Search results for: time series modelling

Authors: Jimeng Shi, Mahek Jain, Giri Narasimhan

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Time Series Forecasting (TSF) is used to predict the target variables at a future time point based on the learning from previous time points. To keep the problem tractable, learning methods use data from a fixed-length window in the past as an explicit input. In this paper, we study how the performance of predictive models changes as a function of different look-back window sizes and different amounts of time to predict the future. We also consider the performance of the recent attention-based Transformer models, which have had good success in the image processing and natural language processing domains. In all, we compare four different deep learning methods (RNN, LSTM, GRU, and Transformer) along with a baseline method. The dataset (hourly) we used is the Beijing Air Quality Dataset from the UCI website, which includes a multivariate time series of many factors measured on an hourly basis for a period of 5 years (2010-14). For each model, we also report on the relationship between the performance and the look-back window sizes and the number of predicted time points into the future. Our experiments suggest that Transformer models have the best performance with the lowest Mean Average Errors (MAE = 14.599, 23.273) and Root Mean Square Errors (RSME = 23.573, 38.131) for most of our single-step and multi-steps predictions. The best size for the look-back window to predict 1 hour into the future appears to be one day, while 2 or 4 days perform the best to predict 3 hours into the future.

Keywords: air quality prediction, deep learning algorithms, time series forecasting, look-back window

Procedia PDF Downloads 156

Authors: Ramesh K. Sunkaria, Puneeta Marwaha

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Nonlinear 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.

Keywords: heart rate variability, normal sinus rhythm group, RR interval time series, sample entropy

Procedia PDF Downloads 282

Authors: Victoria Siriaki Jorry, I. S. Mbalawata, Hayong Shin

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The main objective in a change detection problem is to develop algorithms for efficient detection of gradual and/or abrupt changes in the parameter distribution of a process or time series data. In this paper, we present a modified cumulative (MCUSUM) algorithm to detect the start and end of a time-varying linear drift in mean value of a time series data based on likelihood ratio test procedure. The design, implementation and performance of the proposed algorithm for a linear drift detection is evaluated and compared to the existing CUSUM algorithm using different performance measures. An approach to accurately approximate the threshold of the MCUSUM is also provided. Performance of the MCUSUM for gradual change-point detection is compared to that of standard cumulative sum (CUSUM) control chart designed for abrupt shift detection using Monte Carlo Simulations. In terms of the expected time for detection, the MCUSUM procedure is found to have a better performance than a standard CUSUM chart for detection of the gradual change in mean. The algorithm is then applied and tested to a randomly generated time series data with a gradual linear trend in mean to demonstrate its usefulness.

Keywords: average run length, CUSUM control chart, gradual change detection, likelihood ratio test

Procedia PDF Downloads 299

Authors: Nadarajah I. Ramesh

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Much of the research on stochastic point process models for rainfall has focused on Poisson cluster models constructed from either the Neyman-Scott or Bartlett-Lewis processes. The doubly stochastic Poisson process provides a rich class of point process models, especially for fine-scale rainfall modelling. This paper provides an account of recent development on this topic and presents the results based on some of the fine-scale rainfall models constructed from this class of stochastic point processes. Amongst the literature on stochastic models for rainfall, greater emphasis has been placed on modelling rainfall data recorded at hourly or daily aggregation levels. Stochastic models for sub-hourly rainfall are equally important, as there is a need to reproduce rainfall time series at fine temporal resolutions in some hydrological applications. For example, the study of climate change impacts on hydrology and water management initiatives requires the availability of data at fine temporal resolutions. One approach to generating such rainfall data relies on the combination of an hourly stochastic rainfall simulator, together with a disaggregator making use of downscaling techniques. Recent work on this topic adopted a different approach by developing specialist stochastic point process models for fine-scale rainfall aimed at generating synthetic precipitation time series directly from the proposed stochastic model. One strand of this approach focused on developing a class of doubly stochastic Poisson process (DSPP) models for fine-scale rainfall to analyse data collected in the form of rainfall bucket tip time series. In this context, the arrival pattern of rain gauge bucket tip times N(t) is viewed as a DSPP whose rate of occurrence varies according to an unobserved finite state irreducible Markov process X(t). Since the likelihood function of this process can be obtained, by conditioning on the underlying Markov process X(t), the models were fitted with maximum likelihood methods. The proposed models were applied directly to the raw data collected by tipping-bucket rain gauges, thus avoiding the need to convert tip-times to rainfall depths prior to fitting the models. One advantage of this approach was that the use of maximum likelihood methods enables a more straightforward estimation of parameter uncertainty and comparison of sub-models of interest. Another strand of this approach employed the DSPP model for the arrivals of rain cells and attached a pulse or a cluster of pulses to each rain cell. Different mechanisms for the pattern of the pulse process were used to construct variants of this model. We present the results of these models when they were fitted to hourly and sub-hourly rainfall data. The results of our analysis suggest that the proposed class of stochastic models is capable of reproducing the fine-scale structure of the rainfall process, and hence provides a useful tool in hydrological modelling.

Keywords: fine-scale rainfall, maximum likelihood, point process, stochastic model

Procedia PDF Downloads 279

Authors: Siriporn Meenanan

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The objective of this study is to investigate the attitude of Thai students towards the Thai series "Hormones the Series Season 2". This study was conducted in the quantitative research, and the questionnaires were used to collect data from 400 people of the sample group. Descriptive statistics were used in data analysis. The findings reveal that most participants have positive comments regarding the series. They strongly agreed that the series reflects on the way of life and problems of teenagers in Thailand. Hence, the participants believe that if adults have a chance to watch the series, they will have the better understanding of the teenagers. In addition, the participants also agreed that the contents of the play are appropriate and satisfiable as the contents of “Hormones the Series Season 2” will raise awareness among the teens and use it as a guide to prevent problems that might happen during their teenage life.

Keywords: content analysis, attitude, Thai series, hormones the Series

Procedia PDF Downloads 229

Authors: B. Salehi, D. Andrews, I. Chaer, A. Gillich, A. Chalk, D. Bush

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With the rapid increase of energy consumption in buildings in recent years, especially with the rise in population and growing economies, the importance of energy savings in buildings becomes more critical. One of the key factors in ensuring energy consumption is controlled and kept at a minimum is to utilise building energy modelling at the very early stages of the design. So, building modelling and simulation is a growing discipline. During the design phase of construction, modelling software can be used to estimate a building’s projected energy consumption, as well as building performance. The growth in the use of building modelling software packages opens the door for improvements in the design and also in the modelling itself by introducing novel methods such as building information modelling-based software packages which promote conventional building energy modelling into the digital building design process. To understand the most effective implementation tools, research projects undertaken should include elements of real-world experiments and not just rely on theoretical and simulated approaches. Upon review of the related studies undertaken, it’s evident that they are mostly based on modelling and simulation, which can be due to various reasons such as the more expensive and time-consuming nature of real-time data-based studies. Taking in to account the recent rise of building energy software modelling packages and the increasing number of studies utilising these methods in their projects and research, the accuracy and reliability of these modelling software packages has become even more crucial and critical. This Energy Performance Gap refers to the discrepancy between the predicted energy savings and the realised actual savings, especially after buildings implement energy-efficient technologies. There are many different software packages available which are either free or have commercial versions. In this study, IES VE (Integrated Environmental Solutions Virtual Environment) is used as it is a common Building Energy Modeling and Simulation software in the UK. This paper describes a study that compares real time results with those in a virtual model to illustrate this gap. The subject of the study is a north west facing north-west (345°) facing, naturally ventilated, conservatory within a domestic building in London is monitored during summer to capture real-time data. Then these results are compared to the virtual results of IES VE, which is a commonly used building energy modelling and simulation software in the UK. In this project, the effect of the wrong position of blinds on overheating is studied as well as providing new evidence of Performance Gap. Furthermore, the challenges of drawing the input of solar shading products in IES VE will be considered.

Keywords: building energy modelling and simulation, integrated environmental solutions virtual environment, IES VE, performance gap, real time data, solar shading products

Procedia PDF Downloads 139

Authors: Tamas Madl

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Sudden cardiac death (SCD) constitutes a large proportion of cardiovascular mortalities, provides little advance warning, and the risk is difficult to recognize based on ubiquitous, low cost medical equipment such as the standard, 12-lead, ten second ECG. Autonomic abnormalities have been shown to be strongly predictive of SCD risk; yet current methods are not trivially applicable to the brevity and low temporal and electrical resolution of standard ECGs. Here, we build horizontal visibility graph representations of very short inter-beat interval time series, and perform unsuper- vised representation learning in order to convert these variable size objects into fixed-length vectors preserving similarity rela- tions. We show that such representations facilitate classification into healthy vs. at-risk patients on two different datasets, the Mul- tiparameter Intelligent Monitoring in Intensive Care II and the PhysioNet Sudden Cardiac Death Holter Database. Our results suggest that graph representation learning of heartbeat interval time series facilitates robust classification even in sequences as short as ten seconds.

Keywords: sudden cardiac death, heart rate variability, ECG analysis, time series classification

Procedia PDF Downloads 235

Authors: Ahmad Moussavi

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In this paper, we are concerned with the Jacobson semisimple skew inverse Laurent series rings R((x−1; α, δ)) and the skew Laurent power series rings R[[x, x−1; α]], where R is an associative ring equipped with an automorphism α and an α-derivation δ. Examples to illustrate and delimit the theory are provided.

Keywords: skew polynomial rings, Laurent series, skew inverse Laurent series rings

Procedia PDF Downloads 166

Authors: Messis A., Adjebli A., Ayeche R., Talbi M., Tighilet K., Louardiane M.

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Cancers are the second cause of death worldwide. Prevalence and incidence of cancers is getting increased by aging and population growth. This study aims to predict and modeling the evolution of breast, Colorectal, Lung, Bladder and Prostate cancers over the period of 2014-2019. In this study, data were analyzed using time series analysis with double exponential smoothing method to forecast the future pattern. To describe and fit the appropriate models, Minitab statistical software version 17 was used. Between 2014 and 2019, the overall trend in the raw number of new cancer cases registered has been increasing over time; the change in observations over time has been increasing. Our forecast model is validated since we have good prediction for the period 2020 and data not available for 2021 and 2022. Time series analysis showed that the double exponential smoothing is an efficient tool to model the future data on the raw number of new cancer cases.

Keywords: cancer, time series, prediction, double exponential smoothing

Procedia PDF Downloads 89

Authors: Ilaria Lucrezia Amerise

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The statistical modelling of precipitation data for a given portion of territory is fundamental for the monitoring of climatic conditions and for Hydrogeological Management Plans (HMP). This modelling is rendered particularly complex by the changes taking place in the frequency and intensity of precipitation, presumably to be attributed to the global climate change. This paper applies the Wakeby distribution (with 5 parameters) as a theoretical reference model. The number and the quality of the parameters indicate that this distribution may be the appropriate choice for the interpolations of the hydrological variables and, moreover, the Wakeby is particularly suitable for describing phenomena producing heavy tails. The proposed estimation methods for determining the value of the Wakeby parameters are the same as those used for density functions with heavy tails. The commonly used procedure is the classic method of moments weighed with probabilities (probability weighted moments, PWM) although this has often shown difficulty of convergence, or rather, convergence to a configuration of inappropriate parameters. In this paper, we analyze the problem of the likelihood estimation of a random variable expressed through its quantile function. The method of maximum likelihood, in this case, is more demanding than in the situations of more usual estimation. The reasons for this lie, in the sampling and asymptotic properties of the estimators of maximum likelihood which improve the estimates obtained with indications of their variability and, therefore, their accuracy and reliability. These features are highly appreciated in contexts where poor decisions, attributable to an inefficient or incomplete information base, can cause serious damages.

Keywords: generalized extreme values, likelihood estimation, precipitation data, Wakeby distribution

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Authors: Nahla H. Alaswadko, Rayya A. Hassan, Bayar N. Mohammed

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Empirical deterministic models have been developed to predict roughness progression of heavy duty spray sealed pavements for a dataset representing rural arterial roads. The dataset provides a good representation of the relevant network and covers a wide range of operating and environmental conditions. A sample with a large size of historical time series data for many pavement sections has been collected and prepared for use in multilevel regression analysis. The modelling parameters include road roughness as performance parameter and traffic loading, time, initial pavement strength, reactivity level of subgrade soil, climate condition, and condition of drainage system as predictor parameters. The purpose of this paper is to report the approaches adopted for models development and validation. The study presents multilevel models that can account for the correlation among time series data of the same section and to capture the effect of unobserved variables. Study results show that the models fit the data very well. The contribution and significance of relevant influencing factors in predicting roughness progression are presented and explained. The paper concludes that the analysis approach used for developing the models confirmed their accuracy and reliability by well-fitting to the validation data.

Keywords: roughness progression, empirical model, pavement performance, heavy duty pavement

Procedia PDF Downloads 168

Authors: Asif Zaman, Moinul Islam Zaber, Amin Ahsan Ali

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In recent years of industrialization, the South Asian countries are being affected by air pollution due to a severe increase in fine particulate matter 2.5 (PM₂.₅). Among them, Bangladesh is one of the most polluting countries. In this paper, statistical analyses were conducted on the time series of PM₂.₅ from various districts in Bangladesh, mostly around Dhaka city. Research has been conducted on the dynamic interactions and relationships between PM₂.₅ concentrations in different zones. The study is conducted toward understanding the characteristics of PM₂.₅, such as spatial-temporal characterization, correlation of other contributors behind air pollution such as human activities, driving factors and environmental casualties. Clustering on the data gave an insight on the districts groups based on their AQI frequency as representative districts. Seasonality analysis on hourly and monthly frequency found higher concentration of fine particles in nighttime and winter season, respectively. Cross correlation analysis discovered a phenomenon of correlations among cities based on time-lagged series of air particle readings and visualization framework is developed for observing interaction in PM₂.₅ concentrations between cities. Significant time-lagged correlations were discovered between the PM₂.₅ time series in different city groups throughout the country by cross correlation analysis. Additionally, seasonal heatmaps depict that the pooled series correlations are less significant in warmer months, and among cities of greater geographic distance as well as time lag magnitude and direction of the best shifted correlated particulate matter time series among districts change seasonally. The geographic map visualization demonstrates spatial behaviour of air pollution among districts around Dhaka city and the significant effect of wind direction as the vital actor on correlated shifted time series. The visualization framework has multipurpose usage from gathering insight of general and seasonal air quality of Bangladesh to determining the pathway of regional transportation of air pollution.

Keywords: air quality, particles, cross correlation, seasonality

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Authors: Y. N. Reddy

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The class of differential-difference equations which have characteristics of both classes, i.e., delay/advance and singularly perturbed behaviour is known as singularly perturbed differential-difference equations. The expression ‘positive shift’ and ‘negative shift’ are also used for ‘advance’ and ‘delay’ respectively. In general, an ordinary differential equation in which the highest order derivative is multiplied by a small positive parameter and containing at least one delay/advance is known as singularly perturbed differential-difference equation. Singularly perturbed differential-difference equations arise in the modelling of various practical phenomena in bioscience, engineering, control theory, specifically in variational problems, in describing the human pupil-light reflex, in a variety of models for physiological processes or diseases and first exit time problems in the modelling of the determination of expected time for the generation of action potential in nerve cells by random synaptic inputs in dendrites. In this paper, we envisage the use of Liouville Green Transformation to find the solution of singularly perturbed differential difference equations. First, using Taylor series, the given singularly perturbed differential difference equation is approximated by an asymptotically equivalent singularly perturbation problem. Then the Liouville Green Transformation is applied to get the solution. Several model examples are solved, and the results are compared with other methods. It is observed that the present method gives better approximate solutions.

Keywords: difference equations, differential equations, singular perturbations, boundary layer

Procedia PDF Downloads 200

Authors: Selin Guney, Andres Riquelme

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Among the main purposes of optimal and efficient forecasts of agricultural commodity prices is to guide the firms to advance the economic decision making process such as planning business operations and marketing decisions. Governments are also the beneficiaries and suppliers of agricultural price forecasts. They use this information to establish a proper agricultural policy, and hence, the forecasts affect social welfare and systematic errors in forecasts could lead to a misallocation of scarce resources. Various empirical approaches have been applied to forecast commodity prices that have used different methodologies. Most commonly-used approaches to forecast commodity sectors depend on classical time series models that assume values of the response variables are precise which is quite often not true in reality. Recently, this literature has mostly evolved to a consideration of fuzzy time series models that provide more flexibility in terms of the classical time series models assumptions such as stationarity, and large sample size requirement. Besides, fuzzy modeling approach allows decision making with estimated values under incomplete information or uncertainty. A number of fuzzy time series models have been developed and implemented over the last decades; however, most of them are not appropriate for forecasting repeated and nonconsecutive transitions in the data. The modeling scheme used in this paper eliminates this problem by introducing Markov modeling approach that takes into account both the repeated and nonconsecutive transitions. Also, the determination of length of interval is crucial in terms of the accuracy of forecasts. The problem of determining the length of interval arbitrarily is overcome and a methodology to determine the proper length of interval based on the distribution or mean of the first differences of series to improve forecast accuracy is proposed. The specific purpose of this paper is to propose and investigate the potential of a new forecasting model that integrates methodologies for determining the proper length of interval based on the distribution or mean of the first differences of series and Fuzzy Time Series- Markov Chain model. Moreover, the accuracy of the forecasting performance of proposed integrated model is compared to different univariate time series models and the superiority of proposed method over competing methods in respect of modelling and forecasting on the basis of forecast evaluation criteria is demonstrated. The application is to daily corn and soybean prices observed at three commercially important North Carolina markets; Candor, Cofield and Roaring River for corn and Fayetteville, Cofield and Greenville City for soybeans respectively. One main conclusion from this paper is that using fuzzy logic improves the forecast performance and accuracy; the effectiveness and potential benefits of the proposed model is confirmed with small selection criteria value such MAPE. The paper concludes with a discussion of the implications of integrating fuzzy logic and nonarbitrary determination of length of interval for the reliability and accuracy of price forecasts. The empirical results represent a significant contribution to our understanding of the applicability of fuzzy modeling in commodity price forecasts.

Keywords: commodity, forecast, fuzzy, Markov

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Authors: Charline David, Alexandre Blondin Massé, Arnaud Zinflou

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In 2016, Clements, Hurn, and Li proposed a multiple equation time series approach for the short-term load forecasting, reporting an average mean absolute percentage error (MAPE) of 1.36% on an 11-years dataset for the Queensland region in Australia. We present an adaptation of their model to the electrical power load consumption for the whole Quebec province in Canada. More precisely, we take into account two additional meteorological variables — cloudiness and wind speed — on top of temperature, as well as the use of multiple meteorological measurements taken at different locations on the territory. We also consider other minor improvements. Our final model shows an average MAPE score of 1:79% over an 8-years dataset.

Keywords: short-term load forecasting, special days, time series, multiple equations, parallelization, clustering

Procedia PDF Downloads 104

Authors: Hervice Roméo Fogno Fotsoa, Germaine Djuidje Kenmoe, Claude Vidal Aloyem Kazé

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One of the main applications of machine learning is the prediction of time series. But a more accurate prediction requires a more optimal model of machine learning. Several optimization techniques have been developed, but without considering the input variables disposition of the system. Thus, this work aims to present a new machine learning architecture optimization technique based on their optimal input variables disposition. The validations are done on the prediction of wind time series, using data collected in Cameroon. The number of possible dispositions with four input variables is determined, i.e., twenty-four. Each of the dispositions is used to perform the prediction, with the main criteria being the training and prediction performances. The results obtained from a static architecture and a dynamic architecture of neural networks have shown that these performances are a function of the input variable's disposition, and this is in a different way from the architectures. This analysis revealed that it is necessary to take into account the input variable's disposition for the development of a more optimal neural network model. Thus, a new neural network training algorithm is proposed by introducing the search for the optimal input variables disposition in the traditional back-propagation algorithm. The results of the application of this new optimization approach on the two single neural network architectures are compared with the previously obtained results step by step. Moreover, this proposed approach is validated in a collaborative optimization method with a single objective optimization technique, i.e., genetic algorithm back-propagation neural networks. From these comparisons, it is concluded that each proposed model outperforms its traditional model in terms of training and prediction performance of time series. Thus the proposed optimization approach can be useful in improving the accuracy of time series forecasts. This proves that the proposed optimization approach can be useful in improving the accuracy of time series prediction based on machine learning.

Keywords: input variable disposition, machine learning, optimization, performance, time series prediction

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Authors: Ramin Vafadary, Maryam Khanbaghi

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Forecasting electricity load is important for various purposes like planning, operation, and control. Forecasts can save operating and maintenance costs, increase the reliability of power supply and delivery systems, and correct decisions for future development. This paper compares various time series methods to forecast 24 hours ahead of electricity load. The methods considered are the Holt-Winters smoothing, SARIMA Modeling, LSTM Network, Fbprophet, and Tensorflow probability. The performance of each method is evaluated by using the forecasting accuracy criteria, namely, the mean absolute error and root mean square error. The National Renewable Energy Laboratory (NREL) residential energy consumption data is used to train the models. The results of this study show that the SARIMA model is superior to the others for 24 hours ahead forecasts. Furthermore, a Bagging technique is used to make the predictions more robust. The obtained results show that by Bagging multiple time-series forecasts, we can improve the robustness of the models for 24 hours ahead of electricity load forecasting.

Keywords: bagging, Fbprophet, Holt-Winters, LSTM, load forecast, SARIMA, TensorFlow probability, time series

Procedia PDF Downloads 96

Authors: Hueiwang Anna Jeng, Norou Diawara, Nancy Welch, Cynthia Jackson, Rekha Singh, Kyle Curtis, Raul Gonzalez, David Jurgens, Sasanka Adikari

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Modeling effort is needed to predict the COVID-19 trends for developing management strategies and adaptation measures. The objective of this study was to assess whether SARS-CoV-2 viral load in wastewater could serve as a predictor for forecasting COVID-19 cases, hospitalization cases, and death cases using copula-based time series modeling. SARS-CoV-2 RNA load in raw wastewater in Chesapeake VA was measured using the RT-qPCR method. Gaussian copula time series marginal regression model, incorporating an autoregressive moving average model and the copula function, served as a forecasting model. COVID-19 cases were correlated with wastewater viral load, hospitalization cases, and death cases. The forecasted trend of COVID-19 cases closely paralleled one of the reported cases, with over 90% of the forecasted COVID-19 cases falling within the 99% confidence interval of the reported cases. Wastewater SARS-CoV-2 viral load could serve as a predictor for COVID-19 cases and hospitalization cases.

Keywords: COVID-19, modeling, time series, copula function

Procedia PDF Downloads 69

Authors: Hisyam Hidayatullah

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This world events consciously or not realize everything has a pattern, until the events of the universe according to the Big Bang theory of the solar system which makes so regular in the rotation. The author would like to create a results curve area between the quadratic function y=kx2 and line y=ka2 using GeoGebra application version 4.2. This paper can provide a series that is no less interesting with Fourier series, so that will add new material about the series can be calculated with sigma notation. In addition, the ranks of the unique natural numbers of extensive changes in established areas. Finally, this paper provides analytical and geometric proof of the vast area in between the lines and curves that give the area is formed by y=ka2 dan kurva y=kx2, x-axis, line x=√a and x=-√a make a series of numbers for k=1 and a ∈ original numbers. ∑_(i=0)^n=(4n√n)/3=0+4/3+(8√2)/3+4√3+⋯+(4n√n)/3. The author calls the series “H154M”.

Keywords: sequence, series, sigma notation, application GeoGebra

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Authors: Kassahun Birhanu Tadesse, Megersa Olumana Dinka

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Reliable future river flow information is basic for planning and management of any river systems. For data scarce river system having only a river flow records like the Waterval River, a univariate time series models are appropriate for river flow forecasting. In this study, a univariate Seasonal Autoregressive Integrated Moving Average (SARIMA) model was applied for forecasting Waterval River flow using GRETL statistical software. Mean monthly river flows from 1960 to 2016 were used for modeling. Different unit root tests and Mann-Kendall trend analysis were performed to test the stationarity of the observed flow time series. The time series was differenced to remove the seasonality. Using the correlogram of seasonally differenced time series, different SARIMA models were identified, their parameters were estimated, and diagnostic check-up of model forecasts was performed using white noise and heteroscedasticity tests. Finally, based on minimum Akaike Information (AIc) and Hannan-Quinn (HQc) criteria, SARIMA (3, 0, 2) x (3, 1, 3)12 was selected as the best model for Waterval River flow forecasting. Therefore, this model can be used to generate future river information for water resources development and management in Waterval River system. SARIMA model can also be used for forecasting other similar univariate time series with seasonality characteristics.

Keywords: heteroscedasticity, stationarity test, trend analysis, validation, white noise

Procedia PDF Downloads 206

Authors: H. J. Joshi, Satyajeet Patil, Parth Dandavate, Mihir Kulkarni, Harshita Agrawal

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As the world looks towards a sustainable future, electric vehicles have become increasingly popular. Millions worldwide are looking to switch to Electric cars over the previously favored combustion engine-powered cars. This demand has seen an increase in Electric Vehicle Charging Stations. The big challenge is that the randomness of electrical energy makes it tough for these charging stations to provide an adequate amount of energy over a specific amount of time. Thus, it has become increasingly crucial to model these patterns and forecast the energy needs of power stations. This paper aims to analyze how different machine learning models perform on Electric Vehicle charging time-series data. The data set consists of authentic Electric Vehicle Data from the Netherlands. It has an overview of ten thousand transactions from public stations operated by EVnetNL.

Keywords: forecasting, smart grid, electric vehicle load forecasting, machine learning, time series forecasting

Procedia PDF Downloads 108

Authors: Rao Fu, Jie Chen, Shutian Zeng, Yiping Zhuang, Agus Sudjianto

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Generative Adversarial Net (GAN) has proved to be a powerful machine learning tool in image data analysis and generation. In this paper, we propose to use Conditional Generative Adversarial Net (CGAN) to learn and simulate time series data. The conditions include both categorical and continuous variables with different auxiliary information. Our simulation studies show that CGAN has the capability to learn different types of normal and heavy-tailed distributions, as well as dependent structures of different time series. It also has the capability to generate conditional predictive distributions consistent with training data distributions. We also provide an in-depth discussion on the rationale behind GAN and the neural networks as hierarchical splines to establish a clear connection with existing statistical methods of distribution generation. In practice, CGAN has a wide range of applications in market risk and counterparty risk analysis: it can be applied to learn historical data and generate scenarios for the calculation of Value-at-Risk (VaR) and Expected Shortfall (ES), and it can also predict the movement of the market risk factors. We present a real data analysis including a backtesting to demonstrate that CGAN can outperform Historical Simulation (HS), a popular method in market risk analysis to calculate VaR. CGAN can also be applied in economic time series modeling and forecasting. In this regard, we have included an example of hypothetical shock analysis for economic models and the generation of potential CCAR scenarios by CGAN at the end of the paper.

Keywords: conditional generative adversarial net, market and credit risk management, neural network, time series

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Authors: Ali Ben Abbes, Imed Riadh Farah

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Due to the considerable advances in Multi-Temporal Satellite Images (MTSI), remote sensing application became more accurate. Recently, many advances in modeling MTSI are developed using various models. The purpose of this article is to present an overview of studies using Hidden Markov Model (HMM). First of all, we provide a background of using HMM and their applications in this context. A comparison of the different works is discussed, and possible areas and challenges are highlighted. Secondly, we discussed the difference on vegetation monitoring as well as urban growth. Nevertheless, most research efforts have been used only stationary data. From another point of view, in this paper, we describe a new non-stationarity HMM, that is defined with a set of parts of the time series e.g. seasonal, trend and random. In addition, a new approach giving more accurate results and improve the applicability of the HMM in modeling a non-stationary data series. In order to assess the performance of the HMM, different experiments are carried out using Moderate Resolution Imaging Spectroradiometer (MODIS) NDVI time series of the northwestern region of Tunisia and Landsat time series of tres Cantos-Madrid in Spain.

Keywords: multi-temporal satellite image, HMM , nonstationarity, vegetation, urban

Procedia PDF Downloads 354

Authors: Massimiliano Nastri

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The study is part of the scientific references on executive design in engineering and architecture, understood as an interdisciplinary field aimed at anticipating and simulating, planning and managing, guiding and instructing construction operations on site. On this basis, the study intends to provide an analysis of a theoretical, methodological, and guiding character aimed at constituting the disciplinary sphere of the executive design, often in the absence of supporting methodological and procedural guidelines in engineering and architecture. The basic methodologies of the study refer to the investigation of the theories and references that can contribute to constituting the scenario of the executive design as the practice of modelling, visualization, and simulation of the construction phases, through the practices of projection of the pragmatic issues of the building. This by proposing a series of references, interrelations, and openings intended to support (for intellectual, procedural, and applicative purposes) the executive definition of the project, aimed at activating the practices of cognitive acquisition and realization intervention within reality.

Keywords: modelling and simulation technology, executive design, discretization of the construction, engineering design for building

Procedia PDF Downloads 80

Authors: Budi Nurani Ruchjana, Atje Setiawan Abdullah, I. Gede Nyoman Mindra Jaya, Eddy Hermawan

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In this paper, we propose the application package to estimate parameters of spatiotemporal model based on the multivariate time series analysis using the R open-source software. We build packages mainly to estimate the parameters of the Generalized Space Time Autoregressive (GSTAR) model. GSTAR is a combination of time series and spatial models that have parameters vary per location. We use the method of Ordinary Least Squares (OLS) and use the Mean Average Percentage Error (MAPE) to fit the model to spatiotemporal real phenomenon. For case study, we use oil production data from volcanic layer at Jatibarang Indonesia or climate data such as rainfall in Indonesia. Software R is very user-friendly and it is making calculation easier, processing the data is accurate and faster. Limitations R script for the estimation of model parameters spatiotemporal GSTAR built is still limited to a stationary time series model. Therefore, the R program under windows can be developed either for theoretical studies and application.

Keywords: GSTAR Model, MAPE, OLS method, oil production, R software

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Authors: Cheng-yu Hsieh, Bo Zhang, Ahmed Hambaba

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Stock market prediction has long been an area of interest for both expert analysts and investors, driven by its complexity and the noisy, volatile conditions it operates under. This research examines the efficacy of combining the Patch Time Series Transformer (PatchTST) with wavelet transforms, specifically focusing on Haar and Daubechies wavelets, in forecasting the adjusted closing price of the S&P 500 index for the following day. By comparing the performance of the augmented PatchTST models with traditional predictive models such as Recurrent Neural Networks (RNNs), Convolutional Neural Networks (CNNs), Long Short-Term Memory (LSTM) networks, and Transformers, this study highlights significant enhancements in prediction accuracy. The integration of the Daubechies wavelet with PatchTST notably excels, surpassing other configurations and conventional models in terms of Mean Absolute Error (MAE) and Mean Squared Error (MSE). The success of the PatchTST model paired with Daubechies wavelet is attributed to its superior capability in extracting detailed signal information and eliminating irrelevant noise, thus proving to be an effective approach for financial time series forecasting.

Keywords: deep learning, financial forecasting, stock market prediction, patch time series transformer, wavelet transform

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Authors: Kristina Pflug, Markus Busch

Abstract:

Being able to predict polymer properties and processing behavior based on the applied operating reaction conditions in one of the key challenges in modern polymer reaction engineering. Especially, for cost-intensive processes such as the high-pressure polymerization of low-density polyethylene (LDPE) with high safety-requirements, the need for simulation-based process optimization and product design is high. A multi-scale modelling approach was set-up and validated via a series of high-pressure mini-plant autoclave reactor experiments. The approach starts with the numerical modelling of the complex reaction network of the LDPE polymerization taking into consideration the actual reaction conditions. While this gives average product properties, the complex polymeric microstructure including random short- and long-chain branching is calculated via a hybrid Monte Carlo-approach. Finally, the processing behavior of LDPE -its melt flow behavior- is determined in dependence of the previously determined polymeric microstructure using the branch on branch algorithm for randomly branched polymer systems. All three steps of the multi-scale modelling approach can be independently validated against analytical data. A triple-detector GPC containing an IR, viscosimetry and multi-angle light scattering detector is applied. It serves to determine molecular weight distributions as well as chain-length dependent short- and long-chain branching frequencies. 13C-NMR measurements give average branching frequencies, and rheological measurements in shear and extension serve to characterize the polymeric flow behavior. The accordance of experimental and modelled results was found to be extraordinary, especially taking into consideration that the applied multi-scale modelling approach does not contain parameter fitting of the data. This validates the suggested approach and proves its universality at the same time. In the next step, the modelling approach can be applied to other reactor types, such as tubular reactors or industrial scale. Moreover, sensitivity analysis for systematically varying process conditions is easily feasible. The developed multi-scale modelling approach finally gives the opportunity to predict and design LDPE processing behavior simply based on process conditions such as feed streams and inlet temperatures and pressures.

Keywords: low-density polyethylene, multi-scale modelling, polymer properties, reaction engineering, rheology

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Authors: Himayatullah Khan, Alena Fedorova

Abstract:

The present paper analyses the income-consumption relationships in Pakistan using annual time series data from 1980-81 to 2010-1. The paper uses the Augmented Dickey-Fuller test to check the unit root and stationarity in these two time series. The paper finds that the two time series are nonstationary but stationary at their first difference levels. The Augmented Engle-Granger test and the Cointegrating Regression Durbin-Watson test imply that the two time series of consumption and income are cointegrated and that long-run marginal propensity to consume is 0.88 which is given by the estimated (static) equilibrium relation. The paper also used the error correction mechanism to find out to model dynamic relationship. The purpose of the ECM is to indicate the speed of adjustment from the short-run equilibrium to the long-run equilibrium state. The results show that MPC is equal to 0.93 and is highly significant. The coefficient of Engle-Granger residuals is negative but insignificant. Statistically, the equilibrium error term is zero, which suggests that consumption adjusts to changes in GDP in the same period. The short-run changes in GDP have a positive impact on short-run changes in consumption. The paper concludes that we may interpret 0.93 as the short-run MPC. The pair-wise Granger Causality test shows that both GDP and consumption Granger cause each other.

Keywords: cointegrating regression, Augmented Dickey Fuller test, Augmented Engle-Granger test, Granger causality, error correction mechanism

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Authors: Harold P. Villota, Alejandro Osorio B.

Abstract:

The energy meteorology is an area for study energy complementarity and the use of renewable sources in interconnected systems. Due to diversify the energy matrix in Colombia with wind sources, is necessary to know the data bases about this one. However, the time series given by 260 automatic weather stations have empty, and no apply data, so the purpose is to fill the time series selecting two years to characterize, impute and use like base to complete the data between 2005 and 2020.

Keywords: complementarity, wind speed, renewable, colombia, characteri, characterization, imputation

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Authors: Akinbo Razak Yinka, Adesanya Kehinde Kazeem, Oladokun Oluwagbenga Peter

Abstract:

Time series data are sequences of observations collected over a period of time. Such data can be used to predict health outcomes, such as disease progression, mortality, hospitalization, etc. The Statistical approach is based on mathematical models that capture the patterns and trends of the data, such as autocorrelation, seasonality, and noise, while Neural methods are based on artificial neural networks, which are computational models that mimic the structure and function of biological neurons. This paper compared both parametric and non-parametric time series models of patients treated for malaria in Maternal and Child Health Centres in Lagos State, Nigeria. The forecast methods considered linear regression, Integrated Moving Average, ARIMA and SARIMA Modeling for the parametric approach, while Multilayer Perceptron (MLP) and Long Short-Term Memory (LSTM) Network were used for the non-parametric model. The performance of each method is evaluated using the Mean Absolute Error (MAE), R-squared (R2) and Root Mean Square Error (RMSE) as criteria to determine the accuracy of each model. The study revealed that the best performance in terms of error was found in MLP, followed by the LSTM and ARIMA models. In addition, the Bootstrap Aggregating technique was used to make robust forecasts when there are uncertainties in the data.

Keywords: ARIMA, bootstrap aggregation, MLP, LSTM, SARIMA, time-series analysis

Procedia PDF Downloads 77