Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set

1983 ◽  
Vol 20 (2) ◽  
pp. 405-408 ◽  
Author(s):  
Paul Kabaila

In This paper we answer the following question. Is there any a priori reason for supposing that there is no more than one set of ARMA model parameters minimising the one-step-ahead prediction error when the true system is not in the model set?

1983 ◽  
Vol 20 (02) ◽  
pp. 405-408
Author(s):  
Paul Kabaila

In This paper we answer the following question. Is there any a priori reason for supposing that there is no more than one set of ARMA model parameters minimising the one-step-ahead prediction error when the true system is not in the model set?


Author(s):  
CHENGGUANG ZHU ◽  
zhongpai Gao ◽  
Jiankang Zhao ◽  
Haihui Long ◽  
Chuanqi Liu

Abstract The relative pose estimation of a space noncooperative target is an attractive yet challenging task due to the complexity of the target background and illumination, and the lack of a priori knowledge. Unfortunately, these negative factors have a grave impact on the estimation accuracy and the robustness of filter algorithms. In response, this paper proposes a novel filter algorithm to estimate the relative pose to improve the robustness based on a stereovision system. First, to obtain a coarse relative pose, the weighted total least squares (WTLS) algorithm is adopted to estimate the relative pose based on several feature points. The resulting relative pose is fed into the subsequent filter scheme as observation quantities. Second, the classic Bayes filter is exploited to estimate the relative state except for moment-of-inertia ratios. Additionally, the one-step prediction results are used as feedback for WTLS initialization. The proposed algorithm successfully eliminates the dependency on continuous tracking of several fixed points. Finally, comparison experiments demonstrate that the proposed algorithm presents a better performance in terms of robustness and convergence time.


1997 ◽  
Vol 43 (143) ◽  
pp. 180-191 ◽  
Author(s):  
Ε. M. Morris ◽  
H. -P. Bader ◽  
P. Weilenmann

AbstractA physics-based snow model has been calibrated using data collected at Halley Bay, Antarctica, during the International Geophysical Year. Variations in snow temperature and density are well-simulated using values for the model parameters within the range reported from other polar field experiments. The effect of uncertainty in the parameter values on the accuracy of the predictions is no greater than the effect of instrumental error in the input data. Thus, this model can be used with parameters determined a priori rather than by optimization. The model has been validated using an independent data set from Halley Bay and then used to estimate 10 m temperatures on the Antarctic Peninsula plateau over the last half-century.


1993 ◽  
Vol 03 (01) ◽  
pp. 217-222 ◽  
Author(s):  
RAY BROWN ◽  
LEON O. CHUA

In this letter we show how to use a new form of integration, called dynamical integration, that utilizes the dynamics of a system defined by an ODE to construct a map that is in effect a one-step integrator. This method contrasts sharply with classical numerical methods that utilize polynomial or rational function approximations to construct integrators. The advantages of this integrator is that it uses only one step while preserving important dynamical properties of the solution of the ODE: First, if the ODE is conservative, then the one-step integrator is measure preserving. This is significant for a system having a highly nonlinear component. Second, the one-step integrator is actually a one-parameter family of one-step maps and is derived from a continuous transformation group as is the set of solutions of the ODE. If each element of the continuous transformation group of the ODE is topologically conjugate to its inverse, then so is each member of the one-parameter family of one-step integrators. If the solutions of the ODE are elliptic, then for sufficiently small values of the parameter, the one-step integrator is also elliptic. In the limit as the parameter of the one-step family of maps goes to zero, the one-step integrator satisfies the ODE exactly. Further, it can be experimentally verified that if the ODE is chaotic, then so is the one-step integrator. In effect, the one-step integrator retains the dynamical characteristics of the solutions of the ODE, even with relatively large step sizes, while in the limit as the parameter goes to zero, it solves the ODE exactly. We illustrate the dynamical, in contrast to numerical, accuracy of this integrator with two distinctly different examples: First we use it to integrate the unforced Van der Pol equation for large ∊, ∊≥10 which corresponds to an almost continuous square-wave solution. Second, we use it to obtain the Poincaré map for two different versions of the periodically forced Duffing equation for parameter values where the solutions are chaotic. The dynamical accuracy of the integrator is illustrated by the reproduction of well-known strange attractors. The production of these attractors is eleven times longer when using a conventional fourth-order predictor-corrector method. The theory presented here extends to higher dimensions and will be discussed in detail in a forthcoming paper. However, we caution that the theory we present here is not intended as a line of research in numerical methods for ODEs.


2019 ◽  
Vol 67 (5) ◽  
pp. 1453-1485 ◽  
Author(s):  
Shipra Agrawal ◽  
Vashist Avadhanula ◽  
Vineet Goyal ◽  
Assaf Zeevi

We consider a dynamic assortment selection problem where in every round the retailer offers a subset (assortment) of N substitutable products to a consumer, who selects one of these products according to a multinomial logit (MNL) choice model. The retailer observes this choice, and the objective is to dynamically learn the model parameters while optimizing cumulative revenues over a selling horizon of length T. We refer to this exploration–exploitation formulation as the MNL-Bandit problem. Existing methods for this problem follow an explore-then-exploit approach, which estimates parameters to a desired accuracy and then, treating these estimates as if they are the correct parameter values, offers the optimal assortment based on these estimates. These approaches require certain a priori knowledge of “separability,” determined by the true parameters of the underlying MNL model, and this in turn is critical in determining the length of the exploration period. (Separability refers to the distinguishability of the true optimal assortment from the other suboptimal alternatives.) In this paper, we give an efficient algorithm that simultaneously explores and exploits, without a priori knowledge of any problem parameters. Furthermore, the algorithm is adaptive in the sense that its performance is near optimal in the “well-separated” case as well as the general parameter setting where this separation need not hold.


2008 ◽  
Vol 45 (1) ◽  
pp. 150-162
Author(s):  
R. McVinish

The class of processes formed as the aggregation of Ornstein-Uhlenbeck processes has proved useful in modeling time series from a number of areas and includes several interesting special cases. This paper examines the second-order properties of this class. Bounds on the one-step prediction error variance are proved and consistency of the minimum contrast estimation is demonstrated.


Geophysics ◽  
2001 ◽  
Vol 66 (2) ◽  
pp. 462-475 ◽  
Author(s):  
P. Kaikkonen ◽  
S. P. Sharma

The performances of linearized (local) and global nonlinear joint 2-D inversions of very low frequency (VLF) and VLF resistivity electromagnetic measurements are analyzed. A stable iterative inversion scheme is used in linearized inversion while the very fast simulated annealing approach is used in global nonlinear inversion. Synthetic noise‐free and noisy data due to three different models in complexity and two field examples are considered. Synthetic examples show that linearized inversion reveals the subsurface structure better than global nonlinear inversion provided the model has only a few parameters under inversion. Both linearized and global nonlinear inversions must be performed combining all available data in order to obtain the most reliable estimates of the subsurface parameters. Complex models with a large number of parameters are better to invert using global nonlinear inversion although the CPU time needed is always much longer than the one used in linearized inversion. Contrary to global nonlinear inversion, success in linearized inversion requires the good a priori information of all the model parameters under inversion. Noise in data influences the linearized inversion results more than those provided by global inversion. Linearized inversion using as an initial model the mean model due to a few global inversion runs is also a good approach. Even in this case, if there are a large number of model parameters in inversion, linearized inversion can lead to an unstable solution. To overcome such a problem, one can fix the important and stable model parameters from the first step of linearized inversion and then vary and stabilize unstable parameters in the second step.


2015 ◽  
Vol 2015 ◽  
pp. 1-7
Author(s):  
Huantian Xie ◽  
Min Xu ◽  
Dingfang Li

Under influence of climate change and human activities, deterministic trend has been detected and reported in various hydrometeorological observation records. In order to correctly model the stochastic properties, the time series has to be stabilized by removing the trend. Both detrending and differencing have been proposed to fulfill such a task. But the influence of the two stabilizing approaches on the residual series is distinguishing. In this study, ARMA models are constructed based on the above two stabilization approaches for an annual minimum daily discharge series with a deterministic trend. Comparisons are made with respect to stabilization ability, model simulation, and forecasting. Results indicate that the model based on detrending is superior to the one based on differencing in almost all the selected comparison criteria. So detrending is suggested to remove the deterministic trend before using ARMA model to fit the observed data.


2012 ◽  
Vol 17 (2) ◽  
pp. 238-251
Author(s):  
Jurga Rukšėnaitė ◽  
Pranas Vaitkus

In this paper, a method of artificial neural networks (NN) is proposed as an alternative tool for the one-step-ahead prediction of composite indicators (CIs) of Lithuania’s economy. CI is composed of widely used social and economic indicators. The NN is applied for forecasting CI during the financial crisis and later periods (2008–2010) on the basis of data of earlier years (1998–2007). In this work, the Extreme Learning Machine (ELM) algorithm is combined with locally weighted regression. The analysis shows that the prediction error of a testing sample is statistically smaller compared to Levenberg–Marquardt or ELM methods.


2008 ◽  
Vol 45 (01) ◽  
pp. 150-162
Author(s):  
R. McVinish

The class of processes formed as the aggregation of Ornstein-Uhlenbeck processes has proved useful in modeling time series from a number of areas and includes several interesting special cases. This paper examines the second-order properties of this class. Bounds on the one-step prediction error variance are proved and consistency of the minimum contrast estimation is demonstrated.


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