A novel method for forecasting time series based on directed visibility graph and improved random walk

可见性图 随机游动 系列(地层学) 能见度 计算机科学 图形 时间序列 稳健性(进化) 数据挖掘 相似性(几何) 算法 人工智能 计量经济学 机器学习 统计 数学 理论计算机科学 地理 几何学 图像(数学) 正多边形 基因 生物 古生物学 气象学 生物化学 化学
作者
Yuntong Hu,Fuyuan Xiao
出处
期刊:Physica D: Nonlinear Phenomena [Elsevier]
卷期号:594: 127029-127029 被引量:15
标识
DOI:10.1016/j.physa.2022.127029
摘要

Recently network-based method for forecasting time series has become a hot research topic. Although some proposed network-based methods achieve good performance in forecasting some series, how to mine more information of time series and make more accurate predictions is still an open question. To address this issue, we propose a novel reconstructing–forecasting method based on directed visibility graph and random walk process. Firstly, the observed time series is reconstructed to explore more information of series. Then, the reconstructed series is converted into a directed visibility graph. Afterwards, the reconstructed series is predicted with the similarity distribution obtained from improved random walk process. Eventually, the prediction of original time series is calculated using the predictions and the similarity distribution of the reconstructed one. To test the forecasting performance, the proposed method is applied to forecast construction cost index ( CCI ), China’s quarterly total GDP growth ( GDP ) and China’s tertiary industry quarterly GDP growth ( TI ). The results of experiments indicate that, with good robustness, the proposed method is of ability to provide more accurate predictions than compared methods. • An improved visibility graph called directed visibility graph is proposed. More information of time series can be retained in network converting process. • A reconstruction algorithm method is introduced in this paper to approach higher forecasting accuracy. • Paths in random walk process are redefined, which makes it suitable for directed network. • Experimental results on real-world time series demonstrate the effectiveness of the proposed method.
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