Modeling and forecasting pine sawtimber stumpage prices in the US South by various time series models

2010 ◽  
Vol 40 (8) ◽  
pp. 1506-1516 ◽  
Author(s):  
Bin Mei ◽  
Michael Clutter ◽  
Thomas Harris
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Multivariate Time Series ◽  
The United States ◽  
Percentage Error ◽  
Vector Autoregressive ◽  
Market Risks ◽  
Long Run ◽  
Timber Sales ◽  
Moving Average Model

Among the three timberland return drivers (biological growth, timber price, and land price), timber price remains the most unpredictable. It affects not only periodic dividends from timber sales but also timber production strategies embedded in timberland management. Using various time series techniques, this study aimed to model and forecast real pine sawtimber stumpage prices in 12 southern timber regions in the United States. Under the discrete-time framework, the univariate autoregressive integrated moving average model was established as a benchmark, whereas other multivariate time series methods were applied in comparison. Under the continuous-time framework, both the geometric Brownian motion and the Ornstein–Uhlenbeck process were fitted. The results revealed that (i) the vector autoregressive model forecasted more accurately in the 1-year period by the mean absolute percentage error criterion, (ii) seven out of the 12 southern timber regions played dominant roles in the long-run equilibrium, and (iii) conditional variances and covariances from the bivariate generalized autoregressive conditional heteroscedasticity model well captured market risks.

scholarly journals Dynamics of Health Agency Response and Public Engagement in Public Health Emergency: A Case Study of CDC Tweeting Patterns During the 2016 Zika Epidemic (Preprint)

2018 ◽  
Author(s):  
Shi Chen ◽  
Qian Xu ◽  
John Buchenberger ◽  
Arunkumar Bagavathi ◽  
Gabriel Fair ◽  
...  
Keyword(s):  
Social Media ◽  
Time Series ◽  
Public Engagement ◽  
Moving Average ◽  
Multivariate Time Series ◽  
Health Agency ◽  
The United States ◽  
Health Agencies ◽  
Us Government ◽  
Moving Average Model

BACKGROUND Social media have been increasingly adopted by health agencies to disseminate information, interact with the public, and understand public opinion. Among them, the Centers for Disease Control and Prevention (CDC) is one of the first US government health agencies to adopt social media during health emergencies and crisis. It had been active on Twitter during the 2016 Zika epidemic that caused 5168 domestic noncongenital cases in the United States. OBJECTIVE The aim of this study was to quantify the temporal variabilities in CDC’s tweeting activities throughout the Zika epidemic, public engagement defined as retweeting and replying, and Zika case counts. It then compares the patterns of these 3 datasets to identify possible discrepancy among domestic Zika case counts, CDC’s response on Twitter, and public engagement in this topic. METHODS All of the CDC-initiated tweets published in 2016 with corresponding retweets and replies were collected from 67 CDC–associated Twitter accounts. Both univariate and multivariate time series analyses were performed in each quarter of 2016 for domestic Zika case counts, CDC tweeting activities, and public engagement in the CDC-initiated tweets. RESULTS CDC sent out >84.0% (5130/6104) of its Zika tweets in the first quarter of 2016 when Zika case counts were low in the 50 US states and territories (only 560/5168, 10.8% cases and 662/38,885, 1.70% cases, respectively). While Zika case counts increased dramatically in the second and third quarters, CDC efforts on Twitter substantially decreased. The time series of public engagement in the CDC-initiated tweets generally differed among quarters and from that of original CDC tweets based on autoregressive integrated moving average model results. Both original CDC tweets and public engagement had the highest mutual information with Zika case counts in the second quarter. Furthermore, public engagement in the original CDC tweets was substantially correlated with and preceded actual Zika case counts. CONCLUSIONS Considerable discrepancies existed among CDC’s original tweets regarding Zika, public engagement in these tweets, and actual Zika epidemic. The patterns of these discrepancies also varied between different quarters in 2016. CDC was much more active in the early warning of Zika, especially in the first quarter of 2016. Public engagement in CDC’s original tweets served as a more prominent predictor of actual Zika epidemic than the number of CDC’s original tweets later in the year.

scholarly journals Soft Computation Vector Autoregressive Neural Network (VAR-NN) GUI-Based

2018 ◽  
Vol 73 ◽  
pp. 13008 ◽  
Author(s):  
Hasbi Yasin ◽  
Budi Warsito ◽  
Rukun Santoso ◽  
Suparti
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Autoregressive Model ◽  
Stock Price ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Vector Autoregressive ◽  
Price Data

Vector autoregressive model proposed for multivariate time series data. Neural Network, including Feed Forward Neural Network (FFNN), is the powerful tool for the nonlinear model. In autoregressive model, the input layer is the past values of the same series up to certain lag and the output layers is the current value. So, VAR-NN is proposed to predict the multivariate time series data using nonlinear approach. The optimal lag time in VAR are used as aid of selecting the input in VAR-NN. In this study we develop the soft computation tools of VAR-NN based on Graphical User Interface. In each number of neurons in hidden layer, the looping process is performed several times in order to get the best result. The best one is chosen by the least of Mean Absolute Percentage Error (MAPE) criteria. In this study, the model is applied in the two series of stock price data from Indonesia Stock Exchange. Evaluation of VAR-NN performance was based on train-validation and test-validation sample approach. Based on the empirical stock price data it can be concluded that VAR-NN yields perfect performance both in in-sample and in out-sample for non-linear function approximation. This is indicated by the MAPE value that is less than 1% .

Estimation and Forecast Performance of a Multivariate Time Series Model of Sales

1980 ◽  
Vol 17 (4) ◽  
pp. 558-565 ◽  
Author(s):  
Mark Moriarty ◽  
Gerald Salamon
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Multivariate Time Series ◽  
Substantial Improvement ◽  
Product Line ◽  
Time Series Model ◽  
Autoregressive Moving Average ◽  
Forecast Performance ◽  
Autoregressive Moving Average Model ◽  
Moving Average Model

A unique form of a multivariate time series model—a “seemingly unrelated autoregressive moving average” model (SURARMA)—is developed in the context of forecasting unit sales of a product in four states. Data from an anonymous firm are used to test the appropriateness of the model and are found to conform to the model's constraints. The model provides substantial improvement in parameter estimation efficiency and forecast performance in comparison with individual state univariate models. SURARMA is potentially relevant to many market forecasting problems involving multiple constituent time series subunits such as states, regions, or products from a product line.

scholarly journals Penerapan Model Vector Autoregressive Integrate Moving Average dalam Peramalan Laju Inflasi dan Suku Bunga di Indonesia

2020 ◽  
Vol 3 (2) ◽  
pp. 73
Author(s):  
Jusmawati Jusmawati ◽  
Mustika Hadijati ◽  
Nurul Fitriyani
Keyword(s):  
Time Series ◽  
Interest Rates ◽  
Time Series Data ◽  
Moving Average ◽  
Multivariate Time Series ◽  
Likelihood Method ◽  
Series Data ◽  
Equation Modeling ◽  
Vector Autoregressive ◽  
Autoregressive Integrate Moving Average

The inflation and interest rates in Indonesia have a significant impact on the country's economic development. Indonesian inflation and interest rates data are multivariate time series data that show activity over a certain period of time. Vector Autoregressive Integrated Moving Average (VARIMA) is a method for analyzing multivariate time series data. This method is a simultaneous equation modeling that has several endogenous variables simultaneously. This study aimed to model the inflation and interest rates data, from January 2009 to December 2016 and predict inflation and interest rates by using VARIMA method. The model obtained was the VARIMA(0,2,2) model, with estimated parameters using the maximum likelihood method. The choice of the VARIMA(0,2,2) model was based on the smallest AIC value of -4,2891, with a MAPE value for the inflation and interest rates forecasting were 6,04% and 1,84%, respectively, which indicates a very good forecast results.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

Towards optimal ATM cash replenishment using time series analysis

2021 ◽  
pp. 1-13
Author(s):  
Muhammad Rafi ◽  
Mohammad Taha Wahab ◽  
Muhammad Bilal Khan ◽  
Hani Raza
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Arima Model ◽  
Mean Absolute Percentage Error ◽  
Percentage Error ◽  
Absolute Percentage Error ◽  
Automatic Teller Machine ◽  
Proposed Model ◽  
Auto Regressive ◽  
Specific Amount

Automatic Teller Machine (ATM) are still largely used to dispense cash to the customers. ATM cash replenishment is a process of refilling ATM machine with a specific amount of cash. Due to vacillating users demands and seasonal patterns, it is a very challenging problem for the financial institutions to keep the optimal amount of cash for each ATM. In this paper, we present a time series model based on Auto Regressive Integrated Moving Average (ARIMA) technique called Time Series ARIMA Model for ATM (TASM4ATM). This study used ATM back-end refilling historical data from 6 different financial organizations in Pakistan. There are 2040 distinct ATMs and 18 month of replenishment data from these ATMs are used to train the proposed model. The model is compared with the state-of- the-art models like Recurrent Neural Network (RNN) and Amazon’s DeepAR model. Two approaches are used for forecasting (i) Single ATM and (ii) clusters of ATMs (In which ATMs are clustered with similar cash-demands). The Mean Absolute Percentage Error (MAPE) and Symmetric Mean Absolute Percentage Error (SMAPE) are used to evaluate the models. The suggested model produces far better forecasting as compared to the models in comparison and produced an average of 7.86/7.99 values for MAPE/SMAPE errors on individual ATMs and average of 6.57/6.64 values for MAPE/SMAPE errors on clusters of ATMs.

scholarly journals A Set of State–Space Models at a High Disaggregation Level to Forecast Italian Industrial Production

J ◽  
2019 ◽  
Vol 2 (4) ◽  
pp. 508-560
Author(s):  
Riccardo Corradini
Keyword(s):  
State Space ◽  
Industrial Production ◽  
Forecast Error ◽  
Moving Average ◽  
Predictive Ability ◽  
State Space Models ◽  
Vector Autoregressive ◽  
Autoregressive Moving Average Model ◽  
New Strategy ◽  
Moving Average Model

Normally, econometric models that forecast the Italian Industrial Production Index do not exploit information already available at time t + 1 for their own main industry groupings. The new strategy proposed here uses state–space models and aggregates the estimates to obtain improved results. The performance of disaggregated models is compared at the same time with a popular benchmark model, a univariate model tailored on the whole index, with persistent not formally registered holidays, a vector autoregressive moving average model exploiting all information published on the web for main industry groupings. Tests for superior predictive ability confirm the supremacy of the aggregated forecasts over three steps horizon using absolute forecast error and quadratic forecast error as a loss function. The datasets are available online.

scholarly journals Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

2021 ◽  
pp. 1-21
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Inflation Rate ◽  
Predictive Accuracy ◽  
Moving Average ◽  
Impulse Response Functions ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Vector Autoregressive ◽  
Autoregressive Moving Average Model ◽  
Long Run ◽  
The Us

Abstract Nonlinear co-integration is studied for score-driven models, using a new multivariate dynamic conditional score/generalized autoregressive score model. The model is named t-QVARMA (quasi-vector autoregressive moving average model), which is a location model for the multivariate t-distribution. In t-QVARMA, I(0) and co-integrated I(1) components of the dependent variables are included. For t-QVARMA, the conditions of the maximum likelihood estimator and impulse response functions (IRFs) are presented. A limiting special case of t-QVARMA, named Gaussian-QVARMA, is a Gaussian-VARMA specification with I(0) and I(1) components. As an empirical application, the US real gross domestic product growth, US inflation rate, and effective federal funds rate are studied for the period of 1954 Q3 to 2020 Q2. Statistical performance and predictive accuracy of t-QVARMA are superior to those of Gaussian-VAR. Estimates of the short-run IRF, long-run IRF, and total IRF impacts for the US data are reported.

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