Título: | EXPLORING NEW METHODS TO PERFORM BAGGING WITH EXPONENTIAL SMOOTHING | ||||||||||||
Autor: |
DAVID SOUZA PINTO |
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Colaborador(es): |
FERNANDO LUIZ CYRINO OLIVEIRA - Orientador TIAGO MENDES DANTAS - Coorientador |
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Catalogação: | 07/DEZ/2020 | Língua(s): | ENGLISH - UNITED STATES |
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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. |
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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 |
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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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