Abstract: In this paper, Bayesian online inference in models of
data series are constructed by change-points algorithm, which
separated the observed time series into independent series and study
the change and variation of the regime of the data with related
statistical characteristics. variation of statistical characteristics of time
series data often represent separated phenomena in the some
dynamical system, like a change in state of brain dynamical reflected
in EEG signal data measurement or a change in important regime of
data in many dynamical system. In this paper, prediction algorithm
for studying change point location in some time series data is
simulated. It is verified that pattern of proposed distribution of data
has important factor on simpler and smother fluctuation of hazard
rate parameter and also for better identification of change point
locations. Finally, the conditions of how the time series distribution
effect on factors in this approach are explained and validated with
different time series databases for some dynamical system.
Abstract: One of the major difficulties introduced with wind
power penetration is the inherent uncertainty in production originating
from uncertain wind conditions. This uncertainty impacts many
different aspects of power system operation, especially the balancing
power requirements. For this reason, in power system development
planing, it is necessary to evaluate the potential uncertainty in future
wind power generation. For this purpose, simulation models are
required, reproducing the performance of wind power forecasts.
This paper presents a wind power forecast error simulation models
which are based on the stochastic process simulation. Proposed
models capture the most important statistical parameters recognized
in wind power forecast error time series. Furthermore, two distinct
models are presented based on data availability. First model uses
wind speed measurements on potential or existing wind power plant
locations, while the seconds model uses statistical distribution of wind
speeds.
Abstract: In this paper, we study the rainfall using a time series
for weather stations in Nakhon Ratchasima province in Thailand by
various statistical methods to enable us to analyse the behaviour of
rainfall in the study areas. Time-series analysis is an important tool in
modelling and forecasting rainfall. The ARIMA and Holt-Winter
models were built on the basis of exponential smoothing. All the
models proved to be adequate. Therefore it is possible to give
information that can help decision makers establish strategies for the
proper planning of agriculture, drainage systems and other water
resource applications in Nakhon Ratchasima province. We obtained
the best performance from forecasting with the ARIMA
Model(1,0,1)(1,0,1)12.
Abstract: The dramatic rise in the use of Social Media (SM)
platforms such as Facebook and Twitter provide access to an
unprecedented amount of user data. Users may post reviews on
products and services they bought, write about their interests, share
ideas or give their opinions and views on political issues. There is a
growing interest in the analysis of SM data from organisations for
detecting new trends, obtaining user opinions on their products and
services or finding out about their online reputations. A recent
research trend in SM analysis is making predictions based on
sentiment analysis of SM. Often indicators of historic SM data are
represented as time series and correlated with a variety of real world
phenomena like the outcome of elections, the development of
financial indicators, box office revenue and disease outbreaks. This
paper examines the current state of research in the area of SM mining
and predictive analysis and gives an overview of the analysis
methods using opinion mining and machine learning techniques.
Abstract: Predicting earthquakes is an important issue in the
study of geography. Accurate prediction of earthquakes can help
people to take effective measures to minimize the loss of personal
and economic damage, such as large casualties, destruction of
buildings and broken of traffic, occurred within a few seconds.
United States Geological Survey (USGS) science organization
provides reliable scientific information about Earthquake Existed
throughout history & the Preliminary database from the National
Center Earthquake Information (NEIC) show some useful factors to
predict an earthquake in a seismic area like Aleutian Arc in the U.S.
state of Alaska. The main advantage of this prediction method that it
does not require any assumption, it makes prediction according to the
future evolution of the object's time series. The article compares
between simulation data result from trained BP and RBF neural
network versus actual output result from the system calculations.
Therefore, this article focuses on analysis of data relating to real
earthquakes. Evaluation results show better accuracy and higher
speed by using radial basis functions (RBF) neural network.
Abstract: Fuzzy systems have been successfully used for
exchange rate forecasting. However, fuzzy system is very confusing
and complex to be designed by an expert, as there is a large set of
parameters (fuzzy knowledge base) that must be selected, it is not a
simple task to select the appropriate fuzzy knowledge base for an
exchange rate forecasting. The researchers often look the effect of
fuzzy knowledge base on the performances of fuzzy system
forecasting. This paper proposes a genetic fuzzy predictor to forecast
the future value of daily US Dollar/Euro exchange rate time’s series.
A range of methodologies based on a set of fuzzy predictor’s which
allow the forecasting of the same time series, but with a different
fuzzy partition. Each fuzzy predictor is built from two stages, where
each stage is performed by a real genetic algorithm.
Abstract: Chaotic analysis has been performed on the river flow time series before and after applying the wavelet based de-noising techniques in order to investigate the noise content effects on chaotic nature of flow series. In this study, 38 years of monthly runoff data of three gauging stations were used. Gauging stations were located in Ghar-e-Aghaj river basin, Fars province, Iran. Noise level of time series was estimated with the aid of Gaussian kernel algorithm. This step was found to be crucial in preventing removal of the vital data such as memory, correlation and trend from the time series in addition to the noise during de-noising process.
Abstract: This paper proposes a linear mixed model (LMM) with spatial effects to forecast rice and cassava yields in Thailand at the same time. A multivariate conditional autoregressive (MCAR) model is assumed to present the spatial effects. A Bayesian method is used for parameter estimation via Gibbs sampling Markov Chain Monte Carlo (MCMC). The model is applied to the rice and cassava yields monthly data which have been extracted from the Office of Agricultural Economics, Ministry of Agriculture and Cooperatives of Thailand. The results show that the proposed model has better performance in most provinces in both fitting part and validation part compared to the simple exponential smoothing and conditional auto regressive models (CAR) from our previous study.
Abstract: Despite the availability of natural disaster related time series data for last 110 years, there is no forecasting tool available to humanitarian relief organizations to determine forecasts for emergency logistics planning. This study develops a forecasting tool based on identifying probability of disaster for each country in the world by using decision tree modeling. Further, the determination of aggregate forecasts leads to efficient pre-disaster planning. Based on the research findings, the relief agencies can optimize the various resources allocation in emergency logistics planning.
Abstract: As the Malaysian residential electricity consumption continued to increase rapidly, effective energy policies, which address factors affecting residential electricity consumption, is urgently needed. This study attempts to investigate the relationship between residential electricity consumption (EC), real disposable income (Y), price of electricity (Pe) and population (Po) in Malaysia for 1978-2011 period. Unlike previous studies on Malaysia, the current study focuses on the residential sector, a sector that is important for the contemplation of energy policy. The Phillips-Perron (P-P) unit root test is employed to infer the stationarity of each variable while the bound test is executed to determine the existence of co-integration relationship among the variables, modelled in an Autoregressive Distributed Lag (ARDL) framework. The CUSUM and CUSUM of squares tests are applied to ensure the stability of the model. The results suggest the existence of long-run equilibrium relationship and bidirectional Granger causality between EC and the macroeconomic variables. The empirical findings will help policy makers of Malaysia in developing new monitoring standards of energy consumption. As it is the major contributing factor in economic growth and CO2 emission, there is a need for more proper planning in Malaysia to attain future targets in order to cut emissions.
Abstract: Non linear methods of heart rate variability (HRV) analysis are becoming more popular. It has been observed that complexity measures quantify the regularity and uncertainty of cardiovascular RR-interval time series. In the present work, SampEn has been evaluated in healthy normal sinus rhythm (NSR) male and female subjects for different data lengths and tolerance level r. It is demonstrated that SampEn is small for higher values of tolerance r. Also SampEn value of healthy female group is higher than that of healthy male group for short data length and with increase in data length both groups overlap each other and it is difficult to distinguish them. The SampEn gives inaccurate results by assigning higher value to female group, because male subject have more complex HRV pattern than that of female subjects. Therefore, this traditional algorithm exhibits higher complexity for healthy female subjects than for healthy male subjects, which is misleading observation. This may be due to the fact that SampEn do not account for multiple time scales inherent in the physiologic time series and the hidden spatial and temporal fluctuations remains unexplored.
Abstract: Several meteorological parameters were used for the
prediction of monthly average daily global solar radiation on
horizontal using recurrent neural networks (RNNs). Climatological
data and measures, mainly air temperature, humidity, sunshine
duration, and wind speed between 1995 and 2007 were used to design
and validate a feed forward and recurrent neural network based
prediction systems. In this paper we present our reference system
based on a feed-forward multilayer perceptron (MLP) as well as the
proposed approach based on an RNN model. The obtained results
were promising and comparable to those obtained by other existing
empirical and neural models. The experimental results showed the
advantage of RNNs over simple MLPs when we deal with time series
solar radiation predictions based on daily climatological data.
Abstract: Prediction of future research topics by using time series analysis either statistical or machine learning has been conducted previously by several researchers. Several methods have been proposed to combine the forecasting results into single forecast. These methods use fixed combination of individual forecast to get the final forecast result. In this paper, quite different approach is employed to select the forecasting methods, in which every point to forecast is calculated by using the best methods used by similar validation dataset. The dataset used in the experiment is time series derived from research report in Garuda, which is an online sites belongs to the Ministry of Education in Indonesia, over the past 20 years. The experimental result demonstrates that the proposed method may perform better compared to the fix combination of predictors. In addition, based on the prediction result, we can forecast emerging research topics for the next few years.
Abstract: This paper aims to examine whether a bubble is present in the housing market of China. Thus, we use the housing price-to-income ratios and housing price-to-rent ratios of 35 cities from 1998 to 2010. The methods of the panel KSS unit root test with a Fourier function and the SPSM process are likewise used. The panel KSS unit root test with a Fourier function considers the problem of non-linearity and structural changes, and the SPSM process can avoid the stationary time series from dominating the result-generated bias. Through a rigorous empirical study, we determine that the housing price-to-income ratios are stationary in 34 of the 35 cities in China. Only Xining is non-stationary. The housing price-to-rent ratios are stationary in 32 of the 35 cities in China. Chengdu, Fuzhou, and Zhengzhou are non-stationary. Overall, the housing bubbles are not a serious problem in China at the time.
Abstract: This paper presents a preliminary attempt to apply classification of time series using meta-clusters in order to improve the quality of regression models. In this case, clustering was performed as a method to obtain subgroups of time series data with normal distribution from the inflow into wastewater treatment plant data, composed of several groups differing by mean value. Two simple algorithms, K-mean and EM, were chosen as a clustering method. The Rand index was used to measure the similarity. After simple meta-clustering, a regression model was performed for each subgroups. The final model was a sum of the subgroups models. The quality of the obtained model was compared with the regression model made using the same explanatory variables, but with no clustering of data. Results were compared using determination coefficient (R2), measure of prediction accuracy- mean absolute percentage error (MAPE) and comparison on a linear chart. Preliminary results allow us to foresee the potential of the presented technique.
Abstract: Uncertain data is believed to be an important issue in building up a prediction model. The main objective in the time series uncertainty analysis is to formulate uncertain data in order to gain knowledge and fit low dimensional model prior to a prediction task. This paper discusses the performance of a number of techniques in dealing with uncertain data specifically those which solve uncertain data condition by minimizing the loss of compression properties.
Abstract: In this paper the core objective is to apply discrete wavelet transform and maximal overlap discrete wavelet transform functions namely Haar, Daubechies2, Symmlet4, Coiflet2 and discrete approximation of the Meyer wavelets in non stationary financial time series data from Dow Jones index (DJIA30) of US stock market. The data consists of 2048 daily data of closing index from December 17, 2004 to October 23, 2012. Unit root test affirms that the data is non stationary in the level. A comparison between the results to transform non stationary data to stationary data using aforesaid transforms is given which clearly shows that the decomposition stock market index by discrete wavelet transform is better than maximal overlap discrete wavelet transform for original data.
Abstract: This study is focused on the development of prediction models of the Ozone concentration time series. Prediction model is built based on chaotic approach. Firstly, the chaotic nature of the time series is detected by means of phase space plot and the Cao method. Then, the prediction model is built and the local linear approximation method is used for the forecasting purposes. Traditional prediction of autoregressive linear model is also built. Moreover, an improvement in local linear approximation method is also performed. Prediction models are applied to the hourly Ozone time series observed at the benchmark station in Malaysia. Comparison of all models through the calculation of mean absolute error, root mean squared error and correlation coefficient shows that the one with improved prediction method is the best. Thus, chaotic approach is a good approach to be used to develop a prediction model for the Ozone concentration time series.
Abstract: The coherent Self-Averaging (CSA), is a new method proposed in this work; applied to simulated signals evoked potentials related to events (ERP) to find the wave P300, useful systems in the brain computer interface (BCI). The CSA method cleans signal in the time domain of white noise through of successive averaging of a single signal. The method is compared with the traditional method, coherent averaging or synchronized (CA), showing optimal results in the improvement of the signal to noise ratio (SNR). The method of CSA is easy to implement, robust and applicable to any physiological time series contaminated with white noise
Abstract: Pattern discovery from time series is of fundamental importance. Particularly, when information about the structure of a pattern is not complete, an algorithm to discover specific patterns or shapes automatically from the time series data is necessary. The dynamic time warping is a technique that allows local flexibility in aligning time series. Because of this, it is widely used in many fields such as science, medicine, industry, finance and others. However, a major problem of the dynamic time warping is that it is not able to work with structural changes of a pattern. This problem arises when the structure is influenced by noise, which is a common thing in practice for almost every application. This paper addresses this problem by means of developing a novel technique called adaptive dynamic time warping.