Search results for: Autoregressive model
7259 Application of Feed-Forward Neural Networks Autoregressive Models in Gross Domestic Product Prediction
Authors: Ε. Giovanis
Abstract:In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer after the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model in the out-of-sample period. The idea behind this approach is to propose a parametric regression with weighted variables in order to test for the statistical significance and the magnitude of the estimated autoregressive coefficients and simultaneously to estimate the forecasts.
Keywords: Autoregressive model, Error back-propagation Feed-Forward neural networks, , Gross Domestic ProductProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1324
7258 Application of Feed-Forward Neural Networks Autoregressive Models with Genetic Algorithm in Gross Domestic Product Prediction
Authors: E. Giovanis
Abstract:In this paper we present a Feed-Foward Neural Networks Autoregressive (FFNN-AR) model with genetic algorithms training optimization in order to predict the gross domestic product growth of six countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer of the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model. Moreover this technique can be used in Autoregressive-Moving Average models, with and without exogenous inputs, as also the training process with genetics algorithms optimization can be replaced by the error back-propagation algorithm.
Keywords: Autoregressive model, Feed-Forward neuralnetworks, Genetic Algorithms, Gross Domestic ProductProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1554
7257 Quantitative Estimation of Periodicities in Lyari River Flow Routing
Authors: Rana Khalid Naeem, Asif Mansoor
Abstract:The hydrologic time series data display periodic structure and periodic autoregressive process receives considerable attention in modeling of such series. In this communication long term record of monthly waste flow of Lyari river is utilized to quantify by using PAR modeling technique. The parameters of model are estimated by using Frances & Paap methodology. This study shows that periodic autoregressive model of order 2 is the most parsimonious model for assessing periodicity in waste flow of the river. A careful statistical analysis of residuals of PAR (2) model is used for establishing goodness of fit. The forecast by using proposed model confirms significance and effectiveness of the model.
Keywords: Diagnostic checks, Lyari river, Model selection, Monthly waste flow, Periodicity, Periodic autoregressive model.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1518
7256 Spike Sorting Method Using Exponential Autoregressive Modeling of Action Potentials
Authors: Sajjad Farashi
Neurons in the nervous system communicate with each other by producing electrical signals called spikes. To investigate the physiological function of nervous system it is essential to study the activity of neurons by detecting and sorting spikes in the recorded signal. In this paper a method is proposed for considering the spike sorting problem which is based on the nonlinear modeling of spikes using exponential autoregressive model. The genetic algorithm is utilized for model parameter estimation. In this regard some selected model coefficients are used as features for sorting purposes. For optimal selection of model coefficients, self-organizing feature map is used. The results show that modeling of spikes with nonlinear autoregressive model outperforms its linear counterpart. Also the extracted features based on the coefficients of exponential autoregressive model are better than wavelet based extracted features and get more compact and well-separated clusters. In the case of spikes different in small-scale structures where principal component analysis fails to get separated clouds in the feature space, the proposed method can obtain well-separated cluster which removes the necessity of applying complex classifiers.
Keywords: Exponential autoregressive model, Neural data, spike sorting, time series modeling.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1665
7255 The Maximum Likelihood Method of Random Coefficient Dynamic Regression Model
Authors: Autcha Araveeporn
Abstract:The Random Coefficient Dynamic Regression (RCDR) model is to developed from Random Coefficient Autoregressive (RCA) model and Autoregressive (AR) model. The RCDR model is considered by adding exogenous variables to RCA model. In this paper, the concept of the Maximum Likelihood (ML) method is used to estimate the parameter of RCDR(1,1) model. Simulation results have shown the AIC and BIC criterion to compare the performance of the the RCDR(1,1) model. The variables as the stationary and weakly stationary data are good estimates where the exogenous variables are weakly stationary. However, the model selection indicated that variables are nonstationarity data based on the stationary data of the exogenous variables.
Keywords: Autoregressive, Maximum Likelihood Method, Nonstationarity, Random Coefficient Dynamic Regression, Stationary.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1529
7254 The Sustainability of Public Debt in Taiwan
Authors: Chiung-Ju Huang
This study examines whether the Taiwan’s public debt is sustainable utilizing an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The empirical results show that Taiwan’s public debt appears as a nonlinear series and is stationary in regime 1 but not in regime 2. This result implies that while Taiwan’s public debt was mostly sustainable over the 1996 to 2013 period examined in the study, it may no longer be sustainable in the most recent two years as the public debt ratio has increased cumulatively to 3.618%.
Keywords: Nonlinearity, public debt, sustainability, threshold autoregressive model.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1915
7253 A Study of Neuro-Fuzzy Inference System for Gross Domestic Product Growth Forecasting
Authors: Ε. Giovanis
Abstract:In this paper we present a Adaptive Neuro-Fuzzy System (ANFIS) with inputs the lagged dependent variable for the prediction of Gross domestic Product growth rate in six countries. We compare the results with those of Autoregressive (AR) model. We conclude that the forecasting performance of neuro-fuzzy-system in the out-of-sample period is much more superior and can be a very useful alternative tool used by the national statistical services and the banking and finance industry.
Keywords: Autoregressive model, Forecasting, Gross DomesticProduct, Neuro-FuzzyProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1494
7252 Application of Generalized Autoregressive Score Model to Stock Returns
Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke
The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.
Keywords: Generalized autoregressive score model, stock returns, time-varying.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 905
7251 Performance of Heterogeneous Autoregressive Models of Realized Volatility: Evidence from U.S. Stock Market
Authors: Petr Seďa
Abstract:This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis.
Keywords: Global financial crisis, heterogeneous autoregressive model, in-sample forecast, realized volatility, U.S. stock market.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2348
7250 Spatial Time Series Models for Rice and Cassava Yields Based On Bayesian Linear Mixed Models
Authors: Panudet Saengseedam, Nanthachai Kantanantha
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.
Keywords: Bayesian method, Linear mixed model, Multivariate conditional autoregressive model, Spatial time series.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2138
7249 The Ability of Forecasting the Term Structure of Interest Rates Based On Nelson-Siegel and Svensson Model
Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović
Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the estimation of weekly yield curves on Croatian financial market from October 2011 to August 2012 using Nelson-Siegel and Svensson models, yield curves are forecasted using Vector autoregressive model and Neural networks. In general, it can be concluded that both forecasting methods have good prediction abilities where forecasting of yield curves based on Nelson Siegel estimation model give better results in sense of lower Mean Squared Error than forecasting based on Svensson model Also, in this case Neural networks provide slightly better results. Finally, it can be concluded that most appropriate way of yield curve prediction is Neural networks using Nelson-Siegel estimation of yield curves.
Keywords: Nelson-Siegel model, Neural networks, Svensson model, Vector autoregressive model, Yield curve.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3094
7248 Comparing Autoregressive Moving Average (ARMA) Coefficients Determination using Artificial Neural Networks with Other Techniques
Authors: Abiodun M. Aibinu, Momoh J. E. Salami, Amir A. Shafie, Athaur Rahman Najeeb
Autoregressive Moving average (ARMA) is a parametric based method of signal representation. It is suitable for problems in which the signal can be modeled by explicit known source functions with a few adjustable parameters. Various methods have been suggested for the coefficients determination among which are Prony, Pade, Autocorrelation, Covariance and most recently, the use of Artificial Neural Network technique. In this paper, the method of using Artificial Neural network (ANN) technique is compared with some known and widely acceptable techniques. The comparisons is entirely based on the value of the coefficients obtained. Result obtained shows that the use of ANN also gives accurate in computing the coefficients of an ARMA system.
Keywords: Autoregressive moving average, coefficients, back propagation, model parameters, neural network, weight.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2187
7247 A Fuzzy Time Series Forecasting Model for Multi-Variate Forecasting Analysis with Fuzzy C-Means Clustering
Authors: Emrah Bulut, Okan Duru, Shigeru Yoshida
In this study, a fuzzy integrated logical forecasting method (FILF) is extended for multi-variate systems by using a vector autoregressive model. Fuzzy time series forecasting (FTSF) method was recently introduced by Song and Chissom - after that Chen improved the FTSF method. Rather than the existing literature, the proposed model is not only compared with the previous FTS models, but also with the conventional time series methods such as the classical vector autoregressive model. The cluster optimization is based on the C-means clustering method. An empirical study is performed for the prediction of the chartering rates of a group of dry bulk cargo ships. The root mean squared error (RMSE) metric is used for the comparing of results of methods and the proposed method has superiority than both traditional FTS methods and also the classical time series methods.
Keywords: C-means clustering, Fuzzy time series, Multi-variate designProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2145
7246 A Comparative Analysis of Artificial Neural Network and Autoregressive Integrated Moving Average Model on Modeling and Forecasting Exchange Rate
Authors: Mogari I. Rapoo, Diteboho Xaba
This paper examines the forecasting performance of Autoregressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANN) models with the published exchange rate obtained from South African Reserve Bank (SARB). ARIMA is one of the popular linear models in time series forecasting for the past decades. ARIMA and ANN models are often compared and literature revealed mixed results in terms of forecasting performance. The study used the MSE and MAE to measure the forecasting performance of the models. The empirical results obtained reveal the superiority of ARIMA model over ANN model. The findings further resolve and clarify the contradiction reported in literature over the superiority of ARIMA and ANN models.
Keywords: ARIMA, artificial neural networks models, error metrics, exchange rates.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1074
7245 Modelling Conditional Volatility of Saving Rate by a Time-Varying Parameter Model
Authors: Katleho D. Makatjane, Kalebe M. Kalebe
The present paper used time-varying parameters which are based on the score function of a probability density at time t to model volatility of saving rate. We used a scaled likelihood function to update the parameters of the model overtime. Our results revealed high diligence of time-varying since the location parameter is greater than zero. Furthermore, we discovered a leptokurtic condition on saving rate’s distribution. Kapetanios, Shin-Shell Nonlinear Augmented Dickey-Fuller (KSS-NADF) test showed that the saving rate has a nonlinear unit root; therefore, it can be modeled by a generalised autoregressive score (GAS) model. Additionally, value at risk (VaR) and conditional tail expectation (CTE) indicate that 99% of the time people in Lesotho are saving more than spending. This puts the economy in high risk of not expanding. Therefore, the monetary policy committee (MPC) of Lesotho should revise their monetary policies towards this high saving rates risk.
Keywords: Generalized autoregressive score, time-varying, saving rate, Lesotho.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 498
7244 Stock Market Prediction by Regression Model with Social Moods
Authors: Masahiro Ohmura, Koh Kakusho, Takeshi Okadome
This paper presents a regression model with autocorrelated errors in which the inputs are social moods obtained by analyzing the adjectives in Twitter posts using a document topic model, where document topics are extracted using LDA. The regression model predicts Dow Jones Industrial Average (DJIA) more precisely than autoregressive moving-average models.
Keywords: Regression model, social mood, stock market prediction, Twitter.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2277
7243 Optimal Model Order Selection for Transient Error Autoregressive Moving Average (TERA) MRI Reconstruction Method
Authors: Abiodun M. Aibinu, Athaur Rahman Najeeb, Momoh J. E. Salami, Amir A. Shafie
Abstract:An alternative approach to the use of Discrete Fourier Transform (DFT) for Magnetic Resonance Imaging (MRI) reconstruction is the use of parametric modeling technique. This method is suitable for problems in which the image can be modeled by explicit known source functions with a few adjustable parameters. Despite the success reported in the use of modeling technique as an alternative MRI reconstruction technique, two important problems constitutes challenges to the applicability of this method, these are estimation of Model order and model coefficient determination. In this paper, five of the suggested method of evaluating the model order have been evaluated, these are: The Final Prediction Error (FPE), Akaike Information Criterion (AIC), Residual Variance (RV), Minimum Description Length (MDL) and Hannan and Quinn (HNQ) criterion. These criteria were evaluated on MRI data sets based on the method of Transient Error Reconstruction Algorithm (TERA). The result for each criterion is compared to result obtained by the use of a fixed order technique and three measures of similarity were evaluated. Result obtained shows that the use of MDL gives the highest measure of similarity to that use by a fixed order technique.
Keywords: Autoregressive Moving Average (ARMA), MagneticResonance Imaging (MRI), Parametric modeling, Transient Error.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1503
7242 Person Identification by Using AR Model for EEG Signals
Authors: Gelareh Mohammadi, Parisa Shoushtari, Behnam Molaee Ardekani, Mohammad B. Shamsollahi
Abstract:A direct connection between ElectroEncephaloGram (EEG) and the genetic information of individuals has been investigated by neurophysiologists and psychiatrists since 1960-s; and it opens a new research area in the science. This paper focuses on the person identification based on feature extracted from the EEG which can show a direct connection between EEG and the genetic information of subjects. In this work the full EO EEG signal of healthy individuals are estimated by an autoregressive (AR) model and the AR parameters are extracted as features. Here for feature vector constitution, two methods have been proposed; in the first method the extracted parameters of each channel are used as a feature vector in the classification step which employs a competitive neural network and in the second method a combination of different channel parameters are used as a feature vector. Correct classification scores at the range of 80% to 100% reveal the potential of our approach for person classification/identification and are in agreement to the previous researches showing evidence that the EEG signal carries genetic information. The novelty of this work is in the combination of AR parameters and the network type (competitive network) that we have used. A comparison between the first and the second approach imply preference of the second one.
Keywords: Person Identification, Autoregressive Model, EEG, Neural NetworkProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1615
7241 Proposal of Additional Fuzzy Membership Functions in Smoothing Transition Autoregressive Models
Authors: Ε. Giovanis
Abstract:In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation or genetic algorithm instead to nonlinear squares. We examine two macroeconomic variables of US economy, the inflation rate and the 6-monthly treasury bills interest rates.
Keywords: Forecast , Fuzzy membership functions, Smoothingtransition, Time-seriesProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1413
7240 Discrimination of Alcoholic Subjects using Second Order Autoregressive Modelling of Brain Signals Evoked during Visual Stimulus Perception
Authors: Ramaswamy Palaniappan
Abstract:In this paper, a second order autoregressive (AR) model is proposed to discriminate alcoholics using single trial gamma band Visual Evoked Potential (VEP) signals using 3 different classifiers: Simplified Fuzzy ARTMAP (SFA) neural network (NN), Multilayer-perceptron-backpropagation (MLP-BP) NN and Linear Discriminant (LD). Electroencephalogram (EEG) signals were recorded from alcoholic and control subjects during the presentation of visuals from Snodgrass and Vanderwart picture set. Single trial VEP signals were extracted from EEG signals using Elliptic filtering in the gamma band spectral range. A second order AR model was used as gamma band VEP exhibits pseudo-periodic behaviour and second order AR is optimal to represent this behaviour. This circumvents the requirement of having to use some criteria to choose the correct order. The averaged discrimination errors of 2.6%, 2.8% and 11.9% were given by LD, MLP-BP and SFA classifiers. The high LD discrimination results show the validity of the proposed method to discriminate between alcoholic subjects.
Keywords: Linear Discriminant, Neural Network, VisualEvoked Potential.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1483
7239 Predicting DHF Incidence in Northern Thailand using Time Series Analysis Technique
Authors: S. Wongkoon, M. Pollar, M. Jaroensutasinee, K. Jaroensutasinee
This study aimed at developing a forecasting model on the number of Dengue Haemorrhagic Fever (DHF) incidence in Northern Thailand using time series analysis. We developed Seasonal Autoregressive Integrated Moving Average (SARIMA) models on the data collected between 2003-2006 and then validated the models using the data collected between January-September 2007. The results showed that the regressive forecast curves were consistent with the pattern of actual values. The most suitable model was the SARIMA(2,0,1)(0,2,0)12 model with a Akaike Information Criterion (AIC) of 12.2931 and a Mean Absolute Percent Error (MAPE) of 8.91713. The SARIMA(2,0,1)(0,2,0)12 model fitting was adequate for the data with the Portmanteau statistic Q20 = 8.98644 ( x20,95= 27.5871, P>0.05). This indicated that there was no significant autocorrelation between residuals at different lag times in the SARIMA(2,0,1)(0,2,0)12 model.
Keywords: Dengue, SARIMA, Time Series Analysis, Northern Thailand.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1861
7238 On the Efficiency and Robustness of Commingle Wiener and Lévy Driven Processes for Vasciek Model
Authors: Rasaki O. Olanrewaju
Abstract:The driven processes of Wiener and Lévy are known self-standing Gaussian-Markov processes for fitting non-linear dynamical Vasciek model. In this paper, a coincidental Gaussian density stationarity condition and autocorrelation function of the two driven processes were established. This led to the conflation of Wiener and Lévy processes so as to investigate the efficiency of estimates incorporated into the one-dimensional Vasciek model that was estimated via the Maximum Likelihood (ML) technique. The conditional laws of drift, diffusion and stationarity process was ascertained for the individual Wiener and Lévy processes as well as the commingle of the two processes for a fixed effect and Autoregressive like Vasciek model when subjected to financial series; exchange rate of Naira-CFA Franc. In addition, the model performance error of the sub-merged driven process was miniature compared to the self-standing driven process of Wiener and Lévy.
Keywords: Wiener process, Lévy process, Vasciek model, drift, diffusion, Gaussian density stationary.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 552
7237 Speech Enhancement Using Kalman Filter in Communication
Authors: Eng. Alaa K. Satti Salih
Revolutions Applications such as telecommunications, hands-free communications, recording, etc. which need at least one microphone, the signal is usually infected by noise and echo. The important application is the speech enhancement, which is done to remove suppressed noises and echoes taken by a microphone, beside preferred speech. Accordingly, the microphone signal has to be cleaned using digital signal processing DSP tools before it is played out, transmitted, or stored. Engineers have so far tried different approaches to improving the speech by get back the desired speech signal from the noisy observations. Especially Mobile communication, so in this paper will do reconstruction of the speech signal, observed in additive background noise, using the Kalman filter technique to estimate the parameters of the Autoregressive Process (AR) in the state space model and the output speech signal obtained by the MATLAB. The accurate estimation by Kalman filter on speech would enhance and reduce the noise then compare and discuss the results between actual values and estimated values which produce the reconstructed signals.
Keywords: Autoregressive Process, Kalman filter, Matlab and Noise speech.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3910
7236 Forecasting Tala-AUD and Tala-USD Exchange Rates with ANN
Authors: Shamsuddin Ahmed, M. G. M. Khan, Biman Prasad, Avlin Prasad
Abstract:The focus of this paper is to construct daily time series exchange rate forecast models of Samoan Tala/USD and Tala/AUD during the year 2008 to 2012 with neural network The performance of the models was measured by using varies error functions such as Root Square mean error (RSME), Mean absolute error (MAE), and Mean absolute percentage error (MAPE). Our empirical findings suggest that AR (1) model is an effective tool to forecast the Tala/USD and Tala/AUD.
Keywords: Neural Network Forecasting Model, Autoregressive time series, Exchange rate, Tala/AUD, winters model.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2288
7235 A Comparison of Signal Processing Techniques for the Extraction of Breathing Rate from the Photoplethysmogram
Authors: Susannah G. Fleming Lionel Tarassenko
Abstract:The photoplethysmogram (PPG) is the pulsatile waveform produced by the pulse oximeter, which is widely used for monitoring arterial oxygen saturation in patients. Various methods for extracting the breathing rate from the PPG waveform have been compared using a consistent data set, and a novel technique using autoregressive modelling is presented. This novel technique is shown to outperform the existing techniques, with a mean error in breathing rate of 0.04 breaths per minute.
Keywords: Autoregressive modelling, breathing rate, photoplethysmogram, pulse oximetry.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3164
7234 A Hybrid Model of ARIMA and Multiple Polynomial Regression for Uncertainties Modeling of a Serial Production Line
Authors: Amir Azizi, Amir Yazid b. Ali, Loh Wei Ping, Mohsen Mohammadzadeh
Abstract:Uncertainties of a serial production line affect on the production throughput. The uncertainties cannot be prevented in a real production line. However the uncertain conditions can be controlled by a robust prediction model. Thus, a hybrid model including autoregressive integrated moving average (ARIMA) and multiple polynomial regression, is proposed to model the nonlinear relationship of production uncertainties with throughput. The uncertainties under consideration of this study are demand, breaktime, scrap, and lead-time. The nonlinear relationship of production uncertainties with throughput are examined in the form of quadratic and cubic regression models, where the adjusted R-squared for quadratic and cubic regressions was 98.3% and 98.2%. We optimized the multiple quadratic regression (MQR) by considering the time series trend of the uncertainties using ARIMA model. Finally the hybrid model of ARIMA and MQR is formulated by better adjusted R-squared, which is 98.9%.
Keywords: ARIMA, multiple polynomial regression, production throughput, uncertaintiesProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2089
7233 Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
Authors: Fenglong Guo, Dingcheng Wang
Abstract:This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities.
Keywords: Lundberg inequality, NWUC, Renewal recursive technique, Ruin probabilityProcedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1409
7232 Time Series Forecasting Using a Hybrid RBF Neural Network and AR Model Based On Binomial Smoothing
Authors: Fengxia Zheng, Shouming Zhong
ANNARIMA that combines both autoregressive integrated moving average (ARIMA) model and artificial neural network (ANN) model is a valuable tool for modeling and forecasting nonlinear time series, yet the over-fitting problem is more likely to occur in neural network models. This paper provides a hybrid methodology that combines both radial basis function (RBF) neural network and auto regression (AR) model based on binomial smoothing (BS) technique which is efficient in data processing, which is called BSRBFAR. This method is examined by using the data of Canadian Lynx data. Empirical results indicate that the over-fitting problem can be eased using RBF neural network based on binomial smoothing which is called BS-RBF, and the hybrid model–BS-RBFAR can be an effective way to improve forecasting accuracy achieved by BSRBF used separately.
Keywords: Binomial smoothing (BS), hybrid, Canadian Lynx data, forecasting accuracy.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3522
7231 Currency Exchange Rate Forecasts Using Quantile Regression
Authors: Yuzhi Cai
Abstract:In this paper, we discuss a Bayesian approach to quantile autoregressive (QAR) time series model estimation and forecasting. Together with a combining forecasts technique, we then predict USD to GBP currency exchange rates. Combined forecasts contain all the information captured by the fitted QAR models at different quantile levels and are therefore better than those obtained from individual models. Our results show that an unequally weighted combining method performs better than other forecasting methodology. We found that a median AR model can perform well in point forecasting when the predictive density functions are symmetric. However, in practice, using the median AR model alone may involve the loss of information about the data captured by other QAR models. We recommend that combined forecasts should be used whenever possible.
Keywords: Exchange rate, quantile regression, combining forecasts.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1647
7230 Increasing The Speed of Convergence of an Artificial Neural Network based ARMA Coefficients Determination Technique
Authors: Abiodun M. Aibinu, Momoh J. E. Salami, Amir A. Shafie, Athaur Rahman Najeeb
Abstract:In this paper, novel techniques in increasing the accuracy and speed of convergence of a Feed forward Back propagation Artificial Neural Network (FFBPNN) with polynomial activation function reported in literature is presented. These technique was subsequently used to determine the coefficients of Autoregressive Moving Average (ARMA) and Autoregressive (AR) system. The results obtained by introducing sequential and batch method of weight initialization, batch method of weight and coefficient update, adaptive momentum and learning rate technique gives more accurate result and significant reduction in convergence time when compared t the traditional method of back propagation algorithm, thereby making FFBPNN an appropriate technique for online ARMA coefficient determination.
Keywords: Adaptive Learning rate, Adaptive momentum, Autoregressive, Modeling, Neural Network.Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1388