Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 10

ARIMA Related Abstracts

10 Study of ANFIS and ARIMA Model for Weather Forecasting

Authors: Bandreddy Anand Babu, Srinivasa Rao Mandadi, C. Pradeep Reddy, N. Ramesh Babu


In this paper quickly illustrate the correlation investigation of Auto-Regressive Integrated Moving and Average (ARIMA) and daptive Network Based Fuzzy Inference System (ANFIS) models done by climate estimating. The climate determining is taken from University of Waterloo. The information is taken as Relative Humidity, Ambient Air Temperature, Barometric Pressure and Wind Direction utilized within this paper. The paper is carried out by analyzing the exhibitions are seen by demonstrating of ARIMA and ANIFIS model like with Sum of average of errors. Versatile Network Based Fuzzy Inference System (ANFIS) demonstrating is carried out by Mat lab programming and Auto-Regressive Integrated Moving and Average (ARIMA) displaying is produced by utilizing XLSTAT programming. ANFIS is carried out in Fuzzy Logic Toolbox in Mat Lab programming.

Keywords: MATLAB, Weather Forecasting, ANFIS, ARIMA, fuzzy surmising tool stash

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9 A Comparative Analysis of ARIMA and Threshold Autoregressive Models on Exchange Rate

Authors: Diteboho Xaba, Kolentino Mpeta, Tlotliso Qejoe


This paper assesses the in-sample forecasting of the South African exchange rates comparing a linear ARIMA model and a SETAR model. The study uses a monthly adjusted data of South African exchange rates with 420 observations. Akaike information criterion (AIC) and the Schwarz information criteria (SIC) are used for model selection. Mean absolute error (MAE), root mean squared error (RMSE) and mean absolute percentage error (MAPE) are error metrics used to evaluate forecast capability of the models. The Diebold –Mariano (DM) test is employed in the study to check forecast accuracy in order to distinguish the forecasting performance between the two models (ARIMA and SETAR). The results indicate that both models perform well when modelling and forecasting the exchange rates, but SETAR seemed to outperform ARIMA.

Keywords: Model selection, ARIMA, error metrices, SETAR

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8 ARIMA-GARCH, A Statistical Modeling for Epileptic Seizure Prediction

Authors: Salman Mohamadi, Seyed Mohammad Ali Tayaranian Hosseini, Hamidreza Amindavar


In this paper, we provide a procedure to analyze and model EEG (electroencephalogram) signal as a time series using ARIMA-GARCH to predict an epileptic attack. The heteroskedasticity of EEG signal is examined through the ARCH or GARCH, (Autore- gressive conditional heteroskedasticity, Generalized autoregressive conditional heteroskedasticity) test. The best ARIMA-GARCH model in AIC sense is utilized to measure the volatility of the EEG from epileptic canine subjects, to forecast the future values of EEG. ARIMA-only model can perform prediction, but the ARCH or GARCH model acting on the residuals of ARIMA attains a con- siderable improved forecast horizon. First, we estimate the best ARIMA model, then different orders of ARCH and GARCH modelings are surveyed to determine the best heteroskedastic model of the residuals of the mentioned ARIMA. Using the simulated conditional variance of selected ARCH or GARCH model, we suggest the procedure to predict the oncoming seizures. The results indicate that GARCH modeling determines the dynamic changes of variance well before the onset of seizure. It can be inferred that the prediction capability comes from the ability of the combined ARIMA-GARCH modeling to cover the heteroskedastic nature of EEG signal changes.

Keywords: eeg, ARIMA, epileptic seizure prediction, ARCH and GARCH modeling, heteroskedasticity

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7 Exchange Rate Forecasting by Econometric Models

Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir


The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

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6 An Approach for Pattern Recognition and Prediction of Information Diffusion Model on Twitter

Authors: Amartya Hatua, Trung Nguyen, Andrew Sung


In this paper, we study the information diffusion process on Twitter as a multivariate time series problem. Our model concerns three measures (volume, network influence, and sentiment of tweets) based on 10 features, and we collected 27 million tweets to build our information diffusion time series dataset for analysis. Then, different time series clustering techniques with Dynamic Time Warping (DTW) distance were used to identify different patterns of information diffusion. Finally, we built the information diffusion prediction models for new hashtags which comprise two phrases: The first phrase is recognizing the pattern using k-NN with DTW distance; the second phrase is building the forecasting model using the traditional Autoregressive Integrated Moving Average (ARIMA) model and the non-linear recurrent neural network of Long Short-Term Memory (LSTM). Preliminary results of performance evaluation between different forecasting models show that LSTM with clustering information notably outperforms other models. Therefore, our approach can be applied in real-world applications to analyze and predict the information diffusion characteristics of selected topics or memes (hashtags) in Twitter.

Keywords: Information Diffusion, DTW, Twitter, ARIMA, time series forecasting, LSTM, RNN, time series clustering

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5 Design and Development of an Algorithm to Predict Fluctuations of Currency Rates

Authors: Nuwan Kuruwitaarachchi, M. K. M. Peiris, C. N. Madawala, K. M. A. R. Perera, V. U. N Perera


Dealing with businesses with the foreign market always took a special place in a country’s economy. Political and social factors came into play making currency rate changes fluctuate rapidly. Currency rate prediction has become an important factor for larger international businesses since large amounts of money exchanged between countries. This research focuses on comparing the accuracy of mainly three models; Autoregressive Integrated Moving Average (ARIMA), Artificial Neural Networks(ANN) and Support Vector Machines(SVM). series of data import, export, USD currency exchange rate respect to LKR has been selected for training using above mentioned algorithms. After training the data set and comparing each algorithm, it was able to see that prediction in SVM performed better than other models. It was improved more by combining SVM and SVR models together.


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4 Analysis and Prediction of Fine Particulate Matter in the Air Environment for 2007-2020 in Bangkok Thailand

Authors: Phawichsak Prapassornpitaya, Wanida Jinsart


Daily monitoring PM₁₀ and PM₂.₅ data from 2007 to 2017 were analyzed to provide baseline data for prediction of the air pollution in Bangkok in the period of 2018 -2020. Two statistical models, Autoregressive Integrated Moving Average model (ARIMA) were used to evaluate the trends of pollutions. The prediction concentrations were tested by root means square error (RMSE) and index of agreement (IOA). This evaluation of the traffic PM₂.₅ and PM₁₀ were studied in association with the regulatory control and emission standard changes. The emission factors of particulate matter from diesel vehicles were decreased when applied higher number of euro standard. The trends of ambient air pollutions were expected to decrease. However, the Bangkok smog episode in February 2018 with temperature inversion caused high concentration of PM₂.₅ in the air environment of Bangkok. The impact of traffic pollutants was depended upon the emission sources, temperature variations, and metrological conditions.

Keywords: Bangkok, RMSE, ARIMA, fine particulate matter

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3 Application of Stochastic Models to Annual Extreme Streamflow Data

Authors: Karim Hamidi Machekposhti, Hossein Sedghi


This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: Stochastic models, ARIMA, Karkheh River, extreme streamflow

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2 A Stepwise Approach to Automate the Search for Optimal Parameters in Seasonal ARIMA Models

Authors: Manisha Mukherjee, Diptarka Saha


Reliable forecasts of univariate time series data are often necessary for several contexts. ARIMA models are quite popular among practitioners in this regard. Hence, choosing correct parameter values for ARIMA is a challenging yet imperative task. Thus, a stepwise algorithm is introduced to provide automatic and robust estimates for parameters (p; d; q)(P; D; Q) used in seasonal ARIMA models. This process is focused on improvising the overall quality of the estimates, and it alleviates the problems induced due to the unidimensional nature of the methods that are currently used such as auto.arima. The fast and automated search of parameter space also ensures reliable estimates of the parameters that possess several desirable qualities, consequently, resulting in higher test accuracy especially in the cases of noisy data. After vigorous testing on real as well as simulated data, the algorithm doesn’t only perform better than current state-of-the-art methods, it also completely obviates the need for human intervention due to its automated nature.

Keywords: Time series, forecast, ARIMA, auto.arima, ARIMA parameters, R function

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1 Constructing a Bayesian Network for Solar Energy in Egypt Using Life Cycle Analysis and Machine Learning Algorithms

Authors: Rawaa H. El-Bidweihy, Hisham M. Abdelsalam, Ihab A. El-Khodary


In an era where machines run and shape our world, the need for a stable, non-ending source of energy emerges. In this study, the focus was on the solar energy in Egypt as a renewable source, the most important factors that could affect the solar energy’s market share throughout its life cycle production were analyzed and filtered, the relationships between them were derived before structuring a Bayesian network. Also, forecasted models were built for multiple factors to predict the states in Egypt by 2035, based on historical data and patterns, to be used as the nodes’ states in the network. 37 factors were found to might have an impact on the use of solar energy and then were deducted to 12 factors that were chosen to be the most effective to the solar energy’s life cycle in Egypt, based on surveying experts and data analysis, some of the factors were found to be recurring in multiple stages. The presented Bayesian network could be used later for scenario and decision analysis of using solar energy in Egypt, as a stable renewable source for generating any type of energy needed.

Keywords: Renewable Energy, Solar energy, Life Cycle, Forecasting Models, Bayesian network, SARIMA, ARIMA, auto correlation, partial correlation

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