Grey-box radial basis function modelling: the art of incorporating prior knowledge

A basic principle in data modelling is to incorporate available a priori information regarding the underlying data generating mechanism into the modelling process. We adopt this principle and consider grey-box radial basis function (RBF) modelling capable of incorporating prior knowledge. Specifically, we show how to explicitly incorporate the two types of prior knowledge: the underlying data generating mechanism exhibits known symmetric property and the underlying process obeys a set of given boundary value constraints. The class of orthogonal least squares regression algorithms can readily be applied to construct parsimonious grey-box RBF models with enhanced generalisation capability.

A fast identification algorithm for Box-Cox transformation based radial basis function neural network

In this letter, a Box-Cox transformation-based radial basis function (RBF) neural network is introduced using the RBF neural network to represent the transformed system output. Initially a fixed and moderate sized RBF model base is derived based on a rank revealing orthogonal matrix triangularization (QR decomposition). Then a new fast identification algorithm is introduced using Gauss-Newton algorithm to derive the required Box-Cox transformation, based on a maximum likelihood estimator. The main contribution of this letter is to explore the special structure of the proposed RBF neural network for computational efficiency by utilizing the inverse of matrix block decomposition lemma. Finally, the Box-Cox transformation-based RBF neural network, with good generalization and sparsity, is identified based on the derived optimal Box-Cox transformation and a D-optimality-based orthogonal forward regression algorithm. The proposed algorithm and its efficacy are demonstrated with an illustrative example in comparison with support vector machine regression.

NOx and O3 above a tropical rainforest: an analysis with a global and box model

A cross-platform field campaign, OP3, was conducted in the state of Sabah in Malaysian Borneo between April and July of 2008. Among the suite of observations recorded, the campaign included measurements of NOx and O3 – crucial outputs of any model chemistry mechanism. We describe the measurements of these species made from both the ground site and aircraft. We then use the output from two resolutions of the chemistry transport model p-TOMCAT to illustrate the ability of a global model chemical mechanism to capture the chemistry at the rainforest site. The basic model performance is good for NOx and poor for ozone. A box model containing the same chemical mechanism is used to explore the results of the global model in more depth and make comparisons between the two. Without some parameterization of the nighttime boundary layer – free troposphere mixing (i.e. the use of a dilution parameter), the box model does not reproduce the observations, pointing to the importance of adequately representing physical processes for comparisons with surface measurements. We conclude with a discussion of box model budget calculations of chemical reaction fluxes, deposition and mixing, and compare these results to output from p-TOMCAT. These show the same chemical mechanism behaves similarly in both models, but that emissions and advection play particularly strong roles in influencing the comparison to surface measurements.

Evaluation of a Lagrangian box model using field measurements from EASE (Eastern Atlantic Summer Experiment) 1996

The Cambridge Tropospheric Trajectory model of Chemistry and Transport (CiTTyCAT), a Lagrangian chemistry model, has been evaluated using atmospheric chemical measurements collected during the East Atlantic Summer Experiment 1996 (EASE '96). This field campaign was part of the UK Natural Environment Research Council's (NERC) Atmospheric Chemistry Studies in the Oceanic Environment (ACSOE) programme, conducted at Mace Head, Republic of Ireland, during July and August 1996. The model includes a description of gas-phase tropospheric chemistry, and simple parameterisations for surface deposition, mixing from the free troposphere and emissions. The model generally compares well with the measurements and is used to study the production and loss of O3 under a variety of conditions. The mean difference between the hourly O3 concentrations calculated by the model and those measured is 0.6 ppbv with a standard deviation of 8.7 ppbv. Three specific air-flow regimes were identified during the campaign – westerly, anticyclonic (easterly) and south westerly. The westerly flow is typical of background conditions for Mace Head. However, on some occasions there was evidence of long-range transport of pollutants from North America. In periods of anticyclonic flow, air parcels had collected emissions of NOx and VOCs immediately before arriving at Mace Head, leading to O3 production. The level of calculated O3 depends critically on the precise details of the trajectory, and hence on the emissions into the air parcel. In several periods of south westerly flow, low concentrations of O3 were measured which were consistent with deposition and photochemical destruction inside the tropical marine boundary layer.

Grey-box radial basis function modelling

A fundamental principle in data modelling is to incorporate available a priori information regarding the underlying data generating mechanism into the modelling process. We adopt this principle and consider grey-box radial basis function (RBF) modelling capable of incorporating prior knowledge. Specifically, we show how to explicitly incorporate the two types of prior knowledge: (i) the underlying data generating mechanism exhibits known symmetric property, and (ii) the underlying process obeys a set of given boundary value constraints. The class of efficient orthogonal least squares regression algorithms can readily be applied without any modification to construct parsimonious grey-box RBF models with enhanced generalisation capability.

Expert judgement in the processes of commercial property market forecasting

In this paper, we investigate the role of judgement in the formation of forecasts in commercial property markets. The investigation is based on interview surveys with the majority of UK forecast producers, who are using a range of inputs and data sets to form models to predict an array of variables for a range of locations. The findings suggest that forecasts need to be acceptable to their users (and purchasers) and consequently forecasters generally have incentives to avoid presenting contentious or conspicuous forecasts. Where extreme forecasts are generated by a model, forecasters often engage in ‘self‐censorship’ or are ‘censored’ following in‐house consultation. It is concluded that the forecasting process is significantly more complex than merely carrying out econometric modelling, forecasts are mediated and contested within organisations and that impacts can vary considerably across different organizational contexts.

Data dilemmas in forecasting European office market rents

This paper uses data provided by three major real estate advisory firms to investigate the level and pattern of variation in the measurement of historic real estate rental values for the main European office centres. The paper assesses the extent to which the data providing organizations agree on historic market performance in terms of returns, risk and timing and examines the relationship between market maturity and agreement. The analysis suggests that at the aggregate level and for many markets, there is substantial agreement on direction, quantity and timing of market change. However, there is substantial variability in the level of agreement among cities. The paper also assesses whether the different data sets produce different explanatory models and market forecast. It is concluded that, although disagreement on the direction of market change is high for many market, the different data sets often produce similar explanatory models and predict similar relative performance.

Volatility forecasting for risk management

Recent research has suggested that forecast evaluation on the basis of standard statistical loss functions could prefer models which are sub-optimal when used in a practical setting. This paper explores a number of statistical models for predicting the daily volatility of several key UK financial time series. The out-of-sample forecasting performance of various linear and GARCH-type models of volatility are compared with forecasts derived from a multivariate approach. The forecasts are evaluated using traditional metrics, such as mean squared error, and also by how adequately they perform in a modern risk management setting. We find that the relative accuracies of the various methods are highly sensitive to the measure used to evaluate them. Such results have implications for any econometric time series forecasts which are subsequently employed in financial decisionmaking.