Time Series Analysis and Forecasting: Selected Contributions from the ITISE Conference

This volume presents selected peer-reviewed contributions from The International Work-Conference on Time Series, ITISE 2015, held in Granada, Spain, July 1-3, 2015. It discusses topics in time series analysis and forecasting, advanced methods and online learning in time series, high-dimensional and complex/big data time series as well as forecasting in real problems.

The International Work-Conferences on Time Series (ITISE) provide a forum for scientists, engineers, educators and students to discuss the latest ideas and implementations in the foundations, theory, models and applications in the field of time series analysis and forecasting.  It focuses on interdisciplinary and multidisciplinary research encompassing the disciplines of computer science, mathematics, statistics and econometrics.

Table of Contents

Part I Advanced Analysis and Forecasting Methods

Chapter 1. A Direct Method for the Langevin-Analysis of MultidimensionalStochastic Processes with Strong Correlated Measurement Noise
Chapter 2. Threshold Autoregressive Models for Directional Time Series
Chapter 3. Simultaneous Statistical Inference in Dynamic Factor Models
Chapter 4. The Relationship Between the Beveridge–Nelson Decomposition and Exponential Smoothing
Chapter 5. Permutation Entropy and Order Patterns in Long Time Series
Chapter 6. Generative Exponential Smoothing and Generative ARMA Models to Forecast Time-Variant Rates or Probabilities
Chapter 7. First-Passage Time Properties of Correlated Time Series with Scale-Invariant Behavior and with Crossovers in the Scaling

Part II Theoretical and Applied Econometrics
Chapter 8. The Environmental Impact of Economic Activity on the Planet
Chapter 9. Stock Indices in Emerging and Consolidated Economies from a Fractal Perspective
Chapter 10. Value at Risk with Filtered Historical Simulation
Chapter 11. A SVEC Model to Forecast and Perform Structural Analysis (Shocks) for the Mexican Economy, 1985Q1 –2014Q4
Chapter 12. IntradayDatavsDailyDatatoForecastVolatilityinFinancialMarkets
Chapter 13. Predictive and Descriptive Qualities of Different Classes of Models for Parallel Economic Development of Selected EU-Countries
Chapter 14. Search and Evaluation of Stock Ranking Rules Using Internet Activity Time Series and Multiobjective Genetic Programming
Chapter 15. Integer-Valued APARCH Processes

Part III Applications in Time Series Analysis and Forecasting
Chapter 16. Emergency-Related, Social Network Time Series: Descriptionand Analysis
Chapter 17. Competitive Models for the Spanish Short-Term Electricity Demand Forecasting
Chapter 18. Age-Specific Death Rates Smoothed by the Gompertz–Makeham Function and Their Application in Projections by Lee–Carter Model
Chapter 19. An Application of Time Series Analysis in Judging the Working State of Ground-Based Microwave Radiometers and Data Calibration
Chapter 20. Identifying the Best Performing Time Series Analytics for Sea Level Research
Chapter 21. Modellation and Forecast of Traffic Series by a Stochastic Process
Chapter 22. Spatio-Temporal Modeling for fMRI Data

Part IV Machine Learning Techniques in Time Series Analysis and Prediction
Chapter 23. Communicating Artificial Neural Networks with Physical-Based Flow Model for Complex Coastal Systems
Chapter 24. Forecasting Daily Water Demand Using Fuzzy Cognitive Maps
Chapter 25. Forecasting Short-Term Demand for Electronic Assemblies by Using Soft-Rules
Chapter 26. Electrical Load Forecasting: A Parallel Seasonal Approach
Chapter 27. A Compounded Multi-resolution-Artificial Neural Network Method for the Prediction of Time Series with Complex Dynamics