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

Autoregressive-based outlier algorithm to detect money laundering activities

2017 ◽  
Vol 20 (2) ◽  
pp. 190-202 ◽  
Author(s):  
Kannan S. ◽  
Somasundaram K.
Keyword(s):  
Time Series ◽  
Outlier Detection ◽  
Money Laundering ◽  
Time Series Data ◽  
Demand Forecasting ◽  
Ar Model ◽  
Series Data ◽  
Content Type ◽  
Time Consumption ◽  
Time Series Mining

Purpose Due to the large-size, non-uniform transactions per day, the money laundering detection (MLD) is a time-consuming and difficult process. The major purpose of the proposed auto-regressive (AR) outlier-based MLD (AROMLD) is to reduce the time consumption for handling large-sized non-uniform transactions. Design/methodology/approach The AR-based outlier design produces consistent asymptotic distributed results that enhance the demand-forecasting abilities. Besides, the inter-quartile range (IQR) formulations proposed in this paper support the detailed analysis of time-series data pairs. Findings The prediction of high-dimensionality and the difficulties in the relationship/difference between the data pairs makes the time-series mining as a complex task. The presence of domain invariance in time-series mining initiates the regressive formulation for outlier detection. The deep analysis of time-varying process and the demand of forecasting combine the AR and the IQR formulations for an effective outlier detection. Research limitations/implications The present research focuses on the detection of an outlier in the previous financial transaction, by using the AR model. Prediction of the possibility of an outlier in future transactions remains a major issue. Originality/value The lack of prior segmentation of ML detection suffers from dimensionality. Besides, the absence of boundary to isolate the normal and suspicious transactions induces the limitations. The lack of deep analysis and the time consumption are overwhelmed by using the regression formulation.

scholarly journals Fuzzy Time-Series Model of Electric Power Consumption

2000 ◽  
Vol 4 (3) ◽  
pp. 188-194 ◽  
Author(s):  
Kazuhiro Ozawa ◽  
◽  
’Takahide Niimura ◽  
Tomoaki Nakashima ◽  
Keyword(s):  
Time Series ◽  
Power Consumption ◽  
Electric Power ◽  
Time Series Data ◽  
Simple Procedure ◽  
Estimation Procedure ◽  
Fuzzy Time Series ◽  
Ar Model ◽  
Electric Power Consumption ◽  
Series Data

In this paper, the authors present a data analysis and estimation procedure of electrical power consumption under uncertain conditions. Tiraditional methods are based on statistical and probabilistic approaches but it may not be quite suitable to apply purely stochastic models to the data generated by human activities such as the power consumption. The authors introduce a new approach based on possibility theory and fuzzy autoregression, and apply it to the analysis of time-series data of electric power consumption. Two models, which are different in complexity, are presented, and the performance of the models are evaluated by vagueness and α-cuts. The proposed fuzzy Auoregression model represents the rich information of uncertainty that the original data contain, and it can be a powerful tool for flexible decision-making with uncertainty. The fuzzy AR model can also be constructed in relatively simple procedure compared with the conventional approaches.

Testing for Instrumentation in Transportation Time Series Data: A Case Study

1997 ◽  
Vol 1581 (1) ◽  
pp. 89-92
Author(s):  
Steven M. Rock
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Moving Average ◽  
Series Data ◽  
Monthly Data ◽  
Autoregressive Integrated Moving Average ◽  
Definition Of ◽  
Accident Statistics ◽  
Percent Decline

Instrumentation is one of the threats to the validity of experiments. Four possible cases of instrumentation in a time series of traffic accident statistics in Illinois since the mid-1970s were tested, primarily by using autoregressive integrated moving average methods. Two of these cases, a 1977 change in the reporting threshold for property-damage-only (PDO) accidents and a 1989 change in the definition of a fatality, were not found to be significant. A 1989 change in the method of tabulating monthly data and a 1992 change in the reporting threshold for PDO accidents were statistically significant. These two cases combined could account for a more than 15 percent decline in PDO accidents.

scholarly journals Autoregressive modeling to assess stride time pattern stability in individuals with Huntington’s disease

BMC Neurology ◽  
2019 ◽  
Vol 19 (1) ◽  
Author(s):  
Helia Mahzoun Alzakerin ◽  
Yannis Halkiadakis ◽  
Kristin D. Morgan
Keyword(s):  
Time Series ◽  
Huntington's Disease ◽  
Huntington’S Disease ◽  
Time Series Data ◽  
Ar Model ◽  
Series Data ◽  
Time Behavior ◽  
Stride Time ◽  
Time Pattern ◽  
Pattern Stability

Abstract Background Huntington’s disease (HD) is a progressive, neurological disorder that results in both cognitive and physical impairments. These impairments affect an individual’s gait and, as the disease progresses, it significantly alters one’s stability. Previous research found that changes in stride time patterns can help delineate between healthy and pathological gait. Autoregressive (AR) modeling is a statistical technique that models the underlying temporal patterns in data. Here the AR models assessed differences in gait stride time pattern stability between the controls and individuals with HD. Differences in stride time pattern stability were determined based on the AR model coefficients and their placement on a stationarity triangle that provides a visual representation of how the patterns mean, variance and autocorrelation change with time. Thus, individuals who exhibit similar stride time pattern stability will reside in the same region of the stationarity triangle. It was hypothesized that individuals with HD would exhibit a more altered stride time pattern stability than the controls based on the AR model coefficients and their location in the stationarity triangle. Methods Sixteen control and twenty individuals with HD performed a five-minute walking protocol. Time series’ were constructed from consecutive stride times extracted during the protocol and a second order AR model was fit to the stride time series data. A two-sample t-test was performed on the stride time pattern data to identify differences between the control and HD groups. Results The individuals with HD exhibited significantly altered stride time pattern stability than the controls based on their AR model coefficients (AR1 p < 0.001; AR2 p < 0.001). Conclusions The AR coefficients successfully delineated between the controls and individuals with HD. Individuals with HD resided closer to and within the oscillatory region of the stationarity triangle, which could be reflective of the oscillatory neuronal activity commonly observed in this population. The ability to quantitatively and visually detect differences in stride time behavior highlights the potential of this approach for identifying gait impairment in individuals with HD.

On the Autoregressive Time Series Model Using Real and Complex Analysis

Forecasting ◽  
2021 ◽  
Vol 3 (4) ◽  
pp. 716-728
Author(s):  
Torsten Ullrich
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Closed Form ◽  
Autoregressive Model ◽  
Complex Analysis ◽  
Time Series Data ◽  
Selection Process ◽  
Global Structure ◽  
Series Data ◽  
Time Step

The autoregressive model is a tool used in time series analysis to describe and model time series data. Its main structure is a linear equation using the previous values to compute the next time step; i.e., the short time relationship is the core component of the autoregressive model. Therefore, short-term effects can be modeled in an easy way, but the global structure of the model is not obvious. However, this global structure is a crucial aid in the model selection process in data analysis. If the global properties are not reflected in the data, a corresponding model is not compatible. This helpful knowledge avoids unsuccessful modeling attempts. This article analyzes the global structure of the autoregressive model through the derivation of a closed form. In detail, the closed form of an autoregressive model consists of the basis functions of a fundamental system of an ordinary differential equation with constant coefficients; i.e., it consists of a combination of polynomial factors with sinusoidal, cosinusoidal, and exponential functions. This new insight supports the model selection process.

scholarly journals Soft Computation Vector Autoregressive Neural Network (VAR-NN) GUI-Based

2018 ◽  
Vol 73 ◽  
pp. 13008 ◽  
Author(s):  
Hasbi Yasin ◽  
Budi Warsito ◽  
Rukun Santoso ◽  
Suparti
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Autoregressive Model ◽  
Stock Price ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Vector Autoregressive ◽  
Price Data

Vector autoregressive model proposed for multivariate time series data. Neural Network, including Feed Forward Neural Network (FFNN), is the powerful tool for the nonlinear model. In autoregressive model, the input layer is the past values of the same series up to certain lag and the output layers is the current value. So, VAR-NN is proposed to predict the multivariate time series data using nonlinear approach. The optimal lag time in VAR are used as aid of selecting the input in VAR-NN. In this study we develop the soft computation tools of VAR-NN based on Graphical User Interface. In each number of neurons in hidden layer, the looping process is performed several times in order to get the best result. The best one is chosen by the least of Mean Absolute Percentage Error (MAPE) criteria. In this study, the model is applied in the two series of stock price data from Indonesia Stock Exchange. Evaluation of VAR-NN performance was based on train-validation and test-validation sample approach. Based on the empirical stock price data it can be concluded that VAR-NN yields perfect performance both in in-sample and in out-sample for non-linear function approximation. This is indicated by the MAPE value that is less than 1% .

An alternative approach to capture cyclical and volatile phenomena in time-series data

2016 ◽  
Vol 11 (3) ◽  
pp. 221-230 ◽  
Author(s):  
Bishal Gurung ◽  
Ranjit Kumar Paul ◽  
K.N. Singh ◽  
Sanjeev Panwar ◽  
Achal Lama ◽  
...  
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Series Data ◽  
Alternative Approach

scholarly journals An improved ARIMA model for hydrological simulations

2014 ◽  
Vol 1 (1) ◽  
pp. 841-876 ◽  
Author(s):  
H. R. Wang ◽  
C. Wang ◽  
X. Lin ◽  
J. Kang
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Moving Average ◽  
Arima Model ◽  
Forecast Accuracy ◽  
Series Data ◽  
Monthly Data ◽  
Annual Variations ◽  
Characteristic Quantity ◽  
Improved Model

Abstract. Auto Regressive Integrated Moving Average (ARIMA) model is often used to calculate time series data formed by inter-annual variations of monthly data. However, the influence brought about by inter-monthly variations within each year is ignored. Based on the monthly data classified by clustering analysis, the characteristics of time series data are extracted. An improved ARIMA model is developed accounting for both the inter-annual and inter-monthly variation. The correlation between characteristic quantity and monthly data within each year is constructed by regression analysis first. The model can be used for predicting characteristic quantity followed by the stationary treatment for characteristic quantity time series by difference. A case study is conducted to predict the precipitation in Lanzhou precipitation station, China, using the model, and the results show that the accuracy of the improved model is significantly higher than the seasonal model, with the mean residual achieving 9.41 mm and the forecast accuracy increasing by 21%.

Fuzzification Methods and Prediction Accuracy of Fuzzy Autocorrelation Model

2017 ◽  
Vol 21 (6) ◽  
pp. 1009-1016 ◽  
Author(s):  
Yoshiyuki Yabuuchi ◽  
Keyword(s):  
Time Series ◽  
Confidence Intervals ◽  
Model Prediction ◽  
Prediction Accuracy ◽  
Time Series Data ◽  
High Accuracy ◽  
Fuzzy Time Series ◽  
Ar Model ◽  
Series Data ◽  
High Prediction

The fuzzy autocorrelation model is a fuzzified autoregressive (AR) model. The aim of the fuzzy autocorrelation model is to describe the possible states of the system with high accuracy. This model uses autocorrelation similar to the Box–Jenkins model. The fuzzy autocorrelation model occasionally increases the vagueness. Although the problem can be mitigated using fuzzy confidence intervals instead of fuzzy time-series data, the unnatural estimations do not improve. Subsequently, an alternate method was used to fuzzify the time-series data and mitigate the unnatural estimation problem. This method also improved the model prediction accuracy. This paper focuses on fuzzification method, and discusses the prediction accuracy of the model and fuzzification of the time-series data. The analysis of the Nikkei stock average shows a high prediction accuracy and manageability of a fuzzy autocorrelation model. In this pape, a quartile is employed as an alternate fuzzification method. The model prediction accuracy and estimation behavior are verified through an analysis. Finally, the proposed method was found to be successful in mitigating the problems.

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