Intervention and Causality: Forecasting Traffic Flows Using a Dynamic Bayesian Network
干预与因果关系:利用动态贝叶斯网络预测交通流AI 解读 ↓
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干预与因果关系:利用动态贝叶斯网络预测交通流AI 解读 ↓
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Real-time traffic flow data across entire networks can be used in a traffic management system to monitor current traffic flows so that traffic can be directed and managed efficiently. Reliable short-term forecasting models of traffic flows are crucial for the success of any traffic management system. The model proposed in this article for forecasting traffic flows is a multivariate Bayesian dynamic model called the multiregression dynamic model (MDM). This model is an example of a dynamic Bayesian network and is designed to preserve the conditional independences and causal drive exhibited by the traffic flow series. Sudden changes can occur in traffic flow series in response to such events as traffic accidents or roadworks. A traffic management system is particularly useful at such times of change. To ensure that the associated forecasting model continues to produce reliable forecasts, despite the change, the MDM uses the technique of external intervention. This article will demonstrate how intervention works in the MDM and how it can improve forecast performance at times of change. External intervention has also been used in the context of Bayesian networks to identify causal relationships between variables, and in dynamic Bayesian networks to identify lagged causal relationships between time series. This article goes beyond the identification of lagged causal relationships previously addressed using intervention in dynamic Bayesian networks, to show how intervention in the MDM can be used to identify contemporaneous causal relationships between time series.
具有结构突变干预的方向位移 Dirichlet ARMA 组成时间序列模型
Compositional time series frequently exhibit structural breaks due to external shocks, policy changes, or market disruptions. Standard methods either ignore such breaks or handle them through fixed effects that cannot extrapolate beyond the sample, or step-function dummies that impose instantaneous adjustment. We develop a Bayesian Dirichlet ARMA model augmented with a directional-shift intervention mechanism that captures structural breaks through three interpretable…
利用动态分割模型进行宏观金融预测
Dynamic partition models are used to predict movements in the term structure of interest rates. This allows one to understand historic cycles in the performance of how interest rates behave, and to offer policy makers guidance regarding future expectations on their evolution. Our approach allows for a random number of possible change points in the term structure of interest rates. We use particle learning to learn about the unobserved state variables in a new class of…
时变参数的贝叶斯自回归在线变点检测
Change points in real-world systems mark significant regime shifts in system dynamics, possibly triggered by exogenous or endogenous factors. These points define regimes for the time evolution of the system and are crucial for understanding transitions in financial, economic, social, environmental, and technological contexts. Building upon the Bayesian approach introduced in \cite{c:07}, we devise a new method for online change point detection in the mean of a univariate…
Meese–Rogoff 谜题的新视角:稀疏动态收缩的应用
We propose the Markov Switching Dynamic Shrinkage process (MSDSP), nesting the Dynamic Shrinkage Process (DSP) of Kowal et al. (2019). We revisit the Meese-Rogoff puzzle (Meese and Rogoff, 1983a,b, 1988) by applying the MSDSP to the economic models deemed inferior to the random walk model for exchange rate predictions. The flexibility of the MSDSP model captures the possibility of zero coefficients (sparsity), constant coefficient (dynamic shrinkage), as well as sudden and…
连接频率学派与贝叶斯变点方法
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This allows results from the frequentist and Bayesian paradigms to be bridged together. Thanks to this link, one can rely on the consistency of the number and locations of the estimated CPs and the computational efficiency of frequentist methods,…
连接频率学派与贝叶斯变点方法
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This allows results from the frequentist and Bayesian paradigms to be bridged together. Thanks to this link, one can rely on the consistency of the number and locations of the estimated CPs and the computational efficiency of frequentist methods,…