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ETDs @PUC-Rio
Estatística
Título: EXPLORING NEW METHODS TO PERFORM BAGGING WITH EXPONENTIAL SMOOTHING
Autor: DAVID SOUZA PINTO
Colaborador(es): FERNANDO LUIZ CYRINO OLIVEIRA - Orientador
TIAGO MENDES DANTAS - Coorientador
Catalogação: 07/DEZ/2020 Língua(s): ENGLISH - UNITED STATES
Tipo: TEXT Subtipo: THESIS
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=50658&idi=1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=50658&idi=2
DOI: https://doi.org/10.17771/PUCRio.acad.50658
Resumo:
Exponential smoothing methods are flexible procedures for univariate time series forecasting, developed in the 1960 s. Most recent developments based on these models use bagging to improve forecast quality. One of these implementations, BaggedETS, developed in 2016, brought improvements in forecast quality and is distributed through the forecast package for R. A posterior implementation, BaggedClusterETS, adds clustering and validation steps to address the covariance effect associated with bagging. The proposal resulted in further accuracy improvements. This work delves into three extensions of the aforementioned methods: the first studies the effects of the maximum entropy bootstrap on the BaggedETS. The second explores different dissimilarity measures to construct the clusters in BaggedClusterETS. The third studies a simplified version of BaggedClusterETS, where the validation and selection steps are removed, and using only the medoids for bagging. To test these proposals, 21 time series from civil aviation and energy consumption were used.
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