Dissertations / Theses on the topic 'ARIMA'
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Abalos, Choque Melisa. "Modelo Arima con intervenciones." Universidad Mayor de San Andrés. Programa Cybertesis BOLIVIA, 2009. http://www.cybertesis.umsa.bo:8080/umsa/2009/abalos_cme/html/index-frames.html.
Full textRostami, Tabar Bahman. "ARIMA demand forecasting by aggregation." Phd thesis, Université Sciences et Technologies - Bordeaux I, 2013. http://tel.archives-ouvertes.fr/tel-00980614.
Full textMariotti, Mara Terezinha. "Análise arima de dados meteo-oceanográficos." Florianópolis, SC, 2003. http://repositorio.ufsc.br/xmlui/handle/123456789/84655.
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Um estudo do mecanismo gerador das componentes meteorológicas que afetam o nível do mar é proposto através da utilização de modelos ARIMA (autorregressive integrated moving average). Séries temporais da temperatura do ar, pressão atmosférica, da componente meridional do vento e do nível do mar foram aquisitadas em São Francisco do Sul-SC, no período de 14 de julho a 15 de dezembro de 1996, e reamostradas a cada seis horas para melhor avaliar as componentes de baixa freqüência. As séries se mostraram não estacionárias na média, impondo a necessidade de integração. Não foi possível identificar uma não estacionaridade da variância devido ao comprimento insuficiente dos registros utilizados. Nos modelos de ordem 2 a estrutura de recorrência entre dois sistemas frontais é reconhecida através do modo associado aos dois pólos do polinômio. Os modelos AR(4) de todas as variáveis consideradas conseguem reconstruir também a evolução do sistema in situ, de período aproximado de 2,5 dias, por meio da segunda dupla de pólos. Modelos autorregressivos de ordem superior poderiam melhorar a identificação e a reconstrução desses ciclos, mas não conseguem convergir devido a não estacionaridade. Apesar disso, modelos de baixa ordem, com dois parâmetros apenas, conseguem fazer previsões aceitáveis até 24 horas, o que demonstra as possibilidades da metodologia.
Örneholm, Filip. "Anomaly Detection in Seasonal ARIMA Models." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-388503.
Full textVollenbröker, Bernd Karl [Verfasser], and Alexander [Akademischer Betreuer] Lindner. "Strictly Stationary Solutions of Multivariate ARMA and Univariate ARIMA Equations / Bernd Karl Vollenbröker ; Betreuer: Alexander Lindner." Braunschweig : Technische Universität Braunschweig, 2011. http://d-nb.info/1175824860/34.
Full textGuimarães, Rita Cabral Pereira de Castro. "Modelização ARIMA de sucessões cronológicas: aplicação na previsão de escoamentos mensais." Master's thesis, Universidade de Évora, 1997. http://hdl.handle.net/10174/13282.
Full textФілатова, Ганна Петрівна, Анна Петровна Филатова, and Hanna Petrivna Filatova. "Прогнозування державного боргу з використанням ARIMA моделі." Thesis, ЦФЕНД, 2020. https://essuir.sumdu.edu.ua/handle/123456789/84293.
Full textMuller, Daniela. "Estimação para os parâmetros de processos estocásticos estacionários com característica de longa dependência." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 1999. http://hdl.handle.net/10183/127017.
Full textRecent work on time series analysis is concerned with the property of long mcmory, that is, time series in which the dependence between distant observations is not negligible. In this work we analyzc the ARF I .NI A(p, d, q) model, for d E (0.0; 0.5), that has the property of long memory. We consider estimators for the degree of differencing d based on the perioclogram function, on the smoothed periodogram function , anel on the maximum likelihood function suggested by Whittle. Through several simulations we compare the variance anel the mean squared error for these estimators.
Isbister, Tim. "Anomaly detection on social media using ARIMA models." Thesis, Uppsala universitet, Institutionen för informationsteknologi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-269189.
Full textCardoso, Neto Jose. "Agregação temporal de variavel fluxo em modelos Arima." [s.n.], 1990. http://repositorio.unicamp.br/jspui/handle/REPOSIP/305854.
Full textDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Matematica, Estatistica e Ciencia da Computação
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Mestrado
Mestre em Estatística
Landström, Johan, and Patric Linderoth. "Precisionsbaserad analys av trafikprediktion med säsongsbaserad ARIMA-modellering." Thesis, Högskolan i Borås, Akademin för bibliotek, information, pedagogik och IT, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:hb:diva-14336.
Full textIntelligent Transport Systems (ITS) today are a key part of the effort to try to improve the quality of transport networks, for example by supporting the real-time traffic management and giving road users greater opportunity to take informed decisions regarding their driving. Short-term prediction of traffic data, including traffic volume, plays a central role in the services delivered by ITS systems. The strong technological development has contributed to an increased opportunity to use data-driven modeling to perform short-term predictions of traffic data. Seasonal ARIMA (SARIMA) is one of the most common models for modeling and predicting traffic data, which uses patterns in historical data to predict future values. When modeling with SARIMA, a variety of decisions are required regarding he data used. Examples of such decisions are the amount of training data to be used, the days to be included in training data and the aggregation interval to be used. In addition, one-step predictions are performed most often in previous studies of SARIMA modeling of traffic data, although the model supports multi-step prediction into the future. Often, in previous studies, decisions are made concerning mentioned variables without theoretical motivation, while it is highly probable that these decisions affect the accuracy of the predictions. Therefore, this study aims at performing a sensitivity analysis of these parameters to investigate how different values affect the accuracy of traffic volume prediction. The study developed a model with which data could be imported, preprocessed and then modeled using a SARIMA model. Traffic volume data was used, which was collected during January and February 2014, using cameras located on highway 40 on the outskirts of Gothenburg. After differentiation of data, autocorrelation and partial autocorrelation graphs as well as information criteria are used to define appropriate SARIMA models, with which predictions could be made. With defined models, an experiment was conducted in which eight unique scenarios were tested to investigate how the prediction accuracy of traffic volume was influenced by different amount of exercise data, what days was included in training data, length of aggregation intervals, and how many steps into the future were predicted. To evaluate the accuracy of the predictions, MAPE, RMSE and MAE were used. The results of the experiment show that developed SARIMA models are able to predict current data with good precision no matter what values were set for the variables studied. However, the results showed indications that a training volume of five days can generate a model that provides more accurate predictions than when using 15 or 30-day volumes, which can be of great practical importance in real-time analysis. In addition, the results indicate that all weekdays should be included in the training data set when daily seasonality is used, SARIMA modeling handles aggregation intervals of 60 minutes better than 30 or 15 minutes, and that one-step predictions are more accurate than when one or two days horizons are used. The study has focused only on the impact of the four parameters separately and not if a combined effect could be found. Further research is proposed for investigating if combined effects could be found, as well as further investigating whether a lesser training volume can continue to generate more accurate predictions even for other periods of the year.
Nayeri, Negin. "Option strategies using hybrid Support Vector Regression - ARIMA." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-275719.
Full textI denna uppsats utvärderas användningen av maskininlärning i optionsstrategier med fokus på S&P 500 Index. Den första delen av uppsatsen fokuserar på att testa prognos kraften av Support Vector Regression (SVR) metoden för den realiserade volatiliteten med ett fönster på 20 dagar. Prognos kommer att ske för 1 månad framåt (20 trading dagar). Den andra delen av uppsatsen fokuserar på att skapa en ARIMA-modell som prognostiserar nästa värdet i tidsserien som baseras på skillnaden mellan de erhållna prognoserna samt sanna värdena. Detta görs för att skapa en hybrid SVR-ARIMA-modell. Den nya modellen består nu av ett realiserat volatilitetsvärde härrörande från SVR samt den error som erhållits från ARIMA- modellen. Avslutningsvis kommer de två metoderna, det vill säga SVR och hybrid SVR-ARIMA, jämföras och den modell med bäst resultat användas inom två options strategier. Resultaten visar den lovande prognotiseringsförmågan för SVR-metoden som för denna dataset hade en noggrannhetsnivå på 67 % för realiserad volatiliteten. ARIMA- modellen visar också en framgångsrik prognosförmåga för nästa punkt i tidsserien. Dock överträffar Hybrid SVR-ARIMA-modellen SVR-modellen för detta dataset. Det kan diskuteras ifall framgången med dessa metoder kan bero på att denna dataset täcker åren mellan 2010-2018 och det mycket volatila tiden under finanskrisen 2008 är uteslutet. Detta kan ifrågasätta modellernas prognotiseringsförmåga på högre volatilitetsmarknader. Dock ger användningen av hybrid-SVR-ARIMA-modellen som används inom de två option strategierna en genomsnittlig avkastning på 0,37 % och 1,68 %. Det bör dock noteras att de tillkommande kostnaderna för att handla optioner samt premiekostnaden som skall betalas i samband med köp av optioner inte ingår i avkastningen då dessa kostnader varierar beroende på plats av köp. Denna uppsats har gjorts i samarbete med Crescit Asset Management i Stockholm.
Wenzel, Anne. "Komponentenzerlegung des Regelleistungsbedarfs mit Methoden der Zeitreihenanalyse." Master's thesis, Universitätsbibliothek Chemnitz, 2011. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-66420.
Full textAndréasson, David, and Blomquist Jesper Mortensen. "Forecasting the OMXS30 - a comparison between ARIMA and LSTM." Thesis, Uppsala universitet, Statistiska institutionen, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-413793.
Full textKoliadenko, Pavlo <1998>. "Time series forecasting using hybrid ARIMA and ANN models." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19992.
Full textUppling, Hugo, and Adam Eriksson. "Single and multiple step forecasting of solar power production: applying and evaluating potential models." Thesis, Uppsala universitet, Institutionen för teknikvetenskaper, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-384340.
Full textZatloukal, Radomír. "Analýza a předpověď časových řad pomocí statistických metod se zaměřením na metodu Box-Jenkins." Master's thesis, Vysoké učení technické v Brně. Fakulta strojního inženýrství, 2008. http://www.nusl.cz/ntk/nusl-228167.
Full textBahri, El Mostafa. "L'identification automatique des processus ARIMA : une approche par système expert." Aix-Marseille 3, 1991. http://www.theses.fr/1991AIX32043.
Full textArima approach is an important contribution in fore casting economic time series but indentifying such processes is a crucial task, both manualy ans automatically we suggest that the expert system approach is an adequate solution for this problem. We have written a prototype in poss for this purpose and we propose neural network as complementary technique for automatic identification of series procecesses
Heed, Ingrid, and Karl Lindberg. "Forecasting COVID-19 hospitalizations using dynamic regression with ARIMA errors." Thesis, Uppsala universitet, Statistiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-446310.
Full textUrettini, Edoardo <1997>. "Combination of forecasts from ARIMA, Neural Networks and Hybrid models." Master's Degree Thesis, Università Ca' Foscari Venezia, 2021. http://hdl.handle.net/10579/19877.
Full textSilva, Alyne Neves. "Detecção de outliers em séries espaço-temporais: análise de precipitação em Minas Gerais." Universidade Federal de Viçosa, 2012. http://locus.ufv.br/handle/123456789/4061.
Full textFundação de Amparo a Pesquisa do Estado de Minas Gerais
Time series are sometimes influenced by disruptions of events, such as strikes, the outbreak of war, among others. These interrupts originate atypical observations or outliers that directly influence the homogeneity of the series, leading to erroneous inferences and interpretations of the variable under study, being very common in climatological data. So, in the interest of detecting outliers in time series of precipitation, this study aimed to establish a method of detecting outliers. For this, there was the junction of ARIMA models and methodologies of the classical geostatistics, the self-validation. The proposed criterion compares waste of time series analysis with confidence intervals of the residue of self-validation. We analyzed time series of average monthly rainfall for rainy days of 43 rainfall stations in the state of Minas Gerais, between the years 2000 to 2005. The analysis procedures ranging from the description of the periodicity through the periodogram to obtain validation, from the estimation of the semivariogram models by ordinary least squares methods and maximum likelihood. The results for the period under study, 165 were detected outliers, spread between the 43 rainfall stations. The station Campo Grande Ranch, located in the municipality of Passa Tempo, was the season in which they recorded the highest number of outliers, 45 in total. As the results, we considered the proposed method very efficient in detecting outliers, and therefore the analysis of the homogeneity of observations.
Séries temporais são algumas vezes influenciadas por interrupções de eventos, tais como greves, eclosão de guerras, entre outras. Estas interrupções originam observações atípicas ou outliers que influenciam diretamente na homogeneidade da série, ocasionando interpretações e inferências errôneas da variável sob estudo, sendo muito comum em dados climatológicos. Assim, com o interesse de detectar outliers em séries temporais de precipitação, o presente trabalho teve por objetivo estabelecer um método de detecção outliers. Para tal, realizou-se a junção da modelagem ARIMA e de uma das metodologias clássicas de geoestatística, a autovalidação. O critério proposto compara os resíduos da análise de séries temporais com intervalos de confiança dos resíduos da autovalidação. Foram analisadas séries temporais da precipitação média mensal por dias chuvosos de 43 estações pluviométricas localizadas no estado de Minas Gerais, entre os anos de 2000 a 2005. Os procedimentos de análise vão da descrição da periodicidade por meio do periodograma até a obtenção da autovalidação, à partir da estimação dos modelos de semivariograma pelos métodos de mínimos quadrados ordinários e máxima verossimilhança. Pelos resultados, para o período sob estudo, foram detectado 165 outliers, espalhados entre as 43 estações pluviométricas. A estação Fazenda Campo Grande, localizada no município de Passa Tempo, foi a estação em que se registrou o maior número de outliers, 45 no total. Conforme os resultados obtidos considerou-se o método proposto muito eficiente na detecção de outliers e, consequentemente, na análise da homogeneidade das observações.
Odencrants, Martin, and Fredrik Rahm. "Säsongsrensning : En komparativ studie av TRAMO/SEATS och X-12 ARIMA." Thesis, Örebro University, Department of Business, Economics, Statistics and Informatics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-1760.
Full textEtt syfte med tidserieteori är att dekomponera en observerad tidsserie i en summa icke observerbara komponenter. Dessa komponenter är Trend, Cykel, Säsong, Kalendereffekter, Extremvärden samt Irreguljära effekter.
Det finns två olika teorier för dekomponering av tidsserier, modellbaserad dekomponering och icke modellbaserad dekomponering. De två olika teorierna skiljer sig åt i grunden. Den här uppsatsen syftar till att utvärdera de två säsongsrensningsmetoderna TRAMO/SEATS och X-12 ARIMA samt att säsongsrensa tidsserien över den totala lönesumman, vilken är en del av statistikprodukten Lönesummor arbetsgivaravgifter och preliminär A-skatt (LAPS) producerad av SCB.
Gustavsson, André. "Elpriserna på den nordiska elbörsen : Prognosmodellering med hjälp av ARIMA-modeller." Thesis, Umeå University, Department of Statistics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34820.
Full textHolens, Gordon Anthony. "Forecasting and selling futures using ARIMA models and a neural network." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/mq23343.pdf.
Full textPutzulu, Matteo. "Modelli ARIMA implementati in ambiente Python applicati a serie temporali GNSS." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2022. http://amslaurea.unibo.it/25884/.
Full textAkonom, Jacques. "Processus transformés d'un ARIMA ou d'un processus de Wiener : Problèmes d'estimation." Lille 1, 1988. http://www.theses.fr/1988LIL10112.
Full textAkonom, Jacques. "Processus transformés d'un ARIMA ou d'un processus de Wiener problèmes d'estimation /." Grenoble 2 : ANRT, 1988. http://catalogue.bnf.fr/ark:/12148/cb376111363.
Full textRibeiro, Liliana Patrícia Teixeira. "Aplicação de modelos econométricos na previsão de preço de azeites." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20862.
Full textO presente relatório tem por base as atividades desenvolvidas no estágio na empresa Gallo Worldwide, nomeadamente a análise das bases de dados da empresa de modo a efetuar a previsão do preço do azeite extra-virgem, azeite virgem e lampante. Uma vez que a modelação dos preços dos azeites é realizada através da modelação de séries temporais, existem diversos modelos que podem ser aplicados. Segundo a literatura científica analisada, a estimação das séries temporais utilizadas pode ser realizada através do modelo ARIMA, ARIMAX, GARCH e SUR. Neste sentido, será apresenta de uma forma detalhada a análise dos modelos econométricos em estudo para a obtenção das previsões pretendidas. Os modelos utilizados foram aplicados a conjuntos de dados com diferentes periodicidades: semanal e mensal. Sendo os modelos aplicados a conjuntos de dados com diferentes periodicidades também foram efetuadas previsões através de todos os modelos aplicados aos dois conjuntos de dados, existindo conclusões para ambos os casos.
The current report was built around the tasks performed during the internship on the company Gallo Worldwide, where the main responsibilities consisted in the analysis of the database to be able to forecast extra-virgin olive oil, virgin olive oil and lampante prices. Considering the olive oil pricing modelling is achieved through the modelling of time series, several models can be applied. According to the scientific literature reviewed, the estimation of time series may be accomplished using the ARIMA, ARIMAX, GARCH and SUR models. In this sense, it will be presented, in a detailed manner, the analysis of the econometrical models being studied as a resource to obtain the intended predictions. The models utilized were applied to a group of data with different periodicities: data with weekly periodicity and data with monthly periodicity. Considering the models are employed over a set of data with different periodicities, similarly the predictions were made through all the models used in both sets of data, resulting in the existence ofconclusions for both cases.
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Cruz, Cristovam Colombo dos Santos. "AnÃlise de sÃries temporais para previsÃo mensal do icms: o caso do PiauÃ." Universidade Federal do CearÃ, 2007. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=1648.
Full textEsta DissertaÃÃo trata de pesquisa sobre a anÃlise de sÃries temporais para previsÃo mensal do Imposto Sobre CirculaÃÃo e Mercadorias e PrestaÃÃo de ServiÃos â ICMS no estado do PiauÃ. Objetiva-se com essa pesquisa oferecer aos gestores do estado um modelo de previsÃo consistente e com bom poder preditivo, de forma a contribuir com a gestÃo financeira estadual. No trabalho, utilizaram-se os modelos ARIMA e FunÃÃo de TransferÃncia para realizar previsÃes, bem como o Modelo CombinaÃÃo de PrevisÃes. A dissertaÃÃo apresenta um diagnÃstico do ICMS no estado do Piauà e uma revisÃo da literatura onde sÃo abordados os principais aspectos teÃricos dos modelos utilizados no trabalho, bem como a anÃlise dos resultados empÃricos. Ao final, pode-se observar que os resultados obtidos na presente dissertaÃÃo, estÃo em sintonia com outros resultados obtidos em trabalhos semelhantes realizados sobre o tema, o que vem a confirmar a importÃncia dos modelos que utilizam a anÃlise de sÃries temporais como instrumento de prediÃÃo.
This dissertation deals with a research on the temporal series analysis for the monthly forecast of the turnover and services tax â ICMS in Brazil â in the state of PiauÃ. The aim of this research is to offer the statewide policymakers a consistent forecast and powerfully predictive model, so as to contribute to the state finance management. In this work, the ARIMA and Assignment Function models were used to carry out forecasts, as well as Forecast Combination. The dissertation presents a diagnosis of the ICMS in the state of PiauÃ, a review on the literature where the main theoretical aspects of the models carried out in the work are addressed, in addition to the empirical findings analysis. As a conclusion, it can be observed that the findings carried out in this dissertation are in harmony with other results of similar works carried out on the theme, which corroborates the importance of the models using the temporal series analysis as a forecasting instrument.
Becker, Claudia. "Die Re-Analyse von Monitor-Schwellenwerten und die Entwicklung ARIMA-basierter Monitore für die exponentielle Glättung /." Aachen : Shaker, 2006. http://www.gbv.de/dms/zbw/51982640X.pdf.
Full textMohamed, Fadil B. "Space-time ARIMA and transfer function-noise modeling of rainfall-runoff process." Thesis, University of Ottawa (Canada), 1985. http://hdl.handle.net/10393/4723.
Full textAlmeida, Silvana Gonçalves de. "ANÁLISE DO CUSTO DE MEDICAMENTOS QUIMIOTERÁPICOS, POR MEIO DE MODELOS ARIMA - ARCH." Universidade Federal de Santa Maria, 2011. http://repositorio.ufsm.br/handle/1/8196.
Full textToday's medical treatments are becoming more expensive, in view of this plan and control costs are mechanisms that can ensure the survival of hospitals. The present study analyzed the cost of medications relevant financial, between January 2003 and November 2010, at University Hospital of Santa Maria. Since not all items have the same degree of importance, the drugs were classified by the ABC method which provided work with capecitabine and imatinib, the total cost of these drugs in 2010, representing about 18% compared to total expenditure on drugs and materials. The models found for the series of the cost of capecitabine and imatinib were ARIMA (0,1,1)-ARCH (1) and ARIMA (1,1,0)-ARCH (1), respectively. These models were used to analyze the behavior of the series under study and make predictions in order to assist hospital managers in decision making in hospital inventory management.
Atualmente os tratamentos médicos estão cada vez mais caros, em vista disso planejar e controlar custos são mecanismos que podem garantir a sobrevivência das instituições hospitalares. O presente estudo analisou o custo com medicamentos de relevância financeira, entre janeiro de 2003 e novembro de 2010, no Hospital Universitário de Santa Maria. Como nem todos os itens têm o mesmo grau de importância, os medicamentos foram classificados pelo método ABC o que proporcionou trabalhar com a Imatinibe e Capecitabina, cujo custo total em 2010 destes medicamentos, representou cerca de 18% em relação ao gasto total com medicamentos e materiais. Os modelos encontrados para as séries do custo de Imatinibe e Capecitabina foram, ARIMA(0,1,1)-ARCH(1) e ARIMA(1,1,0)-ARCH(1), respectivamente. Tais modelos foram utilizados para analisar o comportamento das séries em estudo e realizar previsões com o objetivo de auxiliar os gestores hospitalares nas tomadas de decisões no gerenciamento de estoque hospitalar.
Elmasdotter, Ajla, and Carl Nyströmer. "A comparative study between LSTM and ARIMA for sales forecasting in retail." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229747.
Full textMatsvinn är ett stort problem för miljön. Utgångna produkter slängs, vilket implicerar att för mycket mat beställs jämfört med hur mycket butikerna säljer. En mer precis modell för att förutsäga försäljningssiffrorna kan minska matsvinnet. Denna studie jämför modellerna Long Short-Term Memory (LSTM) och Autoregressive Integrated Moving Average (ARIMA) i deras precision i två scenarion. Givet försäljningssiffror för olika matvaruprodukter, undersöks ifall LSTM är en modell som kan konkurrera mot ARIMA-modellen när modellerna ska förutsäga försäljningssiffror för matvaruprodukter. Det första scenariot var att förutse försäljningen en dag i framtiden baserat på given data, medan det andra scenariot var att förutse försäljningen varje dag under en vecka i framtiden baserat på given data. Genom att använda måtten RMSE och MAE tillsammans med ett T-Test visade resultaten av studien att skillnaden mellan LSTM- och ARIMA-modellen inte var av statistik signifikans i fallet då modellerna skulle förutsäga försäljningen en dag i framtiden. Däremot visar resultaten på att skillnaden mellan modellerna är av signifikans när modellerna skulle förutsäga försäljningen under en vecka, vilken implicerar att LSTM-modellen har en högre precision i detta scenario. Denna studie drar därmed slutsatsen att LSTM-modellen är lovande och kan konkurrera mot ARIMA-modellen när det kommer till försäljningssiffror av matvaruprodukter.
Borneklint, Niklas. "Forecasting prices of Bitcoin and Google stock with ARIMA vs Facebook Prophet." Thesis, Högskolan Väst, Avd för juridik, ekonomi, statistik och politik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-17345.
Full textI denna avhandling har vi presenterat ekonometriska modeller och prognoserade prisnivåer av Bitcoins och Googles (GOOG). Vi har implementerat två modeller, en traditionell, "ARIMA" samt en relativt ny modell, "Profetmodellen" med Facebook Prophet (ML). Maskininlärning är fortfarande nytt inom det ekonomiska området och det har varit givande att förstå dess förmåga. Vi vill jämföra två typer av tillgångar, Bitcoin som är volatile mot Google som är förhållandevis stabil för att se om våra modeller skiljer sig åt. Vi har utvärderat modellens prestanda med hjälp av root mean square error (RMSE) och jämförde resultatet vilken modell som var mest exakt. Vi fann att ARIMA-modellen gav oss bäst resultat. Vi undersöker också effekterna av rationella förväntningar och dess inverkan på pris av tillgång. Vi fann att nyheter om Bitcoin influerar dess pris och hade en inverkan på modellernas prestanda.
Wågberg, Max. "Att förutspå Sveriges bistånd : En jämförelse mellan Support Vector Regression och ARIMA." Thesis, Mittuniversitetet, Institutionen för informationssystem och –teknologi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:miun:diva-36479.
Full textUnder det senaste åren har användningen av maskininlärning ökat markant. Dess användningsområden varierar mellan allt från att göra vardagen lättare med röststyrda smarta enheter till bildigenkänning eller att förutspå börsvärden. Att förutspå ekonomiska värden har länge varit möjligt med hjälp av andra metoder än maskininlärning, såsom exempel statistiska algoritmer. Dessa algoritmer och maskininlärningsmodeller använder tidsserier, vilket är en samling datapunkter observerade konstant över en given tidsintervall, för att kunna förutspå datapunkter bortom den originella tidsserien. Men vilken av dessa metoder ger bäst resultat? Projektets övergripande syfte är att förutse sveriges biståndskurva med hjälp av maskininlärningsmodellen Support Vector Regression och den klassiska statistiska algoritmen autoregressive integrated moving average som förkortas ARIMA. Tidsserien som används vid förutsägelsen är årliga summeringar av biståndet från openaid.se sedan år 1998 och fram till 2019. SVR och ARIMA implementeras i python med hjälp av Scikit-learn och Statsmodelsbiblioteken. Resultatet från SVR och ARIMA mäts i jämförelse mellan det originala värdet och deras förutspådda värden medan noggrannheten mäts i root square mean error och presenteras under resultatkapitlet. Resultatet visar att SVR med RBF kärnan är den algoritm som ger det bästa testresultatet för dataserien. Alla förutsägelser bortom tidsserien presenteras därefter visuellt på en openaid prototypsida med hjälp av D3.js.
Wilczek, Andrej, and Oskar Erlandsson. "Evaluering av LASSO och ARIMA algoritmerna för prognostisering i den finansiella marknaden." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-255711.
Full textStock market forecasting is considered to be a particularly challenging task due to the complexity and volatility of the stock market. In this project we evaluate the performance of existing machine learning techniques as methods for modeling and predicting patterns in the financial market. In our attempt to predict the Nestl\'e stock closing price point, linear LASSO and ARIMA models were implemented based on the assumption that the volatile data has some type of linear dependency. The methods was evaluated by calculating the Mean Absolute Deviation, Mean Squared Error and Mean Absolute Percentage Error values based on their performance in making short and long-term predictions. Our results suggest that the LASSO algorithm performs better in regards to short-term predictions whereas the ARIMA provides more accurate long-term predictions. In terms of prediction of future trends, both methods show good overall performance. Finally, we propose interesting areas to consider in order to make more precise predictions on volatile data.
Teodoro, Valiana Alves. "Modelos de séries temporais para temperatura em painéis de cimento-madeira." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/11/11134/tde-07042015-102815/.
Full textBy monitoring the temperature evolution of the cement-wood mixture, one can utilize this information as a time series. The objective of this study was to utilize time series models to describe the temperature series from an experiment, consisting of different species associated to Candeia residuals in the production of particleboard panels, and do a pairwise comparison to verify if they were generated from the same stochastic process. Initially it was realized the Dickey-Fuller unit root test to verify series stationarity, which indicated that all series were not stationary. For the 25% Candeia and Eucalyptus treatment with previous water treatment the series was best modelled by an ARIMA(2, 2, 2) as evidenced by the AIC, BIC and MAPE criteria. For the 50% Candeia and Eucalyptus treatment also with previous water treatment the series was best modelled by an ARIMA(4, 2, 2) as indicated by the same criteria. Finally for the 75% Candeia and Eucalyptus treatment with previous water treatment and the 25% Candeia and Eucalyptus treatment without previous water treatment the best models were the ARIMA(5, 1, 0) and the ARIMA(2, 1, 2) respectively. In relation to the comparison of the time series contemplated in this study it is possible to conclude that they are different, that is, they were not generated by the same stochastic process.
Sato, Joao Ricardo. "Processos com memória longa compartilhada." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-22082007-160332/.
Full textThe goal of this project is the evaluation of three long memory parameter estimators and a common long range dependence test. The estimators evaluated are: the Geweke and Porter-Hudak, the smoothed periodogram and the semiparametric truncated Whittle estimators. The evaluation is in the context of processes ARFIMA+ARMA, and related to variations in the autoregressive and moving average coefficients, both in the short and long memory terms. Furthermore, we describe common long range dependence processes and an identification approach (Ray and Tsay, 1997) for them, using the canonical correlation analysis. Finally, three applications to real data are presented: the first one to the wind\'s speed in the Brazilian cities of São Paulo and Piracicaba, and the other ones to financial time series of the stock markets of Hong Kong, New Zealand, Singapore, Brazil and the United Kingdom.
Chmelík, Pavel. "Mají odkupy zbraní pozitivní vliv na míru kriminality?" Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199725.
Full textCunha, Manuel Maria Barbas Gaio Cardote da. "Projeções de migrações em Portugal e determinantes da sua evolução." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20747.
Full textAtualmente, os fluxos migratórios são o fator que determina a dinâmica da população em Portugal, sendo, contudo, o processo demográfico mais volátil. A previsão de fluxos migratórios é uma tarefa multidimensional, caracterizada por elevados níveis de erro, não existindo uma teoria robusta para diferentes fluxos. O presente relatório de estágio tem como objetivo obter projeções para Portugal, entre 2018 e 2038. Para tal, foi aplicado o modelo proposto por Rogers e Castro (1981), bem como uma regressão linear com o intuito de identificar possíveis fatores explicativos. O cálculo dos parâmetros do modelo permite uma representação dos dados e uma melhor interpretação dos mesmos, sendo a sua projeção feita recorrendo a modelos auto-regressivos integrados de médias móveis. Os resultados alcançados apresentam conclusões positivas para o panorama atual da estrutura etária portuguesa, verificando-se um saldo migratório positivo em alguns dos cenários definidos. Apesar das limitações verificadas, foi também possível aferir o impacto significativo do desemprego no saldo migratório.
Nowadays, migratory flows are the factor that determines the population dynamics in Portugal, being, however, the most volatile demographic process. The prediction of migratory flows is a multidimensional task, characterized by high levels of error, and there is no robust theory for different flows. This internship report aims to obtain projections for Portugal, between 2018 and 2038. To this end, the model proposed by Rogers and Castro (1981) was applied, as well as a linear regression in order to identify possible explanatory factors. The calculation of the model parameters allows a representation of the data and a better interpretation of the same, being projected using autoregressive integrated moving average models. The results achieved show positive conclusions for the current panorama of the Portuguese age structure, with a positive net migration in some of the defined scenarios. Despite the verified limitations, it was also possible to assess the significant impact of unemployment on the net migration.
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Логін, Вадим Вікторович. "Моделі для прогнозування характеристик трафіка цифрової реклами." Master's thesis, Київ, 2018. https://ela.kpi.ua/handle/123456789/23748.
Full textModels for forecasting parameters of digital advertising traffic. Master's thesis: 112 p., 48 fig., 40 tabl., 3 appendixes and 30 sources. The object of study – digital advertising traffic in the form of statistical data. Subject of research – models and methods of analysis of data in the form of time series, methods of applied statistics. Purpose – constructing time series models for forecasting the most important characteristics of digital advertising traffic. Methods of research – time series models for forecasting data and comparative analysis of the obtained models. This paper presents the results of construction of time series models, which are intended for forecasting of the most important characteristics of digital advertising traffic. Described the results of the comparative analysis of the obtained models with the help of information criteria, and also in terms of their accuracy. Was found that for our task, the best model is the ARIMAX model (Autoregressive integrated moving-average model with exogenous inputs). Therefore, it is recommended to use this model for further research. Based on master's dissertation were written theses as well as a scientific article. The theses will be published in the SAIT-2018 conference Book of Abstracts. The scientific article will be published in the electronic collection of reports at the CEUR publishing house (CEUR Workshop Proceedings). The further development of the research object – is the construction of new ones, as well as the improvement of existing time series models for forecasting the most important characteristics of digital advertising traffic. And also – it is a generalization of the research, conducted in this paper, on the analysis of individual sites from the digital advertising traffic.
Fabris, Thiago Rocha. "A projeção dos lucros trimestrais para as companhias brasileiras através de modelos ARIMA." Florianópolis, SC, 2009. http://repositorio.ufsc.br/xmlui/handle/123456789/92675.
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O estudo trata da aplicação da metodologia Box e Jenkins (1970) para a previsão das séries dos lucros em companhias de capital aberto no Brasil. Diversos autores como Watts (1975), Foster (1977), Griffin (1977) e Brown e Rozeff (1979) têm sugerido que os lucros trimestrais podem ser previstos através de modelos ARIMA. Benston e Watts (1978) corroboraram em favor do modelo de Foster (1977) descrito por um SARIMA (100) x (010). Lorek (1979) argumenta em favor do modelo SARIMA (011) x (011) propostos por Griffin(1977) e Watts (1975). Collins e Hopwwod (1980) e Bathke e Lorek (1984) demonstraram que os lucros podem ser modelados por um processo SARIMA (100) x (011) sugerido por Brown e Rozeff (1979). As evidências empíricas recentes demonstram que os modelos random walk with drift (RWD) descritos por um ARIMA (100) e o processo SARIMA (011) x (011) dominam conjuntamente os outros modelos propostos na literatura pertinente, Lorek e Willinger (2007). O objetivo do trabalho foi averiguar se existe um modelo predeterminado que possa descrever o comportamento das séries temporais do lucro líquido e lucro operacional para determinados setores econômicos das empresas brasileiras. Concomitantemente analisar se existe um modelo padrão diferente dos modelos referidos acima. Os resultados encontrados corroboram com os modelos RWD para as séries do lucro líquido e Brown e Rozeff (1979) para a série do lucro operacional. Porém, a maior concentração dos modelos, via metodologia Box e Jenkins, podem ser descritos por processo ARIMA (000) x (000) e (010) x (000) para o lucro líquido e lucro operacional, respectivamente.
The study it treats on the application of the methodology Box and Jenkins (1970) for the forecast of the taxes of growth in company of capital opened in Brazil. Several authors as Watts (1975), Foster (1977), Griffin (1977) and Brown and Rozeff (1979) have suggested that the quarterly earnings can be be provided by ARIMA models. Benston and Watts (1978) corroborate the model in favor of Foster (1977) described a SARIMA (100) x (010). Lorek (1979) argues in favor of the model SARIMA (011) x (011) proposed by Griffin (1977) and Watts (1975). Collins and Hopwwod (1980) and Bathke and Lorek (1984) showed that profits can be modeled by a process SARIMA (100) x (011) suggested by Brown and Rozeff (1979). The recent empirical evidence shows that the random walk models with drift (RWD) described by an ARIMA (100) and a process SARIMA (011) x (011) jointly dominate the other models proposed in pertinent literature, Lorek and Willinger (2007). The objective of this work was check out if exists a predetermined model that can describe the behavior of the time series of the net earnings and operational earnings for definitive economic sectors of the Brazilian companies. Concomitantly to analyze if exists a standard different from the models mentioned above. The find results corroborate with models RWD, for the series of net earnings and Brown and Rozeff (1979) for the series of the operational earnings. However, the greatest concentration of the models, via Box and Jenkins methodology, can be described by ARIMA process (000) x (000) and (010) x (000) for the net earnings and operational earnings respectively.
Palandi, Victor Camillo. "Análise e projeção do ecommerce em Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2021. http://hdl.handle.net/10400.5/22752.
Full textO consumo online é pauta relevante na sociedade desde o início dos anos 2000. Potencializado pela pandemia global, a importância estratégica deste canal para todos os agentes de mercado é indiscutível. O projeto de pesquisa tem como objetivo apresentar a realidade e evolução do e-commerce em Portugal, a partir da análise de um painel de domicílios, bem como prever a evolução de vendas do canal em 2021. São aplicadas metodologias de alisamento exponencial e modelos de previsão ARIMA de Box-Jenkins a uma base de painel de domicílios concedida pela NielsenIQ - líder mundial em pesquisa de mercado. Conforme espetável, o estudo aponta para uma curva ascendente a nível de vendas do canal até o final de 2021 e deve ser alvo determinante para uma estratégia de sucesso de retalhistas e indústria, bem como uma necessidade latente por parte do consumidor.
Online consumption has been a relevant issue in society since the early 2000s. Powered by the global pandemic, the strategic importance of this channel for all market agents is remarkable. This project aims to present the reality and evolution of e-commerce in Portugal, from the analysis of a panel of households, as well as to predict the evolution of the channel's sales in 2021. Exponential smoothing methodologies and models of Box- Jenkins ARIMA are applied in a household panel database provided by NielsenIQ - world leader in market research. As expected, the study points to an upward curve in the channel's sales by the end of 2021 and should be a key target for a successful strategy for retailers and industry, as well as a latent demand for the consumer.
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Conway, Eunan Martin. "Stochastic modelling and forecasting of solar radiation." Thesis, Northumbria University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.367414.
Full textKern, Joshua Victor. "The Development of Measurement and Characterization Techniques of Road Profiles." Thesis, Virginia Tech, 2004. http://hdl.handle.net/10919/10118.
Full textMaster of Science
Sá, Vânia Catarina Neves de. "O desemprego jovem em Portugal." Master's thesis, FEUC, 2014. http://hdl.handle.net/10316/25429.
Full textO presente trabalho aborda uma temática bastante atual que se assume como uma das maiores preocupações dos decisores políticos e da população portuguesa: o desemprego e, em particular, o desemprego jovem. O problema do desemprego jovem atinge não só Portugal, mas também vários países da União Europeia, em que o número de desempregados jovens tem vindo a aumentar de forma acentuada. Com este estudo pretendemos dar a conhecer a realidade que nos rodeia através da comparação e análise de dados estatísticos relativos à taxa de desemprego jovem, bem como averiguar as possíveis causas e consequências do fenómeno. Desta forma foi possível verificar que o desemprego jovem tem apresentado um crescimento algo exponencial, sobretudo a partir de 2008, ano em que Portugal foi atingido pela atual crise económica e financeira, registando quase 40% de jovens desempregados, em 2012. Esta situação parece assim refletir a estagnação económica que o nosso país está a atravessar, sendo que o propósito do nosso estudo passa também por apresentar algumas medidas de política económica tendo em vista a diminuição deste flagelo que provoca consequências muito importantes a diversos níveis, económico, político e social.
Hsieh, shu ju, and 謝淑如. "Application and Integration of Consecutive ARIMA Transfer and Seasonal ARIMA Trnasfer Function." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/00723108764295798857.
Full text楊耀華. "ARIMA-BP times series neural networks." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/31461568317667656927.
Full text中華大學
資訊管理學系(所)
96
In this paper we proposed an ARIMA-BPN algorithm combining advantages of ARIMA and Back-propagation networks (BPN). The algorithm is based on BPN and its inputs are the same as ARIMA. It can generate a non-linear function to create an accurate model to predict time series. The BPN algorithm must be modified because the residuals would be changed when the weights were changed during continuously training BPN. That is we will use the continuously updated residuals as inputs. This study examined 6 artificial designed cases and 4 real world cases to evaluate the abilities of the ARIMA, BPN, and ARIMA-BPN. The results sowed that ARIMA-BPN is the most accurate methods in some cases.
Mendes, João Filipe Batista. "Forecasting bitcoin prices: ARIMA vs LSTM." Master's thesis, 2019. http://hdl.handle.net/10071/19724.
Full textA Bitcoin tem recebido recentemente especial atenção em áreas como a economia e finanças por ser a mais popular tecnologia de blockchain. Esta dissertação tem como objetivo verificar se os novos modelos de machine-learning apresentam melhores resultados que os modelos tradicionais em previsões. Este estudo compara, em particular, a precisão da previsão do preço da Bitcoin usando dois modelos diferentes: Long-Short Term Memory (LSTM) versus Auto Regressive Integrated Moving Average (ARIMA), em termos de erros de previsão e aplicando rotinas do Python. A análise teve como base os preços diários da Bitcoin entre 18 de junho de 2016 e 7 de agosto de 2019, retirados da base de dados da Reserva Federal. Para comparar os resultados dos dois modelos, os dados foram divididos em duas secções: o treino (83.5%) e o teste (16.5%). A literatura indica que o modelo LSTM tem uma melhor precisão que o ARIMA e nesta dissertação os resultados confirmam que o modelo LSTM melhora em média 92% e 94% a previsão do ARIMA, de acordo com o RMSE e o MAE.
Tseng, Shuhui, and 曾淑惠. "Structural Change ARIMA Modeling and Application." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/44658612423888170873.
Full text國立政治大學
統計學研究所
81
Non-linear time series analysis is a rapidly developing subject in recent years. One of special families of non-linear models is threshold model. Many literatures have shown that even simple threshold model can describe certain types of time series, such as structural change behavior, more faithful than using linear ARMA models. In this paper, we discuss some problems about the threshold model and structural change analysis. Instead of finding the change point, we present the change period concepts on the model- building. An efficient algorithem on constructing the structure change ARIMA models is proposed. Finally, we demonstrate an example about the birth rate of Taiwan, and the comparison of forecasting performance for the structure change ARIMA model with alternative models are also made.