The methodology for adaptive modeling and forecasting nonlinear and nonstationary processes

Abstract

The study is directed towards development of systemic methodology for modeling and forecasting nonlinear and nonstationary processes in economy, finances and other areas of human activities. There exist multiple problems that are to be solved with the data of such type practically in all areas of human activities: such as constructing adequate models including estimation and forecasting state of a system under investigation; technical, economic and medical diagnostics; automatic control in technologies; moving objects control; financial and other risk estimation and management; risk factor interaction; control and monitoring of microclimate in greenhouses and industrial enterprises; decision making support in business; dynamic strategic planning in production; providing stability for critical economic infrastructure etc. The structure and parameter adaptation procedures for the regression and probabilistic models are proposed as well as respective information system architecture and functional layout are developed. The system development is based on the system analysis principles such as hie­rarchical architecture of the system, adaptive approach to model structure estimation, optimization of model parameter estimation procedures, functional completeness of the system providing for autonomous operation of the system, identification and taking into consideration of possible uncertainties available in the process of data processing and mathematical model development, application of appropriate sets of quality criteria that are guarantying high quality of intermediate and final results of data analysis. The possible uncertainties are inherent to data collecting, model constructing and forecasting procedures, and play the role of negative influence factors to the computational procedures of proposed information system. Reduction of their influence is favorable for enhancing the quality of intermediate and final results of computations. The illustrative examples of practical application of the methodology developed proving the system functionality are provided.