Dynamic hierarchical state space forecasting
Fuente:
Wiley Open Access
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | Artículo Open Access |
| Publicado: |
Wiley
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1867015890162155520 |
|---|---|
| author | Ziyue Liu Wensheng Guo |
| author_facet | Ziyue Liu Wensheng Guo Ziyue Liu Wensheng Guo |
| collection | Wiley Open Access |
| contents | Dynamic hierarchical state space forecasting Ziyue Liu Wensheng Guo Statistics in Medicine In this paper, we aim to both borrow information from existing units and incorporate the target unit's history data in time series forecasting. We consider a situation when we have time series data from multiple units that share similar patterns when aligned in terms of an internal time. The internal time is defined as an index according to evolving features of interest. When mapped back to the calendar time, these time series can span different time intervals that can include the future calendar time of the targeted unit, over which we can borrow the information from other units in forecasting the targeted unit. We first build a hierarchical state space model for the multiple time series data in terms of the internal time, where the shared components capture the similarities among different units while allowing for unit‐specific deviations. A conditional state space model is then constructed to incorporate the information of existing units as the prior information in forecasting the targeted unit. By running the Kalman filtering based on the conditional state space model on the targeted unit, we incorporate both the information from the other units and the history of the targeted unit. The forecasts are then transformed from internal time back into calendar time for ease of interpretation. A simulation study is conducted to evaluate the finite sample performance. Forecasting state‐level new COVID‐19 cases in United States is used for illustration. 10.1002/sim.10097 http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| doi_str_mv | 10.1002/sim.10097 |
| format | Artículo Open Access |
| id | wiley_oa_10_1002_sim_10097 |
| institution | Wiley Open Access |
| license_str_mv | http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| publishDate | 2024 |
| publisher | Wiley |
| record_format | wiley_oa |
| spellingShingle | Dynamic hierarchical state space forecasting Ziyue Liu Wensheng Guo Statistics in Medicine Dynamic hierarchical state space forecasting Ziyue Liu Wensheng Guo Statistics in Medicine In this paper, we aim to both borrow information from existing units and incorporate the target unit's history data in time series forecasting. We consider a situation when we have time series data from multiple units that share similar patterns when aligned in terms of an internal time. The internal time is defined as an index according to evolving features of interest. When mapped back to the calendar time, these time series can span different time intervals that can include the future calendar time of the targeted unit, over which we can borrow the information from other units in forecasting the targeted unit. We first build a hierarchical state space model for the multiple time series data in terms of the internal time, where the shared components capture the similarities among different units while allowing for unit‐specific deviations. A conditional state space model is then constructed to incorporate the information of existing units as the prior information in forecasting the targeted unit. By running the Kalman filtering based on the conditional state space model on the targeted unit, we incorporate both the information from the other units and the history of the targeted unit. The forecasts are then transformed from internal time back into calendar time for ease of interpretation. A simulation study is conducted to evaluate the finite sample performance. Forecasting state‐level new COVID‐19 cases in United States is used for illustration. 10.1002/sim.10097 http://creativecommons.org/licenses/by-nc-nd/4.0/ |
| title | Dynamic hierarchical state space forecasting |
| topic | Statistics in Medicine |
| url | https://onlinelibrary.wiley.com/doi/10.1002/sim.10097 |