Bayesian Dynamic Linear Model with Adaptive Parameter Estimation for Short-Term Travel Speed Prediction

Abstract

Bayesian dynamic linear model is a promising method for time series data analysis and short-term forecasting. One research issue concerns how the predictive model adapts to changes in the system, especially when shocks impact system behavior. In this study, we propose an adaptive dynamic linear model to adaptively update model parameters for online system state prediction. The proposed method is an automatic approach based on the feedback of prediction errors at each time slot without the needs of external intervention. The experimental study on short-term travel speed prediction shows that the proposed method can significantly reduce the prediction errors of the traditional dynamic linear model and outperform two state-of-the-art methods in the case of major system behavior changes.