Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

Towards a parallel computationally efficient approach to scaling up data stream classification

Advances in hardware technologies allow to capture and process data in real-time and the resulting high throughput data streams require novel data mining approaches. The research area of Data Stream Mining (DSM) is developing data mining algorithms that allow us to analyse these continuous streams of data in real-time. The creation and real-time adaption of classification models from data streams is one of the most challenging DSM tasks. Current classifiers for streaming data address this problem by using incremental learning algorithms. However, even so these algorithms are fast, they are challenged by high velocity data streams, where data instances are incoming at a fast rate. This is problematic if the applications desire that there is no or only a very little delay between changes in the patterns of the stream and absorption of these patterns by the classifier. Problems of scalability to Big Data of traditional data mining algorithms for static (non streaming) datasets have been addressed through the development of parallel classifiers. However, there is very little work on the parallelisation of data stream classification techniques. In this paper we investigate K-Nearest Neighbours (KNN) as the basis for a real-time adaptive and parallel methodology for scalable data stream classification tasks.

K-Surfer: a KNIME extension for the management and analysis of Human brain MRI FreeSurfer/FSL data

Human brain imaging techniques, such as Magnetic Resonance Imaging (MRI) or Diffusion Tensor Imaging (DTI), have been established as scientific and diagnostic tools and their adoption is growing in popularity. Statistical methods, machine learning and data mining algorithms have successfully been adopted to extract predictive and descriptive models from neuroimage data. However, the knowledge discovery process typically requires also the adoption of pre-processing, post-processing and visualisation techniques in complex data workflows. Currently, a main problem for the integrated preprocessing and mining of MRI data is the lack of comprehensive platforms able to avoid the manual invocation of preprocessing and mining tools, that yields to an error-prone and inefficient process. In this work we present K-Surfer, a novel plug-in of the Konstanz Information Miner (KNIME) workbench, that automatizes the preprocessing of brain images and leverages the mining capabilities of KNIME in an integrated way. K-Surfer supports the importing, filtering, merging and pre-processing of neuroimage data from FreeSurfer, a tool for human brain MRI feature extraction and interpretation. K-Surfer automatizes the steps for importing FreeSurfer data, reducing time costs, eliminating human errors and enabling the design of complex analytics workflow for neuroimage data by leveraging the rich functionalities available in the KNIME workbench.

ANFIS BASED MODELS FOR ACCESSING QUALITY OF WIKIPEDIA ARTICLES

Wikipedia is a free, web-based, collaborative, multilingual encyclopedia project supported by the non-profit Wikimedia Foundation. Due to the free nature of Wikipedia and allowing open access to everyone to edit articles the quality of articles may be affected. As all people don’t have equal level of knowledge and also different people have different opinions about a topic so there may be difference between the contributions made by different authors. To overcome this situation it is very important to classify the articles so that the articles of good quality can be separated from the poor quality articles and should be removed from the database. The aim of this study is to classify the articles of Wikipedia into two classes class 0 (poor quality) and class 1(good quality) using the Adaptive Neuro Fuzzy Inference System (ANFIS) and data mining techniques. Two ANFIS are built using the Fuzzy Logic Toolbox [1] available in Matlab. The first ANFIS is based on the rules obtained from J48 classifier in WEKA while the other one was built by using the expert’s knowledge. The data used for this research work contains 226 article’s records taken from the German version of Wikipedia. The dataset consists of 19 inputs and one output. The data was preprocessed to remove any similar attributes. The input variables are related to the editors, contributors, length of articles and the lifecycle of articles. In the end analysis of different methods implemented in this research is made to analyze the performance of each classification method used.

Predictive models for chronic renal disease using decision trees, naïve bayes and case-based methods

Data mining can be used in healthcare industry to “mine” clinical data to discover hidden information for intelligent and affective decision making. Discovery of hidden patterns and relationships often goes intact, yet advanced data mining techniques can be helpful as remedy to this scenario. This thesis mainly deals with Intelligent Prediction of Chronic Renal Disease (IPCRD). Data covers blood, urine test, and external symptoms applied to predict chronic renal disease. Data from the database is initially transformed to Weka (3.6) and Chi-Square method is used for features section. After normalizing data, three classifiers were applied and efficiency of output is evaluated. Mainly, three classifiers are analyzed: Decision Tree, Naïve Bayes, K-Nearest Neighbour algorithm. Results show that each technique has its unique strength in realizing the objectives of the defined mining goals. Efficiency of Decision Tree and KNN was almost same but Naïve Bayes proved a comparative edge over others. Further sensitivity and specificity tests are used as statistical measures to examine the performance of a binary classification. Sensitivity (also called recall rate in some fields) measures the proportion of actual positives which are correctly identified while Specificity measures the proportion of negatives which are correctly identified. CRISP-DM methodology is applied to build the mining models. It consists of six major phases: business understanding, data understanding, data preparation, modeling, evaluation, and deployment.

Tests of proportional hazards and proportional odds models for grouped survival data

In this paper, we derive score test statistics to discriminate between proportional hazards and proportional odds models for grouped survival data. These models are embedded within a power family transformation in order to obtain the score tests. In simple cases, some small-sample results are obtained for the score statistics using Monte Carlo simulations. Score statistics have distributions well approximated by the chi-squared distribution. Real examples illustrate the proposed tests.

Predicting body and carcass characteristics of 2 broiler chicken strains using support vector regression and neural network models

As a new modeling method, support vector regression (SVR) has been regarded as the state-of-the-art technique for regression and approximation. In this study, the SVR models had been introduced and developed to predict body and carcass-related characteristics of 2 strains of broiler chicken. To evaluate the prediction ability of SVR models, we compared their performance with that of neural network (NN) models. Evaluation of the prediction accuracy of models was based on the R-2, MS error, and bias. The variables of interest as model output were BW, empty BW, carcass, breast, drumstick, thigh, and wing weight in 2 strains of Ross and Cobb chickens based on intake dietary nutrients, including ME (kcal/bird per week), CP, TSAA, and Lys, all as grams per bird per week. A data set composed of 64 measurements taken from each strain were used for this analysis, where 44 data lines were used for model training, whereas the remaining 20 lines were used to test the created models. The results of this study revealed that it is possible to satisfactorily estimate the BW and carcass parts of the broiler chickens via their dietary nutrient intake. Through statistical criteria used to evaluate the performance of the SVR and NN models, the overall results demonstrate that the discussed models can be effective for accurate prediction of the body and carcass-related characteristics investigated here. However, the SVR method achieved better accuracy and generalization than the NN method. This indicates that the new data mining technique (SVR model) can be used as an alternative modeling tool for NN models. However, further reevaluation of this algorithm in the future is suggested.

Multivariate models for correlated count data

In this study, we deal with the problem of overdispersion beyond extra zeros for a collection of counts that can be correlated. Poisson, negative binomial, zero-inflated Poisson and zero-inflated negative binomial distributions have been considered. First, we propose a multivariate count model in which all counts follow the same distribution and are correlated. Then we extend this model in a sense that correlated counts may follow different distributions. To accommodate correlation among counts, we have considered correlated random effects for each individual in the mean structure, thus inducing dependency among common observations to an individual. The method is applied to real data to investigate variation in food resources use in a species of marsupial in a locality of the Brazilian Cerrado biome. © 2013 Copyright Taylor and Francis Group, LLC.

Competing regression models for longitudinal data

The choice of an appropriate family of linear models for the analysis of longitudinal data is often a matter of concern for practitioners. To attenuate such difficulties, we discuss some issues that emerge when analyzing this type of data via a practical example involving pretestposttest longitudinal data. In particular, we consider log-normal linear mixed models (LNLMM), generalized linear mixed models (GLMM), and models based on generalized estimating equations (GEE). We show how some special features of the data, like a nonconstant coefficient of variation, may be handled in the three approaches and evaluate their performance with respect to the magnitude of standard errors of interpretable and comparable parameters. We also show how different diagnostic tools may be employed to identify outliers and comment on available software. We conclude by noting that the results are similar, but that GEE-based models may be preferable when the goal is to compare the marginal expected responses.

Ontology-based access to sensor data streams

Sensor networks are increasingly becoming one of the main sources of Big Data on the Web. However, the observations that they produce are made available with heterogeneous schemas, vocabularies and data formats, making it difficult to share and reuse these data for other purposes than those for which they were originally set up. In this thesis we address these challenges, considering how we can transform streaming raw data to rich ontology-based information that is accessible through continuous queries for streaming data. Our main contribution is an ontology-based approach for providing data access and query capabilities to streaming data sources, allowing users to express their needs at a conceptual level, independent of implementation and language-specific details. We introduce novel query rewriting and data translation techniques that rely on mapping definitions relating streaming data models to ontological concepts. Specific contributions include: • The syntax and semantics of the SPARQLStream query language for ontologybased data access, and a query rewriting approach for transforming SPARQLStream queries into streaming algebra expressions. • The design of an ontology-based streaming data access engine that can internally reuse an existing data stream engine, complex event processor or sensor middleware, using R2RML mappings for defining relationships between streaming data models and ontology concepts. Concerning the sensor metadata of such streaming data sources, we have investigated how we can use raw measurements to characterize streaming data, producing enriched data descriptions in terms of ontological models. Our specific contributions are: • A representation of sensor data time series that captures gradient information that is useful to characterize types of sensor data. • A method for classifying sensor data time series and determining the type of data, using data mining techniques, and a method for extracting semantic sensor metadata features from the time series.

Multi-dimensional classification using Bayesian networks for stationary and evolving streaming data

Hoy en día, con la evolución continua y rápida de las tecnologías de la información y los dispositivos de computación, se recogen y almacenan continuamente grandes volúmenes de datos en distintos dominios y a través de diversas aplicaciones del mundo real. La extracción de conocimiento útil de una cantidad tan enorme de datos no se puede realizar habitualmente de forma manual, y requiere el uso de técnicas adecuadas de aprendizaje automático y de minería de datos. La clasificación es una de las técnicas más importantes que ha sido aplicada con éxito a varias áreas. En general, la clasificación se compone de dos pasos principales: en primer lugar, aprender un modelo de clasificación o clasificador a partir de un conjunto de datos de entrenamiento, y en segundo lugar, clasificar las nuevas instancias de datos utilizando el clasificador aprendido. La clasificación es supervisada cuando todas las etiquetas están presentes en los datos de entrenamiento (es decir, datos completamente etiquetados), semi-supervisada cuando sólo algunas etiquetas son conocidas (es decir, datos parcialmente etiquetados), y no supervisada cuando todas las etiquetas están ausentes en los datos de entrenamiento (es decir, datos no etiquetados). Además, aparte de esta taxonomía, el problema de clasificación se puede categorizar en unidimensional o multidimensional en función del número de variables clase, una o más, respectivamente; o también puede ser categorizado en estacionario o cambiante con el tiempo en función de las características de los datos y de la tasa de cambio subyacente. A lo largo de esta tesis, tratamos el problema de clasificación desde tres perspectivas diferentes, a saber, clasificación supervisada multidimensional estacionaria, clasificación semisupervisada unidimensional cambiante con el tiempo, y clasificación supervisada multidimensional cambiante con el tiempo. Para llevar a cabo esta tarea, hemos usado básicamente los clasificadores Bayesianos como modelos. La primera contribución, dirigiéndose al problema de clasificación supervisada multidimensional estacionaria, se compone de dos nuevos métodos de aprendizaje de clasificadores Bayesianos multidimensionales a partir de datos estacionarios. Los métodos se proponen desde dos puntos de vista diferentes. El primer método, denominado CB-MBC, se basa en una estrategia de envoltura de selección de variables que es voraz y hacia delante, mientras que el segundo, denominado MB-MBC, es una estrategia de filtrado de variables con una aproximación basada en restricciones y en el manto de Markov. Ambos métodos han sido aplicados a dos problemas reales importantes, a saber, la predicción de los inhibidores de la transcriptasa inversa y de la proteasa para el problema de infección por el virus de la inmunodeficiencia humana tipo 1 (HIV-1), y la predicción del European Quality of Life-5 Dimensions (EQ-5D) a partir de los cuestionarios de la enfermedad de Parkinson con 39 ítems (PDQ-39). El estudio experimental incluye comparaciones de CB-MBC y MB-MBC con los métodos del estado del arte de la clasificación multidimensional, así como con métodos comúnmente utilizados para resolver el problema de predicción de la enfermedad de Parkinson, a saber, la regresión logística multinomial, mínimos cuadrados ordinarios, y mínimas desviaciones absolutas censuradas. En ambas aplicaciones, los resultados han sido prometedores con respecto a la precisión de la clasificación, así como en relación al análisis de las estructuras gráficas que identifican interacciones conocidas y novedosas entre las variables. La segunda contribución, referida al problema de clasificación semi-supervisada unidimensional cambiante con el tiempo, consiste en un método nuevo (CPL-DS) para clasificar flujos de datos parcialmente etiquetados. Los flujos de datos difieren de los conjuntos de datos estacionarios en su proceso de generación muy rápido y en su aspecto de cambio de concepto. Es decir, los conceptos aprendidos y/o la distribución subyacente están probablemente cambiando y evolucionando en el tiempo, lo que hace que el modelo de clasificación actual sea obsoleto y deba ser actualizado. CPL-DS utiliza la divergencia de Kullback-Leibler y el método de bootstrapping para cuantificar y detectar tres tipos posibles de cambio: en las predictoras, en la a posteriori de la clase o en ambas. Después, si se detecta cualquier cambio, un nuevo modelo de clasificación se aprende usando el algoritmo EM; si no, el modelo de clasificación actual se mantiene sin modificaciones. CPL-DS es general, ya que puede ser aplicado a varios modelos de clasificación. Usando dos modelos diferentes, el clasificador naive Bayes y la regresión logística, CPL-DS se ha probado con flujos de datos sintéticos y también se ha aplicado al problema real de la detección de código malware, en el cual los nuevos ficheros recibidos deben ser continuamente clasificados en malware o goodware. Los resultados experimentales muestran que nuestro método es efectivo para la detección de diferentes tipos de cambio a partir de los flujos de datos parcialmente etiquetados y también tiene una buena precisión de la clasificación. Finalmente, la tercera contribución, sobre el problema de clasificación supervisada multidimensional cambiante con el tiempo, consiste en dos métodos adaptativos, a saber, Locally Adpative-MB-MBC (LA-MB-MBC) y Globally Adpative-MB-MBC (GA-MB-MBC). Ambos métodos monitorizan el cambio de concepto a lo largo del tiempo utilizando la log-verosimilitud media como métrica y el test de Page-Hinkley. Luego, si se detecta un cambio de concepto, LA-MB-MBC adapta el actual clasificador Bayesiano multidimensional localmente alrededor de cada nodo cambiado, mientras que GA-MB-MBC aprende un nuevo clasificador Bayesiano multidimensional. El estudio experimental realizado usando flujos de datos sintéticos multidimensionales indica los méritos de los métodos adaptativos propuestos. ABSTRACT Nowadays, with the ongoing and rapid evolution of information technology and computing devices, large volumes of data are continuously collected and stored in different domains and through various real-world applications. Extracting useful knowledge from such a huge amount of data usually cannot be performed manually, and requires the use of adequate machine learning and data mining techniques. Classification is one of the most important techniques that has been successfully applied to several areas. Roughly speaking, classification consists of two main steps: first, learn a classification model or classifier from an available training data, and secondly, classify the new incoming unseen data instances using the learned classifier. Classification is supervised when the whole class values are present in the training data (i.e., fully labeled data), semi-supervised when only some class values are known (i.e., partially labeled data), and unsupervised when the whole class values are missing in the training data (i.e., unlabeled data). In addition, besides this taxonomy, the classification problem can be categorized into uni-dimensional or multi-dimensional depending on the number of class variables, one or more, respectively; or can be also categorized into stationary or streaming depending on the characteristics of the data and the rate of change underlying it. Through this thesis, we deal with the classification problem under three different settings, namely, supervised multi-dimensional stationary classification, semi-supervised unidimensional streaming classification, and supervised multi-dimensional streaming classification. To accomplish this task, we basically used Bayesian network classifiers as models. The first contribution, addressing the supervised multi-dimensional stationary classification problem, consists of two new methods for learning multi-dimensional Bayesian network classifiers from stationary data. They are proposed from two different points of view. The first method, named CB-MBC, is based on a wrapper greedy forward selection approach, while the second one, named MB-MBC, is a filter constraint-based approach based on Markov blankets. Both methods are applied to two important real-world problems, namely, the prediction of the human immunodeficiency virus type 1 (HIV-1) reverse transcriptase and protease inhibitors, and the prediction of the European Quality of Life-5 Dimensions (EQ-5D) from 39-item Parkinson’s Disease Questionnaire (PDQ-39). The experimental study includes comparisons of CB-MBC and MB-MBC against state-of-the-art multi-dimensional classification methods, as well as against commonly used methods for solving the Parkinson’s disease prediction problem, namely, multinomial logistic regression, ordinary least squares, and censored least absolute deviations. For both considered case studies, results are promising in terms of classification accuracy as well as regarding the analysis of the learned MBC graphical structures identifying known and novel interactions among variables. The second contribution, addressing the semi-supervised uni-dimensional streaming classification problem, consists of a novel method (CPL-DS) for classifying partially labeled data streams. Data streams differ from the stationary data sets by their highly rapid generation process and their concept-drifting aspect. That is, the learned concepts and/or the underlying distribution are likely changing and evolving over time, which makes the current classification model out-of-date requiring to be updated. CPL-DS uses the Kullback-Leibler divergence and bootstrapping method to quantify and detect three possible kinds of drift: feature, conditional or dual. Then, if any occurs, a new classification model is learned using the expectation-maximization algorithm; otherwise, the current classification model is kept unchanged. CPL-DS is general as it can be applied to several classification models. Using two different models, namely, naive Bayes classifier and logistic regression, CPL-DS is tested with synthetic data streams and applied to the real-world problem of malware detection, where the new received files should be continuously classified into malware or goodware. Experimental results show that our approach is effective for detecting different kinds of drift from partially labeled data streams, as well as having a good classification performance. Finally, the third contribution, addressing the supervised multi-dimensional streaming classification problem, consists of two adaptive methods, namely, Locally Adaptive-MB-MBC (LA-MB-MBC) and Globally Adaptive-MB-MBC (GA-MB-MBC). Both methods monitor the concept drift over time using the average log-likelihood score and the Page-Hinkley test. Then, if a drift is detected, LA-MB-MBC adapts the current multi-dimensional Bayesian network classifier locally around each changed node, whereas GA-MB-MBC learns a new multi-dimensional Bayesian network classifier from scratch. Experimental study carried out using synthetic multi-dimensional data streams shows the merits of both proposed adaptive methods.

Autonomous classification models in ubiquitous environments

Stream-mining approach is defined as a set of cutting-edge techniques designed to process streams of data in real time, in order to extract knowledge. In the particular case of classification, stream-mining has to adapt its behaviour to the volatile underlying data distributions, what has been called concept drift. Moreover, it is important to note that concept drift may lead to situations where predictive models become invalid and have therefore to be updated to represent the actual concepts that data poses. In this context, there is a specific type of concept drift, known as recurrent concept drift, where the concepts represented by data have already appeared in the past. In those cases the learning process could be saved or at least minimized by applying a previously trained model. This could be extremely useful in ubiquitous environments that are characterized by the existence of resource constrained devices. To deal with the aforementioned scenario, meta-models can be used in the process of enhancing the drift detection mechanisms used by data stream algorithms, by representing and predicting when the change will occur. There are some real-world situations where a concept reappears, as in the case of intrusion detection systems (IDS), where the same incidents or an adaptation of them usually reappear over time. In these environments the early prediction of drift by means of a better knowledge of past models can help to anticipate to the change, thus improving efficiency of the model regarding the training instances needed. By means of using meta-models as a recurrent drift detection mechanism, the ability to share concepts representations among different data mining processes is open. That kind of exchanges could improve the accuracy of the resultant local model as such model may benefit from patterns similar to the local concept that were observed in other scenarios, but not yet locally. This would also improve the efficiency of training instances used during the classification process, as long as the exchange of models would aid in the application of already trained recurrent models, that have been previously seen by any of the collaborative devices. Which it is to say that the scope of recurrence detection and representation is broaden. In fact the detection, representation and exchange of concept drift patterns would be extremely useful for the law enforcement activities fighting against cyber crime. Being the information exchange one of the main pillars of cooperation, national units would benefit from the experience and knowledge gained by third parties. Moreover, in the specific scope of critical infrastructures protection it is crucial to count with information exchange mechanisms, both from a strategical and technical scope. The exchange of concept drift detection schemes in cyber security environments would aid in the process of preventing, detecting and effectively responding to threads in cyber space. Furthermore, as a complement of meta-models, a mechanism to assess the similarity between classification models is also needed when dealing with recurrent concepts. In this context, when reusing a previously trained model a rough comparison between concepts is usually made, applying boolean logic. The introduction of fuzzy logic comparisons between models could lead to a better efficient reuse of previously seen concepts, by applying not just equal models, but also similar ones. This work faces the aforementioned open issues by means of: the MMPRec system, that integrates a meta-model mechanism and a fuzzy similarity function; a collaborative environment to share meta-models between different devices; a recurrent drift generator that allows to test the usefulness of recurrent drift systems, as it is the case of MMPRec. Moreover, this thesis presents an experimental validation of the proposed contributions using synthetic and real datasets.

A data driven study of relationships between relief and farmland abandonment in a Mediterranean region

The environmental, cultural and socio-economic causes and consequences of farmland abandonment are issues of increasing concern for researchers and policy makers. In previous studies, we proposed a new methodology for selecting the driving factors in farmland abandonment processes. Using Data Mining and GIS, it is possible to select those variables which are more significantly related to abandonment. The aim of this study is to investigate the application of the above mentioned methodology for finding relationships between relief and farmland abandonment in a Mediterranean region (SE Spain).We have taken into account up to 28 different variables in a single analysis, some of them commonly considered in land use change studies (slope, altitude, TWI, etc), but also other novel variables have been evaluated (sky view factor, terrain view factor, etc). The variable selection process provides results in line with the previous knowledge of the study area, describing some processes that are region specific (e.g. abandonment versus intensification of the agricultural activities). The European INSPIRE Directive (2007/2/EC) establishes that the digital elevation models for land surfaces should be available in all member countries, this means that the research described in this work can be extrapolated to any European country to determine whether these variables (slope, altitude, etc) are important in the process of abandonment.

A principled approach to interactive hierarchical non-linear visualization of high-dimensional data

Hierarchical visualization systems are desirable because a single two-dimensional visualization plot may not be sufficient to capture all of the interesting aspects of complex high-dimensional data sets. We extend an existing locally linear hierarchical visualization system PhiVis [1] in several directions: bf(1) we allow for em non-linear projection manifolds (the basic building block is the Generative Topographic Mapping -- GTM), bf(2) we introduce a general formulation of hierarchical probabilistic models consisting of local probabilistic models organized in a hierarchical tree, bf(3) we describe folding patterns of low-dimensional projection manifold in high-dimensional data space by computing and visualizing the manifold's local directional curvatures. Quantities such as magnification factors [3] and directional curvatures are helpful for understanding the layout of the nonlinear projection manifold in the data space and for further refinement of the hierarchical visualization plot. Like PhiVis, our system is statistically principled and is built interactively in a top-down fashion using the EM algorithm. We demonstrate the visualization system principle of the approach on a complex 12-dimensional data set and mention possible applications in the pharmaceutical industry.