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This study investigates deep learning models for financial data prediction and examines whether the architecture of a deep learning model and time-series data properties affect prediction accuracy. Comparing the performance of convolutional neural network (CNN), long short-term memory (LSTM), Stacked-LSTM, CNN-LSTM, and convolutional LSTM (ConvLSTM) when used as a prediction approach to a collection of financial time-series data is the main methodology of this study. In this instance, only those deep learning architectures that can predict multivariate time-series data sets in parallel are considered. This research uses the daily movements of 4 (four) Asian stock market indices from 1 January 2020 to 31 December 2020. Using data from the early phase of the spread of the Covid-19 pandemic that has created worldwide economic turmoil is intended to validate the performance of the analyzed deep learning models. Experiment results and analytical findings indicate that there is no superior deep learning model that consistently makes the most accurate predictions for all states' financial data. In addition, a single deep learning model tends to provide more accurate predictions for more stable time-series data, but the hybrid model is preferred for more chaotic time-series data.

We establish rates of convergences in time series forecasting using the statistical learning approach based on oracle inequalities. A series of papers extends the oracle inequalities obtained for iid observations to time series under weak dependence conditions. Given a family of predictors and $n$ observations, oracle inequalities state that a predictor forecasts the series as well as the best predictor in the family up to a remainder term $\Delta_n$. Using the PAC-Bayesian approach, we establish under weak dependence conditions oracle inequalities with optimal rates of convergence. We extend previous results for the absolute loss function to any Lipschitz loss function with rates $\Delta_n\sim\sqrt{c(\Theta)/ n}$ where $c(\Theta)$ measures the complexity of the model. We apply the method for quantile loss functions to forecast the french GDP. Under additional conditions on the loss functions (satisfied by the quadratic loss function) and on the time series, we refine the rates of convergence to $\Delta_n \sim c(\Theta)/n$. We achieve for the first time these fast rates for uniformly mixing processes. These rates are known to be optimal in the iid case and for individual sequences. In particular, we generalize the results of Dalalyan and Tsybakov on sparse regression estimation to the case of autoregression.

The outbreak of the COVID-19 pandemic occurred some time ago, making the world a pandemic. Based on this condition is important to predict early to prevent the COVID-19 disease if someday pandemic occurs. The aim of the study is to compare the analysis result of cumulative cases of COVID-19 using multiple linear regression (MLR), ridge regression (RR), and long short term memory (LSTM) models for cases study Java and Bali islands. We chose both islands as a case study because they have very dense populations. These three models are the most widely used time series-based prediction models and have relatively high accuracy values. The predictive variables used are the number of cumulative cases, the daily cases, and population density. The research data was taken from Kaggle and processed using google collabs. Data was taken from January 20, 2020, to August 8, 2020, and data training was carried out for 12 days. The results show the accuracy of LSTM is better than other models. it can be seen in the accuracy value (99.8%) of the model test result. The testing model uses R2, mean square error (MSE), and root mean square error (RMSE). 

We study the occurrence of events, subject to threshold, in a representative SOC sandpile model and in high-resolution rainfall data. The predictability in both systems is analyzed by means of a decision variable sensitive to event clustering, and the quality of the predictions is evaluated by the receiver operating characteristics (ROC) method. In the case of the SOC sandpile model, the scaling of quiet-time distributions with increasing threshold leads to increased predictability of extreme events. A scaling theory allows us to understand all the details of the prediction procedure and to extrapolate the shape of the ROC curves for the most extreme events. For rainfall data, the quiet-time distributions do not scale for high thresholds, which means that the corresponding ROC curves cannot be straightforwardly related to those for lower thresholds.

In the subject of railway operation, predicting railway passenger volume has always been a hot topic. Accurately forecasting railway passenger volume is the foundation for railway transportation companies to optimize transit efficiency and revenue. The goal of this research is to use a combination of the fuzzy time series approach based on the rate of change algorithm and the Holt double exponential smoothing method to forecast the number of train passengers. In contrast to prior investigations, we focus primarily on determining the next time period in this research. The fuzzy time series is employed as the forecasting basis, the rate of change is used to build the set of universes, and the Holt's double exponential smoothing method is utilized to forecast the following period in this case study. The number of railway passengers predicted for January 2020 is 38199, with a tiny average forecasting error rate of 0.89 percent and a mean square error of 131325. It can also help rail firms identify future passenger needs, which can be used to decide whether to expand train cars or run new trains, as well as how to distribute tickets.

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For oscillating time series, the prediction is often focused on the turning points. In order to predict the turning point magnitudes and times it is proposed to form the state space reconstruction only from the turning points and modify the local (nearest neighbor) model accordingly. The model on turning points gives optimal prediction at a lower dimensional state space than the optimal local model applied directly on the oscillating time series and is thus computationally more efficient. Monte Carlo simulations on different oscillating nonlinear systems showed that it gives better predictions of turning points and this is confirmed also for the time series of annual sunspots and total stress in a plastic deformation experiment.

The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_n}$, is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning, APE$_{\delta_n}$ is obtained by summing these squared errors from stage $n\delta_n$, where $n$ is the sample size and $1/n\leq \delta_n\leq 1-(1/n)$ may depend on $n$. Under certain regularity conditions, an asymptotic expression is derived for the mean-squared prediction error (MSPE) of an AR predictor with order determined by APE$_{\delta_n}$. This expression shows that the prediction performance of APE$_{\delta_n}$ can vary dramatically depending on the choice of $\delta_n$. Another interesting finding is that when $\delta_n$ approaches 1 at a certain rate, APE$_{\delta_n}$ can achieve asymptotic efficiency in most practical situations. An asymptotic equivalence between APE$_{\delta_n}$ and an information criterion with a suitable penalty term is also established from the MSPE point of view. This offers new perspectives for understanding the information and prediction-based model selection criteria. Finally, we provide the first asymptotic efficiency result for the case when the underlying AR($\infty$) model is allowed to degenerate to a finite autoregression.

Results of analysis of long time variations of solar activities based on monthly Wolf number series (1749-2011 years) are represented. Shown the presence of stable oscillations in autocorrelation function for the Wolf numbers series with a period near 42.5 years. The statistical model of variations of autocorrelation function based on assumption of nonstationarity process are constructed. The question of using the model to predict the solar activity is discussed.

Prediction of events is fundamental to both human and artificial agents. The main problem with previous prediction techniques is that they cannot predict events that have never been experienced before. This dissertation addresses the problem of predicting such novelty by developing algorithms and computational models inspired from recent cognitive science theories conceptual blending theory and event segmentation theory. We were able to show that prediction accuracy for event or state prediction can be significantly improved using these methods. The main contribution of this dissertation is a new class of prediction techniques inspired by conceptual blending that improves prediction accuracy overall and has the ability to predict even events that have never been experienced before. We also show that event segmentation theory, when integrated with these techniques, results in greater computational efficiency. We implemented the new prediction techniques, and more traditional alternatives such as Markov and Bayesian techniques, and compared their prediction accuracy quantitatively for three domains a role-playing game, intrusion-system alerts, and event prediction of maritime paths in a discrete-event simulator. Other contributions include two new unification algorithms that improve over a nave one, and an exploration of ways to maintain a minimum-size knowledge base without affecting prediction accuracy.

We tackle the issue of the blind prediction of a Gaussian time series. For this, we construct a projection operator build by plugging an empirical covariance estimation into a Schur complement decomposition of the projector. This operator is then used to compute the predictor. Rates of convergence of the estimates are given.

In this thesis, a class of time series models for forecasting a hurricane's future position based on its previous positions and a generalized model of hurricane motion are examined and extended. Results of a literature review suggest that meteorological models continue to increase in complexity while few statistical approaches, such as linear regression, have been successfully applied. An exception is provided by a certain class of time series models that appear to forecast storms almost as well as current meteorological models without their tremendous complexity. A suggestion for enhancing the performance of these time series models is pursued through an examination of the forecast errors produced when these models are applied to historical storm tracks. The results uncover no patterns that can be exploited in developing an improved model and suggest that there are meteorological processes or factors at work beyond those that can be modeled with the available historical data base. The statistical structure of the time series approach is exploited to develop a practical method for determining prediction regions which probabilistically describe a hurricane's likely future position. The Monte Carlo approach used to develop these prediction ellipses is seen to be applicable for predicting areas subject to risk from hurricane landfall.

Time series prediction covers a vast field of every-day statistical applications in medical, environmental and economic domains. In this paper we develop nonparametric prediction strategies based on the combination of a set of 'experts' and show the universal consistency of these strategies under a minimum of conditions. We perform an in-depth analysis of real-world data sets and show that these nonparametric strategies are more flexible, faster and generally outperform ARMA methods in terms of normalized cumulative prediction error.

The problems of moving average representations of weakly harmonizable processes, extending the corresponding results on stationary processes, is of interest both-theoretically and for applications. Completing some earlier work on the computational problems of conditional probabilities, some unresolved questions are highlighted with illustrations in another paper.

Maintaining inventory level to avoid high inventory costs is an issue for Cardiac Product Distribution Companies (CPDCs) because of the shortage of their products which affect their sale and causes loss of the customer. This research aims to provide a method for predicting the upcoming demand of the Balloon and Stents by using time series analysis (Auto Regression Integrated Moving Average) and Deep learning (Long-Short Term Memory). To conduct this research, data was collected from Pakistan’s leading cardiac product distributors to determine the method's performance. The findings were compared using Mean absolute error (MAE) and Root Mean Square Error (RMSE). Resulst conclude that the ARIMA algorithm successfully forecasts cardiac products sale.

In this paper we show that different physiological states and pathological conditions may be characterized in terms of predictability of time series signals from the underlying biological system. In particular we consider systolic arterial pressure time series from healthy subjects and Chronic Heart Failure patients, undergoing paced respiration. We model time series by the regularized least squares approach and quantify predictability by the leave-one-out error. We find that the entrainment mechanism connected to paced breath, that renders the arterial blood pressure signal more regular, thus more predictable, is less effective in patients, and this effect correlates with the seriousness of the heart failure. The leave-one-out error separates controls from patients and, when all orders of nonlinearity are taken into account, alive patients from patients for which cardiac death occurred.

High-dimensional time series prediction is needed in applications as diverse as demand forecasting and climatology. Often, such applications require methods that are both highly scalable, and deal with noisy data in terms of corruptions or missing values. Classical time series methods usually fall short of handling both these issues. In this paper, we propose to adapt matrix matrix completion approaches that have previously been successfully applied to large scale noisy data, but which fail to adequately model high-dimensional time series due to temporal dependencies. We present a novel temporal regularized matrix factorization (TRMF) framework which supports data-driven temporal dependency learning and enables forecasting ability to our new matrix factorization approach. TRMF is highly general, and subsumes many existing matrix factorization approaches for time series data. We make interesting connections to graph regularized matrix factorization methods in the context of learning the dependencies. Experiments on both real and synthetic data show that TRMF outperforms several existing approaches for common time series tasks.

Multi-task learning employs shared representation of knowledge for learning multiple instances from the same or related problems. Time series prediction consists of several instances that are defined by the way they are broken down into fixed windows known as embedding dimension. Finding the optimal values for embedding dimension is a computationally intensive task. Therefore, we introduce a new category of problem called dynamic time series prediction that requires a trained model to give prediction when presented with different values of the embedding dimension. This can be seen a new class of time series prediction where dynamic prediction is needed. In this paper, we propose a co-evolutionary multi-task learning method that provides a synergy between multi-task learning and coevolution. This enables neural networks to retain modularity during training for building blocks of knowledge for different instances of the problem. The effectiveness of the proposed method is demonstrated using one-step-ahead chaotic time series problems. The results show that the proposed method can effectively be used for different instances of the related time series problems while providing improved generalisation performance.

In this paper, a new stochastic method has been presented for prediction of morphological change, and bankline system using timeseries data from satellite remote sensing imageries in the meandering river. Multi-temporal satellite remote sensing data i.e. Landsat series imageries from 2006 to 2020

This article is from Healthcare Informatics Research , volume 16 . Abstract Objectives: To develop and evaluate time series models to predict the daily number of patients visiting the Emergency Department (ED) of a Korean hospital. Methods: Data were collected from the hospital information system database. In order to develop a forecasting model, we used, 2 years of data from January 2007 to December 2008 data for the following 3 consecutive months were processed for validation. To establish a Forecasting Model, calendar and weather variables were utilized. Three forecasting models were established: 1) average; 2) univariate seasonal auto-regressive integrated moving average (SARIMA); and 3) multivariate SARIMA. To evaluate goodness-of-fit, residual analysis, Akaike information criterion and Bayesian information criterion were compared. The forecast accuracy for each model was evaluated via mean absolute percentage error (MAPE). Results: The multivariate SARIMA model was the most appropriate for forecasting the daily number of patients visiting the ED. Because it's MAPE was 7.4%, this was the smallest among the models, and for this reason was selected as the final model. Conclusions: This study applied explanatory variables to a multivariate SARIMA model. The multivariate SARIMA model exhibits relativelyhigh reliability and forecasting accuracy. The weather variables play a part in predicting daily ED patient volume.

This article is from Healthcare Informatics Research , volume 16 . Abstract Objectives: To develop and evaluate time series models to predict the daily number of patients visiting the Emergency Department (ED) of a Korean hospital. Methods: Data were collected from the hospital information system database. In order to develop a forecasting model, we used, 2 years of data from January 2007 to December 2008 data for the following 3 consecutive months were processed for validation. To establish a Forecasting Model, calendar and weather variables were utilized. Three forecasting models were established: 1) average; 2) univariate seasonal auto-regressive integrated moving average (SARIMA); and 3) multivariate SARIMA. To evaluate goodness-of-fit, residual analysis, Akaike information criterion and Bayesian information criterion were compared. The forecast accuracy for each model was evaluated via mean absolute percentage error (MAPE). Results: The multivariate SARIMA model was the most appropriate for forecasting the daily number of patients visiting the ED. Because it's MAPE was 7.4%, this was the smallest among the models, and for this reason was selected as the final model. Conclusions: This study applied explanatory variables to a multivariate SARIMA model. The multivariate SARIMA model exhibits relativelyhigh reliability and forecasting accuracy. The weather variables play a part in predicting daily ED patient volume.

A Human-In-The-Loop simulation was conducted in January of 2013 in the Airspace Operations Laboratory at NASA's Ames Research Center. The simulation airspace included two en route sectors feeding the northwest corner of Atlanta's Terminal Radar Approach Control. The focus of this paper is on how uncertainties in the study's trajectory predictions impacted the controllers ability to perform their duties. Of particular interest is how the controllers interacted with the delay information displayed in the meter list and data block while managing the arrival flows. Due to wind forecasts with 30-knot over-predictions and 30-knot under-predictions, delay value computations included errors of similar magnitude, albeit in opposite directions. However, when performing their duties in the presence of these errors, did the controllers issue clearances of similar magnitude, albeit in opposite directions?

Forecasting a time series from multivariate predictors constitutes a challenging problem, especially using model-free approaches. Most techniques, such as nearest-neighbor prediction, quickly suffer from the curse of dimensionality and overfitting for more than a few predictors which has limited their application mostly to the univariate case. Therefore, selection strategies are needed that harness the available information as efficiently as possible. Since often the right combination of predictors matters, ideally all subsets of possible predictors should be tested for their predictive power, but the exponentially growing number of combinations makes such an approach computationally prohibitive. Here a prediction scheme that overcomes this strong limitation is introduced utilizing a causal pre-selection step which drastically reduces the number of possible predictors to the most predictive set of causal drivers making a globally optimal search scheme tractable. The information-theoretic optimality is derived and practical selection criteria are discussed. As demonstrated for multivariate nonlinear stochastic delay processes, the optimal scheme can even be less computationally expensive than commonly used sub-optimal schemes like forward selection. The method suggests a general framework to apply the optimal model-free approach to select variables and subsequently fit a model to further improve a prediction or learn statistical dependencies. The performance of this framework is illustrated on a climatological index of El Ni\~no Southern Oscillation.

We present two approaches for next step linear prediction of long memory time series. The first is based on the truncation of the Wiener-Kolmogorov predictor by restricting the observations to the last $k$ terms, which are the only available values in practice. Part of the mean squared prediction error comes from the truncation, and another part comes from the parametric estimation of the parameters of the predictor. By contrast, the second approach is non-parametric. An AR($k$) model is fitted to the long memory time series and we study the error made with this misspecified model.

We present two approaches for next step linear prediction of long memory time series. The first is based on the truncation of the Wiener-Kolmogorov predictor by restricting the observations to the last $k$ terms, which are the only available values in practice. Part of the mean squared prediction error comes from the truncation, and another part comes from the parametric estimation of the parameters of the predictor. By contrast, the second approach is non-parametric. An AR($k$) model is fitted to the long memory time series and we study the error made with this misspecified model.

This article is from BMC Bioinformatics , volume 15 . Abstract Background: Time series models can play an important role in disease prediction. Incidence data can be used to predict the future occurrence of disease events. Developments in modeling approaches provide an opportunity to compare different time series models for predictive power. Results: We applied ARIMA and Random Forest time series models to incidence data of outbreaks of highly pathogenic avian influenza (H5N1) in Egypt, available through the online EMPRES-I system. We found that the Random Forest model outperformed the ARIMA model in predictive ability. Furthermore, we found that the Random Forest model is effective for predicting outbreaks of H5N1 in Egypt. Conclusions: Random Forest time series modeling provides enhanced predictive ability over existing time series models for the prediction of infectious disease outbreaks. This result, along with those showing the concordance between bird and human outbreaks (Rabinowitz et al. 2012), provides a new approach to predicting these dangerous outbreaks in bird populations based on existing, freely available data. Our analysis uncovers the time-series structure of outbreak severity for highly pathogenic avain influenza (H5N1) in Egypt.

Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$ along which we will be able to estimate the conditional probability $P(X_{\lambda_n+1}=x|X_0,...,X_{\lambda_n})$ from data segment $(X_0,...,X_{\lambda_n})$ in a pointwise consistent way for a restricted class of stationary and ergodic finite or countably infinite alphabet time series which includes among others all stationary and ergodic finitarily Markovian processes. If the stationary and ergodic process turns out to be finitarily Markovian (among others, all stationary and ergodic Markov chains are included in this class) then $ \lim_{n\to \infty} {n\over \lambda_n}>0$ almost surely. If the stationary and ergodic process turns out to possess finite entropy rate then $\lambda_n$ is upperbounded by a polynomial, eventually almost surely.

Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$ along which we will be able to estimate the conditional probability $P(X_{\lambda_n+1}=x|X_0,...,X_{\lambda_n})$ from data segment $(X_0,...,X_{\lambda_n})$ in a pointwise consistent way for a restricted class of stationary and ergodic finite or countably infinite alphabet time series which includes among others all stationary and ergodic finitarily Markovian processes. If the stationary and ergodic process turns out to be finitarily Markovian (among others, all stationary and ergodic Markov chains are included in this class) then $ \lim_{n\to \infty} {n\over \lambda_n}>0$ almost surely. If the stationary and ergodic process turns out to possess finite entropy rate then $\lambda_n$ is upperbounded by a polynomial, eventually almost surely.

Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model based on the combination of a set of elementary nearest neighbor-type predictors called "experts" and show its consistency under a minimum of conditions. Our approach builds on the methodology developed in recent years for prediction of individual sequences and exploits the quantile structure as a minimizer of the so-called pinball loss function. We perform an in-depth analysis of real-world data sets and show that this nonparametric strategy generally outperforms standard quantile prediction methods

Motivated by a broad range of potential applications, we address the quantile prediction problem of real-valued time series. We present a sequential quantile forecasting model based on the combination of a set of elementary nearest neighbor-type predictors called "experts" and show its consistency under a minimum of conditions. Our approach builds on the methodology developed in recent years for prediction of individual sequences and exploits the quantile structure as a minimizer of the so-called pinball loss function. We perform an in-depth analysis of real-world data sets and show that this nonparametric strategy generally outperforms standard quantile prediction methods

We study online prediction of bounded stationary ergodic processes. To do so, we consider the setting of prediction of individual sequences and build a deterministic regression tree that performs asymptotically as well as the best L-Lipschitz constant predictors. Then, we show why the obtained regret bound entails the asymptotical optimality with respect to the class of bounded stationary ergodic processes.

Thesis advisors, Christopher Frenzen, Philip Beaver

We report on a technique based on multi-agent games which has potential use in the prediction of future movements of financial time-series. A third-party game is trained on a black-box time-series, and is then run into the future to extract next-step and multi-step predictions. In addition to the possibility of identifying profit opportunities, the technique may prove useful in the development of improved risk management strategies.

We here present a simple and effective model to predict the popularity of web content. Our solution, which is the winner of two of the three tasks of the ECML/PKDD 2014 Predictive Analytics Challenge, aims at predicting user engagement metrics, such as number of visits and social network engagement, that a web page will achieve 48 hours after its upload, using only information available in the first hour after upload. Our model is based on two steps. We first use time series clustering techniques to extract common temporal trends of content popularity. Next, we use linear regression models, exploiting as predictors both content features (e.g., numbers of visits and mentions on online social networks) and metrics that capture the distance between the popularity time series to the trends extracted in the first step. We discuss why this model is effective and show its gains over state of the art alternatives.

We consider $\alpha$-mixing observations and deal with the estimation of the conditional mode of a scalar response variable $Y$ given a random variable $X$ taking values in a semi-metric space. We provide a convergence rate in $L^p$ norm of the estimator. A useful and typical application to functional times series prediction is given.

Shang and Hyndman (2016) proposed grouped functional time series forecasting approach as a combination of individual forecasts using generalized least squares regression. We modify their methodology using generalized exponential smoothing technique for the most disaggregated series in order to obtain more robust predictor. We show some properties of our proposals using simulations and real data related to electricity demand prediction.

In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The technology proposes prediction with the hierarchy of time discretization intervals and splicing procedure for the prediction results at the different frequency levels to the single prediction output time series. The hierarchy of time discretizations gives a possibility to use fractal properties of the given time series to make prediction on the different frequencies of the series. The prediction results for world's stock market indices is presented.

This paper is the second in a series of two, and describes the current state of the art in modelling and prediction of chaotic time series. Sampled data from deterministic non-linear systems may look stochastic when analysed with linear methods. However, the deterministic structure may be uncovered and non-linear models constructed that allow improved prediction. We give the background for such methods from a geometrical point of view, and briefly describe the following types of methods: global polynomials, local polynomials, multi layer perceptrons and semi-local methods including radial basis functions. Some illustrative examples from known chaotic systems are presented, emphasising the increase in prediction error with time. We compare some of the algorithms with respect to prediction accuracy and storage requirements, and list applications of these methods to real data from widely different areas.

We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if the sequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor. The desirable finite-sample properties of the predictor are illustrated by its performance for Markov processes. In such cases the predictor exhibits near optimal behavior even without knowing the order of the Markov process. Prediction with side information is also considered.

The variability of AVHRR calibration coefficient in time was analyzed using algorithms of linear and non-linear time series analysis. Specifically we have used the spline trend modeling, autoregressive process analysis, incremental neural network learning algorithm and redundancy functional testing. The analysis performed on available AVHRR data sets revealed that (1) the calibration data have nonlinear dependencies, (2) the calibration data depend strongly on the target temperature, (3) both calibration coefficients and the temperature time series can be modeled, in the first approximation, as autonomous dynamical systems, (4) the high frequency residuals of the analyzed data sets can be best modeled as an autoregressive process of the 10th degree. We have dealt with a nonlinear identification problem and the problem of noise filtering (data smoothing). The system identification and filtering are significant problems for AVHRR data sets. The algorithms outlined in this study can be used for the future EOS missions. Prediction and smoothing algorithms for time series of calibration data provide a functional characterization of the data. Those algorithms can be particularly useful when calibration data are incomplete or sparse.

The variability of AVHRR calibration coefficient in time was analyzed using algorithms of linear and non-linear time series analysis. Specifically we have used the spline trend modeling, autoregressive process analysis, incremental neural network learning algorithm and redundancy functional testing. The analysis performed on available AVHRR data sets revealed that (1) the calibration data have nonlinear dependencies, (2) the calibration data depend strongly on the target temperature, (3) both calibration coefficients and the temperature time series can be modeled, in the first approximation, as autonomous dynamical systems, (4) the high frequency residuals of the analyzed data sets can be best modeled as an autoregressive process of the 10th degree. We have dealt with a nonlinear identification problem and the problem of noise filtering (data smoothing). The system identification and filtering are significant problems for AVHRR data sets. The algorithms outlined in this study can be used for the future EOS missions. Prediction and smoothing algorithms for time series of calibration data provide a functional characterization of the data. Those algorithms can be particularly useful when calibration data are incomplete or sparse.

In real-time monitoring of hospital patients, high-quality inference of patients' health status using all information available from clinical covariates and lab tests are essential to enable successful medical interventions and improve patient outcomes. In this work, we develop and explore a Bayesian nonparametric model based on Gaussian process (GP) regression for hospital patient monitoring. Our method, MedGP, incorporates 24 clinical and lab covariates and supports a rich reference data set from which the relationships between these observed covariates may be inferred and exploited for high-quality inference of patient state over time. To do this, we develop a highly structured sparse GP kernel to enable tractable computation over tens of thousands of time points while estimating correlations among clinical covariates, patients, and periodicity in high-dimensional time series measurements of physiological signals. We apply MedGP to data from hundreds of thousands of patients treated at the Hospital of the University of Pennsylvania. MedGP has a number of benefits over current methods, including (i) not requiring an alignment of the time series data, (ii) quantifying confidence intervals in the predictions, (iii) exploiting a vast and rich database of patients, and (iv) providing interpretable relationships among clinical covariates. We evaluate and compare results from MedGP on the task of online state prediction for three different patient subgroups.

Radioactivity is spontaneous and thus not easy to predict when it will occur. The average number of decay events in a given interval can lead to accurate projection of the activity of a sample. The possibility of predicting the number of events that will occur in a given time using machine learning has been investigated. The prediction performance of the Extreme gradient boosted (XGB) regression algorithm was tested on gamma-ray counts for K-40, Pb-212 and Pb-214 photo peaks. The accuracy of the prediction over a six-minute duration was observed to improve at higher peak energies. The best performance was obtained at 1460keV photopeak energy of K-40 while the least is at 239keV peak energy of Pb-212. This could be attributed to higher number of data points at higher peak energies which are broad for NaITi detector hence the model had more features to learn from. High R-squared values in the order of 0.99 and 0.97 for K-40 and Pb-212 peaks respectively suggest model overfitting which is attributed to the small number of detector channels. Although radioactive events are spontaneous in nature and not easy to predict when they will occur, it has been established that the average number of counts during a given period of time can be modelled using the XGB algorithm. A similar study with a NaITi gamma detector of high channel numbers and modelling with other machine learning algorithms would be important to compare the findings of the current study.

Developed intelligent technologies are become play a promising role in providing better decision-making and improving the medical services provided to the patients. A risk prediction task for short-term is big challenge task; however, it is a great importance for recommendation systems in health care field to provide patients with accurate and reliable recommendations. In this work, clustering method and least square support vector machine are used for prediction a short-term disease risk prediction. The clustering similar method is based on euclidean distance which used to identify the similar sliding windows. The proposed model is trained by using the slide windows samples. Finally, the appropriate recommendations are generated for heart diseases patients who need to take a medical test or not for following day using least square support vector machine. A real dataset which collected from heart diseases patient is used for evaluation. The proposed method yields a good results related by the recommendations accuracy generated to chronicle heart patients and reduce the risk of incorrect recommendations. 

A computer program is described and presented for calculating finite memory predictors and prediction variances for autoregressive moving average time series models. The Cholesky decomposition algorithm is used, and a number of simplifying results are described and implemented in the program. (Author)

In this paper we address the problem of predicting a time series using the ARMA (autoregressive moving average) model, under minimal assumptions on the noise terms. Using regret minimization techniques, we develop effective online learning algorithms for the prediction problem, without assuming that the noise terms are Gaussian, identically distributed or even independent. Furthermore, we show that our algorithm's performances asymptotically approaches the performance of the best ARMA model in hindsight.

A novel method for predicting time series is described and demonstrated. This method inputs time series data points and outputs multiple "spaghetti" functions from which predictions can be made. Spaghetti prediction has desirable properties that are not realized by classic autoregression, moving average, spline, Gaussian process, and other methods. It is particularly appropriate for short time series because it allows asymmetric prediction distributions and produces prediction functions which are robust in that they use multiple independent models.

In the prediction of oscillating time series, the interest is in the turning points of successive oscillations rather than the samples themselves. For this purpose a scheme has been proposed; the state space reconstruction is limited to the turning points and the local (nearest neighbor) model is modified in order to predict the turning point magnitudes and times. This approach is extended here using a local dynamic regression model on both turning point magnitudes and times. Simulations on oscillating nonlinear systems show that the proposed approach gives better predictions of turning points than the standard local model applied to all the samples of the oscillating time series.

This article is from PLoS ONE , volume 9 . Abstract In this paper a novel application of a particular type of spiking neural network, a Polychronous Spiking Network, was used for financial time series prediction. It is argued that the inherent temporal capabilities of this type of network are suited to non-stationary data such as this. The performance of the spiking neural network was benchmarked against three systems: two “traditional”, rate-encoded, neural networks; a Multi-Layer Perceptron neural network and a Dynamic Ridge Polynomial neural network, and a standard Linear Predictor Coefficients model. For this comparison three non-stationary and noisy time series were used: IBM stock data; US/Euro exchange rate data, and the price of Brent crude oil. The experiments demonstrated favourable prediction results for the Spiking Neural Network in terms of Annualised Return and prediction error for 5-Step ahead predictions. These results were also supported by other relevant metrics such as Maximum Drawdown and Signal-To-Noise ratio. This work demonstrated the applicability of the Polychronous Spiking Network to financial data forecasting and this in turn indicates the potential of using such networks over traditional systems in difficult to manage non-stationary environments.