Time series is a kind of data widely used in various fields such as electricity forecasting,exchange rate forecasting,and solar power generation forecasting,and therefore time series prediction is of great significanc...Time series is a kind of data widely used in various fields such as electricity forecasting,exchange rate forecasting,and solar power generation forecasting,and therefore time series prediction is of great significance.Recently,the encoder-decoder model combined with long short-term memory(LSTM)is widely used for multivariate time series prediction.However,the encoder can only encode information into fixed-length vectors,hence the performance of the model decreases rapidly as the length of the input sequence or output sequence increases.To solve this problem,we propose a combination model named AR_CLSTM based on the encoder_decoder structure and linear autoregression.The model uses a time step-based attention mechanism to enable the decoder to adaptively select past hidden states and extract useful information,and then uses convolution structure to learn the internal relationship between different dimensions of multivariate time series.In addition,AR_CLSTM combines the traditional linear autoregressive method to learn the linear relationship of the time series,so as to further reduce the error of time series prediction in the encoder_decoder structure and improve the multivariate time series Predictive effect.Experiments show that the AR_CLSTM model performs well in different time series predictions,and its root mean square error,mean square error,and average absolute error all decrease significantly.展开更多
A nonparametric test for normality of linear autoregressive time series is proposed in this paper.The test is based on the best one-step forecast in mean square with time reverse.Some asymptotic theory is developed fo...A nonparametric test for normality of linear autoregressive time series is proposed in this paper.The test is based on the best one-step forecast in mean square with time reverse.Some asymptotic theory is developed for the test,and it is shown that the test is easy to use and has good powers.The empirical percentage points to conduct the test in practice are provided and three examples using real data are included.展开更多
基金Shanxi Provincial Key Research and Development Program Project Fund(No.201703D111011)。
文摘Time series is a kind of data widely used in various fields such as electricity forecasting,exchange rate forecasting,and solar power generation forecasting,and therefore time series prediction is of great significance.Recently,the encoder-decoder model combined with long short-term memory(LSTM)is widely used for multivariate time series prediction.However,the encoder can only encode information into fixed-length vectors,hence the performance of the model decreases rapidly as the length of the input sequence or output sequence increases.To solve this problem,we propose a combination model named AR_CLSTM based on the encoder_decoder structure and linear autoregression.The model uses a time step-based attention mechanism to enable the decoder to adaptively select past hidden states and extract useful information,and then uses convolution structure to learn the internal relationship between different dimensions of multivariate time series.In addition,AR_CLSTM combines the traditional linear autoregressive method to learn the linear relationship of the time series,so as to further reduce the error of time series prediction in the encoder_decoder structure and improve the multivariate time series Predictive effect.Experiments show that the AR_CLSTM model performs well in different time series predictions,and its root mean square error,mean square error,and average absolute error all decrease significantly.
基金This research is supported by the National Natural Science Foundation of China(No.19971093) the Knowledge Innovation Program of the Chinese Academy of Sciences (No. KZCX2-SW-118).
文摘A nonparametric test for normality of linear autoregressive time series is proposed in this paper.The test is based on the best one-step forecast in mean square with time reverse.Some asymptotic theory is developed for the test,and it is shown that the test is easy to use and has good powers.The empirical percentage points to conduct the test in practice are provided and three examples using real data are included.
