scholarly journals COMPARISON BETWEEN HYBRID QUANTILE REGRESSION NEURAL NETWORK AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE WITH EXOGENOUS VARIABLE FOR FORECASTING OF CURRENCY INFLOW AND OUTFLOW IN BANK INDONESIA

2018 ◽  
Vol 80 (6) ◽  
Author(s):  
Dedy Dwi Prastyo ◽  
Suhartono Suhartono ◽  
Agnes Ona Bliti Puka ◽  
Muhammad Hisyam Lee
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Time Series Analysis ◽  
Quantile Regression ◽  
Empirical Result ◽  
Moving Average ◽  
Exogenous Variable ◽  
Real Case ◽  
Autoregressive Integrated Moving Average ◽  
Series Analysis

Some problems arise in time series analysis are nonlinearity and heteroscedasticity. Methods that can be used to analyze such problems are neural network and quantile regression. There are a lot of studies and developments on both methods, but the study that focuses on the performances of combination of these two methods applied in real case are still limited. Therefore, this study performed a comparison between hybrid Quantile Regression Neural Network (QRNN) and Autoregressive Integrated Moving Average with Exogenous Variable (ARIMAX). Both methods were employed to model the currency inflow and outflow from Bank Indonesia in Nusa Tenggara Timur province. Based on the empirical result, the hybrid QRNN method provided better forecasting for currency outflow whereas the ARIMAX resulted in better forecasting for the inflow. 

scholarly journals Time-series analysis of tuberculosis from 2005 to 2017 in China

2018 ◽  
Vol 146 (8) ◽  
pp. 935-939 ◽  
Author(s):  
H. Wang ◽  
C. W. Tian ◽  
W. M. Wang ◽  
X. M. Luo
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Time Series Analysis ◽  
Moving Average ◽  
Notification Rate ◽  
Sarima Model ◽  
Autoregressive Integrated Moving Average ◽  
Combination Model ◽  
Series Analysis ◽  
The Mean

AbstractSeasonal autoregressive integrated moving average (SARIMA) has been used to model nationwide tuberculosis (TB) incidence in other countries. This study aimed to characterise monthly TB notification rate in China. Monthly TB notification rate from 2005 to 2017 was used. Time-series analysis was based on a SARIMA model and a hybrid model of SARIMA-generalised regression neural network (GRNN) model. A decreasing trend (3.17% per years, P < 0.01) and seasonal variation of TB notification rate were found from 2005 to 2016 in China, with a predominant peak in spring. A SARIMA model of ARIMA (0,1,1) (0,1,1)12 was identified. The mean error rate of the single SARIMA model and the SARIMA–GRNN combination model was 6.07% and 2.56%, and the determination coefficient was 0.73 and 0.94, respectively. The better performance of the SARIMA–GRNN combination model was further confirmed with the forecasting dataset (2017). TB is a seasonal disease in China, with a predominant peak in spring, and the trend of TB decreased by 3.17% per year. The SARIMA–GRNN model was more effective than the widely used SARIMA model at predicting TB incidence.

scholarly journals Estimating the Expected Shortfall in MYOR Stock Using the ARIMA-GARCH Model

2021 ◽  
Vol 2 (3) ◽  
pp. 118-123
Author(s):  
Jumadil Saputra ◽  
Alberto Simanjuntak
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Moving Average ◽  
Expected Shortfall ◽  
Autoregressive Integrated Moving Average ◽  
Average Value ◽  
Series Analysis ◽  
Stock Investment ◽  
Volatility Model ◽  
Autoregressive Conditional Heteroscedasticity

Stocks are one of the best-known forms of investment and are still used today. In stock investment, it is necessary to know the movement and risk of loss that may be obtained from the stock investment so that investors can consider the possibility of profit. One way of calculating risk is to use the Expected Shortfall (ES). Because the stock movement is in the form of a time series, a model can be formed to predict the movement of the stock which can then be used for ES calculations using time series analysis. The purpose of the study was to determine the expected shortfall value of MYOR shares using time series analysis. The data used for this research is the daily closing price of shares for three years. In the time series analysis stage, the models used in predicting stock movements are Autoregressive Integrated Moving Average (ARIMA) for the mean model and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the volatility model. The average value and variance obtained from the model are then used in calculating the ES on MYOR stock. Based on the results of the study, it was obtained that MYOR's stock had an ES of 0.050772. This means if an investment is made for MYOR shares of IDR 1,000,000.00 for 37 days (5% of 751 days) for an investment period with a 95% confidence level, the expected loss to be borne by the investor is IDR 50,772.00.

Time Series Analysis for Crime Forecasting Using ARIMA (Autoregressive Integrated Moving Average) Model

2021 ◽  
pp. 158-198
Author(s):  
Neetu Faujdar ◽  
Anant Joshi
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Data Visualization ◽  
Moving Average ◽  
Complex Data ◽  
Autoregressive Integrated Moving Average ◽  
Related Data ◽  
Series Analysis ◽  
Internet Users ◽  
Moving Average Model

With massive advancements in the fields of data analysis and data mining, a new importance has been gained by data visualization. Data visualization focuses on visualizing and abstracting complex data to make it comprehensible and easy to understand using visual representation of information. Analysis of crime and crime-related data has been steadily popularizing over the last decade, and this chapter aims at visualizing such data. Crime data for several different types of crime for many countries in the world has been collected, compiled, processed, analyzed, and visualized in this chapter. Predictive analysis of this data has also been performed using time series analysis. This chapter aims to create a hub where internet users can easily view and interpret this data.

scholarly journals Forecasting of Economic Indicators (Production, Consumption, Population) of Wheat Crop (A Case Study)

2021 ◽  
Vol 8 (6) ◽  
pp. 38-46
Author(s):  
Mohammad Karim Ahmadzai
Keyword(s):  
Time Series ◽  
Time Series Analysis ◽  
Moving Average ◽  
Arima Model ◽  
Wheat Crop ◽  
Series Analysis ◽  
The People ◽  
Self Sufficiency ◽  
Univariate Time Series ◽  
Short Run

Wheat is the most important food crop in Afghanistan, whether consumed by the bulk of the people or used in various sectors. The problem is that Afghanistan has a significant shortfall of wheat between domestic production and consumption. Thus, the present study looks at the issue of meeting self-sufficiency for the whole population due to wheat shortages. To do so, we employ time series analysis, which can produce a highly exact short-run prediction for a significant quantity of data on the variables in question. The ARIMA models are versatile and widely utilised in univariate time series analysis. The ARIMA model combines three processes: I the auto-regressive (AR) process, (ii) the differencing process, and (iii) the moving average (MA) process. These processes are referred to as primary univariate time series models in statistical literature and are widely employed in various applications. Where predicting future wheat requirements is one of the most important tools that decision-makers may use to assess wheat requirements and then design measures to close the gap between supply and consumption. The present study seeks to forecast Production, Consumption, and Population for the period 2002-2017 and estimate the values of these variables between 2002 and 2017. (2018-2030).  

Pre-treating GNSS time series using a recurrent neural network to improve the automated detection of jump discontinuities

2021 ◽  
Author(s):  
Luca Tavasci ◽  
Pasquale Cascarano ◽  
Stefano Gandolfi
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Time Series Analysis ◽  
Ad Hoc ◽  
Short Term Memory ◽  
Learning Approaches ◽  
Jump Detection ◽  
Series Analysis ◽  
Jump Discontinuities ◽  
Gnss Time Series

&lt;p&gt;Ground motion monitoring is one of the main goals in the geoscientist community and at the time it is mainly performed by analyzing time series of data. Our capability of describing the most significant features characterizing the time evolution of a point-position is affected by the presence of undetected discontinuities in the time series. One of the most critical aspects in the automated time series analysis, which is quite necessary since the amount of data is increasing more and more, is still the detection of discontinuities and in particular the definition of their epoch. A number of algorithms have already been developed and proposed to the community in the last years, following different statistical approaches and different hypotheses on the coordinates behavior. In this work, we have chosen to analyze GNSS time series and to use an already published algorithm (STARS) for jump detection as a benchmark to test our approach, consisting of pre-treating the time series to be analyzed using a neural network. In particular, we chose a Long Short Term Memory (LSTM) neural network belonging to the class of the Recurrent Neural Networks (RNNs), ad hoc modified for the GNSS time series analysis. We focused both on the training algorithm and the testing one. The latter has been the object of a parametric test to find out the number of predicted data that mostly emphasize our capability of detecting jump discontinuities. Results will be presented considering several GNSS time series of daily positions. Finally, a discussion on the possible integration of machine learning approaches and classical deterministic approaches will be done.&lt;/p&gt;

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