Author(s)

Jiayi Lu ¹

Affiliation(s)

¹ School of Urban, Xi'an Polytechnic University, Xi'an, Shaanxi, 710600, China

Corresponding Author

Jiayi Lu

ABSTRACT

This paper proposed an adaptive prediction model for high-dimensional time series data based on model averaging method and principal component analysis. Specifically, this paper considers the case where the response variable is a scalar and the predictor variable is a time series. Firstly, the high-dimensional time series data is extracted information by principal component analysis. Secondly, the Bayesian model averaging method is used to perform the forecast task based on the principal component projection matrix. The proposed method can effectively deal with the unsupervised nature of PCA and avoid the problem of selecting the number of PCA. It is demonstrated that the proposed method is competitive compared with the lasso regression and the ridge regression by real data analyses.

KEYWORDS

Time series data, high-dimensional problem, PCA, model averaging

CITE THIS PAPER

Jiayi Lu. Time series regression based on Bayesian model averaging and principal component analysis. Advances in Computer, Signals and Systems (2023) Vol. 7: 75-81. DOI: http://dx.doi.org/10.23977/acss.2023.070110.

REFERENCES

[1] Zhao Xun. Principal component analysis and neural network application in consumer spending forecast [D]. Jilin University, 2016.
[2] Zhang He, Fan Mengxuan. Based on Lasso regression model analysis of Qingdao Marine economy and Marine industry [J]. Journal of ocean development and management, 2022, 33 (8): 6. 22 to 28 DOI: 10.20016/j.carol carroll nki hykfygl. 20220803.002.
[3] Shi Y. Research on soil composition prediction model based on visible near-infrared spectroscopy [D]. University of Science and Technology of China, 2018.
[4] Meng Qinglong, Shang Jing, Huang Renshuai, Zhang Yan. Prediction model of apple soluble solid content based on principal component regression [J]. Preservation and Processing, 2020, 20(05): 185-189.
[5] Zhu Hailong, Li Pingping. Analysis of Financial Revenue Influencing factors in Anhui Province based on Ridge regression and LASSO regression [J]. Lancet journal of jiangxi university of science and technology, 2022 (01): 59-65. DOI: 10.13265/j.carol carroll nki JXLGDXXB. 2022.01.009.
[6] Xu Yunjuan, Luo Youxi. The Lasso dimension reduction based on variable clustering algorithm and simulation [J]. Journal of statistics and decision, 2021, 5 (4): 31-36 DOI: 10.13546/j.carol carroll nki tjyjc. 2021.04.007.
[7] Li Y J. Research on functional principal component regression model and yield prediction based on LASSO [D]. Xiamen University, 2019.
[8] Song Xiaofeng. Air quality index based on ridge regression prediction [J]. Journal of electronic world, 2020 (15): 87-88. The DOI: 10.19353 / j.carol carroll nki DZSJ. 2020.15.046.
[9] Yuan Yuliang, Sheng Wenyi. Prediction method of stem diameter dynamic change based on principal component regression [J]. Transactions of the Chinese Society for Agricultural Machinery, 2015, 46(01): 306-314.
[10] Sun Jianhua, Zhang Zhili, Shi Qian, Zhao Yang, Wei Chunrong. Study on prediction of gas emission based on principal component stepwise regression analysis [J]. Coal Engineering, 2020, 52(01): 89-94.
[11] Xie Changye. Research on Monte Carlo Option Pricing based on Bayesian Model Averaging (BMA) method [D]. Nanjing University,2018.
[12] Zhang Xinyu, Zou Guohua. Model average method and its application in prediction [J]. Journal of statistical research, 2011, 28 (6): 97-102. The DOI: 10.19343/j.carol carroll nki.11-1302/c. 2011.06.018.

Sponsors, Associates, and Links

---

• Power Systems Computation
  
  
• Internet of Things (IoT) and Engineering Applications
  
  
• Computing, Performance and Communication Systems
  
  
• Journal of Artificial Intelligence Practice
  
  
• Journal of Network Computing and Applications
  
  
• Journal of Web Systems and Applications
  
  
• Journal of Electrotechnology, Electrical Engineering and Management
  
  
• Journal of Wireless Sensors and Sensor Networks
  
  
• Journal of Image Processing Theory and Applications
  
  
• Mobile Computing and Networking
  
  
• Vehicle Power and Propulsion
  
  
• Frontiers in Computer Vision and Pattern Recognition
  
  
• Knowledge Discovery and Data Mining Letters
  
  
• Big Data Analysis and Cloud Computing
  
  
• Electrical Insulation and Dielectrics
  
  
• Crypto and Information Security
  
  
• Journal of Neural Information Processing
  
  
• Collaborative and Social Computing
  
  
• International Journal of Network and Communication Technology
  
  
• File and Storage Technologies
  
  
• Frontiers in Genetic and Evolutionary Computation
  
  
• Optical Network Design and Modeling
  
  
• Journal of Virtual Reality and Artificial Intelligence
  
  
• Natural Language Processing and Speech Recognition
  
  
• Journal of High-Voltage
  
  
• Programming Languages and Operating Systems
  
  
• Visual Communications and Image Processing
  
  
• Journal of Systems Analysis and Integration
  
  
• Knowledge Representation and Automated Reasoning
  
  
• Review of Information Display Techniques
  
  
• Data and Knowledge Engineering
  
  
• Journal of Database Systems
  
  
• Journal of Cluster and Grid Computing
  
  
• Cloud and Service-Oriented Computing
  
  
• Journal of Networking, Architecture and Storage
  
  
• Journal of Software Engineering and Metrics
  
  
• Visualization Techniques
  
  
• Journal of Parallel and Distributed Processing
  
  
• Journal of Modeling, Analysis and Simulation
  
  
• Journal of Privacy, Trust and Security
  
  
• Journal of Cognitive Informatics and Cognitive Computing
  
  
• Lecture Notes on Wireless Networks and Communications
  
  
• International Journal of Computer and Communications Security
  
  
• Journal of Multimedia Techniques
  
  
• Automation and Machine Learning
  
  
• Computational Linguistics Letters
  
  
• Journal of Computer Architecture and Design
  
  
• Journal of Ubiquitous and Future Networks