Forecast Error Correction Using Optimal Tracking

Author(s):  
Sivaramakrishnan Lakshmivarahan ◽  
John M. Lewis ◽  
Rafal Jabrzemski
2017 ◽  
Vol 9 (9) ◽  
pp. 94
Author(s):  
Augustine C. Arize ◽  
Ioannis N. Kallianiotis ◽  
Ebere Eme Kalu ◽  
John Malindretos ◽  
Moschos Scoullis

This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models’ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models’ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model’s fundamental variables.


2019 ◽  
Vol 2019 ◽  
pp. 1-13
Author(s):  
Dengxin He ◽  
Zhimin Zhou ◽  
Zhaoping Kang ◽  
Lin Liu

To implement deterministic short-range numerical weather forecast error correction, this study develops a novel approach using the variational method and historical data. Based on time-dependency characteristic of nonsystematic forecast error, variational approach is adopted to establish the mapping relation between nonsystematic error series and the prior period nonsystematic error series, so as to estimate nonsystematic error in the future and revise the forecast under the premise of the revision for forecast systematic forecast error. According to the hindcast daily data of geopotential height on 500 hPa generated by GRAPES model on January and July from 2002 to 2010, preliminary analysis is carried out on characteristics of forecast error in East Asia. Further estimation and forecast correction test are conducted for nonsystematic error. The result shows that the nonsystematic forecast error in the GRAPES model has obvious characteristic of state dependency. Nonsystematic forecast error changes along season and the state of weather and accounts for great proportion in total forecast error. Nonsystematic forecast error estimated by variational approach is relatively close to the real forecast error. After nonsystematic correction, the corrected 24 h and 48 h forecast of majority samples has a smaller RMSE. Further study on temperature shows a similar result, even comparing to the observational upper air MICAPS data.


2017 ◽  
Vol 11 (2) ◽  
pp. 167-195
Author(s):  
Santosh Kumar Dash

Against the backdrop of the claim that the rising growth rate of money is one of the major factors behind India’s recent bout of elevated and sticky inflation, this article asks: Is money supply exogenous or endogenous, and can it predict future inflation. This question is investigated using the monetarist framework of inflation. In the empirical analysis of data spanning from 1970–71 to 2009–10, the results of both the monetarist and the error-correction models suggest that money supply accounts for inflation in India. There is also the presence of an error-correction mechanism among money, inflation and output. However, a monetarist equation does not tell anything about causality. Thus, the vector autoregression (VAR) method is used to detect the direction of causality between money supply and the inflation rate. Findings from Granger causality tests suggest weak evidence of inflation (Granger) causing money supply. As a robustness check, we estimate VAR models using quarterly data and, further, using core inflation. The results of the causality tests from the quarterly data, the impulse response function and forecast error variance decomposition suggest that money supply is weakly endogenous. JEL Classification: E31, E51, E52


2019 ◽  
Vol 3 (3) ◽  
pp. 216-235
Author(s):  
Erwandi Erwandi ◽  
Farit Mochamad Afendi ◽  
Budi Waryanto

This study aims to analyze the effect of red chili price and production in the supplier area on its prices in DKI Jakarta using the Vector Error Correction Model (VECM). The data used in this study are red chili price and average expenditure per month per capita in DKI Jakarta and red chili price and production in East Java, West Java, and Banten in the period January 2012 to July 2018. The model obtained was VECM (1) the price of red chili in DKI Jakarta. It showed that there was a long-term relationship (cointegration) on the first difference. The results the Forecast Error Variance Decomposition (FEVD) analysis showed that the contributions of the red chili price in DKI Jakarta and West Java, average monthly expense for red chili in DKI Jakarta, red chili production (West Java and Banten) are significant in explaining the behaviour of the red chili price change in DKI Jakarta. The results of the Impulse Response Function (IRF) analysis showed that the shock of the price of chili in DKI Jakarta and West Java in the previous month will increase the price of red chili in DKI Jakarta in the following month. Conversely, the shock of the average monthly expenditure of red chili in DKI Jakarta and red chili production (West Java and Banten) from the previous month will reduce the price of red chili in DKI Jakarta in the following month.


2017 ◽  
Vol 8 (2) ◽  
pp. 194
Author(s):  
Augustine C. Arize ◽  
Charles J. Berendt ◽  
Giuliana Campanelli Andreopoulos ◽  
Ioannis N. Kallianiotis ◽  
John Malindretos

This paper uses a large variety of different models and examines the predictive performance of these exchange rate models by applying parametric and non-parametric techniques. For forecasting, we will choose that predictor with the smallest root mean square forecast error (RMSE). The results show that the better model is equation (34), but none of them gives a perfect forecast. At the end, error correction versions of the models will be fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model.


2020 ◽  
Vol 2020 ◽  
pp. 1-20
Author(s):  
Huanran He ◽  
Suxiang Yao ◽  
Anning Huang ◽  
Kejian Gong

Subseasonal-to-seasonal (S2S) prediction is a highly regarded skill around the world. To improve the S2S forecast skill, an S2S prediction project and an extensive database have been established. In this study, the European Center for Medium-Range Weather Forecasts (ECMWF) model hindcast, which participates in the S2S prediction project, is systematically assessed by focusing on the hindcast quality for the summer accumulated ten-day precipitation at lead times of 0–30 days during 1995–2014 in eastern China. Additionally, the hindcast error is corrected by utilizing the preceding sea surface temperature (SST). The metrics employed to measure the ECMWF hindcast performance indicate that the ECMWF model performance drops as the lead time increases and exhibits strong interannual differences among the five subregions of eastern China. In addition, the precipitation forecast skill of the ECMWF hindcast is best at approximately 15 days in some areas of Southeast China; after correcting the forecast error, the forecast skill is increased to 30 days. At lead times of 0–30 days, regardless of whether the forecast error is corrected, the root mean square errors are lowest in Northeast China. After correcting the forecast error, the performance of the ECMWF hindcast shows better improvement in depicting the quantity and temporal and spatial variation of precipitation at lead times of 0–30 days in eastern China. The false alarm ratio (FAR), probability of detection (POD), and equitable threat score (ETS) reveal that the ECMWF model has a preferable performance at forecasting accumulated ten-day precipitation rates of approximately 20∼50 mm and indicates an improved hindcast quality after the forecast error correction. In short, adopting the preceding SST to correct the summer subseasonal precipitation of the ECMWF hindcast is preferable.


2017 ◽  
Vol 8 (3) ◽  
pp. 111
Author(s):  
Augustine C. Arize ◽  
Charles J. Berendt ◽  
Giuliana Campanelli Andreopoulos ◽  
Ioannis N. Kallianiotis ◽  
John Malindretos

This paper uses a large variety of different models and examines the predictive performance of these exchange rate models by applying parametric and non-parametric techniques. For forecasting, we will choose that predictor with the smallest root mean square forecast error (RMSE). The results show that the better models are in equations (3), (10), (17), and (18), although none gives a perfect forecast. At the end, error correction versions of the models will be fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model.


2020 ◽  
Author(s):  
Zhaolu Hou ◽  
Bin Zuo ◽  
Shaoqing Zhang ◽  
Fei Huang ◽  
Ruiqiang Ding ◽  
...  

<p>Numerical forecasts always have associated errors. Analogue correction methods combine numerical simulations with statistical analyses to reduce model forecast errors. However, identifying appropriate analogues remains a challenging task. Here, we use the Local Dynamical Analog (LDA) method to locate analogues and correct model forecast errors. As an example, an ENSO model forecast error correction experiment confirms that the LDA method locates more dynamical analogues of states of interest and better corrects forecast errors than do other methods. This is because the LDA method ensures similarity of the initial states and the evolution of both states. In addition, the LDA method can be applied using a scalar time series, which reduces the complexity of the dynamical system. Model forecast error correction using the LDA method provides a new approach to correcting state-dependent model errors and can be readily integrated with other advanced models.</p>


Author(s):  
Sivaramakrishnan Lakshmivarahan ◽  
John M. Lewis ◽  
Rafal Jabrzemski

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