hybrid models perform better than at least one of their individual components,the series combination strategy produces more accurate hybrid models for financial time series forecasting.
基金Funding from the Italian Ministry of Environment, Land and Sea Protection (MATTM) for the Sim PRO project (2020–2021) is acknowledged by (in alphabetical order): S. Grimaldi, G. Papacharalampous and E. Volpifunding from the Italian Ministry of Education, University and Research (MIUR), in the frame of the Departments of Excellence Initiative 2018–2022, attributed to the Department of Engineering of Roma Tre Universityfunding from the EU Horizon 2020 project CLINT (Climate Intelligence: Extreme events detection, attribution and adaptation design using machine learning) under Grant Agreement 101003876
文摘Statistical analyses and descriptive characterizations are sometimes assumed to be offering information on time series forecastability.Despite the scientific interest suggested by such assumptions,the relationships between descriptive time series features(e.g.,temporal dependence,entropy,seasonality,trend and linearity features)and actual time series forecastability(quantified by issuing and assessing forecasts for the past)are scarcely studied and quantified in the literature.In this work,we aim to fill in this gap by investigating such relationships,and the way that they can be exploited for understanding hydroclimatic forecastability and its patterns.To this end,we follow a systematic framework bringing together a variety of–mostly new for hydrology–concepts and methods,including 57 descriptive features and nine seasonal time series forecasting methods(i.e.,one simple,five exponential smoothing,two state space and one automated autoregressive fractionally integrated moving average methods).We apply this framework to three global datasets originating from the larger Global Historical Climatology Network(GHCN)and Global Streamflow Indices and Metadata(GSIM)archives.As these datasets comprise over 13,000 monthly temperature,precipitation and river flow time series from several continents and hydroclimatic regimes,they allow us to provide trustable characterizations and interpretations of 12-month ahead hydroclimatic forecastability at the global scale.We first find that the exponential smoothing and state space methods for time series forecasting are rather equally efficient in identifying an upper limit of this forecastability in terms of Nash-Sutcliffe efficiency,while the simple method is shown to be mostly useful in identifying its lower limit.We then demonstrate that the assessed forecastability is strongly related to several descriptive features,including seasonality,entropy,(partial)autocorrelation,stability,(non)linearity,spikiness and heterogeneity features,among others.We further(i)show that,if such descriptive information is available for a monthly hydroclimatic time series,we can even foretell the quality of its future forecasts with a considerable degree of confidence,and(ii)rank the features according to their efficiency in explaining and foretelling forecastability.We believe that the obtained rankings are of key importance for understanding forecastability.Spatial forecastability patterns are also revealed through our experiments,with East Asia(Europe)being characterized by larger(smaller)monthly temperature time series forecastability and the Indian subcontinent(Australia)being characterized by larger(smaller)monthly precipitation time series forecastability,compared to other continental-scale regions,and less notable differences characterizing monthly river flow from continent to continent.A comprehensive interpretation of such patters through massive feature extraction and feature-based time series clustering is shown to be possible.Indeed,continental-scale regions characterized by different degrees of forecastability are also attributed to different clusters or mixtures of clusters(because of their essential differences in terms of descriptive features).
基金This research was supported by Basic Science Research Program through the National Research Foundation of Korea(NRF)funded by the Ministry of Education(Grant Number 2020R1A6A1A03040583).
文摘Time series forecasting has become an important aspect of data analysis and has many real-world applications.However,undesirable missing values are often encountered,which may adversely affect many forecasting tasks.In this study,we evaluate and compare the effects of imputationmethods for estimating missing values in a time series.Our approach does not include a simulation to generate pseudo-missing data,but instead perform imputation on actual missing data and measure the performance of the forecasting model created therefrom.In an experiment,therefore,several time series forecasting models are trained using different training datasets prepared using each imputation method.Subsequently,the performance of the imputation methods is evaluated by comparing the accuracy of the forecasting models.The results obtained from a total of four experimental cases show that the k-nearest neighbor technique is the most effective in reconstructing missing data and contributes positively to time series forecasting compared with other imputation methods.
基金supported by the National Natural Science Foundation of China(61309022)
文摘Fuzzy sets theory cannot describe the neutrality degreeof data, which has largely limited the objectivity of fuzzy time seriesin uncertain data forecasting. With this regard, a multi-factor highorderintuitionistic fuzzy time series forecasting model is built. Inthe new model, a fuzzy clustering algorithm is used to get unequalintervals, and a more objective technique for ascertaining membershipand non-membership functions of the intuitionistic fuzzy setis proposed. On these bases, forecast rules based on multidimensionalintuitionistic fuzzy modus ponens inference are established.Finally, contrast experiments on the daily mean temperature ofBeijing are carried out, which show that the novel model has aclear advantage of improving the forecast accuracy.
基金National Natural Science Foundation of China(41475060,41275067,41405060)
文摘Using real-time correction technology for typhoons, this paper discusses real-time correction for forecasting the track of four typhoons during 2009 and 2010 in Japan, Beijing, Guangzhou, and Shanghai. It was determined that the short-time forecast effect was better than the original objective mode. By selecting four types of integration schemes after multiple mode path integration for those four objective modes, the forecast effect of the multi-mode path integration is better, on average, than any single model. Moreover, multi-mode ensemble forecasting has obvious advantages during the initial 36 h.
基金Project Supported by Cultiration Found of the Key Scientific and Technical Innovation Project,Ministry of Education of China(707018)
文摘To solve the problem of the flashover forecasting of contaminated or polluted insulator,a flashover forecasting model of contaminated insulators based on nonlinear time series analysis is proposed in the paper.The ESDD is the key of flashover on polluted insulator.The ESDD value of insulator can be forecasted by the method of nonlinear time series analysis of the ESDD time series and a forecasting model of polluted insulator flashover is proposed in the paper.The forecasting model consists of two artificial neural networks that reflect relationship of environment,ESDD and flashover probability.The first is used to estimate the ESDD time series of insulator and the second is employed to calculate the probability of the flashover.A series of artificial pollution tests show that the results of the forecasting model is acceptable.
文摘During the assembly of internal combustion engines, the specific size of crankshaft shell bearing is not known until the crankshaft is fitted to the engine block. Though the build requirements for the engine are consistent, the consumption profile of the different size shell bearings can follow a highly volatile trajectory due to minor variation in the dimensions of the crankshaft and engine block. The paper assesses the suitability of time series models including ARIMA and exponential smoothing as an appropriate method to forecast future requirements. Additionally, a Monte Carlo method is applied through building a VBA simulation tool in Microsoft Excel and comparing the output to the time series forecasts.
文摘Due to the relative uncertainty involved with the variables which affect financial market behavior, forecasting future variations in a time series of the Brazilian stock market Index (Ibovespa) can be considered a difficult task. This article aims to evaluate the performance of the model ARIMA for time series forecasting of Ibovespa. The research method utilized was mathematical modeling and followed the Box-Jenkins method. In order to compare results with other smoothing models, the parameter of evaluation MAPE (Mean Absolute Percentage Error) was used. The results showed that the model utilized obtained lower MAPE values, thus indicating greater suitability. This therefore demonstrates that the ARIMA model can be used for time-series indices related to stock market index forecasting.
文摘Today, COVID-19 pandemic has become the greatest worldwide threat, as it spreads rapidly among individuals in most countries around the world. This study concerns the problem of daily prediction of new COVID-19 cases in Italy, aiming to find the best predictive model for daily infection number in countries with a large number of confirmed cases. Finding the most accurate forecasting model would help allocate medical resources, handle the spread of the pandemic and get more prepared in terms of health care systems. We compare the forecasting performance of linear and nonlinear forecasting models using daily COVID-19 data for the period between 22 February 2020 and 10 January 2022. We discuss various forecasting approaches, including an Autoregressive Integrated Moving Average (ARIMA) model, a Nonlinear Autoregressive Neural Network (NARNN) model, a TBATS model and Exponential Smoothing on the data collected from 22 February 2020 to 10 January 2022 and compared their accuracy using the data collected from 26 March 2020 to 04 April 2020, choosing the model with the lowest Mean Absolute Percentage Error (MAPE) value. Since the linear models seem not to easily follow the nonlinear patterns of daily confirmed COVID-19 cases, Artificial Neural Network (ANN) has been successfully applied to solve problems of forecasting nonlinear models. The model has been used for daily prediction of COVID-19 cases for the next 20 days without any additional intervention. The prediction model can be applied to other countries struggling with the COVID-19 pandemic and to any possible future pandemics.
文摘This paper discusses the modeling method of time series with neural network. In order to improve the adaptability of direct multi-step prediction models, this paper proposes a method of combining the temporal differences methods with back-propagation algorithm for updating the parameters continuously on the basis of recent data. This method can make the neural network model fit the recent characteristic of the time series as close as possible, therefore improves the prediction accuracy. We built models and made predictions for the sunspot series. The prediction results of adaptive modeling method are better than that of non-adaptive modeling methods.
基金supported by the National Basic Research Program of China (973 Program: Grant No. 2010CB951902)the Special Program for China Meteorology Trade (Grant No. GYHY201306020)the Technology Support Program of China (Grant No. 2009BAC51B03)
文摘A time-lagged ensemble method is used to improve 6-15 day precipitation forecasts from the Beijing Climate Center Atmospheric General Circulation Model,version 2.0.1.The approach averages the deterministic predictions of precipitation from the most recent model run and from earlier runs,all at the same forecast valid time.This lagged average forecast （LAF） method assigns equal weight to each ensemble member and produces a forecast by taking the ensemble mean.Our analyses of the Equitable Threat Score,the Hanssen and Kuipers Score,and the frequency bias indicate that the LAF using five members at time-lagged intervals of 6 h improves 6-15 day forecasts of precipitation frequency above 1 mm d-1 and 5 mm d-1 in many regions of China,and is more effective than the LAF method with selection of the time-lagged interval of 12 or 24 h between ensemble members.In particular,significant improvements are seen over regions where the frequencies of rainfall days are higher than about 40％-50％ in the summer season; these regions include northeastern and central to southern China,and the southeastem Tibetan Plateau.
基金supported by the National Natural Science Foundation of China(61309022)
文摘To enhance the accuracy of intuitionistic fuzzy time series forecasting model, this paper analyses the influence of universe of discourse partition and compares with relevant literature. Traditional models usually partition the global universe of discourse, which is not appropriate for all objectives. For example, the universe of the secular trend model is continuously variational. In addition, most forecasting methods rely on prior information, i.e., fuzzy relationship groups (FRG). Numerous relationship groups lead to the explosive growth of relationship library in a linear model and increase the computational complexity. To overcome problems above and ascertain an appropriate order, an intuitionistic fuzzy time series forecasting model based on order decision and adaptive partition algorithm is proposed. By forecasting the vector operator matrix, the proposed model can adjust partitions and intervals adaptively. The proposed model is tested on student enrollments of Alabama dataset, typical seasonal dataset Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and a secular trend dataset of total retail sales for social consumer goods in China. Experimental results illustrate the validity and applicability of the proposed method for different patterns of dataset.
