基于双重预测模型的非线性时间序列预测

在支持向量机( SVM)预测问题中,为了减小错误参数选取对预测结果的影响,提出了1种基于双重预测模型的非线性时间序列预测算法.该算法在充分考虑支持向量机参数对推广能力影响的基础上,分别利用自回归预测模型(AR)、自回归滑动平均模型( ARMA)、线性回归和决策树模型对SVM参数进行预测,将预测参数运用到SVM预测模型中...     

基于非线性多参数模型的软件老化检测

提出了一种软件系统的非线性有源自回归(Nonlinear AutoRegressive models with eXogenous Inputs,NARX)网络模型的老化检测方法。解决了目前软件老化方法未考虑多变量间关联性及历史数据的延迟影响的问题。该方法首先通过对实验采集的HelixServer-VOD服务器性能数据进行主成分分析,确定网络的输入维数,根据AIC准则确定最佳模型阶数,最终选取合理的网络模型结构;使用已知的未老化状态样本对NARX网络进行训练,建立系统的辨识模型;然后运用序贯概率比检验(Sequential Probability Ratio Test,SPRT)对NARX辨识模型的残差进行假设检验,判断系统的老化状态。实验分析表明,基于NARX网络模型的故障检测方法能够有效地应用于软件老化的检测。     

基于EEMD-GWO-LSSVM的公共交通短期客流预测

为了提高大型公共交通短期客流预测精度,提出了一种在利用集成经验模态分解原始数据的条件下,采用灰狼优化算法优化最小二乘支持向量机（EEMD-GWO-LSSVM）的算法,利用该算法实现城市大型公共交通短期客流预测。该模型采用EEMD分解原始数据,将分解后的各个本征模函数（IMF）分量运用最小二乘支持向量机进行回归预测,最小二乘支持向量机的预测参数由灰狼算法进行优化。通过对西安地铁二号线北客站一个月进出站人数进行训练预测,将预测结果和支持向量机（SVM）,自回归移动平均模型（ARIMA）,仅利用灰狼优化参数的最小二乘支持向量机（GWO-LSSVM）算法以及基于交叉检验进行参数优化的最小二乘支持向量机进行对比,分析得出该算法具有更加精确的预测结果。     

基于AR和PSO_SVR的故障趋势预测

针对机械设备产生的非线性、非平稳时间序列,首先使用自回归模型对非平稳数据进行平稳化处理并确定模型的阶数,再使用支持向量回归算法对平稳后的数据进行拟合,并使用粒子群算法优化支持向量回归算法参数。最后,将该模型用于滚动轴承的退化趋势预测,通过提取滚动轴承的时域和频域特征,以经过主成分析降维后的数据为基础进行趋势预测。将该模型预测的结果与单独使用自回归模型和支持向量机模型预测的结果进行对比,实验结果表明该模型预测的效果较好。     

基于向量自回归模型的微博隐式话题流行度预测*

现有话题流行度预测方法仅基于话题本身的特征进行流行度预测,未考虑不同话题间的相关性.然而在微博上下文不同的话题之间存在一定的相关性,特别是在同一个事件的不同话题之间.因此,文中利用动态话题模型探测微博中的隐式话题及其流行度时间序列,通过Jensen Shannon散度和皮尔逊相关系数分别分析话题间的内容和时序相关度,然后在预测模型中引入话题时序相关性,提出基于向量自回归模型的微博隐式话题流行度预测算法.通过在真实微博数据上的实验分析可知,相比未考虑话题相关性的算法,文中算法具有更高的预测准确率和更好的模型拟合效果.     

基于相关向量机的高速列车牵引系统剩余寿命预测

高速列车牵引系统在运行过程中总是受到诸多不确定因素的影响, 例如, 由于列车的负载、运行环境及元器件的老化引起的不确定性, 不确定因素不可避免地影响牵引系统剩余寿命的预测精度. 为了提高不确定情景下剩余寿命预测的准确性, 本文首先采用改进的相关向量机(Relevance vector machine, RVM)方法, 建立鲁棒性能良好的多步回归模型, 由于t分布比常用的高斯分布更具有鲁棒性, 通过权重和随机误差服从t分布而非高斯分布, 改进了相关向量机回归模型, 随后将超参数的先验一并融入似然函数, 通过最大化似然函数估计未知的超参数, 此外, 利用首达时间方法从概率角度对剩余寿命进行了预测, 最后通过牵引系统中电容器退化的案例, 与传统的相关向量机方法、自回归方法和支持向量机方法进行对比, 验证了所提算法的有效性.     

基于粗糙小波网络应用服务器老化预测模型

针对应用服务器系统中存在的软件老化现象,监测系统资源消耗的性能参数,采用粗糙小波网络建立系统老化预测模型。该模型首先采用信息熵约简方法化简系统性能参数,从而确定粗糙小波网络的输入变量;然后采用自适应遗传算法对网络结构和参数进行优化。最后通过实验表明,该模型比传统的神经网络和小波网络模型具有更高的预测精度及更好的收敛性能。     

基于队列模型的软件老化检测

针对传统的用于软件老化检测的方法忽略外部负载对老化的影响而易产生老化误报的问题,同时考虑性能参数与外部负载,提出了基于队列模型的融合外部负载的软件老化检测方法。队列模型输出每种事务在应用服务器中的服务时间,这种度量称为事务的性能“签名”（简记为TPS）,以此作为软件老化度量指标,通过TPS的变化检测软件老化。基于TPC-W事务处理系统,设计与实现了包含队列模型的融合外部负载的软件老化检测系统。利用基于队列模型的检测方法在TPC-W测试床上进行软件老化检测得出了如下结论：基于TPS的老化检测可以融合外界负载因素,有效地检测软件老化;并且通过合理选择监测窗口,优化检测效果。基于TPS的检测方法对不同的变化负载类型和性能数据同样可以有效检测软件老化。通过与已有的仅依赖于系统性能数据的软件老化检测方法AR（自回归）比较,基于TPS的软件老化检测误报次数明显低于AR模型。综上所述TPS是一种能够有效地检测软件老化并显著减少软件老化错误报告的鲁棒性的软件老化检测方法。     

基于稀疏矢量自回归概率模型的超短期风电功率预测算法

可再生能源的概率预测被广泛认为是电力系统优化的必要条件.提出一种在大量地点进行超短期的参数化风电概率预测的时空方法,其基于logit-normal的参数框架,将多个风电场的位置参数建模为一个向量值时空过程,并采用改进的指数平滑法跟踪尺度参数,采用一种先进的稀疏向量自回归模型拟合技术,对定位参数进行建模,并与传统的向量自回归模型相对比.以澳大利亚22个风电场的每5分钟平均风力发电数据集为例进行了测试,验证了该算法的有效性.     

基于深度神经向量机自回归的协同过滤算法

为发掘卷积神经网络在协同过滤预测中的潜力,针对神经自回归模型方法和支持向量机在深度学习中的优势,提出基于深度神经向量机自回归的协同过滤方法。通过将神经网络最后一层的激发函数替换为线性支持向量回归函数的方式,学习基于最小边缘的对数损失。在多个公开数据集上的实验结果表明,该算法在深度神经自回归对协同过滤问题实现较好预测的基础上,线性向量回归函数的使用能更好地提升预测效果。     

Feedback,causality and distance between arma models

The purpose of this paper is to analyze in bivariate vector autoregression the relationship between feedback in stochastic systems, Granger causality and a measure of dissimilarity between ARMA models. In particular, we consider a bivariate vector autoregressive processes of order p (a bivariate VAR(p) process) and we prove if the distance between the univariate ARMA models implied by the VAR representation is greater than a certain number that is a function of p, then Granger causality must exist in at least one direction in the variables.     

向量自回归模型Granger因果图的条件互信息辨识与应用

Grangerl因果性是衡量系统变量间动态关系的重要依据．传统的两变量Grangerl因果分析法容易产生伪因果关系,且不能刻画变量间的即时因果性．本文利用图模型方法研究时间序列变量间的Grangerl因果关系,建立了时间序列Granger因果图,提出Grangerl因果图的条件互信息辨识方法,利用混沌理论中的关联积分估计条件互信息,统计量的显著性由置换检验确定．仿真结果证实了方法的有效性,并利用该方法研究了空气污染指标以及中国股市间的Grangerl因果关系．     

非线性格兰杰因果关系在计算神经科学的应用

自从格兰杰1969年提出因果关系的概念之后,格兰杰因果关系的应用越来越广泛,但都是用来分析线性时间序列数据之间的内在联系。将线性格兰杰因果关系推广到非线性的情形,首先利用核函数的方法建立非线性时间序列模型,再按照线性格兰杰因果关系的基本思想定义非线性格兰杰因果关系,最后通过一个模拟的例子验证该方法的有效性。模拟数据的结果表明,该方法能有效地分析非线性数据之间的内在联系。     

Wavelet based time-varying vector autoregressive modelling

Vector autoregressive (VAR) modelling is one of the most popular approaches in multivariate time series analysis. The parameters interpretation is simple, and provide an intuitive identification of relationships and Granger causality among time series. However, the VAR modelling requires stationarity conditions which could not be valid in many practical applications. Locally stationary or time dependent modelling seem attractive generalizations, and several univariate approaches have already been proposed. In this paper we propose an estimation procedure for time-varying vector autoregressive processes, based on wavelet expansions of autoregressive coefficients. The asymptotic properties of the estimator are derived and illustrated by computer intensive simulations. We also present an application to brain connectivity identification using functional magnetic resonance imaging (fMRI) data sets.     

Wavelet based time-varying vector autoregressive modelling

Vector autoregressive (VAR) modelling is one of the most popular approaches in multivariate time series analysis. The parameters interpretation is simple, and provide an intuitive identification of relationships and Granger causality among time series. However, the VAR modelling requires stationarity conditions which could not be valid in many practical applications. Locally stationary or time dependent modelling seem attractive generalizations, and several univariate approaches have already been proposed. In this paper we propose an estimation procedure for time-varying vector autoregressive processes, based on wavelet expansions of autoregressive coefficients. The asymptotic properties of the estimator are derived and illustrated by computer intensive simulations. We also present an application to brain connectivity identification using functional magnetic resonance imaging (fMRI) data sets.     

Multivariate linear and nonlinear causality tests

The traditional linear Granger test has been widely used to examine the linear causality among several time series in bivariate settings as well as multivariate settings. Hiemstra and Jones [19] develop a nonlinear Granger causality test in bivariate settings to investigate the nonlinear causality between stock prices and trading volume. This paper extends their work by developing a nonlinear causality test in multivariate settings.     

基于GMDH因果关系的软件缺陷预测模型

软件缺陷预测是软件可靠性研究的一个重要方向。基于自组织数据挖掘(GMDH)网络与因果关系检验理论提出了一种软件缺陷预测模型,借鉴Granger检验思想,利用GMDH网络选择与软件失效具有因果关系的度量指标,建立软件缺陷预测模型。该方法从复杂系统建模角度研究软件度量指标与软件缺陷之间的因果关系,可以检验多变量之间在非线性意义上的因果关系。最后基于两组真实软件失效数据集,将所提出的方法与基于Granger因果检验的软件缺陷预测模型进行比较分析。结果表明,基于GMDH因果关系的软件缺陷预测模型比Granger因果检验方法具有更为显著的预测效果。     

Identification of directed influence: Granger causality, Kullback-Leibler divergence, and complexity

Detecting and characterizing causal interdependencies and couplings between different activated brain areas from functional neuroimage time series measurements of their activity constitutes a significant step toward understanding the process of brain functions. In this letter, we make the simple point that all current statistics used to make inferences about directed influences in functional neuroimage time series are variants of the same underlying quantity. This includes directed transfer entropy, transinformation, Kullback-Leibler formulations, conditional mutual information, and Granger causality. Crucially, in the case of autoregressive modeling, the underlying quantity is the likelihood ratio that compares models with and without directed influences from the past when modeling the influence of one time series on another. This framework is also used to derive the relation between these measures of directed influence and the complexity or the order of directed influence. These results provide a framework for unifying the Kullback-Leibler divergence, Granger causality, and the complexity of directed influence.     

Multivariate out-of-sample tests for Granger causality

A time series is said to Granger cause another series if it has incremental predictive power when forecasting it. While Granger causality tests have been studied extensively in the univariate setting, much less is known for the multivariate case. Multivariate out-of-sample tests for Granger causality are proposed and their performance is measured by a simulation study. The results are graphically represented by size-power plots. It emerges that the multivariate regression test is the most powerful among the considered possibilities. As a real data application, it is investigated whether the consumer confidence index Granger causes retail sales in Germany, France, the Netherlands and Belgium.     

Spurious Granger causality between a broken-trend stationary process and a stochastic trend process

This paper examines spurious Granger causality between a trend stationary process with structural breaks and a stochastic trend process. Monte Carlo simulations show that whether or not there are deterministic variables in the testing models, the sample size and the parameter values of the data generation process can affect the empirical frequencies of spurious Granger causality relations in different degrees. The analysis also points out that an alternative rank-based causality test method can avoid the risk of spurious causality to some extent by adopting an intercept and deterministic trend term in the testing regressions.