Empirical likelihood for first-order mixed integer-valued autoregressive model

In this paper, we not only construct the confidence region for parameters in a mixed integer-valued autoregressive process using the empirical likelihood method, but also establish the empirical log-likelihood ratio statistic and obtain its limiting distribution. And then, via simulation studies we give coverage probabilities for the parameters of interest. The results show that the empirical likelihood method performs very well.

Utilizing the Vector Autoregression Model (VAR) for Short-Term Solar Irradiance Forecasting

Forecasting solar irradiance is a critical task in the renewable energy sector, as it provides essential information regarding the potential energy production from solar panels. This study aims to utilize the Vector Autoregression (VAR) model to forecast solar irradiance levels and weather characteristics in the San Francisco Bay Area. The results demonstrate a correlation between predicted and actual solar irradiance, indicating the effectiveness of the VAR model for this task. However, the model may not be sufficient for this region due to the requirement of additional weather features to reduce disparities between predictions and actual observations. Additionally, the current lag order in the model is relatively low, limiting its ability to capture all relevant information from past observations. As a result, the model’s forecasting capability is limited to short-term horizons, with a maximum horizon of four hours.

Network autoregression model with grouped factor structures

Network autoregression and factor model are effective methods for modeling network time series data.In this study,we propose a network autoregression model with a factor structure that incorporates a latent group structure to address nodal heterogeneity within the network.An iterative algorithm is employed to minimize a least-squares objective function,allowing for simultaneous estimation of both the parameters and the group structure.To determine the unknown number of groups and factors,a PIC criterion is introduced.Additionally,statistical inference of the estimated parameters is presented.To assess the validity of the proposed estimation and inference procedures,we conduct extensive numerical studies.We also demonstrate the utility of our model using a stock dataset obtained from the Chinese A-Share stock market.

Asymptotic normality of error density estimator in stationary and explosive autoregressive models

In this paper,we consider the limit distribution of the error density function estima-tor in the rst-order autoregressive models with negatively associated and positively associated random errors.Under mild regularity assumptions,some asymptotic normality results of the residual density estimator are obtained when the autoregressive models are stationary process and explosive process.In order to illustrate these results,some simulations such as con dence intervals and mean integrated square errors are provided in this paper.It shows that the residual density estimator can replace the density\estimator"which contains errors.

Resilient back propagation神经网络模型与autoregression型在径流预报中的比较研究

本文以黄河利津站和浙江省白溪水库的月径流水文序列为例,在自相关分析的基础上,建立自回归autoregression模型,并参照其结构建立了相应的resilient back propagation神经网络预报模型.比较结果显示:(1)resilient back propagation模型的模拟预报结果与序列的自相关性有密切关系;(2)当序列有较好的自相关性时,可参照autoregression模型建立相应的resilient back propagation模型;(3)与传统autoregression模型相比,resilient back propagation模型能取得更高的预报精度;且随着预报步长增加,resilient back propagation模型的优势更加明显.

Time series analysis-based seasonal autoregressive fractionally integrated moving average to estimate hepatitis B and C epidemics in China

BACKGROUND Hepatitis B(HB)and hepatitis C(HC)place the largest burden in China,and a goal of eliminating them as a major public health threat by 2030 has been set.Making more informed and accurate forecasts of their spread is essential for developing effective strategies,heightening the requirement for early warning to deal with such a major public health threat.AIM To monitor HB and HC epidemics by the design of a paradigmatic seasonal autoregressive fractionally integrated moving average(SARFIMA)for projections into 2030,and to compare the effectiveness with the seasonal autoregressive integrated moving average(SARIMA).METHODS Monthly HB and HC incidence cases in China were obtained from January 2004 to June 2023.Descriptive analysis and the Hodrick-Prescott method were employed to identify trends and seasonality.Two periods(from January 2004 to June 2022 and from January 2004 to December 2015,respectively)were used as the training sets to develop both models,while the remaining periods served as the test sets to evaluate the forecasting accuracy.RESULTS There were incidents of 23400874 HB cases and 3590867 HC cases from January 2004 to June 2023.Overall,HB remained steady[average annual percentage change(AAPC)=0.44,95%confidence interval(95%CI):-0.94-1.84]while HC was increasing(AAPC=8.91,95%CI:6.98-10.88),and both had a peak in March and a trough in February.In the 12-step-ahead HB forecast,the mean absolute deviation(15211.94),root mean square error(18762.94),mean absolute percentage error(0.17),mean error rate(0.15),and root mean square percentage error(0.25)under the best SARFIMA(3,0,0)(0,0.449,2)12 were smaller than those under the best SARIMA(3,0,0)(0,1,2)12(16867.71,20775.12,0.19,0.17,and 0.27,respectively).Similar results were also observed for the 90-step-ahead HB,12-step-ahead HC,and 90-step-ahead HC forecasts.The predicted HB incidents totaled 9865400(95%CI:7508093-12222709)cases and HC totaled 1659485(95%CI:856681-2462290)cases during 2023-2030.CONCLUSION Under current interventions,China faces enormous challenges to eliminate HB and HC epidemics by 2030,and effective strategies must be reinforced.The integration of SARFIMA into public health for the management of HB and HC epidemics can potentially result in more informed and efficient interventions,surpassing the capabilities of SARIMA.

Threshold autoregression models for forecasting El Nino events

-In this paper, monthly mean SST data in a large area are used. After the spacial average of the data is carried out and the secular monthly means are substracted, a time series (Jan. 1951-Dec. 1985) of SST anomalies of the cold tongue water area in the eastern tropical Pacific Ocean is obtained. On the basis of the time series, an autoregression model, a self-exciting threshold autoregression model and an open loop autoregression model are developed respectively. The interannual variations are simulated by means of those models. The simulation results show that all the three models have made very good hindcasting for the nine El Nino events since 1951. In order to test the reliability of the open loop threshold model, extrapolated forecast was made for the period of Jan. 1986-Feb. 1987. It can be seen from the forecasting that the model could forecast well the beginning and strengthening stages of the recent El Nino event (1986-1987). Correlation coefficients of the estimations to observations are respectively 0. 84, 0. 88 and 0. 89. It is obvious that all the models work well and the open loop threshold one is the best. So the open loop threshold autoregression model is a useful tool for monitoring the SSTinterannual variation of the cold tongue water area in the Eastern Equatorial Pacific Ocean and for estimating the El Nino strength.

Constructing Confidence Regions for Autoregressive-Model Parameters

We discuss formulas and techniques for finding maximum-likelihood estimators of parameters of autoregressive (with particular emphasis on Markov and Yule) models, computing their asymptotic variance-covariance matrix and displaying the resulting confidence regions;Monte Carlo simulation is then used to establish the accuracy of the corresponding level of confidence. The results indicate that a direct application of the Central Limit Theorem yields errors too large to be acceptable;instead, we recommend using a technique based directly on the natural logarithm of the likelihood function, verifying its substantially higher accuracy. Our study is then extended to the case of estimating only a subset of a model’s parameters, when the remaining ones (called nuisance) are of no interest to us.

Peer Pressure and Harmful Use of Alcohol in Thailand: A Spatial Autoregressive Model Application

Due to peer pressure playing a crucial role in the decision to drink,people who have a more fragile temperament might be expected to be at higher risk.Moreover,many studies have investigated the influence of peer pressure on alcohol consumption,but few have examined the relationship between heavy drinking and peer pressure via a spatial autoregressive model(SAR)in low/middle-income countries,such as Thailand.This paper investigated the connection between heavy drinkers over the age of 15 years who drink more than or equal to 60 grams of unmixed alcohol at least once per month based on the Thai Survey of Cigarette Smoking and Alcoholic Drinking Behavior,2014.Further,the drinkers were assumed to socialize with two peer groups:immediate family and close friends.Our paper considered a SAR model because SAR can overcome the reflection problem encountered using a linear-in-means model and the correlated effect problem found with hierarchical models.The mainfinding was the discovery of a significant and positive peer effect on alcohol consumption among heavy drinkers.In addition,there was evidence of education having an effect,but no evidence of income affecting on alcohol consumption.Specifically,a higher level of education was linked with lower levels of alcohol consumption.The results not only help us to understand the peer effect and alcohol consumption behavior,but policymakers can also apply peer effect-based strategies to formulate effective policies to decrease the alcohol consumption rate in Thailand.

Partial Time-Varying Coefficient Regression and Autoregressive Mixed Model

Regression and autoregressive mixed models are classical models used to analyze the relationship between time series response variable and other covariates. The coefficients in traditional regression and autoregressive mixed models are constants. However, for complicated data, the coefficients of covariates may change with time. In this article, we propose a kind of partial time-varying coefficient regression and autoregressive mixed model and obtain the local weighted least-square estimators of coefficient functions by the local polynomial technique. The asymptotic normality properties of estimators are derived under regularity conditions, and simulation studies are conducted to empirically examine the finite-sample performances of the proposed estimators. Finally, we use real data about Lake Shasta inflow to illustrate the application of the proposed model.

Partial Time-Varying Coefficient Regression and Autoregressive Mixed Model

Regression and autoregressive mixed models are classical models used to analyze the relationship between time series response variable and other covariates. The coefficients in traditional regression and autoregressive mixed models are constants. However, for complicated data, the coefficients of covariates may change with time. In this article, we propose a kind of partial time-varying coefficient regression and autoregressive mixed model and obtain the local weighted least-square estimators of coefficient functions by the local polynomial technique. The asymptotic normality properties of estimators are derived under regularity conditions, and simulation studies are conducted to empirically examine the finite-sample performances of the proposed estimators. Finally, we use real data about Lake Shasta inflow to illustrate the application of the proposed model.

Trend Autoregressive Model Exact Run Length Evaluation on a Two-Sided Extended EWMA Chart

The Extended Exponentially Weighted Moving Average(extended EWMA)control chart is one of the control charts and can be used to quickly detect a small shift.The performance of control charts can be evaluated with the average run length(ARL).Due to the deriving explicit formulas for the ARL on a two-sided extended EWMA control chart for trend autoregressive or trend AR(p)model has not been reported previously.The aim of this study is to derive the explicit formulas for the ARL on a two-sided extended EWMA con-trol chart for the trend AR(p)model as well as the trend AR(1)and trend AR(2)models with exponential white noise.The analytical solution accuracy was obtained with the extended EWMA control chart and was compared to the numer-ical integral equation(NIE)method.The results show that the ARL obtained by the explicit formula and the NIE method is hardly different,but the explicit for-mula can help decrease the computational(CPU)time.Furthermore,this is also expanded to comparative performance with the Exponentially Weighted Moving Average(EWMA)control chart.The performance of the extended EWMA control chart is better than the EWMA control chart for all situations,both the trend AR(1)and trend AR(2)models.Finally,the analytical solution of ARL is applied to real-world data in the healthfield,such as COVID-19 data in the United Kingdom and Sweden,to demonstrate the efficacy of the proposed method.

基于深度自回归模型的电网异常流量检测算法

针对电网中行为种类复杂多样且数量众多的问题,提出了一种基于自回归模型的电网异常流量检测算法。该算法利用深度自编码网络自动提取网络流量数据的特征,降低异常流量检测的分析周期,并自动挖掘数据的层次关系。通过支持向量机对提取的特征进行分类,实现对异常流量的检测。仿真实验结果表明,所提算法可以分析不同攻击向量,避免噪声数据的干扰,进而提高电网异常流量检测的精度,对于流量数据处理具有重要意义。

基于时频域分析的车载毫米波雷达干扰抑制方法

文中针对车载调频连续波雷达之间相互干扰导致虚警和漏警的问题,提出一种在时频域基于改进经验模式分解和自回归模型相结合的干扰抑制方法。该方法首先使用经验模式分解区分出拍频信号中干扰分量主导的低阶本征模态函数,将其转换到短时傅里叶变换域后通过全局阈值方法进行干扰分量定位;其次,在时频域根据定位信息将拍频信号包含干扰的数据置零;最后,使用自回归模型对拍频信号中缺失的有用信号进行估计并插值。通过仿真和实测结果显示,该方法在精确地去除干扰分量的同时可以减少有用信号的功率损失,干扰抑制后的信号与参考信号的相关系数达到0.9697。与现有干扰抑制技术相比文中方法也体现出更优的干扰抑制性能。

基于集成光子储备池的时间序列任务预测 (特邀)

光子储备池因其反馈连接的拓扑结构,在时间序列任务中展现出巨大潜力,主要形式包括延时型、波导型、空间光型和空腔型储备池。其中,波导型集成光子储备池具有并行输入和高集成度的特点,在时间序列二进制任务中表现突出。然而,针对更复杂的模拟数值预测任务,传统方法下的单个集成光子储备池因物理节点数量有限,导致计算性能不足。为解决这一问题,提出了一种32节点梅花形光子储备池芯片,外围节点作为输入输出节点,各输入节点通过强度调制引入非线性效应,接收不同的调制信号,各输出节点基于历史数据,采用向量自回归算法进行训练,从而实现更高效且精确的时间序列预测任务。研究结果表明:通过优化输入策略、芯片设计和训练算法,32节点集成光子储备池相较于传统延时型光子储备池,在预测任务中的RMSE和NMSE指标分别提升了两个和一个数量级,使波导型集成光子储备池在时间序列预测任务中成为有力竞争方法。

基于在线监测时间序列数据的水质预测模型研究进展

当前地表水突发性污染事件频发,已造成严重的环境和社会影响,对环境监管部门应急处置能力建设提出了新要求和新挑战。地表水水质在线监测数据具有高频率和高时效等特点,系统论述了基于在线监测时间序列数据的水质预测模型的研究现状和进展,包括数据软测量、预处理方法和水质预测模型等,分析了不同水质预测模型在应用过程中存在的问题,并对未来研究方向进行了展望,以期为水质预测预警和环境监管提供技术支持和方法参考。

相干累加与AR滤波相结合的舰船轴频电场信号处理方法

针对采用电场传感器阵列测量舰船电场的应用场景,为提升目标轴频电场的信噪比,提出一种相干累加结合自回归(autoregressive,AR)模型滤波的方法对阵列电场信号进行处理。对测量得到的阵列电场信号进行时延补偿后累加,同时对环境电场信号进行AR建模,并利用AR模型参数构造滤波器,以对累加后的信号实施滤波处理。为验证所提方法在低信噪比条件下的有效性,对实测阵列式电场信号进行处理,结果表明,所提方法能够在信噪比为-25.39 dB的条件下有效压制噪声频谱,保留轴频线谱,处理后信噪比提高约21.92 dB。

北京市东城区2009—2019年蝇类生态学监测结果分析及其预测方法探讨

目的 掌握北京市东城区2009—2019年蝇种类、密度、分布及其季节消长规律,探讨基于生态学监测的蝇类密度预测方法,为东城区蝇类预测与科学防控提供依据。方法 收集整理东城区2009—2019年蝇类生态学监测数据并进行分析;利用MATLAB R2018b软件构建的季节性差分自回归移动平均模型(SARIMA)对2019年4—10月的蝇类密度进行预测并与实际监测值进行比较,验证模型预测效果。结果 2009—2019年东城区各生态学监测点蝇类年平均密度为7.09只/笼,优势蝇种为麻蝇科,占捕获蝇总数的56.82%,占比超过5%以上的蝇种类依次为厩腐蝇(11.74%)、家蝇(10.17%)、丝光绿蝇(8.99%)和大头金蝇(6.93%);不同生境中,宾馆饭店蝇类密度最高,为11.86只/笼,餐饮外环境最低,为2.20只/笼,麻蝇科在不同生境中均为优势种群;蝇类密度高峰主要出现在7月和8月。基于历史生态学监测数据构建的最优模型SARIMA(0,1,4)(2,1,3)12预测2019年4—10月的蝇类密度与实际密度基本一致,实际监测值均落在预测值95%置信区间内,模型评价指标均方根误差(RMSE)和平均绝对误差(MAE)分别为1.379和1.014,预测效果较好。结论 2009—2019年北京市东城区以麻蝇科为优势种群,宾馆饭店是蝇类防控的重点场所,活动高峰主要出现在7—8月;通过对SARIMA模型效果评价,该方法可用于蝇类密度短期变化趋势预测。

融合时空图卷积网络与非自回归模型的三维人体运动预测

当前人体运动预测的方法大多采用基于图卷积网络的自回归模型,没有充分考虑关节间的特有关系和自回归网络性能的限制,从而产生平均姿态和误差累积等问题。为解决以上问题,提出融合时空图卷积网络和非自回归的模型对人体运动进行预测。一方面利用时空图卷积的网络提取人体运动序列的局部特征,可以有效减少三维人体运动预测场景中的平均姿态问题和过度堆叠图卷积层引起的过平滑问题的发生;另一方面将非自回归模型与时空图卷积网络进行结合,减少误差累计问题的发生。利用Human3.6M的数据集进行80 ms、160 ms、320 ms和400 ms的人体运动预测实验。结果表明,NAS-GCN模型与现有方法相比,能预测出更精确的结果。

基于改进JRD及误差修正的轴承剩余寿命预测方法

目前,风电机组齿轮箱性能发生初始退化时难以识别,现有退化指标易出现剧烈波动、单调性较差,且无法准确预测齿轮箱关键部件如轴承的剩余使用寿命(RUL),针对该问题,提出了一种基于改进杰森-瑞丽散度(JRD)及误差修正的双指数模型轴承RUL预测方法。首先,提取了振动信号样本的多域特征指标,利用高斯混合模型(GMM)与指数型权重JRD,得到了样本的后验概率分布向量,再经归一化处理得到置信值(CV);然后,对轴承从初始健康状态退化至当前检查时刻的CV值进行了相空间重构,提取了CV序列的动力学特征,并将其作为相关向量机(RVM)的训练集,获得了支撑整个退化轨迹的相关向量;最后,利用双指数模型拟合了相关向量,外推趋势至失效门限以计算RUL,并引入了差分整合移动平均自回归模型(ARIMA),对拟合相关向量产生的拟合误差进行了预测,以修正预测的结果。实验结果表明:改进后的退化指标单调性指标提高14.3%;且在不同工况、不同时刻下,经误差修正后的轴承的RUL预测结果较未修正之前有明显提高。研究结果表明:该预测方法可为风电机组齿轮箱重要部件的预测性维护提供参考。