Using Hybrid ARIMAX-ANN Model for Simulating Rainfall - Runoff - Sediment Process Case Study

2013 ◽  
Vol 4 (2) ◽  
pp. 44-60 ◽  
Author(s):  
Vahid Nourani ◽  
Samira Roumianfar ◽  
Elnaz Sharghi
Keyword(s):  
Time Series ◽  
Linear Models ◽  
Sediment Load ◽  
Moving Average ◽  
Linear Component ◽  
Rainfall Runoff ◽  
Ann Model ◽  
Non Linear ◽  
Runoff Sediment ◽  
Artificial Neural Network Ann

The need for accurate modeling of rainfall-runoff-sediment processes has grown rapidly in the past decades. This study investigates the efficiency of black-box models including Artificial Neural Network (ANN) and Autoregressive Integrated Moving Average with eXogenous input (ARIMAX) models for forecasting the rainfall-runoff-sediment process. According to the complex behavior of the rainfall-runoff-sediment time series, they include both linear and nonlinear components; therefore, employing a hybrid model which combines the advantages of both linear and non-linear models improves the accuracy of prediction. In this paper, a hybrid of ARIMAX-ANN model is applied to rainfall-runoff-sediment modeling of a watershed. At the first step of the hybrid modeling, the ARIMAX method is applied to forecast the linear component of the rainfall-runoff process and then in the second step, an ANN model is used to find the non-linear relationship among the residuals of the fitted linear ARIMAX model. Finally, total effective time series of runoff, obtained by the hybrid ARIMAX-ANN model are imposed as input to the proposed ANN model for prediction daily suspended sediment load of the watershed. The proposed model is more appropriate, as it uses the semi-linear relation for prediction of sediment load.

Hybrid Neural Models For Rice Yields Times Forecasting

2012 ◽  
Author(s):  
Ruhaidah Samsudin ◽  
Puteh Saad ◽  
Ani Shabri
Keyword(s):  
Time Series ◽  
Hybrid Model ◽  
Moving Average ◽  
Time Series Prediction ◽  
Arima Model ◽  
Data Sets ◽  
Ann Model ◽  
Yield Data ◽  
Rice Yields ◽  
Artificial Neural Network Ann

In this paper, time series prediction is considered as a problem of missing value. A model for the determination of the missing time series value is presented. The hybrid model integrating autoregressive intergrated moving average (ARIMA) and artificial neural network (ANN) model is developed to solve this problem. The developed models attempts to incorporate the linear characteristics of an ARIMA model and nonlinear patterns of ANN to create a hybrid model. In this study, time series modeling of rice yield data in Muda Irrigation area. Malaysia from 1995 to 2003 are considered. Experimental results with rice yields data sets indicate that the hybrid model improve the forecasting performance by either of the models used separately. Key words: ARIMA; Box and Jenkins; neural networks; rice yields; hybrid ANN model

The Forecasting of the Elevator Traffic Flow Time Series Based on ARIMA and GP

2012 ◽  
Vol 588-589 ◽  
pp. 1466-1471 ◽  
Author(s):  
Jun Fang Li ◽  
Qun Zong
Keyword(s):  
Time Series ◽  
Traffic Flow ◽  
Linear Models ◽  
Moving Average ◽  
Arima Model ◽  
Flow Time ◽  
Forecasting Model ◽  
Autoregressive Integrated Moving Average ◽  
Hybrid Forecasting ◽  
Artificial Neural Network Ann

As one of the conventional statistical methods, the autoregressive integrated moving average (ARIMA) model has been one of the most widely used linear models in time series forecasting. However, the ARIMA model cannot easily capture the nonlinear patterns. Artificial neural network (ANN) can be utilized to construct more accurate forecasting model than ARIMA for nonlinear time series, but it is difficult to explain the meaning of the hidden layers of ANN and it does not produce a mathematical equation. In this study, by combining ARIMA with genetic programming (GP), a hybrid forecasting model will be used for elevator traffic flow time series which can improve the accuracy both the GP and the ARIMA forecasting models separately. At last, simulations are adopted to demonstrate the advantages of the proposed ARIMA-GP forecasting model.

PREDICTABILITY OF MOVING AVERAGE RULES AND NONLINEAR PROPERTIES OF STOCK RETURNS: EVIDENCE FROM THE CHINA STOCK MARKET

2011 ◽  
Vol 07 (02) ◽  
pp. 267-279 ◽  
Author(s):  
Zhigang Wang ◽  
Yong Zeng ◽  
Heping Pan ◽  
Ping Li
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Dynamic Process ◽  
Linear Models ◽  
Moving Average ◽  
Ann Model ◽  
Nonlinear Properties ◽  
China Stock Market ◽  
Artificial Neural Network Ann ◽  
Predictability Of Returns

This paper investigates the predictability of moving average rules for the China stock market. We find that buy signals generate higher returns and less volatility, while returns following sell signals are negative and more volatile. Moreover, the bootstrapping results indicate that the asymmetrical patterns of return and volatility between buy and sell signals cannot be explained by four popular linear models of returns, especially the phenomenon of negative sell returns. We then test the nonlinear dynamic process of returns. Although the existing artificial neural network (ANN) model can replicate the negative sell returns, it fails to capture the volatility patterns of buy and sell returns. Furthermore, we introduce the conditional heteroskedasticity structure into the ANN model and find that the revised ANN model cannot only explain the predictability of returns, but can also capture the patterns of buy and sell volatility, which are never achieved by any linear model of returns tested in the related literature. Therefore, we conclude that the moving average trading rules can pick up some of the hidden nonlinear patterns in the dynamic process of stock returns, which may be the reason why they can be used to predict price changes.

scholarly journals Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index

2021 ◽  
Vol 9 (2) ◽  
pp. 18
Author(s):  
Katleho Makatjane ◽  
Ntebogang Moroke
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Linear Models ◽  
Stock Exchange ◽  
Financial Time Series ◽  
Moving Average ◽  
Autoregressive Integrated Moving Average ◽  
Financial Time ◽  
Johannesburg Stock Exchange ◽  
Non Linear

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models. Linear models are often compared to non-linear models with mixed conclusions in terms of superiority in forecasting performance. Therefore, the aim of this study is to build an early warning system (EWS) model for extreme daily losses for financial stock markets. A logistic model tree (LMT) is used in collaboration with a seasonal autoregressive integrated moving average-Markov-Switching exponential generalised autoregressive conditional heteroscedasticity-generalised extreme value distribution (SARIMA-MS-EGARCH-GEVD) estimates. A time series of the study is a five-day financial time series exchange/Johannesburg stock exchange-all share index (FTSE/JSE-ALSI) for the period of 4 January 2010 to 31 July 2020. The study is set into a two-stage framework. Firstly, SARIMA model is fitted to stock returns in order to obtain independently and identically distributed (i.i.d) residuals and fit the MS(k)-EGARCH(p,q)-GEVD to i.i.d residuals; while, in the second stage, we set-up an EWS model. The results of the estimated MS(2)-EGARCH(1,1) -GEVD revealed that the conditional distribution of returns is highly volatile giving the expected duration to approximately 36 months and 4 days in regime one and 58 months and 2 days in regime two. We further found that any degree losses above 25% implies that there will be no further losses. Using the seven statistical loss functions, the estimated SARIMA(2,1,0)×(2,1,0)240−MS(2)−EGARCH(1,1)−GEVD proved to be the most appropriate model for predicting extreme regimes losses as it was ranked at 71%. Finally, the results of EWS model exhibit reasonably an overall performance of 98%, sensitivity of 79.89% and specificity of 98.40% respectively. The model further indicated a success classification rate of 89% and a prediction rate of 95%. This is a promising technique for EWS. The findings also confirmed 63% and 51% of extreme losses for both training sample and validation sample to be correctly classified. The findings of this study are useful for decision makers and financial sector for future use and planning. Furthermore, a base for future researchers for conducting studies on emerging markets, have been contributed. These results are also important to risk managers and and investors.

A stochastic model for two interacting populations

1970 ◽  
Vol 7 (3) ◽  
pp. 544-564 ◽  
Author(s):  
Niels G. Becker
Keyword(s):  
Stochastic Model ◽  
Linear Models ◽  
Death Process ◽  
Linear Component ◽  
Birth And Death Process ◽  
Linear Interaction ◽  
Interacting Populations ◽  
Non Linear ◽  
The Subject ◽  
Interaction Component

To explain the growth of interacting populations, non-linear models need to be proposed and it is this non-linearity which proves to be most awkward in attempts at solving the resulting differential equations. A model with a particular non-linear component, initially proposed by Weiss (1965) for the spread of a carrier-borne epidemic, was solved completely by different methods by Dietz (1966) and Downton (1967). Immigration parameters were added to the model of Weiss and the resulting model was made the subject of a paper by Dietz and Downton (1968). It is the aim here to further generalize the model by introducing birth and death parameters so that the result is a linear birth and death process with immigration for each population plus the non-linear interaction component.

scholarly journals Predicting Stock Market Index Using Hybrid Intelligence Model

2018 ◽  
Vol 7 (3.15) ◽  
pp. 36 ◽  
Author(s):  
Sarah Nadirah Mohd Johari ◽  
Fairuz Husna Muhamad Farid ◽  
Nur Afifah Enara Binti Nasrudin ◽  
Nur Sarah Liyana Bistamam ◽  
Nur Syamira Syamimi Muhammad Shuhaili
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Linear Models ◽  
Forecast Error ◽  
Arima Model ◽  
Real Data ◽  
Stock Index ◽  
Support Vector ◽  
Ann Model ◽  
Stock Market Index

Predicting financial market changes is an important issue in time series analysis, receiving an increasing attention due to financial crisis. Autoregressive integrated moving average (ARIMA) model has been one of the most widely used linear models in time series forecasting but ARIMA model cannot capture nonlinear patterns easily. Generalized autoregressive conditional heteroscedasticity (GARCH) model applied understanding of volatility depending to the estimation of previous forecast error and current volatility, improving ARIMA model. Support vector machine (SVM) and artificial neural network (ANN) have been successfully applied in solving nonlinear regression estimation problems. This study proposes hybrid methodology that exploits unique strength of GARCH + SVM model, and GARCH + ANN model in forecasting stock index. Real data sets of stock prices FTSE Bursa Malaysia KLCI were used to examine the forecasting accuracy of the proposed model. The results shows that the proposed hybrid model achieves best forecasting compared to other model.  

scholarly journals Hybrid MARMA-NARX model for flow forecasting based on the large-scale climate signals, sea-surface temperatures, and rainfall

2018 ◽  
Vol 49 (6) ◽  
pp. 1788-1803 ◽  
Author(s):  
Mohammad Ebrahim Banihabib ◽  
Arezoo Ahmadian ◽  
Mohammad Valipour
Keyword(s):  
Linear Model ◽  
Hybrid Model ◽  
Large Scale ◽  
Linear Models ◽  
Moving Average ◽  
Effective Parameters ◽  
Forecasting Accuracy ◽  
Local Factor ◽  
Non Linear ◽  
Climate Signals

Abstract In this study, to reflect the effect of large-scale climate signals on runoff, these indices are accompanied with rainfall (the most effective local factor in runoff) as the inputs of the hybrid model. Where one-year in advance forecasting of reservoir inflows can provide data to have an optimal reservoir operation, reports show we still need more accurate models which include all effective parameters to have more forecasting accuracy than traditional linear models (ARMA and ARIMA). Thus, hybridization of models was employed for improving the accuracy of flow forecasting. Moreover, various forecasters including large-scale climate signals were tested to promote forecasting. This paper focuses on testing MARMA-NARX hybrid model to enhance the accuracy of monthly inflow forecasts. Since the inflow in different periods of the year has in linear and non-linear trends, the hybrid model is proposed as a means of combining linear model, monthly autoregressive moving average (MARMA), and non-linear model, nonlinear autoregressive model with exogenous (NARX) inputs to upgrade the accuracy of flow forecasting. The results of the study showed enhanced forecasting accuracy through using the hybrid model.

Load Forecasting using Time Series Techniques

2021 ◽  
pp. 11343-11357
Author(s):  
Shahida Khatoon, Ibraheem, Priti, Mohammad Shahid
Keyword(s):  
Time Series ◽  
Linear Models ◽  
Linear Trend ◽  
Moving Average ◽  
Load Forecasting ◽  
Electric Load ◽  
Time Data ◽  
Efficient Operation ◽  
Use Of Time ◽  
Distribution Company

Load Forecasting is of great significance for effective and efficient operation of power system. Use of time series is of much importance in load forecasting. In this study, effectiveness of different time series techniques is identified to gathered valuable information. The objective is to predict electric load efficiently and effectively. This paper analyses the prediction accuracy of variety of time series method in modeling Electric load forecasts. The study examines the time series forecasting methods applied to estimate future electric load, specifically, Moving Average (MA), Linear Trend, the Exponential and Parabolic Trend. A comparison of different forecasting techniques of Time Series is demonstrated on real time data. The data utilized for forecast is made available through a distribution company of India. The traditional linear models and hybrid models along with ANN are developed. These models are appraised for the forecasting capability.

Electric Load Movement Forecasting Based on the DFT Interpolation with Periodic Extension

2015 ◽  
Vol 24 (08) ◽  
pp. 1550123
Author(s):  
Zong-Chang Yang
Keyword(s):  
Time Series ◽  
Load Forecasting ◽  
Arma Model ◽  
Ar Model ◽  
Electric Load ◽  
Ann Model ◽  
Method Performance ◽  
Bp Artificial Neural Network ◽  
Load Movement ◽  
Artificial Neural Network Ann

Electric load forecasting is increasingly important for the industry. This study addresses the load forecasting based on the discrete Fourier transform (DFT) interpolation. As the most common analysis method in the frequency domain, the conventional Fourier analysis cannot be directly applied to prediction. From the perspective of time-series analysis, electric load movement influenced by various factors is also a time-series, which is usually subject to cyclical variations. Then with periodic extension for the load movement, a forecasting approach based on the DFT interpolation is proposed for predicting its movement. The proposed DFT interpolation prediction model is applied to experiments of forecasting the daily EUNITE load movement and annual load movement of State Grid Corporation in China. The experimental results and analysis show potentiality of the proposed method. Performance comparisons indicate that the proposed DFT interpolation model performs better than the three commonly used interpolation algorithms as well as the classical autoregressive (AR) model, the ARMA model, and the BP-artificial neural network (ANN) model on the same forecasting tasks.

Vector linear time series models

1976 ◽  
Vol 8 (2) ◽  
pp. 339-364 ◽  
Author(s):  
W. Dunsmuir ◽  
E. J. Hannan
Keyword(s):  
Time Series ◽  
Linear Models ◽  
Linear Time ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Multiple Time ◽  
Strong Law ◽  
Large Numbers ◽  
Spectral Approximations ◽  
Vector Time Series

This paper presents proofs of the strong law of large numbers and the central limit theorem for estimators of the parameters in quite general finite-parameter linear models for vector time series. The estimators are derived from a Gaussian likelihood (although Gaussianity is not assumed) and certain spectral approximations to this. An important example of finite-parameter models for multiple time series is the class of autoregressive moving-average (ARMA) models and a general treatment is given for this case. This includes a discussion of the problems associated with identification in such models.

Sign in / Sign up

Export Citation Format

Share Document