The bias in reversing the Box-Cox transformation in time series forecasting: An empirical study based on neural networks

The Box-Cox transformation is a technique mostly utilized to turn the probabilistic distribution of a time series data into approximately normal. And this helps statistical and neural models to perform more accurate forecastings. However, it introduces a bias when the reversion of the transformation is conducted with the predicted data. The statistical methods to perform a bias-free reversion require, necessarily, the assumption of Gaussianity of the transformed data distribution, which is a rare event in real-world time series. So, the aim of this study was to provide an effective method of removing the bias when the reversion of the Box-Cox transformation is executed. Thus, the developed method is based on a focused time lagged feedforward neural network, which does not require any assumption about the transformed data distribution. Therefore, to evaluate the performance of the proposed method, numerical simulations were conducted and the Mean Absolute Percentage Error, the Theil Inequality Index and the Signal-to-Noise ratio of 20-step-ahead forecasts of 40 time series were compared, and the results obtained indicate that the proposed reversion method is valid and justifies new studies. (C) 2014 Elsevier B.V. All rights reserved.

Determining spatial resolution in spatial load forecasting using a grid-based model

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Estimation of a preference map of new consumers for spatial load forecasting simulation methods using a spatial analysis of points

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Firm Market Performance and Volatility in a National Real Estate Sector

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange. from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average. (C) 2011 Elsevier Inc. All rights reserved.

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.

Hybrid Water Demand Forecasting Model Associating Artificial Neural Network with Fourier Series

This paper addressed the problem of water-demand forecasting for real-time operation of water supply systems. The present study was conducted to identify the best fit model using hourly consumption data from the water supply system of Araraquara, Sa approximate to o Paulo, Brazil. Artificial neural networks (ANNs) were used in view of their enhanced capability to match or even improve on the regression model forecasts. The ANNs used were the multilayer perceptron with the back-propagation algorithm (MLP-BP), the dynamic neural network (DAN2), and two hybrid ANNs. The hybrid models used the error produced by the Fourier series forecasting as input to the MLP-BP and DAN2, called ANN-H and DAN2-H, respectively. The tested inputs for the neural network were selected literature and correlation analysis. The results from the hybrid models were promising, DAN2 performing better than the tested MLP-BP models. DAN2-H, identified as the best model, produced a mean absolute error (MAE) of 3.3 L/s and 2.8 L/s for training and test set, respectively, for the prediction of the next hour, which represented about 12% of the average consumption. The best forecasting model for the next 24 hours was again DAN2-H, which outperformed other compared models, and produced a MAE of 3.1 L/s and 3.0 L/s for training and test set respectively, which represented about 12% of average consumption. DOI: 10.1061/(ASCE)WR.1943-5452.0000177. (C) 2012 American Society of Civil Engineers.

Forecasting the need for medical specialists in Spain: application of a system dynamics model

[EN] Background: Spain has gone from a surplus to a shortage of medical doctors in very few years. Medium and long-term planning for health professionals has become a high priority for health authorities. Methods: We created a supply and demand/need simulation model for 43 medical specialties using system dynamics. The model includes demographic, education and labour market variables. Several scenarios were defined. Variables controllable by health planners can be set as parameters to simulate different scenarios. The model calculates the supply and the deficit or surplus. Experts set the ratio of specialists needed per 1000 inhabitants with a Delphi method. Results: In the scenario of the baseline model with moderate population growth, the deficit of medical specialists will grow from 2% at present (2800 specialists) to 14.3% in 2025 (almost 21 000). The specialties with the greatest medium-term shortages are Anesthesiology, Orthopedic and Traumatic Surgery, Pediatric Surgery, Plastic Aesthetic and Reparatory Surgery, Family and Community Medicine, Pediatrics, Radiology, and Urology. Conclusions: The model suggests the need to increase the number of students admitted to medical school. Training itineraries should be redesigned to facilitate mobility among specialties. In the meantime, the need to make more flexible the supply in the short term is being filled by the immigration of physicians from new members of the European Union and from Latin America.

Forecasting and visualization of wildfires in a 3D geographical information system

[EN]This paper describes a wildfi re forecasting application based on a 3D virtual environment and a fi re simulation engine. A novel open source framework is presented for the development of 3D graphics applications over large geographic areas, off ering high performance 3D visualization and powerful interaction tools for the Geographic Information Systems (GIS) community. The application includes a remote module that allows simultaneous connection of several users for monitoring a real wildfi re event.

Ensemble forecasting in the Mediterranean sea

A new methodology is being devised for ensemble ocean forecasting using distributions of the surface wind field derived from a Bayesian Hierarchical Model (BHM). The ocean members are forced with samples from the posterior distribution of the wind during the assimilation of satellite and in-situ ocean data. The initial condition perturbations are then consistent with the best available knowledge of the ocean state at the beginning of the forecast and amplify the ocean response to uncertainty only in the forcing. The ECMWF Ensemble Prediction System (EPS) surface winds are also used to generate a reference ocean ensemble to evaluate the performance of the BHM method that proves to be eective in concentrating the forecast uncertainty at the ocean meso-scale. An height month experiment of weekly BHM ensemble forecasts was performed in the framework of the operational Mediterranean Forecasting System. The statistical properties of the ensemble are compared with model errors throughout the seasonal cycle proving the existence of a strong relationship between forecast uncertainties due to atmospheric forcing and the seasonal cycle.

Wind forecasting over complex terrain

[EN]In this paper we introduce a new methodology for wind field forecasting over complex terrain. The idea is to use the predictions of the HARMONIE mesoscale model as the input data for an adaptive finite element mass consistent wind model [1, 2]. A description of the HARMONIE Non-Hydrostatic Dynamics can be found in [3]. The HARMONIE results (obtained with a maximum resolution about 1 Km) are refined in a local scale (about a few meters)...

Wind ensamble forecasting using an adaptive mass-consistent model

[EN]Ensemble forecasting [1] 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 [2]. The wind _eld forecasting is based on a mass-consistent model and a log-linear wind pro_le using as input data the resulting forecast wind from Harmonie [3], a Non-Hydrostatic Dynamic model. The mass-consistent model parameters are estimated by using genetic algorithms [4]. The mesh is generated using the meccano method [5] and adapted to the geometry. The main source of uncertainties in this model is the parameter estimation and the in- trinsic uncertainties of the Harmonie Model…