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A time-reversed model selection approach to time series forecasting

In this paper, we introduce a novel model selection approach to time series forecasting. For linear stationary processes, such as AR processes, the direction of time is independent of the model parameters. By combining theoretical principles of time-reversibility in time series with conventional mod...

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Autores principales: Sibeijn, Max, Pequito, Sérgio
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Nature Publishing Group UK 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9240029/
https://www.ncbi.nlm.nih.gov/pubmed/35764783
http://dx.doi.org/10.1038/s41598-022-15120-x
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author Sibeijn, Max
Pequito, Sérgio
author_facet Sibeijn, Max
Pequito, Sérgio
author_sort Sibeijn, Max
collection PubMed
description In this paper, we introduce a novel model selection approach to time series forecasting. For linear stationary processes, such as AR processes, the direction of time is independent of the model parameters. By combining theoretical principles of time-reversibility in time series with conventional modeling approaches such as information criteria, we construct a criterion that employs the backwards prediction (backcast) as a proxy for the forecast. Hereby, we aim to adopt a theoretically grounded, data-driven approach to model selection. The novel criterion is named the backwards validated information criterion (BVIC). The BVIC identifies suitable models by trading off a measure of goodness-of-fit and a models ability to predict backwards. We test the performance of the BVIC by conducting experiments on synthetic and real data. In each experiment, the BVIC is examined in contrast to conventionally employed criteria. Our experimental results suggest that the BVIC has comparable performance as conventional information criteria. Specifically, in most of the experiments performed, we did not find statistically significant differences between the forecast error of the BVIC under certain parameterizations and that of the different information criteria. Nonetheless, it is worth emphasizing that the BVIC guarantees are established by design where the model order penalization term depends on strong mathematical properties of time-reversible time series forecasting properties and a finite data assessment. In particular, the penalization term is replaced by a weighted trade-off between functional dimensions pertaining to forecasting.That said, we observed that the BVIC recovered more accurately the real order of the underlying process than the other criteria, which rely on a static penalization of the model order. Lastly, leveraging the latter property we perform the assessment of the order model (or, memory) of time series pertaining to epileptic seizures recorded using electrocorticographic data. Our results provide converging evidence that the order of the model increases during the epileptic events.
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spelling pubmed-92400292022-06-30 A time-reversed model selection approach to time series forecasting Sibeijn, Max Pequito, Sérgio Sci Rep Article In this paper, we introduce a novel model selection approach to time series forecasting. For linear stationary processes, such as AR processes, the direction of time is independent of the model parameters. By combining theoretical principles of time-reversibility in time series with conventional modeling approaches such as information criteria, we construct a criterion that employs the backwards prediction (backcast) as a proxy for the forecast. Hereby, we aim to adopt a theoretically grounded, data-driven approach to model selection. The novel criterion is named the backwards validated information criterion (BVIC). The BVIC identifies suitable models by trading off a measure of goodness-of-fit and a models ability to predict backwards. We test the performance of the BVIC by conducting experiments on synthetic and real data. In each experiment, the BVIC is examined in contrast to conventionally employed criteria. Our experimental results suggest that the BVIC has comparable performance as conventional information criteria. Specifically, in most of the experiments performed, we did not find statistically significant differences between the forecast error of the BVIC under certain parameterizations and that of the different information criteria. Nonetheless, it is worth emphasizing that the BVIC guarantees are established by design where the model order penalization term depends on strong mathematical properties of time-reversible time series forecasting properties and a finite data assessment. In particular, the penalization term is replaced by a weighted trade-off between functional dimensions pertaining to forecasting.That said, we observed that the BVIC recovered more accurately the real order of the underlying process than the other criteria, which rely on a static penalization of the model order. Lastly, leveraging the latter property we perform the assessment of the order model (or, memory) of time series pertaining to epileptic seizures recorded using electrocorticographic data. Our results provide converging evidence that the order of the model increases during the epileptic events. Nature Publishing Group UK 2022-06-28 /pmc/articles/PMC9240029/ /pubmed/35764783 http://dx.doi.org/10.1038/s41598-022-15120-x Text en © The Author(s) 2022 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Sibeijn, Max
Pequito, Sérgio
A time-reversed model selection approach to time series forecasting
title A time-reversed model selection approach to time series forecasting
title_full A time-reversed model selection approach to time series forecasting
title_fullStr A time-reversed model selection approach to time series forecasting
title_full_unstemmed A time-reversed model selection approach to time series forecasting
title_short A time-reversed model selection approach to time series forecasting
title_sort time-reversed model selection approach to time series forecasting
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9240029/
https://www.ncbi.nlm.nih.gov/pubmed/35764783
http://dx.doi.org/10.1038/s41598-022-15120-x
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