scholarly journals Model selection in time series analysis: using information criteria as an alternative to hypothesis testing

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
R. Scott Hacker ◽  
Abdulnasser Hatemi-J
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Hypothesis Testing ◽  
Time Series Data ◽  
Information Criterion ◽  
Response Surfaces ◽  
Series Data ◽  
Content Type ◽  
Testing Strategies ◽  
Alternative Approach

PurposeThe issue of model selection in applied research is of vital importance. Since the true model in such research is not known, which model should be used from among various potential ones is an empirical question. There might exist several competitive models. A typical approach to dealing with this is classic hypothesis testing using an arbitrarily chosen significance level based on the underlying assumption that a true null hypothesis exists. In this paper, the authors investigate how successful the traditional hypothesis testing approach is in determining the correct model for different data generating processes using time series data. An alternative approach based on more formal model selection techniques using an information criterion or cross-validation is also investigated.Design/methodology/approachMonte Carlo simulation experiments on various generating processes are used to look at the response surfaces resulting from hypothesis testing and response surfaces resulting from model selection based on minimizing an information criterion or the leave-one-out cross-validation prediction error.FindingsThe authors find that the minimization of an information criterion can work well for model selection in a time series environment, often performing better than hypothesis-testing strategies. In such an environment, the use of an information criterion can help reduce the number of models for consideration, but the authors recommend the use of other methods also, including hypothesis testing, to determine the appropriateness of a model.Originality/valueThis paper provides an alternative approach for selecting the best potential model among many for time series data. It demonstrates how minimizing an information criterion can be useful for model selection in a time-series environment in comparison to some standard hypothesis testing strategies.

Exploring the dynamic contribution behavior of editors in wikis based on time series analysis

2016 ◽  
Vol 50 (1) ◽  
pp. 41-57 ◽  
Author(s):  
Linghe Huang ◽  
Qinghua Zhu ◽  
Jia Tina Du ◽  
Baozhen Lee
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Time Series Data ◽  
Time Of Day ◽  
Observation Time ◽  
Series Data ◽  
Clustering Methods ◽  
Content Type ◽  
Free Rider Problem ◽  
Series Analysis

Purpose – Wiki is a new form of information production and organization, which has become one of the most important knowledge resources. In recent years, with the increase of users in wikis, “free rider problem” has been serious. In order to motivate editors to contribute more to a wiki system, it is important to fully understand their contribution behavior. The purpose of this paper is to explore the law of dynamic contribution behavior of editors in wikis. Design/methodology/approach – After developing a dynamic model of contribution behavior, the authors employed both the metrological and clustering methods to process the time series data. The experimental data were collected from Baidu Baike, a renowned Chinese wiki system similar to Wikipedia. Findings – There are four categories of editors: “testers,” “dropouts,” “delayers” and “stickers.” Testers, who contribute the least content and stop contributing rapidly after editing a few articles. After editing a large amount of content, dropouts stop contributing completely. Delayers are the editors who do not stop contributing during the observation time, but they may stop contributing in the near future. Stickers, who keep contributing and edit the most content, are the core editors. In addition, there are significant time-of-day and holiday effects on the number of editors’ contributions. Originality/value – By using the method of time series analysis, some new characteristics of editors and editor types were found. Compared with the former studies, this research also had a larger sample. Therefore, the results are more scientific and representative and can help managers to better optimize the wiki systems and formulate incentive strategies for editors.

scholarly journals Time Series Modeling on Monthly Data of Tourist Arrivals in Nepal: An Alternative Approach

2017 ◽  
Vol 1 ◽  
pp. 41-54 ◽  
Author(s):  
Amrit Subedi
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Time Series Data ◽  
Polynomial Function ◽  
Seasonal Fluctuation ◽  
Ar Model ◽  
Series Data ◽  
Monthly Data ◽  
Annual Trend ◽  
Alternative Approach

Background: There are various approaches of modeling on time series data. Most of the studies conducted regarding time series data are based on annual trend whereas very few concerned with data having monthly fluctuation. The data of tourist arrivals is an example of time series data with monthly fluctuation which reveals that there is higher number of tourist arrivals in some months/seasons whereas others have less number. Starting from January, it makes a complete cycle in every 12 months with 3 bends indicating that it can be captured by biquadratic function.Objective: To provide an alternative approach of modeling i.e. combination of Autoregressive model with polynomial (biquadratic) function on time series data with monthly/seasonal fluctuation and compare its adequacy with widely used cyclic autoregressive model i.e. AR (12).Materials and Methods: This study is based on monthly data of tourist arrivals in Nepal. Firstly, usual time series model AR (12) has been adopted and an alternative approach of modeling has been attempted combining AR and biquadratic function. The first part of the model i.e. AR represents annual trend whereas biquadratic part does for monthly fluctuation.Results: The fitted cyclic autoregressive model on monthly data of tourist arrivals is Est. Ym = 3614.33 + 0.9509Ym-12, (R2=0.80); Est. Ym indicates predicted tourist arrivals for mth month and Ym-12 indicates observed tourist arrivals in (m-12)th month and the combined model of AR and biquadratic function is Est. Yt(m) = -46464.6 + 1.000Yt-1 + 52911.56m - 17177m2 + 2043.95m3 - 79.43m4, (R2=0.78); Est. Yt(m) indicates predicted tourist arrivals for mth month of tth year and Yt-1 indicates average tourist arrivals in (t-1)th year. The AR model combined with polynomial function reveals normal and homoscedastic residuals more accurately compared to first one.Conclusion: The use of polynomial function combined with autoregressive model can be useful for time series data having seasonal fluctuation. It can be an alternative approach for picking up a good model for such type of data. Nepalese Journal of Statistics, 2017,  Vol. 1, 41-54

An improved morphological weighted dynamic similarity measurement algorithm for time series data

2018 ◽  
Vol 11 (4) ◽  
pp. 486-495
Author(s):  
Ke Yi Zhou ◽  
Shaolin Hu
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Morphological Changes ◽  
Series Data ◽  
Similarity Measurement ◽  
Improved Method ◽  
Control Measurement ◽  
Content Type ◽  
Basic Work ◽  
Measurement Algorithm

Purpose The similarity measurement of time series is an important research in time series detection, which is a basic work of time series clustering, anomaly discovery, prediction and many other data mining problems. The purpose of this paper is to design a new similarity measurement algorithm to improve the performance of the original similarity measurement algorithm. The subsequence morphological information is taken into account by the proposed algorithm, and time series is represented by a pattern, so the similarity measurement algorithm is more accurate. Design/methodology/approach Following some previous researches on similarity measurement, an improved method is presented. This new method combines morphological representation and dynamic time warping (DTW) technique to measure the similarities of time series. After the segmentation of time series data into segments, three parameter values of median, point number and slope are introduced into the improved distance measurement formula. The effectiveness of the morphological weighted DTW algorithm (MW-DTW) is demonstrated by the example of momentum wheel data of an aircraft attitude control system. Findings The improved method is insensitive to the distortion and expansion of time axis and can be used to detect the morphological changes of time series data. Simulation results confirm that this method proposed in this paper has a high accuracy of similarity measurement. Practical implications This improved method has been used to solve the problem of similarity measurement in time series, which is widely emerged in different fields of science and engineering, such as the field of control, measurement, monitoring, process signal processing and economic analysis. Originality/value In the similarity measurement of time series, the distance between sequences is often used as the only detection index. The results of similarity measurement should not be affected by the longitudinal or transverse stretching and translation changes of the sequence, so it is necessary to incorporate the morphological changes of the sequence into similarity measurement. The MW-DTW is more suitable for the actual situation. At the same time, the MW-DTW algorithm reduces the computational complexity by transforming the computational object to subsequences.

Impact assessment of political administrations on the performance of the construction sector: a time series analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Najimu Saka ◽  
Abdullahi Babatunde Saka ◽  
Opeoluwa Akinradewo ◽  
Clinton O. Aigbavboa
Keyword(s):  
Time Series ◽  
Growth And Development ◽  
Time Series Data ◽  
Critical Factor ◽  
Sustainable Growth ◽  
Analysis Of Covariance ◽  
Series Data ◽  
Construction Sector ◽  
Content Type ◽  
Ancova Model

Purpose The complex interaction of politics and the economy is a critical factor for the sustainable growth and development of the construction sector (CNS). This study aims to investigate the effects of type of political administration including democracy and military on the performance of CNS using the Nigerian Construction Sector (NCS) as a case study. Design/methodology/approach A 48 year (1970–2017) time series data (TSD) on the NCS and the gross domestic product (GDP) based on 2010 constant USD were extracted from the United Nations Statistical Department database. Analysis of variance (ANOVA) and analysis of covariance (ANCOVA) models were used to analyze the TSD. The ANCOVA model includes the GDP as correlational variable or covariate. Findings The estimates of the ANOVA model indicate that democratic administration is significantly better than military administration in construction performance. However, the ANCOVA model indicates that the GDP is more important than political administration in the performance of the CNS. The study recommends for a new national construction policy, favourable fiscal and monetary policy, local content development policy and construction credit guaranty scheme for the rapid growth and development of the NCS. Originality/value Hitherto, little is known about the influence of political administration on the performance of the CNS. This study provides empirical evidence from a developing economy perspective. It presents the relationships and highlights recommendations for driving growth in the construction industry.

Corporation financial distress prediction with deep learning: analysis of public listed companies in Malaysia

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zulkifli Halim ◽  
Shuhaida Mohamed Shuhidan ◽  
Zuraidah Mohd Sanusi
Keyword(s):  
Time Series ◽  
Deep Learning ◽  
Financial Distress ◽  
Time Series Data ◽  
Series Data ◽  
Learning Models ◽  
Content Type ◽  
Financial Distress Prediction ◽  
Distress Prediction ◽  
Gated Recurrent Unit

PurposeIn the previous study of financial distress prediction, deep learning techniques performed better than traditional techniques over time-series data. This study investigates the performance of deep learning models: recurrent neural network, long short-term memory and gated recurrent unit for the financial distress prediction among the Malaysian public listed corporation over the time-series data. This study also compares the performance of logistic regression, support vector machine, neural network, decision tree and the deep learning models on single-year data.Design/methodology/approachThe data used are the financial data of public listed companies that been classified as PN17 status (distress) and non-PN17 (not distress) in Malaysia. This study was conducted using machine learning library of Python programming language.FindingsThe findings indicate that all deep learning models used for this study achieved 90% accuracy and above with long short-term memory (LSTM) and gated recurrent unit (GRU) getting 93% accuracy. In addition, deep learning models consistently have good performance compared to the other models over single-year data. The results show LSTM and GRU getting 90% and recurrent neural network (RNN) 88% accuracy. The results also show that LSTM and GRU get better precision and recall compared to RNN. The findings of this study show that the deep learning approach will lead to better performance in financial distress prediction studies. To be added, time-series data should be highlighted in any financial distress prediction studies since it has a big impact on credit risk assessment.Research limitations/implicationsThe first limitation of this study is the hyperparameter tuning only applied for deep learning models. Secondly, the time-series data are only used for deep learning models since the other models optimally fit on single-year data.Practical implicationsThis study proposes recommendations that deep learning is a new approach that will lead to better performance in financial distress prediction studies. Besides that, time-series data should be highlighted in any financial distress prediction studies since the data have a big impact on the assessment of credit risk.Originality/valueTo the best of authors' knowledge, this article is the first study that uses the gated recurrent unit in financial distress prediction studies based on time-series data for Malaysian public listed companies. The findings of this study can help financial institutions/investors to find a better and accurate approach for credit risk assessment.

A history of university income in the United Kingdom and Australia, 1922–2017

2020 ◽  
Vol 49 (2) ◽  
pp. 229-248
Author(s):  
Tamson Pietsch
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Series Data ◽  
Content Type ◽  
The United Kingdom ◽  
History Of University ◽  
History Of ◽  
Strategic Influence ◽  
The Uk ◽  
Comparable Time

PurposeThe purpose of this paper is to create comparable time series data on university income in Australia and the UK that might be used as a resource for those seeking to understand the changing funding profile of universities in the two countries and for those seeking to investigate how such data were produced and utilised.Design/methodology/approachA statistical analysis of university income from all sources in the UK and Australia.FindingsThe article produces a new time series for Australia and a comparable time series for the UK. It suggests some of the ways these data related to broader patterns of economic change, sketches the possibility of strategic influence, and outlines some of their limitations.Originality/valueThis is the first study to systematically create a time series on Australian university income across the twentieth century and present it alongside a comparable dataset for the UK.

Influence of systemic banking crisis and currency crisis on the relationship of export and economic growth

2017 ◽  
Vol 10 (1) ◽  
pp. 82-110
Author(s):  
Syed Ali Raza ◽  
Mohd Zaini Abd Karim
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Financial Crises ◽  
Currency Crises ◽  
Time Series Data ◽  
Banking Crises ◽  
Series Data ◽  
Content Type ◽  
Relationship Of ◽  
The Relationship

Purpose This study aims to investigate the influence of systemic banking crises, currency crises and global financial crisis on the relationship between export and economic growth in China by using the annual time series data from the period of 1972 to 2014. Design/methodology/approach The Johansen and Jeuuselius’ cointegration, auto regressive distributed lag bound testing cointegration, Gregory and Hansen’s cointegration and pooled ordinary least square techniques with error correction model have been used. Findings Results indicate the positive and significant effect of export of goods and services on economic growth in both long and short run, whereas the negative influence of systemic banking crises and currency crises over economic growth is observed. It is also concluded that the impact of export of goods and service on economic growth becomes insignificant in the presence of systemic banking crises and currency crises. The currency crises effect the influence of export on economic growth to a higher extent compared to systemic banking crises. Surprisingly, the export in the period of global financial crises has a positive and significant influence over economic growth in China, which conclude that the global financial crises did not drastically affect the export-growth nexus. Originality/value This paper makes a unique contribution to the literature with reference to China, being a pioneering attempt to investigate the effects of systemic banking crises and currency crises on the relationship of export and economic growth by using long-time series data and applying more rigorous econometric techniques.

Analysing and forecasting China containerized freight index with a hybrid decomposition–ensemble method based on EMD, grey wave and ARMA

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Yanhui Chen ◽  
Bin Liu ◽  
Tianzi Wang
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Grey System Theory ◽  
Ensemble Method ◽  
Series Data ◽  
Forecasting Model ◽  
Content Type ◽  
Forecasting Method ◽  
Periodic Fluctuations ◽  
Wave Forecasting

PurposeThis paper applied grey wave forecasting in a decomposition–ensemble forecasting method for modelling the complex and non-linear features in time series data. This application aims to test the advantages of grey wave forecasting method in predicting time series with periodic fluctuations.Design/methodology/approachThe decomposition–ensemble method combines empirical mode decomposition (EMD), component reconstruction technology and grey wave forecasting. More specifically, EMD is used to decompose time series data into different intrinsic mode function (IMF) components in the first step. Permutation entropy and the average of each IMF are checked for component reconstruction. Then the grey wave forecasting model or ARMA is used to predict each IMF according to the characters of each IMF.FindingsIn the empirical analysis, the China container freight index (CCFI) is applied in checking prediction performance. Using two different time periods, the results show that the proposed method performs better than random walk and ARMA in multi-step-ahead prediction.Originality/valueThe decomposition–ensemble method based on EMD and grey wave forecasting model expands the application area of the grey system theory and graphic forecasting method. Grey wave forecasting performs better for data set with periodic fluctuations. Forecasting CCFI assists practitioners in the shipping industry in decision-making.

Sign in / Sign up

Export Citation Format

Share Document