Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions

This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the dynamics of the vector error-correction representation (Vahid and Engle, 1993); something that has been already investigated in that VECM context by Johansen and Swensen (1999, 2011) but has not been discussed before with this new emphasis. We also provide the present value reduced rank constraints to be tested within the log-linear model. Our second contribution relates to forecasting time series that are subject to those long and short-run reduced rank restrictions. The reason why appropriate common cyclical feature restrictions might improve forecasting is because it finds natural exclusion restrictions preventing the estimation of useless parameters, which would otherwise contribute to the increase of forecast variance with no expected reduction in bias. We applied the techniques discussed in this paper to data known to be subject to present value restrictions, i.e. the online series maintained and up-dated by Shiller. We focus on three different data sets. The fi rst includes the levels of interest rates with long and short maturities, the second includes the level of real price and dividend for the S&P composite index, and the third includes the logarithmic transformation of prices and dividends. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to them. Moreover, imposing short-run restrictions produce forecast winners 70% of the time for target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions

Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value restrictions. Our focus is novel - we are interested in the short-run restrictions entailed by PVMs (Vahid and Engle, 1993, 1997) and their implications for forecasting. Using a well-known database, kept by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.

Preprocessing data for short-term load forecasting with a general regression neural network and a moving average filter

This paper proposes a filter based on a general regression neural network and a moving average filter, for preprocessing half-hourly load data for short-term multinodal load forecasting, discussed in another paper. Tests made with half-hourly load data from nine New Zealand electrical substations demonstrate that this filter is able to handle noise, missing data and abnormal data. © 2011 IEEE.

Analysis of NDVI time series using cross-correlation and forecasting methods for monitoring sugarcane fields in Brazil

Brazil is the largest sugarcane producer in the world and has a privileged position to attend to national and international market places. To maintain the high production of sugarcane, it is fundamental to improve the forecasting models of crop seasons through the use of alternative technologies, such as remote sensing. Thus, the main purpose of this article is to assess the results of two different statistical forecasting methods applied to an agroclimatic index (the water requirement satisfaction index; WRSI) and the sugarcane spectral response (normalized difference vegetation index; NDVI) registered on National Oceanic and Atmospheric Administration Advanced Very High Resolution Radiometer (NOAA-AVHRR) satellite images. We also evaluated the cross-correlation between these two indexes. According to the results obtained, there are meaningful correlations between NDVI and WRSI with time lags. Additionally, the adjusted model for NDVI presented more accurate results than the forecasting models for WRSI. Finally, the analyses indicate that NDVI is more predictable due to its seasonality and the WRSI values are more variable making it difficult to forecast.

Ensemble wind forecasting based on the HARMONIE model and adaptive finite elements in complex orography

[EN]Ensemble forecasting is a methodology to deal with uncertainties in the numerical wind prediction. In this work we propose to apply ensemble methods to the adaptive wind forecasting model presented in. The wind field forecasting is based on a mass-consistent model and a log-linear wind profile using as input data the resulting forecast wind from Harmonie, a Non-Hydrostatic Dynamic model used experimentally at AEMET with promising results. The mass-consistent model parameters are estimated by using genetic algorithms. The mesh is generated using the meccano method and adapted to the geometry…

Analysis of eruptive and seismic sequences to improve the short-and long-term eruption forecasting

Forecasting the time, location, nature, and scale of volcanic eruptions is one of the most urgent aspects of modern applied volcanology. The reliability of probabilistic forecasting procedures is strongly related to the reliability of the input information provided, implying objective criteria for interpreting the historical and monitoring data. For this reason both, detailed analysis of past data and more basic research into the processes of volcanism, are fundamental tasks of a continuous information-gain process; in this way the precursor events of eruptions can be better interpreted in terms of their physical meanings with correlated uncertainties. This should lead to better predictions of the nature of eruptive events. In this work we have studied different problems associated with the long- and short-term eruption forecasting assessment. First, we discuss different approaches for the analysis of the eruptive history of a volcano, most of them generally applied for long-term eruption forecasting purposes; furthermore, we present a model based on the characteristics of a Brownian passage-time process to describe recurrent eruptive activity, and apply it for long-term, time-dependent, eruption forecasting (Chapter 1). Conversely, in an effort to define further monitoring parameters as input data for short-term eruption forecasting in probabilistic models (as for example, the Bayesian Event Tree for eruption forecasting -BET_EF-), we analyze some characteristics of typical seismic activity recorded in active volcanoes; in particular, we use some methodologies that may be applied to analyze long-period (LP) events (Chapter 2) and volcano-tectonic (VT) seismic swarms (Chapter 3); our analysis in general are oriented toward the tracking of phenomena that can provide information about magmatic processes. Finally, we discuss some possible ways to integrate the results presented in Chapters 1 (for long-term EF), 2 and 3 (for short-term EF) in the BET_EF model (Chapter 4).

Towards Rapid Environmental Assessment and Coastal Forecasting in the Northern Adriatic Sea

A new Coastal Rapid Environmental Assessment (CREA) strategy has been developed and successfully applied to the Northern Adriatic Sea. CREA strategy exploits the recent advent of operational oceanography to establish a CREA system based on an operational regional forecasting system and coastal monitoring networks of opportunity. The methodology wishes to initialize a coastal high resolution model, nested within the regional forecasting system, blending the large scale parent model fields with the available coastal observations to generate the requisite field estimates. CREA modeling system consists of a high resolution, O(800m), Adriatic SHELF model (ASHELF) implemented into the Northern Adriatic basin and nested within the Adriatic Forecasting System (AFS) (Oddo et al. 2006). The observational system is composed by the coastal networks established in the framework of ADRICOSM (ADRiatic sea integrated COastal areaS and river basin Managment system) Pilot Project. An assimilation technique exerts a correction of the initial field provided by AFS on the basis of the available observations. The blending of the two data sets has been carried out through a multi-scale optimal interpolation technique developed by Mariano and Brown (1992). Two CREA weekly exercises have been conducted: the first, at the beginning of May (spring experiment); the second in middle August (summer experiment). The weeks have been chosen looking at the availability of all coastal observations in the initialization day and one week later to validate model results, verifying our predictive skills. ASHELF spin up time has been investigated too, through a dedicated experiment, in order to obtain the maximum forecast accuracy within a minimum time. Energetic evaluations show that for the Northern Adriatic Sea and for the forcing applied, a spin-up period of one week allows ASHELF to generate new circulation features enabled by the increased resolution and its total kinetic energy to establish a new dynamical balance. CREA results, evaluated by mean of standard statistics between ASHELF and coastal CTDs, show improvement deriving from the initialization technique and a good model performance in the coastal areas of the Northern Adriatic basin, characterized by a shallow and wide continental shelf subject to substantial freshwater influence from rivers. Results demonstrate the feasibility of our CREA strategy to support coastal zone management and wish an additional establishment of operational coastal monitoring activities to advance it.

Analysis and developments of uncertainty processors for real time flood forecasting

The hydrologic risk (and the hydro-geologic one, closely related to it) is, and has always been, a very relevant issue, due to the severe consequences that may be provoked by a flooding or by waters in general in terms of human and economic losses. Floods are natural phenomena, often catastrophic, and cannot be avoided, but their damages can be reduced if they are predicted sufficiently in advance. For this reason, the flood forecasting plays an essential role in the hydro-geological and hydrological risk prevention. Thanks to the development of sophisticated meteorological, hydrologic and hydraulic models, in recent decades the flood forecasting has made a significant progress, nonetheless, models are imperfect, which means that we are still left with a residual uncertainty on what will actually happen. In this thesis, this type of uncertainty is what will be discussed and analyzed. In operational problems, it is possible to affirm that the ultimate aim of forecasting systems is not to reproduce the river behavior, but this is only a means through which reducing the uncertainty associated to what will happen as a consequence of a precipitation event. In other words, the main objective is to assess whether or not preventive interventions should be adopted and which operational strategy may represent the best option. The main problem for a decision maker is to interpret model results and translate them into an effective intervention strategy. To make this possible, it is necessary to clearly define what is meant by uncertainty, since in the literature confusion is often made on this issue. Therefore, the first objective of this thesis is to clarify this concept, starting with a key question: should be the choice of the intervention strategy to adopt based on the evaluation of the model prediction based on its ability to represent the reality or on the evaluation of what actually will happen on the basis of the information given by the model forecast? Once the previous idea is made unambiguous, the other main concern of this work is to develope a tool that can provide an effective decision support, making possible doing objective and realistic risk evaluations. In particular, such tool should be able to provide an uncertainty assessment as accurate as possible. This means primarily three things: it must be able to correctly combine all the available deterministic forecasts, it must assess the probability distribution of the predicted quantity and it must quantify the flooding probability. Furthermore, given that the time to implement prevention strategies is often limited, the flooding probability will have to be linked to the time of occurrence. For this reason, it is necessary to quantify the flooding probability within a horizon time related to that required to implement the intervention strategy and it is also necessary to assess the probability of the flooding time.

Influence of microphysical schemes on atmospheric water in the Weather Research and Forecasting model

This study examines how different microphysical parameterization schemes influence orographically induced precipitation and the distributions of hydrometeors and water vapour for midlatitude summer conditions in the Weather Research and Forecasting (WRF) model. A high-resolution two-dimensional idealized simulation is used to assess the differences between the schemes in which a moist air flow is interacting with a bell-shaped 2 km high mountain. Periodic lateral boundary conditions are chosen to recirculate atmospheric water in the domain. It is found that the 13 selected microphysical schemes conserve the water in the model domain. The gain or loss of water is less than 0.81% over a simulation time interval of 61 days. The differences of the microphysical schemes in terms of the distributions of water vapour, hydrometeors and accumulated precipitation are presented and discussed. The Kessler scheme, the only scheme without ice-phase processes, shows final values of cloud liquid water 14 times greater than the other schemes. The differences among the other schemes are not as extreme, but still they differ up to 79% in water vapour, up to 10 times in hydrometeors and up to 64% in accumulated precipitation at the end of the simulation. The microphysical schemes also differ in the surface evaporation rate. The WRF single-moment 3-class scheme has the highest surface evaporation rate compensated by the highest precipitation rate. The different distributions of hydrometeors and water vapour of the microphysical schemes induce differences up to 49 W m−2 in the downwelling shortwave radiation and up to 33 W m−2 in the downwelling longwave radiation.

Forecasting cost based on a stochastic utilization plan and a fixed cost function

The application of Markov processes is very useful to health-care problems. The objective of this study is to provide a structured methodology of forecasting cost based upon combining a stochastic model of utilization (Markov Chain) and deterministic cost function. The perspective of the cost in this study is the reimbursement for the services rendered. The data to be used is the OneCare database of claim records of their enrollees over a two-year period of January 1, 1996–December 31, 1997. The model combines a Markov Chain that describes the utilization pattern and its variability where the use of resources by risk groups (age, gender, and diagnosis) will be considered in the process and a cost function determined from a fixed schedule based on real costs or charges for those in the OneCare claims database. The cost function is a secondary application to the model. Goodness-of-fit will be used checked for the model against the traditional method of cost forecasting. ^

"Ripple Effects" and Forecasting Home Prices in Los Angeles, Las Vegas, and Phoenix

We examine the time-series relationship between housing prices in Los Angeles, Las Vegas, and Phoenix. First, temporal Granger causality tests reveal that Los Angeles housing prices cause housing prices in Las Vegas (directly) and Phoenix (indirectly). In addition, Las Vegas housing prices cause housing prices in Phoenix. Los Angeles housing prices prove exogenous in a temporal sense and Phoenix housing prices do not cause prices in the other two markets. Second, we calculate out-of-sample forecasts in each market, using various vector autoregessive (VAR) and vector error-correction (VEC) models, as well as Bayesian, spatial, and causality versions of these models with various priors. Different specifications provide superior forecasts in the different cities. Finally, we consider the ability of theses time-series models to provide accurate out-of-sample predictions of turning points in housing prices that occurred in 2006:Q4. Recursive forecasts, where the sample is updated each quarter, provide reasonably good forecasts of turning points.

Predicting the Past and Forecasting the Future

A commentary on Santos' article, "Explaining Scholarship Addressing Hispanic Children’s Issues."