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Multiscale forecasting models
~
Maggi, Lida Mercedes Barba.
Multiscale forecasting models
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Multiscale forecasting models/ by Lida Mercedes Barba Maggi.
作者:
Maggi, Lida Mercedes Barba.
出版者:
Cham :Springer International Publishing : : 2018.,
面頁冊數:
xxiv, 124 p. :ill., digital ; : 24 cm.;
Contained By:
Springer eBooks
標題:
Time-series analysis. -
電子資源:
http://dx.doi.org/10.1007/978-3-319-94992-5
ISBN:
9783319949925
Multiscale forecasting models
Maggi, Lida Mercedes Barba.
Multiscale forecasting models
[electronic resource] /by Lida Mercedes Barba Maggi. - Cham :Springer International Publishing :2018. - xxiv, 124 p. :ill., digital ;24 cm.
Dedication -- Foreword -- Preface -- Acknowledgement -- List of Tables -- List of Figures -- Acronyms -- 1. Times Series Analysis -- 2. Forecasting based on Hankel Singular Value Decomposition -- 3.Multi-step ahead forecasting -- 4. Multilevel Singular Value Decomposition.
This book presents two new decomposition methods to decompose a time series in intrinsic components of low and high frequencies. The methods are based on Singular Value Decomposition (SVD) of a Hankel matrix (HSVD) The proposed decomposition is used to improve the accuracy of linear and nonlinear auto-regressive models. Linear Auto-regressive models (AR, ARMA and ARIMA) and Auto-regressive Neural Networks (ANNs) have been found insufficient because of the highly complicated nature of some time series. Hybrid models are a recent solution to deal with non-stationary processes which combine pre-processing techniques with conventional forecasters, some pre-processing techniques broadly implemented are Singular Spectrum Analysis (SSA) and Stationary Wavelet Transform (SWT) Although the flexibility of SSA and SWT allows their usage in a wide range of forecast problems, there is a lack of standard methods to select their parameters. The proposed decomposition HSVD and Multilevel SVD are described in detail through time series coming from the transport and fishery sectors. Further, for comparison purposes, it is evaluated the forecast accuracy reached by SSA and SWT, both jointly with AR-based models and ANNs.
ISBN: 9783319949925
Standard No.: 10.1007/978-3-319-94992-5doiSubjects--Topical Terms:
528412
Time-series analysis.
LC Class. No.: QA280
Dewey Class. No.: 519.55
Multiscale forecasting models
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Dedication -- Foreword -- Preface -- Acknowledgement -- List of Tables -- List of Figures -- Acronyms -- 1. Times Series Analysis -- 2. Forecasting based on Hankel Singular Value Decomposition -- 3.Multi-step ahead forecasting -- 4. Multilevel Singular Value Decomposition.
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