Time Series Preprocessing and Forecasting Based on EMD

2013 ◽  
Vol 313-314 ◽  
pp. 1256-1261
Author(s):  
Guo Chen Feng ◽  
Peng Jian Shang ◽  
Xue Jiao Wang

In this paper we pay attention to the preprocessing of time series and its application. We apply Empirical Mode Decomposition (EMD) to decompose three kinds of series into their components in order to study the data and forecast more efficiently. We try to unite EMD analysis and autoregressive integrated moving average processes (ARIMA) into a new forecasting technique which we call EMD-ARIMA. We find that our method is extraordinarily close to the original data.

2008 ◽  
Vol 24 (4) ◽  
pp. 988-1009 ◽  
Author(s):  
Tucker McElroy

The paper provides general matrix formulas for minimum mean squared error signal extraction for a finitely sampled time series whose signal and noise components are nonstationary autoregressive integrated moving average processes. These formulas are quite practical; in addition to being simple to implement on a computer, they make it possible to easily derive important general properties of the signal extraction filters. We also extend these formulas to estimates of future values of the unobserved signal, and we show how this result combines signal extraction and forecasting.


2018 ◽  
Vol 8 (10) ◽  
pp. 1901 ◽  
Author(s):  
Tuo Xie ◽  
Gang Zhang ◽  
Hongchi Liu ◽  
Fuchao Liu ◽  
Peidong Du

Due to the existing large-scale grid-connected photovoltaic (PV) power generation installations, accurate PV power forecasting is critical to the safe and economical operation of electric power systems. In this study, a hybrid short-term forecasting method based on the Variational Mode Decomposition (VMD) technique, the Deep Belief Network (DBN) and the Auto-Regressive Moving Average Model (ARMA) is proposed to deal with the problem of forecasting accuracy. The DBN model combines a forward unsupervised greedy layer-by-layer training algorithm with a reverse Back-Projection (BP) fine-tuning algorithm, making full use of feature extraction advantages of the deep architecture and showing good performance in generalized predictive analysis. To better analyze the time series of historical data, VMD decomposes time series data into an ensemble of components with different frequencies; this improves the shortcomings of decomposition from Empirical Mode Decomposition (EMD) and Ensemble Empirical Mode Decomposition (EEMD) processes. Classification is achieved via the spectrum characteristics of modal components, the high-frequency Intrinsic Mode Functions (IMFs) components are predicted using the DBN, and the low-frequency IMFs components are predicted using the ARMA. Eventually, the forecasting result is generated by reconstructing the predicted component values. To demonstrate the effectiveness of the proposed method, it is tested based on the practical information of PV power generation data from a real case study in Yunnan. The proposed approach is compared, respectively, with the single prediction models and the decomposition-combined prediction models. The evaluation of the forecasting performance is carried out with the normalized absolute average error, normalized root-mean-square error and Hill inequality coefficient; the results are subsequently compared with real-world scenarios. The proposed approach outperforms the single prediction models and the combined forecasting methods, demonstrating its favorable accuracy and reliability.


2008 ◽  
Vol 21 (20) ◽  
pp. 5318-5335 ◽  
Author(s):  
Barnaby S. Love ◽  
Adrian J. Matthews ◽  
Gareth J. Janacek

Abstract A simple guide to the new technique of empirical mode decomposition (EMD) in a meteorological–climate forecasting context is presented. A single application of EMD to a time series essentially acts as a local high-pass filter. Hence, successive applications can be used to produce a bandpass filter that is highly efficient at extracting a broadband signal such as the Madden–Julian oscillation (MJO). The basic EMD method is adapted to minimize end effects, such that it is suitable for use in real time. The EMD process is then used to efficiently extract the MJO signal from gridded time series of outgoing longwave radiation (OLR) data. A range of statistical models from the general class of vector autoregressive moving average (VARMA) models was then tested for their suitability in forecasting the MJO signal, as isolated by the EMD. A VARMA (5, 1) model was selected and its parameters determined by a maximum likelihood method using 17 yr of OLR data from 1980 to 1996. Forecasts were then made on the remaining independent data from 1998 to 2004. These were made in real time, as only data up to the date the forecast was made were used. The median skill of forecasts was accurate (defined as an anomaly correlation above 0.6) at lead times up to 25 days.


Author(s):  
Hutomo Atman Maulana ◽  
Kasuma Wardany Harahap ◽  
Adriyansyah Adriyansyah ◽  
Rofiroh Rofiroh ◽  
Fuad Zainuddin

This research used a method in modelling time series data in the form of seasonal data. The method used in this study is the Seasonal Autoregressive Integrated Moving Average (SARIMA). This method is applied to Indonesian coffee production data from January 2009 - December 2013 with the aim of obtaining a model that will be used to predict the amount of coffee production in January 2014 - December 2014. The forecasting results from the next model will be compared with the original data. Data processing is done using EViews software. Based on the results of data processing, the best model for forecasting is obtained, SARIMA (2,1,0) (1,1,1)12


2019 ◽  
Vol 11 (15) ◽  
pp. 4018 ◽  
Author(s):  
Huan Wang ◽  
Jiejun Huang ◽  
Han Zhou ◽  
Lixue Zhao ◽  
Yanbin Yuan

Temperature forecasting is a crucial part of climate change research. It can provide a valuable reference, as well as practical significance, for understanding the macroscopic evolutionary processes of regional temperature and for promoting sustainable development. This study presents a new integrated model, called the Variational Mode Decomposition-Autoregressive Integrated Moving Average (VMD-ARIMA) model, which reduces the required data input and improves the accuracy of predictions, based on the deficiencies of data dependence and the complicated mechanisms associated with current temperature forecasting. In this model, the variational mode decomposition (VMD) was used for mining the trend features and detailed features contained in a time series, as well as denoising. Moreover, the corresponding autoregressive integrated moving average (ARIMA) models were derived to reflect the different features of the components. The final forecasted values were then obtained using VMD reconstruction. The annual temperature time series from the Wuhan Meteorological Station were investigated using the VMD-ARIMA model, ARIMA model, and Grey Model (1, 1) based on three statistical performance metrics (mean relative error, mean absolute error, and root mean square error). The results indicate that the VMD-ARIMA model can effectively enhance the accuracy of temperature forecasting.


Author(s):  
Samuel Olorunfemi Adams ◽  
Bello Mustapha ◽  
Auta Irinew Alumbugu

The Seasonal Autoregressive Integrated Moving Average (SARIMA) model is proposed for Osun State monthly rainfall data and the analysis was based on probability time series modeling approach. The Plot of the original data shows that the time series is stationary and the Augmented Dickey-Fuller test did not suggest otherwise. The graph further displays evidence of seasonality and it was removed by seasonal differencing. The plots of the ACF and PACF show spikes at seasonal lags respectively, suggesting SARIMA (1, 0, 1) (2, 1, 1). Though the diagnostic check on the model favoured the fitted model, the Auto Regressive parameter was found to be statistically insignificant and this led to a reduced SARIMA (1, 0, 1) (1, 1, 1)  model that best fit the data and was used to make forecast.


1982 ◽  
Vol 14 (3) ◽  
pp. 156-166 ◽  
Author(s):  
Chin-Sheng Alan Kang ◽  
David D. Bedworth ◽  
Dwayne A. Rollier

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