scholarly journals A New Multivariable Grey Convolution Model Based on Simpson’s Rule and Its Applications

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-14 ◽  
Author(s):  
Song Ding ◽  
Ruojin Li
Keyword(s):  
Mathematical Reasoning ◽  
Empirical Studies ◽  
Forecasting Accuracy ◽  
Background Values ◽  
Simpson’S Rule ◽  
Convolution Model ◽  
Forecasting Performance ◽  
Competing Models ◽  
Optimized Model ◽  
Simpson's Rule

Accurate estimations can provide a solid basis for decision-making and policy-making that have experienced some kind of complication and uncertainty. Accordingly, a multivariable grey convolution model (GMC (1, n)) having correct solutions is put forward to deal with such complicated and uncertain issues, instead of the incorrect multivariable grey model (GM (1, n)). However, the conventional approach to computing background values of the GMC (1, n) model is inaccurate, and this model’s forecasting accuracy cannot be expected. Thereby, the drawback analysis of the GMC (1, n) model is conducted with mathematical reasoning, which can explain why this model is inaccurate in some applications. In order to eliminate the drawbacks, a new optimized GMC (1, n), shorted for OGMC (1, n), is proposed, whose background values are calculated based on Simpson’ rule that is able to efficiently approximate the integration of a function. Furthermore, its extended version that uses the Gaussian rule to discretize the convolution integral, abbreviated as OGMCG (1, n), is proposed to further enhance the model’s forecasting ability. In general, these two optimized models have such advantages as simplified structure, consistent forecasting performance, and satisfactory efficiency. Three empirical studies are carried out for verifying the above advantages of the optimized model, compared with the conventional GMC (1, n), GMCG (1, n), GM (1, n), and DGM (1, n) models. Results show that the new background values can effectively be calculated based on Simpson’s rule, and the optimized models significantly outperform other competing models in most cases.

scholarly journals New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and The Past? §

Econometrics ◽  
2021 ◽  
Vol 9 (1) ◽  
pp. 11
Author(s):  
Boriss Siliverstovs
Keyword(s):  
New York ◽  
Forecast Error ◽  
Forecast Accuracy ◽  
Predictive Ability ◽  
Striking Difference ◽  
Care Needs ◽  
Forecasting Accuracy ◽  
Forecasting Performance ◽  
Sophisticated Model ◽  
Competing Models

We assess the forecasting performance of the nowcasting model developed at the New York FED. We show that the observation regarding a striking difference in the model’s predictive ability across business cycle phases made earlier in the literature also applies here. During expansions, the nowcasting model forecasts at best are at least as good as the historical mean model, whereas during the recessionary periods, there are very substantial gains corresponding in the reduction in MSFE of about 90% relative to the benchmark model. We show how the asymmetry in the relative forecasting performance can be verified by the use of such recursive measures of relative forecast accuracy as Cumulated Sum of Squared Forecast Error Difference (CSSFED) and Recursive Relative Mean Squared Forecast Error (based on Rearranged observations) (R2MSFE(+R)). Ignoring these asymmetries results in a biased judgement of the relative forecasting performance of the competing models over a sample as a whole, as well as during economic expansions, when the forecasting accuracy of a more sophisticated model relative to naive benchmark models tends to be overstated. Hence, care needs to be exercised when ranking several models by their forecasting performance without taking into consideration various states of the economy.

scholarly journals Short-term load forecasting using Theta method

2019 ◽  
Vol 84 ◽  
pp. 01004 ◽  
Author(s):  
Grzegorz Dudek
Keyword(s):  
Empirical Studies ◽  
Load Forecasting ◽  
Seasonal Cycles ◽  
Short Term ◽  
Forecasting Accuracy ◽  
Forecasting Methods ◽  
Short Term Load Forecasting ◽  
Data Definition ◽  
System Data ◽  
Theta Method

The Theta method attracted the attention of researchers and practitioners in recent years due to its simplicity and superior forecasting accuracy. Its performance has been confirmed by many empirical studies as well as forecasting competitions. In this article the Theta method is tested in short-term load forecasting problem. The load time series expressing multiple seasonal cycles is decomposed in different ways to simplify the forecasting problem. Four variants of input data definition are considered. The standard Theta method is uses as well as the dynamic optimised Theta model proposed recently. The performances of the Theta models are demonstrated through an empirical application using real power system data and compared with other popular forecasting methods.

scholarly journals Tail-Heaviness, Asymmetry, and Profitability Forecasting by Quantile Regression

2020 ◽  
Author(s):  
Hui Tian ◽  
Andrew Yim ◽  
David P. Newton
Keyword(s):  
Quantile Regression ◽  
Forecast Error ◽  
Simulated Data ◽  
Ordinary Least Squares ◽  
Shape Effect ◽  
Forecasting Accuracy ◽  
Forecasting Performance ◽  
Cash Flow Forecasting ◽  
Positive Effect ◽  
Better Than

We show that quantile regression is better than ordinary-least-squares (OLS) regression in forecasting profitability for a range of profitability measures following the conventional setup of the accounting literature, including the mean absolute forecast error (MAFE) evaluation criterion. Moreover, we perform both a simulated-data and an archival-data analysis to examine how the forecasting performance of quantile regression against OLS changes with the shape of the profitability distribution. Considering the MAFE and mean squared forecast error (MSFE) criteria together, we see that the quantile regression is more accurate relative to OLS when the profitability to be forecast has a heavier-tailed distribution. In addition, the asymmetry of the profitability distribution has either a U-shape or an inverted-U-shape effect on the forecasting accuracy of quantile regression. An application of the distributional shape analysis framework to cash flow forecasting demonstrates the usefulness of the framework beyond profitability forecasting, providing additional empirical evidence on the positive effect of tail-heaviness and supporting the notion of an inverted-U-shape effect of asymmetry. This paper was accepted by Shiva Rajgopal, accounting.

Pooling in Tourism Demand Forecasting

2018 ◽  
Vol 58 (7) ◽  
pp. 1161-1174 ◽  
Author(s):  
Wen Long ◽  
Chang Liu ◽  
Haiyan Song
Keyword(s):  
Panel Data ◽  
Fixed Effects ◽  
Demand Forecasting ◽  
Spillover Effects ◽  
Ordinary Least Squares ◽  
Spatial Effects ◽  
Tourism Demand ◽  
Forecasting Accuracy ◽  
Demand Models ◽  
Forecasting Performance

This study investigates whether pooling can improve the forecasting performance of tourism demand models. The short-term domestic tourism demand forecasts for 341 cities in China using panel data (pooled) models are compared with individual ordinary least squares (OLS) and naïve benchmark models. The pooled OLS model demonstrates much worse forecasting performance than the other models. This indicates the huge heterogeneity of tourism across cities in China. A marked improvement with the inclusion of fixed effects suggests that destination features that stay the same or vary very little over time can explain most of the heterogeneity. Adding spatial effects to the panel data models also increases forecasting accuracy, although the improvement is small. The spatial distribution of spillover effects is drawn on a map and a spatial pattern is recognized. Finally, when both spatial and temporal effects are taken into account, pooling improves forecasting performance.

scholarly journals Research and Application of a Novel Combined Model Based on Multiobjective Optimization for Multistep-Ahead Electric Load Forecasting

Energies ◽  
2019 ◽  
Vol 12 (10) ◽  
pp. 1931 ◽  
Author(s):  
Yechi Zhang ◽  
Jianzhou Wang ◽  
Haiyan Lu
Keyword(s):  
Power Distribution ◽  
Data Preprocessing ◽  
Combined Model ◽  
Forecasting Accuracy ◽  
Forecasting Models ◽  
Power Stations ◽  
South Wales ◽  
Model Combining ◽  
Forecasting Performance ◽  
Preprocessing Technique

Accurate forecasting of electric loads has a great impact on actual power generation, power distribution, and tariff pricing. Therefore, in recent years, scholars all over the world have been proposing more forecasting models aimed at improving forecasting performance; however, many of them are conventional forecasting models which do not take the limitations of individual predicting models or data preprocessing into account, leading to poor forecasting accuracy. In this study, to overcome these drawbacks, a novel model combining a data preprocessing technique, forecasting algorithms and an advanced optimization algorithm is developed. Thirty-minute electrical load data from power stations in New South Wales and Queensland, Australia, are used as the testing data to estimate our proposed model’s effectiveness. From experimental results, our proposed combined model shows absolute superiority in both forecasting accuracy and forecasting stability compared with other conventional forecasting models.

scholarly journals Forecasting Volatility: Evidence from the Saudi Stock Market

2018 ◽  
Vol 11 (4) ◽  
pp. 84 ◽  
Author(s):  
Naseem Al Rahahleh ◽  
Robert Kao
Keyword(s):  
Stock Market ◽  
Policy Makers ◽  
Forecasting Accuracy ◽  
Forecasting Performance ◽  
Out Of Sample ◽  
Asymmetric Power ◽  
International Investors ◽  
Forecasting Volatility ◽  
Class Models ◽  
Petrochemical Industries

The purpose of this paper is to evaluate the forecasting performance of linear and non-linear generalized autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy for the Tadawul All Share Index (TASI) and the Tadawul Industrial Petrochemical Industries Share Index (TIPISI) for petrochemical industries. We use the daily price data of the TASI and the TIPISI for the period of 10 September 2007 to 26 February 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is useful for the dataset examined, because the results provide a basis for traders, policy-makers, and international investors to make decisions using this model to forecast the risks associated with investing in the Saudi stock market, within certain limitations.

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