Forecasting

Traditional learning curve theory assumes a constant learning rate regardless of the number of units produced. However, a collection of theoretical and empirical evidence indicates that learning rates decrease as more units are produced in some cases. These diminishing learning rates cause traditional learning curves to underestimate required resources, potentially resulting in cost overruns. A diminishing learning rate model, namely Boone’s learning curve, was recently developed to model this phenomenon. This research confirms that Boone’s learning curve systematically reduced error in modeling observed learning curves using production data from 169 Department of Defense end-items. However, high amounts of variability in error reduction precluded concluding the degree to which Boone’s learning curve reduced error on average. This research further justifies the necessity of a diminishing learning rate forecasting model and assesses a potential solution to model diminishing learning rates. Full article

The increasing penetration of non-programmable renewable energy sources (RES) is enforcing the need for accurate power production forecasts. In the category of hydroelectric plants, Run of the River (RoR) plants belong to the class of non-programmable RES. Data-driven models are nowadays the most widely adopted methodologies in hydropower forecast. Among all, the Artificial Neural Network (ANN) proved to be highly successful in production forecast. Widely adopted and equally important for hydropower generation forecast is the HYdrological Predictions for the Environment (HYPE), a semi-distributed hydrological Rainfall–Runoff model. A novel hybrid method, providing HYPE sub-basins flow computation as input to an ANN, is here introduced and tested both with and without the adoption of a decomposition approach. In the former case, two ANNs are trained to forecast the trend and the residual of the production, respectively, to be then summed up to the previously extracted seasonality component and get the power forecast. These results have been compared to those obtained from the adoption of a ANN with rainfalls in input, again with and without decomposition approach. The methods have been assessed by forecasting the Run-of-the-River hydroelectric power plant energy for the year 2017. Besides, the forecasts of 15 power plants output have been fairly compared in order to identify the most accurate forecasting technique. The here proposed hybrid method (HYPE and ANN) has shown to be the most accurate in all the considered study cases. Full article

From 2014 to 2018, issuers of retail structured products in Germany established and calculated the Issuer Estimated Value (IEV), a fair value designed to offer more transparency for retail investors. By reporting the IEV in the product information sheet, banks implicitly make a statement on their expected gross margin and, as one of the first papers, we provide an empirical study of the fairness of these disclosed figures. On a sample of discount and capped bonus certificates, we find that reported issuer margins can be verified using standard option pricing models and we illustrate that hedging costs take on an important role for structured product valuation. Consequently, the answer to the raised question in the title seems to be an (initial) ‘yes’ for our chosen product sample. Even though in 2018 the IEV calculations have been replaced by similar margin and cost statements due to the newly introduced Packaged Retail and Insurance-based Investment Products Regulation, this finding might still be a good guide for future research. Full article

Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory data collected by the US Forest Service over several decades. We fulfilled autoregressive analysis of the basal forest area at the level of US ecological regions. In each USA ecological region, we modeled basal area dynamics on individual forest inventory pots and performed analysis of its yearly averages. The last task involved Bayesian techniques to treat irregular data. In the absolute majority of ecological regions, basal area yearly averages behave as geometric random walk with normal increments. In California Coastal Province, geometric random walk with normal increments adequately describes dynamics of both basal area yearly averages and basal area on individual forest plots. Regarding all the rest of the USA’s ecological regions, basal areas on individual forest patches behave as random walks with heavy tails. The Bayesian approach allowed us to evaluate forest growth rate within each USA ecological region. We have also implemented time series ARIMA models for annual averages basal area in every USA ecological region. The developed models account for stochastic effects of environmental disturbances and allow one to forecast forest dynamics. Full article

Population projections serve various actors at subnational, national, and international levels as a quantitative basis for political and economic decision-making. Usually, the users are no experts in statistics or forecasting and therefore lack the methodological and demographic background to completely understand methods and limitations behind the projections they use to inform further analysis. Our contribution primarily targets that readership. Therefore, we give a brief overview of different approaches to population projection and discuss their respective advantages and disadvantages, alongside practical problems in population data and forecasting. Fundamental differences between deterministic and stochastic approaches are discussed, with special emphasis on the advantages of stochastic approaches. Next to selected projection data available to the public, we show central areas of application of population projections, with an emphasis on Germany. Full article

Hydrological extremes associated with climate change are becoming an increasing concern all over the world. Frequent flooding, one of the extremes, needs to be analyzed while considering climate change to mitigate flood risk. This study forecast streamflow and evaluate risk of flooding in the Neuse River, North Carolina considering future climatic scenarios, and comparing them with an existing Federal Emergency Management Agency study. The cumulative distribution function transformation method was adopted for bias correction to reduce the uncertainty present in the Coupled Model Intercomparison Project Phase 6 (CMIP6) streamflow data. To calculate 100-year and 500-year flood discharges, the Generalized Extreme Value (L-Moment) was utilized on bias-corrected multimodel ensemble data with different climate projections. Out of all projections, shared socio-economic pathways (SSP5-8.5) exhibited the maximum design streamflow, which was routed through a hydraulic model, the Hydrological Engineering Center’s River Analysis System (HEC-RAS), to generate flood inundation and risk maps. The result indicates an increase in flood inundation extent compared to the existing study, depicting a higher flood hazard and risk in the future. This study highlights the importance of forecasting future flood risk and utilizing the projected climate data to obtain essential information to determine effective strategic plans for future floodplain management. Full article

Bus travel time analysis plays a key role in transit operation planning, and methods are needed for investigating its variability and for forecasting need. Nowadays, telematics is opening up new opportunities, given that large datasets can be gathered through automated monitoring, and this topic can be studied in more depth with new experimental evidence. The paper proposes a time-series-based approach for travel time forecasting, and data from automated vehicle monitoring (AVM) of bus lines sharing the road lanes with other traffic in Rome (Italy) and Lviv (Ukraine) are used. The results show the goodness of such an approach for the analysis and reliable forecasts of bus travel times. The similarities and dissimilarities in terms of travel time patterns and city structure were also pointed out, showing the need to take them into account when developing forecasting methods. Full article

We propose to view social conflicts in Africa as having similarities with earthquake occurrences and hence to consider the spatial-temporal Epidemic Type Aftershock Sequence (ETAS) model. The parameters of this highly parameterized model are estimated through simulated annealing. We consider data for 2012 to 2016 to calibrate the model for four African regions separately, and we consider the data for 2017 to evaluate the forecasts. These forecasts concern the amount of future large events as well as their locations. Examples of our findings are that the model predicts a cluster of large events in the Central Africa region, which was not expected based on past events, and that in particular for East Africa it apparently holds that small conflicts can trigger a larger number of conflicts. Full article

Predicting the outcome of sales opportunities is a core part of successful business management. Conventionally, undertaking this prediction has relied mostly on subjective human evaluations in the process of sales decision-making. In this paper, we addressed the problem of forecasting the outcome of Business to Business (B2B) sales by proposing a thorough data-driven Machine-Learning (ML) workflow on a cloud-based computing platform: Microsoft Azure Machine-Learning Service (Azure ML). This workflow consists of two pipelines: (1) An ML pipeline to train probabilistic predictive models on the historical sales opportunities data. In this pipeline, data is enriched with an extensive feature enhancement step and then used to train an ensemble of ML classification models in parallel. (2) A prediction pipeline to use the trained ML model and infer the likelihood of winning new sales opportunities along with calculating optimal decision boundaries. The effectiveness of the proposed workflow was evaluated on a real sales dataset of a major global B2B consulting firm. Our results implied that decision-making based on the ML predictions is more accurate and brings a higher monetary value. Full article

The Integrated Multisatellite Retrievals for Global Precipitation Measurement (GPM) (IMERG) Level 3 estimates rainfall from passive microwave sensors onboard satellites that are associated with several uncertainty sources such as sensor calibration, retrieval errors, and orographic effects. This study aims to provide a comprehensive investigation of multiple machine learning (ML) techniques (Random Forest, and Neural Networks), to stochastically generate an error-corrected improved IMERG precipitation product at a daily time scale and 0.1°-degree spatial resolution over the Brahmaputra river basin. In this study, we used the operational IMERG-Late Run version 06 product along with several meteorological and land surface parameters (elevation, soil type, land type, soil moisture, and daily maximum and minimum temperature) to produce an improved precipitation product in the Brahmaputra basin. We trained, tested, and optimized ML algorithms using 4 years (from 2015 through 2019) of reference rainfall data derived from the rain gauge. The ML generated precipitation product exhibited improved systematic and random error statistics for the study area, which is a strong indication for using the proposed algorithms in retrieving precipitation across the globe. We conclude that the proposed ML-based ensemble framework has the potential to quantify and correct the error sources for improving and promoting the use of satellite-based precipitation estimates for water resources applications. Full article

Improving decision-making in various areas of water policy and management (e.g., flood and drought preparedness, reservoir operation and hydropower generation) requires skillful streamflow forecasts. Despite the recent advances in hydrometeorological prediction, real-time streamflow forecasting over the Himalayas remains a critical issue and challenge, especially with complex basin physiography, shifting weather patterns and sparse and biased in-situ hydrometeorological monitoring data. In this study, we demonstrate the utility of low-complexity data-driven persistence-based approaches for skillful streamflow forecasting in the Himalayan country Nepal. The selected approaches are: (1) simple persistence, (2) streamflow climatology and (3) anomaly persistence. We generated the streamflow forecasts for 65 stream gauge stations across Nepal for short-to-medium range forecast lead times (1 to 12 days). The selected gauge stations were monitored by the Department of Hydrology and Meteorology (DHM) Nepal, and they represent a wide range of basin size, from ~17 to ~54,100 km². We find that the performance of persistence-based forecasting approaches depends highly upon the lead time, flow threshold, basin size and flow regime. Overall, the persistence-based forecast results demonstrate higher forecast skill in snow-fed rivers over intermittent ones, moderate flows over extreme ones and larger basins over smaller ones. The streamflow forecast skill obtained in this study can serve as a benchmark (reference) for the evaluation of many operational forecasting systems over the Himalayas. Full article

This study, which was contracted by the European Commission and is geared towards easy replicability by practitioners, compares the accuracy of individual and combined approaches to forecasting tourism demand for the total European Union. The evaluation of the forecasting accuracies was performed recursively (i.e., based on expanding estimation windows) for eight quarterly periods spanning two years in order to check the stability of the outcomes during a changing macroeconomic environment. The study sample includes Eurostat data from January 2005 until August 2017, and out of sample forecasts were calculated for the last two years for three and six months ahead. The analysis of the out-of-sample forecasts for arrivals and overnights showed that forecast combinations taking the historical forecasting performance of individual approaches such as Autoregressive Integrated Moving Average (ARIMA) models, REGARIMA models with different trend variables, and Error Trend Seasonal (ETS) models into account deliver the best results. Full article

In this article, a nowcasting technique for meteorological radar images based on a generative neural network is presented. This technique’s performance is compared with state-of-the-art optical flow procedures. Both methods have been validated using a public domain data set of radar images, covering an area of about 10⁴ km² over Japan, and a period of five years with a sampling frequency of five minutes. The performance of the neural network, trained with three of the five years of data, forecasts with a time horizon of up to one hour, evaluated over one year of the data, proved to be significantly better than those obtained with the techniques currently in use. Full article

Firms engage in forecasting and foresight activities to predict the future or explore possible future states of the business environment in order to pre-empt and shape it (corporate foresight). Similarly, the dynamic capabilities approach addresses relevant firm capabilities to adapt to fast change in an environment that threatens a firm’s competitiveness and survival. However, despite these conceptual similarities, their relationship remains opaque. To close this gap, we conduct qualitative interviews with foresight experts as an exploratory study. Our results show that foresight and dynamic capabilities aim at an organizational renewal to meet future challenges. Foresight can be regarded as a specific activity that corresponds with the sensing process of dynamic capabilities. The experts disagree about the relationship between foresight and sensing and see no direct links with transformation. However, foresight can better inform post-sensing activities and, therefore, indirectly contribute to the adequate reconfiguration of the resource base, an increased innovativeness, and firm performance. Full article

The increasing shortage of electricity in Pakistan disturbs almost all sectors of its economy. As, for accurate policy formulation, precise and efficient forecasts of electricity consumption are vital, this paper implements a forecasting procedure based on components estimation technique to forecast medium-term electricity consumption. To this end, the electricity consumption series is divided into two major components: deterministic and stochastic. For the estimation of deterministic component, we use parametric and nonparametric models. The stochastic component is modeled by using four different univariate time series models including parametric AutoRegressive (AR), nonparametric AutoRegressive (NPAR), Smooth Transition AutoRegressive (STAR), and Autoregressive Moving Average (ARMA) models. The proposed methodology was applied to Pakistan electricity consumption data ranging from January 1990 to December 2015. To assess one month ahead post-sample forecasting accuracy, three standard error measures, namely Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and Root Mean Square Error (RMSE), were calculated. The results show that the proposed component-based estimation procedure is very effective at predicting electricity consumption. Moreover, ARMA models outperform the other models, while NPAR model is competitive. Finally, our forecasting results are comparatively batter then those cited in other works. Full article

Thunderstorms are complex weather phenomena that cause substantial power outages in a short period. This makes thunderstorm outage prediction challenging using eventwise outage prediction models (OPMs), which summarize the storm dynamics over the entire course of the storm into a limited number of parameters. We developed a new, temporally sensitive outage prediction framework designed for models to learn the hourly dynamics of thunderstorm-caused outages directly from weather forecasts. Validation of several models built on this hour-by-hour prediction framework and comparison with a baseline model show abilities to accurately report temporal and storm-wide outage characteristics, which are vital for planning utility responses to storm-caused power grid damage. Full article

Direct Normal Irradiance (DNI) predictions obtained from the Integrated Forecasting System of the European Centre for Medium-Range Weather Forecast (IFS/ECMWF) were compared against ground-based observational data for one location at the south of Portugal (Évora). Hourly and daily DNI values were analyzed for different temporal forecast horizons (1 to 3 days ahead) and results show that the IFS/ECMWF slightly overestimates DNI for the period of analysis (1 August 2018 until 31 July 2019) with a fairly good agreement between model and observations. Hourly basis evaluation shows relatively high errors, independently of the forecast day. Root mean square error increases as the forecast time increases with a relative error of ~45% between the first and the last forecast. Similar patterns are observed in the daily analysis with comparable magnitude errors. The correlation coefficients between forecast and observed data are above 0.7 for both hourly and daily data. A methodology based on a new DNI attenuation Index (DAI) was developed to estimate cloud fraction from hourly values integrated over a day and, with that, to correlate the accuracy of the forecast with sky conditions. This correlation with DAI reveals that in IFS/ECMWF model, the atmosphere as being more transparent than reality since cloud cover is underestimated in the majority of the months of the year, taking the ground-based measurements as a reference. The use of the DAI estimator confirms that the errors in IFS/ECMWF are larger under cloudy skies than under clear sky. The development and application of a post-processing methodology improves the DNI predictions from the IFS/ECMWF outputs, with a decrease of error of the order of ~30%, when compared with raw data. Full article

We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equilibrium and inherent nonlinearities. We unveiled short-run dynamic adjustments for the term structure of the BRICS, subject to regime switches. We then used Markov Switching Vector Error Correction models (MS-VECM) to forecast them dynamically during an out-of-sample period of May 2016 through August 2019. The MSIH-VECM forecasts were found to be superior to the VECM approaches. The novelty of our paper is mainly due to the exploration of the possibility of parameter instability as a crucial factor, which might explain the rejection of the restricted version of the cointegration space, and on the dynamic out-of-sample forecasts of the term structure over a more recent time span in order to assess further the usefulness of our nonlinear MS-VECM characterization of the term structure, capturing the effects of the global and domestic financial crisis. Full article

Currently, it is possible to access a large amount of satellite weather information from monitoring and forecasting severe storms. However, there are no methods of employing satellite images that can improve real-time early warning systems in different regions of Mexico. The auto-estimator is the most commonly used technique that was developed for specific locations in the United States of America (32°–49° latitude) for the type of convective storms. However, the estimation of precipitation intensities for meteorological conditions in tropic latitudes, using the auto-estimator technique, needs to be re-adjusted and calibrated. It is necessary to improve this type of technique that allows decision-makers to have hydro-informatic tools capable of improving early warning systems in tropical regions (15°–25° Mexican tropic latitude). The main objective of the work is to estimate rainfall from satellite imagery in the infrared (IR) spectrum from the Geostationary Operational Environmental Satellite (GOES), validating these estimates with a network of surface rain gauges. Using the GOES-13 IR images every 15 min and using the auto-estimator, a downscaling of six hurricanes was performed from which surface precipitation events were measured. The two main difficulties were to match the satellite images taken every 15 min with the surface data measured every 10 min and to develop a program in C+ that would allow the systematic analysis of the images. The results of this work allow us to get a new adjustment of coefficients in a new equation of the auto-estimator, valid for rain produced by hurricanes, something that has not been done until now. Although no universal relationship has been found for hurricane rainfall, it is evident that the original formula of the auto-estimator technique needs to be modified according to geographical latitude. Full article