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Simultaneous model construction and noise reduction for hierarchical time series via Support Vector Regression
Indexado
WoS WOS:000703550700011
Scopus SCOPUS_ID:85115653552
DOI 10.1016/J.KNOSYS.2021.107492
Año 2021
Tipo artículo de investigación

Citas Totales

Autores Afiliación Chile

Instituciones Chile

% Participación
Internacional

Autores
Afiliación Extranjera

Instituciones
Extranjeras


Abstract



In several applications, there are hierarchically-organized time series that can be aggregated at various levels. In this paper, a novel Support Vector Regression approach is proposed for dealing with hierarchical time series forecasting. The main idea is to pool information across levels of hierarchy, preventing bottom-level series from deviate much with respect to the series at the upper levels. The reasoning behind this approach is to estimate robust bottom-level models that can deal with the intrinsic noise present at this level due to the lack of information. Two variants are presented: First, we solve a single optimization problem that constructs all the related regression functions together, relating the bottom level series with the root node, while the second variant pools relates the leaf nodes with their respective parent nodes. The proposed approach showed best performance when compared with the state of the art on hierarchical time series forecasting using well-known benchmark datasets.

Revista



Revista ISSN
Knowledge Based Systems 0950-7051

Métricas Externas



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Disciplinas de Investigación



WOS
Computer Science, Artificial Intelligence
Scopus
Artificial Intelligence
Software
Management Information Systems
Information Systems And Management
SciELO
Sin Disciplinas

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Publicaciones WoS (Ediciones: ISSHP, ISTP, AHCI, SSCI, SCI), Scopus, SciELO Chile.

Colaboración Institucional



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Autores - Afiliación



Ord. Autor Género Institución - País
1 Karmy, Juan Pablo Hombre Universidad de Los Andes, Chile - Chile
2 LOPEZ-LUIS, JULIO CESAR Hombre Universidad Diego Portales - Chile
3 MALDONADO-ALARCON, SEBASTIAN ALEJANDRO Hombre Universidad de Chile - Chile
Instituto Sistemas Complejos de Ingeniería - Chile

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Financiamiento



Fuente
FONDECYT-Chile
UANDES-FAI
ANID
PIA-Basal
ANID-Chile

Muestra la fuente de financiamiento declarada en la publicación.

Agradecimientos



Agradecimiento
The authors are grateful to the anonymous referees for their careful reading and helpful suggestions that improved the paper greatly. The authors gratefully acknowledge financial support from ANID PIA-BASAL AFB180003, Chile and FONDECYT-Chile , grants 1200221 and 1201403 . Juan Pablo Karmy also acknowledges grants provided by ANID-Chile and UANDES-FAI for his Ph.D. studies.
The authors are grateful to the anonymous referees for their careful reading and helpful suggestions that improved the paper greatly. The authors gratefully acknowledge financial support from ANID PIA-BASAL AFB180003, Chile and FONDECYT-Chile, grants 1200221 and 1201403. Juan Pablo Karmy also acknowl-edges grants provided by ANID-Chile and UANDES-FAI for his Ph.D. studies.

Muestra la fuente de financiamiento declarada en la publicación.