Traditional Autoregressive Integrated Moving Average Models Research Articles

Novel grey wolf optimizer based parameters selection for GARCH and ARIMA models for stock price prediction.

Stock price data often exhibit nonlinear patterns and dynamics in nature. The parameter selection in generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive integrated moving average (ARIMA) models is challenging due to stock price volatility. Most studies examined the manual method for parameter selection in GARCH and ARIMA models. These procedures are time-consuming and based on trial and error. To overcome this, we considered a GWO method for finding the optimal parameters in GARCH and ARIMA models. The motivation behind considering the grey wolf optimizer (GWO) is one of the popular methods for parameter optimization. The novel GWO-based parameters selection approach for GARCH and ARIMA models aims to improve stock price prediction accuracy by optimizing the parameters of ARIMA and GARCH models. The hierarchical structure of GWO comprises four distinct categories: alpha (α), beta (β), delta (δ) and omega (ω). The predatory conduct of wolves primarily encompasses the act of pursuing and closing in on the prey, tracing the movements of the prey, and ultimately launching an attack on the prey. In the proposed context, attacking prey is a selection of the best parameters for GARCH and ARIMA models. The GWO algorithm iteratively updates the positions of wolves to provide potential solutions in the search space in GARCH and ARIMA models. The proposed model is evaluated using root mean squared error (RMSE), mean squared error (MSE), and mean absolute error (MAE). The GWO-based parameter selection for GARCH and ARIMA improves the performance of the model by 5% to 8% compared to existing traditional GARCH and ARIMA models.

On improved fitting using a new probability distribution and artificial neural network: Application

Statistical modeling and forecasting are crucial to understanding the depth of information in data from all sources. For precision purposes, researchers are always in search of ways to improve the quality of modeling and forecasting, whatever the complexity of the situation. To this end, new (probability) distributions and suitable forecasting methods are demanded. The first part of this paper contributes to this direction. Indeed, we introduce a modified version of the flexible Weibull distribution, called the modified flexible Weibull distribution. It is constructed by mixing the flexible Weibull distribution with the exponential T-X scheme. This strategy is winning; the new distribution has a larger panel of functionalities in comparison to those of the classical Weibull distribution, among other things. To check the quality of the fitting of the modified flexible Weibull distribution, two different datasets are analyzed. After analyzing these datasets, it is observed that the modified flexible Weibull distribution has improved fitting power compared to other similar distributions. Apart from this, the conventional time series model, namely, the autoregressive integrated moving average (ARIMA) model, and the modern artificial neural network (ANN) model are considered for forecasting results. Utilizing the two datasets discussed earlier, it was discovered that the ANN model is more effective than the traditional ARIMA model.

Hybrid Statistical and Machine Learning Methods for Daily Evapotranspiration Modeling

Machine learning (ML) models, including artificial neural networks (ANN), generalized neural regression networks (GRNN), and adaptive neuro-fuzzy interface systems (ANFIS), have received considerable attention for their ability to provide accurate predictions in various problem domains. However, these models may produce inconsistent results when solving linear problems. To overcome this limitation, this paper proposes hybridizations of ML and autoregressive integrated moving average (ARIMA) models to provide a more accurate and general forecasting model for evapotranspiration (ET0). The proposed models are developed and tested using daily ET0 data collected over 11 years (2010–2020) in the Samsun province of Türkiye. The results show that the ARIMA–GRNN model reduces the root mean square error by 48.38%, the ARIMA–ANFIS model by 8.56%, and the ARIMA–ANN model by 6.74% compared to the traditional ARIMA model. Consequently, the integration of ML with ARIMA models can offer more accurate and dependable prediction of daily ET0, which can be beneficial for many branches such as agriculture and water management that require dependable ET0 estimations.

Forecasting of Beijing PM2.5 with a hybrid ARIMA model based on integrated AIC and improved GS fixed-order methods and seasonal decomposition

Accurate particulate matter 2.5 (PM2.5) prediction plays a crucial role in the accurate management of air pollution and prevention of respiratory diseases. However, PM2.5, as a nonlinear time series with great volatility, is difficult to achieve accurate prediction. In this paper, a hybrid autoregressive integrated moving average (ARIMA) model is proposed based on the Augmented Dickey-Fuller test (ADF root test) of annual PM2.5 data, thus demonstrating the necessity of first-order difference. The new method of using integrated akaike information criterion (AIC) and improved grid search (GS) methods is proposed to avoid the bias caused by using AIC alone to determine the order because the data are not exactly normally distributed. The comprehensive evaluation coefficient (CEC) is used to select the optimal parameter structure of the prediction model by considering multiple evaluation perspectives. The entropy value of the decomposed series is obtained by using range entropy A (RangeEn_A), and the series is reconstructed according to the entropy value, and finally the reconstructed series is predicted. We used Beijing PM2.5 data for validation and the results showed that the new hybrid ARIMA model improved values of RMSE 99.23%, MAE 99.20%, R2 118.61%, TIC 99.28%, NMAE 98.71%, NMSE 99.97%, OPC 43.13%, MOPC 98.43% and CEC 99.25% compared with the traditional ARIMA model. The results show that the method does greatly improve the prediction performance and provides a convincing tool for policy formulation and governance.

Traffic flow prediction using bi-directional gated recurrent unit method

Traffic flow prediction plays an important role in intelligent transportation systems. To accurately capture the complex non-linear temporal characteristics of traffic flow, this paper adopts a Bi-directional Gated Recurrent Unit (Bi-GRU) model in traffic flow prediction. Compared to Gated Recurrent Unit (GRU), which can memorize information from the previous sequence, this model can memorize the traffic flow information in both previous and subsequent sequence. To demonstrate the model’s performance, a set of real case data at 1-hour intervals from 5 working days was used, wherein the dataset was separated into training and validation. To improve data quality, an augmented dickey-fuller unit root test and differential processing were performed before model training. Four benchmark models were used, including the Autoregressive Integrated Moving Average (ARIMA), Long Short-Term Memory (LSTM), Bidirectional Long Short-Term Memory (Bi-LSTM), and GRU. The prediction results show the superior performance of Bi-GRU. The Root Mean Square Error (RMSE), Mean Absolute Percentage Error (MAPE), and Mean Absolute Error (MAE) of the Bi-GRU model are 30.38, 9.88%, and 23.35, respectively. The prediction accuracy of LSTM, Bi-LSTM, GRU, and Bi-GRU, which belong to deep learning methods, is significantly higher than that of the traditional ARIMA model. The MAPE difference of Bi-GRU and GRU is 0.48% which is a small prediction error value. The results show that the prediction accuracy of the peak period is higher than that of the low peak. The Bi-GRU model has a certain lag on traffic flow prediction.

Comparison of ARIMA model, DNN model and LSTM model in predicting disease burden of occupational pneumoconiosis in Tianjin, China

BackgroundThis study aims to explore appropriate model for predicting the disease burden of pneumoconiosis in Tianjin by comparing the prediction effects of Autoregressive Integrated Moving Average (ARIMA) model, Deep Neural Networks (DNN) model and multivariate Long Short-Term Memory Neural Network (LSTM) models.MethodsDisability adjusted life year (DALY) was used to evaluate the disease burden of occupational pneumoconiosis. ARIMA model, DNN model and multivariate LSTM model were used to establish prediction model. Three performance evaluation metrics including Root Mean Squared Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) were used to compare the prediction effects of the three models.ResultsFrom 1990 to 2021, there were 10,694 cases of pneumoconiosis patients in Tianjin, resulting in a total of 112,725.52 person-years of DALY. During this period, the annual DALY showed a fluctuating trend, but it had a strong correlation with the number of pneumoconiosis patients, the average age of onset, the average age of receiving dust and the gross industrial product, and had a significant nonlinear relationship with them. The comparison of prediction results showed that the performance of multivariate LSTM model and DNN model is much better than that of traditional ARIMA model. Compared with the DNN model, the multivariate LSTM model performed better in the training set, showing lower RMES (42.30 vs. 380.96), MAE (29.53 vs. 231.20) and MAPE (1.63% vs. 2.93%), but performed less stable than the DNN on the test set, showing slightly higher RMSE (1309.14 vs. 656.44), MAE (886.98 vs. 594.47) and MAPE (36.86% vs. 22.43%).ConclusionThe machine learning techniques of DNN and LSTM are an innovative method to accurately and efficiently predict the burden of pneumoconiosis with the simplest data. It has great application prospects in the monitoring and early warning system of occupational disease burden.

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Many applications in intelligent transportation systems are demanding an accurate web application-based location prediction. In this study, we satisfy this demand by designing an automated mobile user location prediction system based on the well-known traditional Auto-Regressive Integrated Moving Average (ARIMA). To increase the proposed model accuracy, make it dynamic, and reduce its execution time, the traditional ARIMA model has been modified extensively by using different combinations of design options of the model. To perform user location prediction, the proposed model depends the previous recorded user locations to predict the user future locations. To make the proposed model dynamic, it is designed to regenerate all its parameters periodically. To deal with such dynamic environment, only a specified window of the historical data is used. To reduce the regeneration of the model execution time, the model selection process is enhanced and several model selection approaches are proposed. The proposed model and the different design options are evaluated using a realistic user location dataset trace that are recorded using a WIFI embedded, as well as, using traces from a previous study called the Kaggle Dataset. To deal with any imperfection in the data used in generating the model in this study. The results show that the proposed framework can generate ARIMA models that can predict the future user locations of a user accurately and with a reasonable execution time. The results also show that the proposed model can predict the user’s location for several future steps with an acceptable accuracy.

A novel hybrid model of ARIMA‐MCC and CKDE‐GARCH for urban short‐term traffic flow prediction

The linearity and heteroscedasticity are the important characteristics of short-term traffic flow data. Generally, the autoregressive integrated moving average (ARIMA) model and the generalized autoregressive conditional heteroscedasticity (GARCH) model are respectively used to explain these characteristics. However, the prerequisite for the use of ARIMA is that the training residuals should follow the standard Gaussian distribution, which is hard to be satisfied in practice. Meanwhile, the variance in the GARCH model usually neglects the time-varying characteristic. To address these problems, this paper proposes an innovative method based on the combination of ARIMA, maximum correntropy criterion (MCC), conditional kernel density estimation (CKDE), and GARCH. Specifically, the MCC method is first employed to estimate the coefficients of the ARIMA model (i.e. ARIMA-MCC), by which the linear prediction is conducted. Then, the CKDE model is established to describe the training residuals obtained by ARIMA-MCC and estimate the time-varying variance in the GARCH model (i.e. GARCH-CKDE). Case studies based on four groups of data measured in the urban road are used to evaluate the performance of the proposed method. Compared with the traditional ARIMA model, the improvement by the proposed method reaches 14.45% in terms of the evaluation criterion of mean absolute percentage error.

Forecasting COVID-19 Hospital Census: A Multivariate Time-Series Model Based on Local Infection Incidence.

BackgroundCOVID-19 has been one of the most serious global health crises in world history. During the pandemic, health care systems require accurate forecasts for key resources to guide preparation for patient surges. Forecasting the COVID-19 hospital census is among the most important planning decisions to ensure adequate staffing, number of beds, intensive care units, and vital equipment.ObjectiveThe goal of this study was to explore the potential utility of local COVID-19 infection incidence data in developing a forecasting model for the COVID-19 hospital census.MethodsThe study data comprised aggregated daily COVID-19 hospital census data across 11 Atrium Health hospitals plus a virtual hospital in the greater Charlotte metropolitan area of North Carolina, as well as the total daily infection incidence across the same region during the May 15 to December 5, 2020, period. Cross-correlations between hospital census and local infection incidence lagging up to 21 days were computed. A multivariate time-series framework, called the vector error correction model (VECM), was used to simultaneously incorporate both time series and account for their possible long-run relationship. Hypothesis tests and model diagnostics were performed to test for the long-run relationship and examine model goodness of fit. The 7-days-ahead forecast performance was measured by mean absolute percentage error (MAPE), with time-series cross-validation. The forecast performance was also compared with an autoregressive integrated moving average (ARIMA) model in the same cross-validation time frame. Based on different scenarios of the pandemic, the fitted model was leveraged to produce 60-days-ahead forecasts.ResultsThe cross-correlations were uniformly high, falling between 0.7 and 0.8. There was sufficient evidence that the two time series have a stable long-run relationship at the .01 significance level. The model had very good fit to the data. The out-of-sample MAPE had a median of 5.9% and a 95th percentile of 13.4%. In comparison, the MAPE of the ARIMA had a median of 6.6% and a 95th percentile of 14.3%. Scenario-based 60-days-ahead forecasts exhibited concave trajectories with peaks lagging 2 to 3 weeks later than the peak infection incidence. In the worst-case scenario, the COVID-19 hospital census can reach a peak over 3 times greater than the peak observed during the second wave.ConclusionsWhen used in the VECM framework, the local COVID-19 infection incidence can be an effective leading indicator to predict the COVID-19 hospital census. The VECM model had a very good 7-days-ahead forecast performance and outperformed the traditional ARIMA model. Leveraging the relationship between the two time series, the model can produce realistic 60-days-ahead scenario-based projections, which can inform health care systems about the peak timing and volume of the hospital census for long-term planning purposes.

Determine neighboring region spatial effect on dengue cases using ensemble ARIMA models

The state of Selangor, in Malaysia consist of urban and peri-urban centres with good transportation system, and suitable temperature levels with high precipitations and humidity which make the state ideal for high number of dengue cases, annually. This study investigates if districts within the Selangor state do influence each other in determining pattern of dengue cases. Study compares two different models; the Autoregressive Integrated Moving Average (ARIMA) and Ensemble ARIMA models, using the Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) measurement to gauge their performance tools. ARIMA model is developed using the epidemiological data of dengue cases, whereas ensemble ARIMA incorporates the neighbouring regions’ dengue models as the exogenous variable (X), into traditional ARIMA model. Ensemble ARIMA models have better model fit compared to the basic ARIMA models by incorporating neighbuoring effects of seven districts which made of state of Selangor. The AIC and BIC values of ensemble ARIMA models to be smaller compared to traditional ARIMA counterpart models. Thus, study concludes that pattern of dengue cases for a district is subject to spatial effects of its neighbouring districts and number of dengue cases in the surrounding areas.

A Kalman filter-based hybridization model of statistical and intelligent approaches for exchange rate forecasting

Purpose The purpose of this paper is to propose a comprehensive version of a hybrid autoregressive integrated moving average (ARIMA), and artificial neural networks (ANNs) in order to yield a more general and more accurate hybrid model for exchange rates forecasting. For this purpose, the Kalman filter technique is used in the proposed model to preprocess and detect the trend of raw data. It is basically done to reduce the existing noise in the underlying data and better modeling, respectively. Design/methodology/approach In this paper, ARIMA models are applied to construct a new hybrid model to overcome the above-mentioned limitations of ANNs and to yield a more general and more accurate model than traditional hybrid ARIMA and ANNs models. In our proposed model, a time series is considered as a function of a linear and nonlinear component, so, in the first phase, an ARIMA model is first used to identify and magnify the existing linear structures in data. In the second phase, a multilayer perceptron is used as a nonlinear neural network to model the preprocessed data, in which the existing linear structures are identified and magnified by ARIMA and to predict the future value of time series. Findings In this paper, a new Kalman filter based hybrid artificial neural network and ARIMA model are proposed as an alternate forecasting technique to the traditional hybrid ARIMA/ANNs models. In the proposed model, similar to the traditional hybrid ARIMA/ANNs models, the unique strengths of ARIMA and ANN in linear and nonlinear modeling are jointly used, aiming to capture different forms of relationship in the data; especially, in complex problems that have both linear and nonlinear correlation structures. However, there are no aforementioned assumptions in the modeling process of the proposed model. Therefore, in the proposed model, in contrast to the traditional hybrid ARIMA/ANNs, it can be generally guaranteed that the performance of the proposed model will not be worse than either of their components used separately. In addition, empirical results in both weekly and daily exchange rate forecasting indicate that the proposed model can be an effective way to improve forecasting accuracy achieved by traditional hybrid ARIMA/ANNs models. Originality/value In the proposed model, in contrast to the traditional hybrid ARIMA/ANNs, it can be guaranteed that the performance of the proposed model will not be worse than either of the components used separately. In addition, empirical results in exchange rate forecasting indicate that the proposed model can be an effective way to improve forecasting accuracy achieved by traditional hybrid ARIMA/ANNs models. Therefore, it can be used as an appropriate alternate model for forecasting in exchange ratemarkets, especially when higher forecasting accuracy is needed.

Performance of design options of automated ARIMA model construction for dynamic vehicle GPS location prediction

Many applications in intelligent transportation systems are demanding an accurate vehicle Global Position System (GPS) location prediction. In this study, we satisfy this demand by designing an automated GPS location prediction system based on the well known traditional Auto-Regressive Integrated Moving Average (ARIMA). To increase the proposed model accuracy, make it dynamic, and reduce its execution time, the traditional ARIMA model has been modified extensively by using different combinations of design options of the model. To perform GPS location prediction, the proposed model depends the previous recorded vehicle locations, speed, and bearing reading to predict the vehicle future locations. To make the proposed model dynamic, it is designed to regenerate all its parameters periodically. To deal with such dynamic environment, only a specified window of the historical data is used. To reduce the regeneration of the model execution time, the model selection process is enhanced and several model selection approaches are proposed. The proposed model and the different design options are evaluated using a realistic vehicle dataset traces that are recorded using a GPS receiver embedded in a smart phone, as well as, using traces from a previous study called the INFATI Dataset. To deal with any imperfection in the data used in generating the model in this study, we propose a novel anomaly detection and smoothing technique. The results show that the proposed framework can generate ARIMA models that can predict the future GPS locations of a vehicle accurately and with a reasonable execution time. The results also show that the proposed model can predict the vehicle’s location for several future steps with an acceptable accuracy.

On the forecasting of high‐frequency financial time series based on ARIMA model improved by deep learning

AbstractThrough empirical research, it is found that the traditional autoregressive integrated moving average (ARIMA) model has a large deviation for the forecasting of high‐frequency financial time series. With the improvement in storage capacity and computing power of high‐frequency financial time series, this paper combines the traditional ARIMA model with the deep learning model to forecast high‐frequency financial time series. It not only preserves the theoretical basis of the traditional model and characterizes the linear relationship, but also can characterize the nonlinear relationship of the error term according to the deep learning model. The empirical study of Monte Carlo numerical simulation and CSI 300 index in China show that, compared with ARIMA, support vector machine (SVM), long short‐term memory (LSTM) and ARIMA‐SVM models, the improved ARIMA model based on LSTM not only improves the forecasting accuracy of the single ARIMA model in both fitting and forecasting, but also reduces the computational complexity of only a single deep learning model. The improved ARIMA model based on deep learning not only enriches the models for the forecasting of time series, but also provides effective tools for high‐frequency strategy design to reduce the investment risks of stock index.

Modeling carbon emission trajectory of China, US and India

Developing more effective carbon mitigation strategies requires accurate forecasting of carbon emissions. This is especially true for China, the United States and India, which produce over half of the world’s carbon emissions. China, the United States, and India represent three different types of carbon emissions data. The first data type is typical for China: rapid grows which is thereafter slowing down. The US carbon emissions data show volatile growth and decline. The third data type is common for India’s data: accelerated growth. To deal with the volatility of the data and to improve the forecasting accuracy, this paper combines Metabolic Nonlinear Grey Model (MNGM) with Autoregressive Integrated Moving Average (ARIMA) to develop the combined MNGM-ARIMA model, and MNGM with Back Propagation Neural Network (BPNN) to develop the new combined MNGM-BPNN model. In this way, ARIMA and BPNN could correct the modelling residual error of MNGM, to decrease the forecasting error. Through the quantitative data study of the countries in focus, we have made the following findings: First, the mean relative percent errors of the proposed MNGM-ARIMA and MNGM-BPNN models are 1.35% and 1.57%, which are lower than the traditional MNGM, ARIMA, and BPNN models. Besides, it is projected that during the period of 2019–2030, the US′ carbon emissions will keep a downward trend, while carbon emissions in China and India will continue to grow. Finally yet importantly, in the future periods of time, the carbon emissions growth rate in India will be faster than that for China. The above findings have led us to the following conclusions: (1) Error values of those two proposed approaches have proven that the strategy of correcting the forecasting error of the previous models with the latter models can effectively improve the forecasting accuracy. (2) The proposed two combined forecasting techniques have shown sound performance for the three types of data. It is reasonable to believe that new approaches will help to improve insight into better forecasting carbon emissions in other countries and regions of the world. (3) China and India will remain the major sources of global carbon emissions, and should therefore continue their efforts on carbon emission reduction.

A Flood-Discharge-Based Spatio-Temporal Diffusion Method for Multi-Target Traffic Hotness Construction From Trajectory Data

With the significant updates of location-acquisition technologies, there are more spatial-temporal trajectory data available. Spatial-temporal stream plays a crucial role in the research and applications of intelligent transportation. However, there are still some problems in the study of multi-target hotness diffusion in spatial-temporal stream scenarios: such as forecast of POIs’ (Points of Interest) visitors or short-term traffic. Passenger and traffic flow can be called spatial-temporal hotness, the law of hotness diffusion in spatial-temporal of multi-hot-spots can be detected by studying their trajectory. Spatial-temporal trajectory data often presents multi-core (or multi-target) characteristics around events or behaviors, it is still a challenge to carry out multi-target modeling at the spatial-temporal level. Here, we provide a compelling method for dealing with multi-target hotness diffusion. To excavate the hotness in the movement and diffusion laws in spatial-temporal, we treat movements as a long network infrastructure flood from its source. Through modeling and analysis of OD (Origin-Destination) stream, the hotness prediction is finally achieved. Finally, two groups of experiments were used to demonstrate our method from the perspectives of passenger flow and traffic flow respectively and the experiments based on real-world data show that the effectiveness of our method in predicting the spatial diffusion state of multi-target hotness in different spatial scales. Based on the R-square, MAE (Mean Absolute Error), MSE (Mean Squared Error), and other evaluation indexes compared to the traditional prediction method and ARIMA (Autoregressive Integrated Moving Average) model. Thus, these findings suggest that our method shows more advantages than others.

Time series analysis of human brucellosis in mainland China by using Elman and Jordan recurrent neural networks

BackgroundEstablishing epidemiological models and conducting predictions seems to be useful for the prevention and control of human brucellosis. Autoregressive integrated moving average (ARIMA) models can capture the long-term trends and the periodic variations in time series. However, these models cannot handle the nonlinear trends correctly. Recurrent neural networks can address problems that involve nonlinear time series data. In this study, we intended to build prediction models for human brucellosis in mainland China with Elman and Jordan neural networks. The fitting and forecasting accuracy of the neural networks were compared with a traditional seasonal ARIMA model.MethodsThe reported human brucellosis cases were obtained from the website of the National Health and Family Planning Commission of China. The human brucellosis cases from January 2004 to December 2017 were assembled as monthly counts. The training set observed from January 2004 to December 2016 was used to build the seasonal ARIMA model, Elman and Jordan neural networks. The test set from January 2017 to December 2017 was used to test the forecast results. The root mean squared error (RMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) were used to assess the fitting and forecasting accuracy of the three models.ResultsThere were 52,868 cases of human brucellosis in Mainland China from January 2004 to December 2017. We observed a long-term upward trend and seasonal variance in the original time series. In the training set, the RMSE and MAE of Elman and Jordan neural networks were lower than those in the ARIMA model, whereas the MAPE of Elman and Jordan neural networks was slightly higher than that in the ARIMA model. In the test set, the RMSE, MAE and MAPE of Elman and Jordan neural networks were far lower than those in the ARIMA model.ConclusionsThe Elman and Jordan recurrent neural networks achieved much higher forecasting accuracy. These models are more suitable for forecasting nonlinear time series data, such as human brucellosis than the traditional ARIMA model.

A hybrid wavelet analysis and adaptive neuro-fuzzy inference system for drought forecasting

Drought forecasting plays an important role in the planning and management of water resources systems. In this paper, a hybrid wavelet and adaptive neuro-fuzzy inference system (WANFIS) is proposed for drought forecasting. The WANFIS model was developed by combining two methods, namely a discrete wavelet transform and adaptive neuro-fuzzy inference system (ANFIS) model. To assess the effectiveness of this model, the standardised precipitation index (SPI) was applied for meteorological drought analysis at five rainfalls gauging stations located around the Klang River basin, Malaysia. The SPI drought forecasting capability performance of the WANFIS model is compared with the autoregressive integrated moving average (ARIMA) and ANFIS models using various statistical measures. Comparison of the results reveals that the WANFIS model performs better than the traditional ANFIS and ARIMA models.

Application of a hybrid model for predicting the incidence of tuberculosis in Hubei, China.

BackgroundA prediction model for tuberculosis incidence is needed in China which may be used as a decision-supportive tool for planning health interventions and allocating health resources.MethodsThe autoregressive integrated moving average (ARIMA) model was first constructed with the data of tuberculosis report rate in Hubei Province from Jan 2004 to Dec 2011.The data from Jan 2012 to Jun 2012 were used to validate the model. Then the generalized regression neural network (GRNN)-ARIMA combination model was established based on the constructed ARIMA model. Finally, the fitting and prediction accuracy of the two models was evaluated.ResultsA total of 465,960 cases were reported between Jan 2004 and Dec 2011 in Hubei Province. The report rate of tuberculosis was highest in 2005 (119.932 per 100,000 population) and lowest in 2010 (84.724 per 100,000 population). The time series of tuberculosis report rate show a gradual secular decline and a striking seasonal variation. The ARIMA (2, 1, 0) × (0, 1, 1)12 model was selected from several plausible ARIMA models. The residual mean square error of the GRNN-ARIMA model and ARIMA model were 0.4467 and 0.6521 in training part, and 0.0958 and 0.1133 in validation part, respectively. The mean absolute error and mean absolute percentage error of the hybrid model were also less than the ARIMA model.Discussion and ConclusionsThe gradual decline in tuberculosis report rate may be attributed to the effect of intensive measures on tuberculosis. The striking seasonal variation may have resulted from several factors. We suppose that a delay in the surveillance system may also have contributed to the variation. According to the fitting and prediction accuracy, the hybrid model outperforms the traditional ARIMA model, which may facilitate the allocation of health resources in China.

Urban water demand forecasting and uncertainty assessment using ensemble wavelet-bootstrap-neural network models

[1] A new hybrid wavelet-bootstrap-neural network (WBNN) model is proposed in this study for short term (1, 3, and 5 day; 1 and 2 week; and 1 and 2 month) urban water demand forecasting. The new method was tested using data from the city of Montreal in Canada. The performance of the WBNN method was compared with the autoregressive integrated moving average (ARIMA) and autoregressive integrated moving average model with exogenous input variables (ARIMAX), traditional NNs, wavelet analysis-based NNs (WNN), bootstrap-based NNs (BNN), and a simple naive persistence index model. The WBNN model was developed as an ensemble of several NNs built using bootstrap resamples of wavelet subtime series instead of raw data sets. The results demonstrated that the hybrid WBNN and WNN models produced significantly more accurate forecasting results than the traditional NN, BNN, ARIMA, and ARIMAX models. It was also found that the WBNN model reduces the uncertainty associated with the forecasts, and the performance of WBNN forecasted confidence bands was found to be more accurate and reliable than BNN forecasted confidence bands. It was found in this study that maximum temperature and total precipitation improved the accuracy of water demand forecasts using wavelet analysis. The performance of WBNN models was also compared for different numbers of bootstrap resamples (i.e., 25, 50, 100, 200, and 500) and it was found that WBNN models produced optimum results with different numbers of bootstrap resamples for different lead time forecasts with considerable variability.

Hybrid Fuzzy Auto-Regressive Integrated Moving Average (FARIMAH) Model for Forecasting the Foreign Exchange Markets

Abstract Improving forecasting especially time series forecasting accuracy is an important yet often difficult task facing forecasters. Fuzzy autoregressive integrated moving average (FARIMA) models are the fuzzy improved version of the autoregressive integrated moving average (ARIMA) models, proposed in order to overcome limitations of the traditional ARIMA models; especially data limitation, and yield more accurate results. However, the forecasted interval of the FARIMA models may be very wide in some specific Circumstances. For instance, when data has high volatility or includes a significant difference or outliers. In this paper, a new hybrid model of FARIMA models is proposed by combining with probabilistic neural classifiers, called FARIMAH, in order to yield a more general and more accurate model than FARIMA models for financial forecasting in incomplete data situations. The main idea of the proposed model is based on this fact that the distribution of the actual values in the forecasted interval b...