Asymptotic inference for unstable auto- regressive time series with drifts

1989 ◽  
Vol 23 (3) ◽  
pp. 301-312 ◽  
Author(s):  
Ngai Hang Chan
Keyword(s):  
Time Series ◽  
Asymptotic Inference ◽  
Auto Regressive

scholarly journals System for Forecasting COVID-19 Cases Using Time-Series and Neural Networks Models

2021 ◽  
Vol 5 (1) ◽  
pp. 46
Author(s):  
Mostafa Abotaleb ◽  
Tatiana Makarovskikh
Keyword(s):  
Neural Network ◽  
Neural Networks ◽  
Time Series ◽  
Time Series Models ◽  
Third Wave ◽  
The Third ◽  
Modeling And Forecasting ◽  
Auto Regressive ◽  
The Russian Federation ◽  
R Programming

COVID-19 is one of the biggest challenges that countries face at the present time, as infections and deaths change daily and because this pandemic has a dynamic spread. Our paper considers two tasks. The first one is to develop a system for modeling COVID-19 based on time-series models due to their accuracy in forecasting COVID-19 cases. We developed an “Epidemic. TA” system using R programming for modeling and forecasting COVID-19 cases. This system contains linear (ARIMA and Holt’s model) and non-linear (BATS, TBATS, and SIR) time-series models and neural network auto-regressive models (NNAR), which allows us to obtain the most accurate forecasts of infections, deaths, and vaccination cases. The second task is the implementation of our system to forecast the risk of the third wave of infections in the Russian Federation.

Towards optimal ATM cash replenishment using time series analysis

2021 ◽  
pp. 1-13
Author(s):  
Muhammad Rafi ◽  
Mohammad Taha Wahab ◽  
Muhammad Bilal Khan ◽  
Hani Raza
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Arima Model ◽  
Mean Absolute Percentage Error ◽  
Percentage Error ◽  
Absolute Percentage Error ◽  
Automatic Teller Machine ◽  
Proposed Model ◽  
Auto Regressive ◽  
Specific Amount

Automatic Teller Machine (ATM) are still largely used to dispense cash to the customers. ATM cash replenishment is a process of refilling ATM machine with a specific amount of cash. Due to vacillating users demands and seasonal patterns, it is a very challenging problem for the financial institutions to keep the optimal amount of cash for each ATM. In this paper, we present a time series model based on Auto Regressive Integrated Moving Average (ARIMA) technique called Time Series ARIMA Model for ATM (TASM4ATM). This study used ATM back-end refilling historical data from 6 different financial organizations in Pakistan. There are 2040 distinct ATMs and 18 month of replenishment data from these ATMs are used to train the proposed model. The model is compared with the state-of- the-art models like Recurrent Neural Network (RNN) and Amazon’s DeepAR model. Two approaches are used for forecasting (i) Single ATM and (ii) clusters of ATMs (In which ATMs are clustered with similar cash-demands). The Mean Absolute Percentage Error (MAPE) and Symmetric Mean Absolute Percentage Error (SMAPE) are used to evaluate the models. The suggested model produces far better forecasting as compared to the models in comparison and produced an average of 7.86/7.99 values for MAPE/SMAPE errors on individual ATMs and average of 6.57/6.64 values for MAPE/SMAPE errors on clusters of ATMs.

Modeling Time Series for Prediction of Thalassemia in Nineveh Governorate

2021 ◽  
Vol 2 (3) ◽  
pp. 120-131
Author(s):  
Shaymaa Riyadh Thanoon
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Monthly Data ◽  
Number Of Patients ◽  
Auto Regressive

The aim of this research is to analyze the time series of Thalassemia cancer cases by making assumptions on the number of cases to formulate the problem to find the best model for predicting the number of patients in Nineveh governorate using (Box and Jenkins) method of analysis based on the monthly data provided by Al Salam Hospital in Nineveh for the period (2014-2018). The results of the analysis showed that the appropriate model of analysis is the Auto-Regressive Integrated Moving Average (ARIMA) (2,1,0) and based on this model the number of people with this disease was predicted for the next two years where the results showed values ​​consistent with the original values which indicates the good quality of the model.

scholarly journals Influence of seasonality, salinity and temperature on catch trend of Penaeus indicus H. Milne-Edwards, 1837 in a coastal lagoon, India

2019 ◽  
Vol 66 (1) ◽  
Author(s):  
R.K. Raman ◽  
V.R. Suresh ◽  
S.K. Mohanty ◽  
K.S. Bhatta ◽  
S.K. Karna ◽  
...  
Keyword(s):  
Time Series ◽  
Coastal Lagoons ◽  
Moving Average ◽  
Positive Influence ◽  
Chilika Lagoon ◽  
Explanatory Variables ◽  
Structural Time Series ◽  
Water Temperature Data ◽  
Penaeus Indicus ◽  
Auto Regressive

The catch pattern of P. indicus in coastal lagoons is influenced by seasonal changes in physicochemical parameters of the lagoon ecosystem. In this study the effects of seasonality, salinity and water emperature of lagoon on P. indicus catch were analysed using Structural Time Series Model (STSM) and ARIMAX (Auto Regressive Integrated Moving Average with explanatory variables) modeling approach using monthly time series catch, salinity and water temperature data of the Chilika Lagoon (a Ramsar site) in India for the period from 2001 to 2015. Results showed a significant (p<0.05) increasing stochastic upward trend and two seasonal cycles for P. indicus catch in the lagoon. Salinity was found to have significant positive influence (p<0.05) and temperature to have insignificant positive influence on P. indicus catch in the lagoon.

scholarly journals Total variation as a metric for complementarity in energy resources time series

2021 ◽  
Author(s):  
Diana Cantor ◽  
Andrés Ochoa ◽  
Oscar Mesa
Keyword(s):  
Time Series ◽  
Power Systems ◽  
Total Variation ◽  
Correlation Coefficients ◽  
Mathematical Concept ◽  
Large Power ◽  
Electric System ◽  
Geographical Scale ◽  
Auto Regressive ◽  
High Degree

Complementarity has become an essential concept in energy supply systems. Although there are some other metrics, most studies use correlation coefficients to quantify complementarity. The standard interpretation is that a high negative correlation indicates a high degree of complementarity. However, we show that the correlation is not an entirely satisfactory measure of complementarity. As an alternative, we propose a new index based on the mathematical concept of the total variation. For two time series, the new index φ is one minus the ratio of the total variation of the sum to the sum of the two series' total variation. We apply the index first to an auto-regressive (AR) process and then to various Colombian electric system series. The AR case clearly illustrates the limitations of the correlation coefficient as a measure of complementarity. We then evaluate complementarity across various space-time scales in the Colombian power sectors, considering hydro and wind projects. The complementarity assessment on a broad temporal and geographical scale helps analyze large power systems with different energy sources. The case study of the Colombian hydropower systems suggests that φ is better than ρ because (i) it considers scale, whereas ρ, being non-dimensional, is insensitive to the scale and even to the physical dimensions of the variables; (ii) one can apply φ to more than two resources; and (iii) ρ tends to overestimate complementarity.

scholarly journals Forecasting and Modelling of Solar Radiation for Photovoltaic (PV) Systems

2021 ◽  
Author(s):  
Ines Sansa ◽  
Najiba Mrabet Bellaaj
Keyword(s):  
Time Series ◽  
Solar Radiation ◽  
Cloud Cover ◽  
Moving Average ◽  
Arma Model ◽  
Weather Conditions ◽  
Pv Systems ◽  
Auto Regressive ◽  
Micro Grid ◽  
One Year

Solar radiation is characterized by its fluctuation because it depends to different factors such as the day hour, the speed wind, the cloud cover and some other weather conditions. Certainly, this fluctuation can affect the PV power production and then its integration on the electrical micro grid. An accurate forecasting of solar radiation is so important to avoid these problems. In this chapter, the solar radiation is treated as time series and it is predicted using the Auto Regressive and Moving Average (ARMA) model. Based on the solar radiation forecasting results, the photovoltaic (PV) power is then forecasted. The choice of ARMA model has been carried out in order to exploit its own strength. This model is characterized by its flexibility and its ability to extract the useful statistical properties, for time series predictions, it is among the most used models. In this work, ARMA model is used to forecast the solar radiation one year in advance considering the weekly radiation averages. Simulation results have proven the effectiveness of ARMA model to forecast the small solar radiation fluctuations.

Predicting Daily Confirmed COVID-19 Cases in India

2021 ◽  
pp. 34-51
Author(s):  
Sudip Singh
Keyword(s):  
Time Series ◽  
Root Mean Square Error ◽  
Autocorrelation Function ◽  
Moving Average ◽  
Arima Model ◽  
Family Welfare ◽  
Mean Square ◽  
Univariate Time Series ◽  
Partial Autocorrelation Function ◽  
Auto Regressive

India, with a population of over 1.38 billion, is facing high number of daily COVID-19 confirmed cases. In this chapter, the authors have applied ARIMA model (auto-regressive integrated moving average) to predict daily confirmed COVID-19 cases in India. Detailed univariate time series analysis was conducted on daily confirmed data from 19.03.2020 to 28.07.2020, and the predictions from the model were satisfactory with root mean square error (RSME) of 7,103. Data for this study was obtained from various reliable sources, including the Ministry of Health and Family Welfare (MoHFW) and http://covid19india.org/. The model identified was ARIMA(1,1,1) based on time series decomposition, autocorrelation function (ACF), and partial autocorrelation function (PACF).

The Modeling of Great Salt Lake Elevation Time Series Based on ARFIMA With Stable Innovations

2009 ◽  
Author(s):  
Hu Sheng ◽  
YangQuan Chen
Keyword(s):  
Time Series ◽  
Fractional Integral ◽  
Salt Lake ◽  
Moving Average ◽  
Great Salt Lake ◽  
Western Hemisphere ◽  
Conditional Heteroskedasticity ◽  
New Model ◽  
The People ◽  
Auto Regressive

Great Salt Lake (GSL) is the largest salt lake in the western hemisphere, the fourth-largest terminal lake in the world. The elevation of Great Salt Lake has critical effect on the people who live nearby and their properties. It is crucial to build an exact model of GSL elevation time series in order to predict the GSL elevation precisely. Although some models, such as FARIMA or ARFIMA (Auto-Regressive Fractional Integral and Moving Average), GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity) and FIGARCH (Fractional Integral Generalized Auto-Regressive Conditional Heteroskedasticity), have been built to characterize the variation of Great Salt Lake elevation, these models can not characterize it perfectly. Therefore, it became a key point to build a more appropriate model of GSL elevation time series. In this paper a new model based on fractional autoregressive integrated moving average (ARFIMA) with Stable innovations is applied to analyze the data and predict the future levels. From the analysis we can see that the new model can characterize GSL elevation time series more accurately. The new model will be beneficial to predict GSL elevation more precisely.

scholarly journals Forecasting hourly emergency department arrival using time series analysis

2020 ◽  
Vol 26 (1) ◽  
pp. 34-43
Author(s):  
Avishek Choudhury ◽  
Estefania Urena
Keyword(s):  
Emergency Department ◽  
Time Series ◽  
Root Mean Square Error ◽  
Mean Square Error ◽  
Root Mean Square ◽  
Moving Average ◽  
Time Series Forecasting ◽  
Mean Square ◽  
Mean Error ◽  
Auto Regressive

Background/aims The stochastic arrival of patients at hospital emergency departments complicates their management. More than 50% of a hospital's emergency department tends to operate beyond its normal capacity and eventually fails to deliver high-quality care. To address this concern, much research has been carried out using yearly, monthly and weekly time-series forecasting. This article discusses the use of hourly time-series forecasting to help improve emergency department management by predicting the arrival of future patients. Methods Emergency department admission data from January 2014 to August 2017 was retrieved from a hospital in Iowa. The auto-regressive integrated moving average (ARIMA), Holt–Winters, TBATS, and neural network methods were implemented and compared as forecasters of hourly patient arrivals. Results The auto-regressive integrated moving average (3,0,0) (2,1,0) was selected as the best fit model, with minimum Akaike information criterion and Schwartz Bayesian criterion. The model was stationary and qualified under the Box–Ljung correlation test and the Jarque–Bera test for normality. The mean error and root mean square error were selected as performance measures. A mean error of 1.001 and a root mean square error of 1.55 were obtained. Conclusions The auto-regressive integrated moving average can be used to provide hourly forecasts for emergency department arrivals and can be implemented as a decision support system to aid staff when scheduling and adjusting emergency department arrivals.

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