Bayesian nonparametric forecasting of monotonic functional time series

DOI10.1214/16-EJS1190MaRDI QIDQ502800zbMATH OpenOpenAlexFDO

Authors Matteo Ruggiero, Antonio Canale

Publication date 11 January 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.08056, https://projecteuclid.org/euclid.ejs/1479287221

zbMATH Keywords

approximate Bayesian computationdependent processesDirichlet processinteracting particle systemMarkov chainMonte CarloMoran modelPolya urnprediction

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Abstract: We propose a Bayesian nonparametric approach to modelling and predicting a class of functional time series with application to energy markets, based on fully observed, noise-free functional data. Traders in such contexts conceive profitable strategies if they can anticipate the impact of their bidding actions on the aggregate demand and supply curves, which in turn need to be predicted reliably. Here we propose a simple Bayesian nonparametric method for predicting such curves, which take the form of monotonic bounded step functions. We borrow ideas from population genetics by defining a class of interacting particle systems to model the functional trajectory, and develop an implementation strategy which uses ideas from Markov chain Monte Carlo and approximate Bayesian computation techniques and allows to circumvent the intractability of the likelihood. Our approach shows great adaptation to the degree of smoothness of the curves and the volatility of the functional series, proves to be robust to an increase of the forecast horizon and yields an uncertainty quantification for the functional forecasts. We illustrate the model and discuss its performance with simulated datasets and on real data relative to the Italian natural gas market.

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• Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
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