scholarly journals Assessing Forecasting Performance of Daily Mean Temperature at 1st and 2nd Perak Station, Surabaya Using ARIMA and VARIMA Model with Outlier Detection

2022 ◽  
Vol 4 (1) ◽  
Author(s):  
Taly Purwa ◽  
Barbara Ngwarati
Keyword(s):  
Outlier Detection ◽  
Arima Model ◽  
Information Criterion ◽  
Temperature Data ◽  
Daily Temperature ◽  
Forecasting Performance ◽  
Sample Data ◽  
Accurate Forecast ◽  
Short Term Forecasting ◽  
The One

Air temperature is an important data for several sectors. The demand of fast, exact and accurate forecast on temperature data is getting extremely important since it is useful for planning of several important sectors. In order to forecast mean daily temperature data at 1st and 2nd Perak BMKG Station in Surabaya, this study used the univariate method, ARIMA model and multivariate method, VARIMA model with outlier detection. The best ARIMA model was selected using in-sample criteria, i.e. AIC and BIC. While for VAR model, the minimum information criterion namely AICc value was considered. The RMSE values of several forecasting horizons of out-sample data showed that the overall best model for mean daily temperature at 1st and 2nd Perak Station was the multivariate model, i.e. VARX (10,1) with four outliers incorporated in the model, indicated that it was necessary to consider the temperature from the nearest stations to improve the forecasting performance. This study recommends performing the overall best model only for short term forecasting, i.e. two weeks at maximum. By using the one week-step ahead and one day-step ahead forecasting scheme, the forecasting performance is significantly improved compared to default the k-step ahead forecasting scheme.

scholarly journals Predicting the Pandemic COVID-19 Using ARIMA Model

2020 ◽  
Vol 36 (4) ◽  
Author(s):  
Nguyen Quoc Duong ◽  
Le Phuong Thao ◽  
Dinh Thi Nhu Quynh ◽  
Le Thanh Binh ◽  
Cao Thi Ai Loan ◽  
...  
Keyword(s):  
Moving Average ◽  
Arima Model ◽  
Information Criterion ◽  
World Health ◽  
Percentage Error ◽  
The World ◽  
Validation Set ◽  
Short Term Forecasting ◽  
Health Organization ◽  
Global Threat

Coronavirus disease 2019 (COVID-19) has been recognized as a global threat, and several studies are being conducted using various mathematical models to predict the probable evolution of this epidemic. The main objective of this study is to apply AutoRegressive Integrated Moving Average (ARIMA) model with the objective of monitoring and short-term forecasting the total confirmed new cases per day all over the world. The data are extracted from daily report of World Health Organization from 21st January 2020 to 16th March 2020. Akaike’s Information Criterion (AIC) and Ljung-Box test were used to evaluate the constructed models. To assess the validity of the proposed model, the Mean Absolute Percentage Error (MAPE) and Root Mean Square Error (RMSE) between the observed and fitted of COVID-19 total confirmed new cases was calculated. Finally, we applied “forecast” package in R software and the fitted ARIMA model to predict the infections of COVID-19. We found that the ARIMA (1, 2, 1) model was able to describe and predict the epidemiological trend of the disease of COVID-19. The MAPE and RMSE for the training set and validation set respectively, which we found was reasonable for use in the forecast. Furthermore, the model also provided forecast total confirmed new cases for the following days. ARIMA model applied to COVID-19 confirmed cases data are an important tool for COVID-19 surveillance all over the world. This study shows that accurate forecasting of the COVID-19 trend is possible using an ARIMA model. Unless strict infection management and control are taken, our findings indicate the potential of COVID-19 to cause greater outbreak all over the world.

scholarly journals Deteksi Pencilan pada Model ARIMA dengan Bayesian Information Criterion (BIC) Termodifikasi

2019 ◽  
Vol 19 (1) ◽  
pp. 29-37
Author(s):  
Selma Yulistiani ◽  
Suliadi Suliadi
Keyword(s):  
Model Selection ◽  
Outlier Detection ◽  
Bayesian Information Criterion ◽  
Time Series Data ◽  
Arima Model ◽  
Information Criterion ◽  
Series Data ◽  
Special Events ◽  
Additive Outliers ◽  
Additive Outlier

Time series data may be affected by special events or circumstances such as promotions, natural disasters, etc. These events can lead to inconsistent observations in the series called outliers. Because outliers can make invalid conclusions, it is important to carry out procedures in detecting outlier effects. In outlier detection there is one type of outlier, namely additive outlier (AO). The process of detecting additive outliers in the ARIMA model can be said as a model selection problem, where the candidate model assumes additive outliers at a certain time. In the selection of models there are criteria that must be considered in order to produce the best model. The good criteria for models selection  can use the Bayesian Information Criterion (BIC) derived by Schwarz (1978). Galeano and Pena (2011) proposed a modified Bayesian Information Criterion for model selection and detect potential outliers. The modified Bayesian Information Criterion for outlier detection will be applied to the data OutStanding Loan PT.Pegadaian Cimahi year 2013-2017. So that the best model is obtained that the model with adding 2 potential outliers with the ARIMA model (1.0,0), that outliers at observations 48, and 58 because it has a minimum BICUP value of 1064.95650.

scholarly journals Price Analysis and Forecasting for Bitcoin Using Auto Regressive Integrated Moving Average Model

2021 ◽  
Vol 6 (2) ◽  
pp. 47-56
Author(s):  
Olufunke G. Darley ◽  
Abayomi I. O. Yussuff ◽  
Adetokunbo A. Adenowo
Keyword(s):  
Moving Average ◽  
Arima Model ◽  
Information Criterion ◽  
Test Period ◽  
Suitable Model ◽  
Daily Data ◽  
Moving Average Model ◽  
Time Series Approach ◽  
Short Term Forecasting ◽  
Price Analysis

Abstract This paper investigated Bitcoin daily closing price using time series approach to predict future values for financial managers and investors. Daily data were sourced from CoinDesk, with Bitcoin Price Index (BPI) for 5 years (January 1, 2016 to May 31, 2021) extracted. Data analysis and modelling of price trend using Autoregressive Integrated Moving Average (ARIMA) model was carried out, and a suitable model for forecasting was proposed. Results showed that ARIMA(6,1,12) model was the most suitable based on a combination of number of significant coefficients and values of volatility, Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC). A two-month test window was used for forecasting and prediction. Results showed a decline in prediction accuracy as number of days of the test period increased; from 99.94% for the first 7 days, to 99.59 % for 14 days and 95.84% for 30 days. For the two-month test period, percentage accuracy was 84.75%. The study confirms that the ARIMA model is a veritable planning tool for financial managers, investors and other stakeholders; especially for short-term forecasting. It is however imperative that the influence of external factors, such as investors’/influencers’ comments and government intervention, that may affect forecasting be taken into consideration.

Security Test by using F T M and Data Allocation Strategies on Leakage Detection

2005 ◽  
Vol 4 (2) ◽  
pp. 393-400
Author(s):  
Pallavali Radha ◽  
G. Sireesha
Keyword(s):  
Third Party ◽  
Distributed Data ◽  
Data Allocation ◽  
Security Testing ◽  
Sensitive Data ◽  
Sample Data ◽  
The One ◽  
Security Test ◽  
Data Request ◽  
Allocation Strategies

The data distributors work is to give sensitive data to a set of presumably trusted third party agents.The data i.e., sent to these third parties are available on the unauthorized places like web and or some ones systems, due to data leakage. The distributor must know the way the data was leaked from one or more agents instead of as opposed to having been independently gathered by other means. Our new proposal on data allocation strategies will improve the probability of identifying leakages along with Security attacks typically result from unintended behaviors or invalid inputs.  Due to too many invalid inputs in the real world programs is labor intensive about security testing.The most desirable thing is to automate or partially automate security-testing process. In this paper we represented Predicate/ Transition nets approach for security tests automated generationby using formal threat models to detect the agents using allocation strategies without modifying the original data.The guilty agent is the one who leaks the distributed data. To detect guilty agents more effectively the idea is to distribute the data intelligently to agents based on sample data request and explicit data request. The fake object implementation algorithms will improve the distributor chance of detecting guilty agents.

Prognosticating the spread of covid-19 pandemic based on optimal arima estimators

2020 ◽  
Vol 20 ◽  
Author(s):  
Venuka Sandhir ◽  
Vinod Kumar ◽  
Vikash Kumar
Keyword(s):  
South Africa ◽  
Statistical Analysis ◽  
Moving Average ◽  
Arima Model ◽  
Information Criterion ◽  
Stable Case ◽  
Johns Hopkins University ◽  
Modelling Techniques ◽  
Auto Regressive ◽  
Global Threat

Background: COVID-19 cases have been reported as a global threat and several studies are being conducted using various modelling techniques to evaluate patterns of disease dispersion in the upcoming weeks. Here we propose a simple statistical model that could be used to predict the epidemiological extent of community spread of COVID-19from the explicit data based on optimal ARIMA model estimators. Methods: Raw data was retrieved on confirmed cases of COVID-19 from Johns Hopkins University (https://github.com/CSSEGISandData/COVID-19) and Auto-Regressive Integrated Moving Average (ARIMA) model was fitted based on cumulative daily figures of confirmed cases aggregated globally for ten major countries to predict their incidence trend. Statistical analysis was completed by using R 3.5.3 software. Results: The optimal ARIMA model having the lowest Akaike information criterion (AIC) value for US (0,2,0); Spain (1,2,0); France (0,2,1); Germany (3,2,2); Iran (1,2,1); China (0,2,1); Russia (3,2,1); India (2,2,2); Australia (1,2,0) and South Africa (0,2,2) imparted the nowcasting of trends for the upcoming weeks. These parameters are (p, d, q) where p refers to number of autoregressive terms, d refers to number of times the series has to be differenced before it becomes stationary, and q refers to number of moving average terms. Results obtained from ARIMA model showed significant decrease cases in Australia; stable case for China and rising cases has been observed in other countries. Conclusion: This study tried their best at predicting the possible proliferate of COVID-19, although spreading significantly depends upon the various control and measurement policy taken by each country.

scholarly journals Estimation of seasonal boundaries using temperature data: a case of northwest part of Bangladesh

2020 ◽  
Vol 6 (1) ◽  
pp. 50-62
Author(s):  
Syed Mustafizur Rahman ◽  
Syed Mahbubur Rahman ◽  
Md. Shuzon Ali ◽  
Md. Abdullah Al Mamun ◽  
Md. Nezam Uddin
Keyword(s):  
Spectral Analysis ◽  
Crop Productivity ◽  
Temperature Data ◽  
Daily Temperature ◽  
Temperature Cycle ◽  
Local Climate ◽  
Higher Power ◽  
Cycle Plays ◽  
Maximum Temperatures ◽  
Harmonic Analyses

Abstract Seasons are the divisions of the year into months or days according to the changes in weather, ecology and the intensity of sunlight in a given region. The temperature cycle plays a major role in defining the meteorological seasons of the year. This study aims at investigating seasonal boundaries applying harmonic analysis in daily temperature for the duration of 30 years, recorded at six stations from 1988 to 2017, in northwest part of Bangladesh. Year by year harmonic analyses of daily temperature data in each station have been carried out to observe temporal and spatial variations in seasonal lengths. Periodic nature of daily temperature has been investigated employing spectral analysis, and it has been found that the estimated periodicities have higher power densities of the frequencies at 0.0027 and 0.0053 cycles/day. Some other minor periodic natures have also been observed in the analyses. Using the frequencies between 0.0027 to 0.0278 cycles/day, the observed periodicities in spectral analysis, harmonic analyses of minimum and maximum temperatures have found four seasonal boundaries every year in each of the stations. The estimated seasonal boundaries for the region fall between 19-25 February, 19-23 May, 18-20 August and 17-22 November. Since seasonal variability results in imbalance in water, moisture and heat, it has the potential to significantly affect agricultural production. Hence, the seasons and seasonal lengths presented in this research may help the concerned authorities take measures to reduce the risks for crop productivity to face the challenges arise from changing climate. Moreover, the results obtained are likely to contribute in introducing local climate calendar.

scholarly journals Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect

Risks ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 5
Author(s):  
Karim Barigou ◽  
Stéphane Loisel ◽  
Yahia Salhi
Keyword(s):  
Life Insurance ◽  
Cross Validation ◽  
Cohort Effect ◽  
Information Criterion ◽  
Mortality Forecasting ◽  
Hand Model ◽  
Regularization Techniques ◽  
Bayes Information Criterion ◽  
The One ◽  
Regularized Model

Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the sample size and, on the other hand, model choice is still often based on in-sample criterion, such as the Bayes information criterion (BIC), and therefore not on the ability to predict. In this paper, we develop a model based on a decomposition of the mortality surface into a polynomial basis. Then, we show how regularization techniques and cross-validation can be used to obtain a parsimonious and coherent predictive model for mortality forecasting. We analyze how COVID-19-type effects can affect predictions in our approach and in the classical one. In particular, death rates forecasts tend to be more robust compared to models with a cohort effect, and the regularized model outperforms the so-called P-spline model in terms of prediction and stability.

scholarly journals Trend analysis and forecast of daily reported incidence of hand, foot and mouth disease in Hubei, China by Prophet model

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Cong Xie ◽  
Haoyu Wen ◽  
Wenwen Yang ◽  
Jing Cai ◽  
Peng Zhang ◽  
...  
Keyword(s):  
Moving Average ◽  
Arima Model ◽  
Foot And Mouth Disease ◽  
Mouth Disease ◽  
Spring Festival ◽  
High Incidence ◽  
Foot And Mouth ◽  
Accurate Forecast ◽  
Changing Patterns ◽  
Two Peaks

AbstractHand, foot, and mouth disease (HFMD) is common among children below 5 years. HFMD has a high incidence in Hubei Province, China. In this study, the Prophet model was used to forecast the incidence of HFMD in comparison with the autoregressive-integrated moving average (ARIMA) model, and HFMD incidence was decomposed into trends, yearly, weekly seasonality and holiday effect. The Prophet model fitted better than the ARIMA model in daily reported incidence of HFMD. The HFMD incidence forecast by the Prophet model showed that two peaks occurred in 2019, with the higher peak in May and the lower peak in December. Periodically changing patterns of HFMD incidence were observed after decomposing the time-series into its major components. In specific, multi-year variability of HFMD incidence was found, and the slow-down increasing point of HFMD incidence was identified. Relatively high HFMD incidences appeared in May and on Mondays. The effect of Spring Festival on HFMD incidence was much stronger than that of other holidays. This study showed the potential of the Prophet model to detect seasonality in HFMD incidence. Our next goal is to incorporate climate variables into the Prophet model to produce an accurate forecast of HFMD incidence.

scholarly journals Short-term earthquake forecasting experiment before and during the L’Aquila (central Italy) seismic sequence of April 2009

2015 ◽  
Vol 57 (6) ◽  
Author(s):  
Maura Murru ◽  
Jiancang Zhuang ◽  
Rodolfo Console ◽  
Giuseppe Falcone
Keyword(s):  
Central Italy ◽  
Aftershock Sequence ◽  
Earthquake Forecasting ◽  
Model Parameters ◽  
Short Term ◽  
Productivity Function ◽  
Epidemic Type Aftershock Sequence ◽  
Forecasting Performance ◽  
The One ◽  
Lower Magnitude

<div class="page" title="Page 1"><div class="layoutArea"><div class="column"><p>In this paper, we compare the forecasting performance of several statistical models, which are used to describe the occurrence process of earthquakes in forecasting the short-term earthquake probabilities during the L’Aquila earthquake sequence in central Italy in 2009. These models include the Proximity to Past Earthquakes (PPE) model and two versions of the Epidemic Type Aftershock Sequence (ETAS) model. We used the information gains corresponding to the Poisson and binomial scores to evaluate the performance of these models. It is shown that both ETAS models work better than the PPE model. However, in comparing the two types of ETAS models, the one with the same fixed exponent coefficient (<span>alpha)</span> = 2.3 for both the productivity function and the scaling factor in the spatial response function (ETAS I), performs better in forecasting the active aftershock sequence than the model with different exponent coefficients (ETAS II), when the Poisson score is adopted. ETAS II performs better when a lower magnitude threshold of 2.0 and the binomial score are used. The reason is found to be that the catalog does not have an event of similar magnitude to the L’Aquila mainshock (M<sub>w</sub> 6.3) in the training period (April 16, 2005 to March 15, 2009), and the (<span>alpha)</span>-value is underestimated, thus the forecast seismicity is underestimated when the productivity function is extrapolated to high magnitudes. We also investigate the effect of the inclusion of small events in forecasting larger events. These results suggest that the training catalog used for estimating the model parameters should include earthquakes of magnitudes similar to the mainshock when forecasting seismicity during an aftershock sequence.</p></div></div></div>

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