CHAPTER1 Introduction
1.1Timeseries
Manyphenomenanaturallyhavevariationwithtime;thesephenomenaencompassa widevarietyoffieldsofstudy.Onesuchexampleiswaterqualitydatafromastream. Thewaterqualityparameters(alkalinity,turbidity,organiccontent,etc.)maychange throughouttheyearandinterannually.Theapproachusedtostudythesephenomena ofinterestistocollectdataregardingtheparametersthathaveaffectedtheminthepast andthosethatwillinfluencetheminthefuture.Followingthisapproach,timeseries maybeconsideredthebesttoolsforanalyzingthecollectedpastandpresentdatato beabletomakefuturedecisions(Akhbarietal.,2019).Infact,timeseriesarevery importantinthedevelopmentofplanningandmanagementpolicies.Withthehelpof timeseries,youcanseethetrendofchangesinphenomenafromthepasttothepresent alongwiththedifferencesbetweentheobservedandexpectedvaluesduetofluctuations inthephenomena.Aclearpictureofthebehaviorofphenomenaofinterestcanbe developedthroughtimeseriesmodeling.Periodicfluctuationsandseasonalchangescan beobservedinphenomena,allowingtheirbehaviortobeunderstoodandrelatedto otherinfluencingphenomena.Ifweconsidertheexampleofwaterqualitydataonce more,well-developedtimeseriesmodelsmayallowonetounderstandhowseasonal differencesinfluencewaterqualityindicators,suchasturbidity.Notonlytimeseriesallow ustoexplaintheinfluenceofseasonalchangesonwaterqualityindicators,buttheyalso allowustounderstandinterannualchangesforthesameseason.Thisinformationcan allowmunicipalofficialstodevelopwatershedmanagementpoliciesorallowforthe optimizationofdrinkingwaterproductionforexample.Themanagementandplanning decisionsthataremadearebasedonthepredictionoffutureconditionsfrompastand presenttimeseriesdata.Forecastsareconstantlyneeded,andovertime,theeffectsof thesepredictionsonactualperformancearemeasured.Fromtheconstantmeasurement ofperformance,thepredictionsareregularlyupdated,andthedecisionscorrected.This cyclecontinuesinaniterativefashioninordertoachievethedesiredconclusion(Azari, Soori,andBonakdari,2017; Langridge,Gharabaghi,McBean,Bonakdari,andWalton, 2020).
Overtherecentyears,vastimprovementsintechnologyhavemaderecordingdata fortimeseriesmodelingmorepracticalandreliable.Asaresult,timeseriesmodelingis oneofthemostpracticaltoolsforinvestigatingavarietyphenomenoninscience,engineering,andeconomics(Azimi,Bonakdari,Ebtehaj,Gharabaghi,andKhoshbin,2018;
StochasticModeling:AThoroughGuidetoEvaluate,Pre-Process,ModelandCompare TimeSerieswithMATLABSoftware.
Copyright c 2022ElsevierInc. DOI: https://doi.org/10.1016/B978-0-323-91748-3.00001-X Allrightsreserved. 1
Figure1.1 Schematicofenvironmentalepidemiology.
BineshandBonakdari,2014; Bonakdari,Ebtehaj,Gharabaghi,Vafaeifard,andAkhbari, 2019; HuiPu,Bonakdari,Lassabatère,Joannis,andLarrarte,2010).Theconceptoftime seriesmodelingallowsresearcherstoassesstheoutcomesofavarietyofphenomenaat anytimewithminimumcostsandefforts.Usingforecasteddata,theycanplanpossible solutionstoproblems,makedecisions,andimplementcontrolmeasures.
1.1.1Timeseriesinenvironmentalepidemiology
Oneoffieldthathaswidelybenefitedfromtimeseriesconceptisenvironmental epidemiology(Bhaskaran,Gasparrini,Hajat,Smeeth,andArmstrong,2013; Bonakdari, Pelletier,andMartel-Pelletier,2020a, 2020b; CorcueraHotzandHajat,2020; Tejasvini, Amith,andShilpa,2020).Environmentalepidemiology(Fig.1.1)allowsresearchersto forecasttheoutcomesofanyphenomenonlikehealthfieldorassesstheimpactof environmentalexposuressuchasweather,airpollutants,andothercontributingfactors impactinghealthcondition.Usingstudydatatoforecastfutureeventsenablesdecision makerstoplansolutionsandimplementcontrolmeasuresinawaythatismuchsimpler andmuchmorecost-effectivewhencomparedtoothermethods,suchasrandomized controltests(Bonakdarietal.,2021; Bonakdari,Pelletier,andMartel-Pelletier,2020c; Bonakdari,Tardif,Abram,Pelletier,andMartel-Pelletier,2020).
1.1.2Engineeringandsequentialdata
Anotherdomainofapplicationoftimeseriesisinengineering.Oneexampleofan emergingapplicationoftimeseriesmodelingisinwatermanagement.Ascommunities
Figure1.2 Cycleofdatacuring,analyzing,anddecisionmaking.
continuetoexpandandgrow,sodotheirwaterrequirements,whetheritbeforenergy production,drinkingwatersupply,oragriculturalpractice(Fig.1.2).Hydrologicaltime seriesdataarecriticalinordertoallowpolicymakerstomakeeffectivedecisionsregarding watermanagementandresourcesustainability(Kazemian-Kale-Kaleetal.,2020; Lotfi etal.,2019; Lotfietal.,2020; Zaji,Bonakdari,andGharabaghi,2019).Withthehelpof thesetimeseries,costsassociatedwiththeimplementationofwatermanagementpolicies (includingoperationandmaintenanceofwaterutilities)canbegreatlyreduced,andthe managementofwaterresourcesefficientlyconducted(Soltanietal.,2021; Zinatizadeh, Pirsaheb,Bonakdari,andYounesi,2010).Theexampleofwaterresourcesisoneof severalapplicationsoftimeseriesinengineering,whichismoreexorbitantthanother

Figure1.3 Preprocessing,analyzing,andmodelingdataineconomy. examplesduetotheglobalwatercrisis.Timeseriesarealsousedinotherengineering sections,forinstance,estimatingandforecastingtheamountofenergyconsumedby industriesandhomeconsumers,surveyingnaturalcyclesintheseusesandmanaging energyconsumption,modelingtheamountoftrafficinacorridorandforecastfuture needs,studytheproductionandharvestofagriculturalproductsandcomparewiththe needsofsocietyandmanyotherexamples.
1.1.3Historicaldataforforecastingfutureeconomy
Furtherapplicationoftimeseriesmodelingcanbefoundinthestudyofeconomics (Fig.1.3).Withthistool,producers,sellers,andindustryownerscanobserveandinterpret marketsinordertoidentifysupplyanddemandrequirements(LarssonandNossman, 2011; Qiu,Ren,Suganthan,andAmaratunga,2017).Moreover,byusingtheappropriate methods,theycanforecastfuturedemandsinordertopreparethemselvesforpotential downturnsorperiodsofsustainedeconomicgrowth.Fromtheabovediscussion,we canseethattimeseriesplayasignificantroleinalmostallscientificandmanagement fields.Therefore,anintimateknowledgeofhowtoimplementtimeseriesmodeling
Figure1.4 Abstractmodelcategorization.
andtherequiredpre-andpost-processingstepsisvitallyimportant(Ebtehaj,Zeynoddin, andBonakdari,2020; Moeeni,Bonakdari,andFatemi,2017; Zeynoddin,Ebtehaj,and Bonakdari,2020).
1.2Stochasticandstochasticwithexogenousvariables
1.2.1Stochasticmodels
Theabilitytomodel,implementthosemodels,andanalyzemodeloutcomesarefundamentalskillsthatarerequiredofmanyreal-worldapplications.Theseapplicationsspana diverserangeofsectorsfrommedicaltocivilandmilitary(MoazamniaandBonakdari, 2014; Mojtahedi,Ebtehaj,Hasanipanah,Bonakdari,andAmnieh,2019; Momplotetal., 2012).Inpractice,inordertoachieveaneffectiveplan,appropriatemodelingshouldbe donewithintelligibleanalysisandreview,atthelowestcost.
Differentapproachesareneededtomodelphenomenaandpredictparameters. Oneoftheapproachesusedtomodelphenomenaandanalyzetimeseriesistouse models,which,basedonmathematicalconceptsandrelationshipsdescribesystemsand makeitpossibletopredictfutureparametersandconditions.Thesemodelscanbe classifiedintothreecategories:(1)statisticalmodels;(2)artificialintelligence(AI)models; (3)andintegratedmodels(Fig.1.4).Integratedmodelsareformedbycombination
ofstatisticalandAImodels(Azimi,Bonakdari,andEbtehaj,2017; Bonakdari,2011; Moeeni,Bonakdari,andEbtehaj,2017b; Moeeni,Bonakdari,Fatemi,andZaji,2017; Wang,Hu,Ma,andZhang,2015).Eachcategoryofmodelsmaybefurthersub-divided intoseveralcategories,eachofwhichmaybeemployedintheresolutionofdifferent typesofproblems.Inthistext,stochasticmodeling,asub-classofstatisticalmethods, ispresented.Thesemodelsarelaudedamongstindustrymembersandtheacademic communityalikeastheyhaveaneasilycomprehensiblestructure,canbereadilyapplied toavarietyofproblems,andhavehighprecisioninshort-termforecasts(Zeynoddin, Bonakdari,Ebtehaj,Azari,andGharabaghi,2020).
1.2.2Stochasticmodelstructure
Stochasticmodelsaretoolsforestimatingtheprobabilisticdistributionsofresultsusing randomvariablesbyoneormoreinputs.Theserandomvariablesarebasedonthe fluctuations,observedinhistoricaldataforagivenperiodusingdatastandardization techniques.Thesemodelscanbeusedtopredicttimeseries,suchastheamountof precipitation,numberofpatients,customers,oranyotherparameteratagiventime inthefuture.Inthesemodels,itisassumedthatthedataarestationaryandnormal (BrockwellandDavis,2016; ZeynoddinandBonakdari,2019).Therefore,thedatasets usedformodelingmustbepreparedandpreprocessedbeforemodeling.
1.2.3Modelclassifications
Thefirststatisticalstochasticmodeltobeintroducedwastheauto-regressive(AR)model, whichwasabletoestablishacorrelationbetweencurrentandpreviousvaluesintheseries. Thismodelquicklygainedpopularityduetothesimplicityofitsstructureandisstill usedinmanyannualorseasonalmodelingapplications.TheARmodelworkswellfor modelingphenomenawhoseparametersarerelativelystableandexhibitrelativelysmall changeswithoutdramaticfluctuation.Iftheserieschangesexhibitsdramaticfluctuations undercertainconditions,suchasanoutbreakofadisease,asuddengrowthinmarket share,orfloodconditionsinariver,theARmodelwillnotperformwell.Inorder toaddressthisdeficiencyoftheARmodel,anewmodelwasdevelopedthrough theadditionofmovingaveragealgorithmcreatingtheauto-regressivemovingaverage (ARMA)model.Iftherearesignificantseasonalfluctuations,seasonalARMAmodels canbecreated.
Furtherinvestigationrevealedthattheseries,whichwerenotstationaryonaverage, canbecomestationarybyconsideringthedifferentialchange.Therefore,byintegrating thedifferenceoperatorintheARMAmodel,anewmodelcalledtheauto-regressive integratedmovingaverage(ARIMA)wasdeveloped.Comparedtopreviousmodels,this modelrequiresfewerparameters,whichleadstoreducedmodelingcostsandthecreation ofaparsimoniousmodel(Moeeni,Bonakdari,andEbtehaj,2017a).Ifseasonalparameters
Figure1.5 Stochasticmodelingmethods.
areusedinthismodel,seasonalARIMAorSARIMAoralsoknownasmultiplicative ARIMAisproduced(Zeynoddinetal.,2019).Stochasticmodelsusingextrainputs (StochasticX:ARX,ARMAX,ARIMAX,andSARIMAX)areanadditionalformof modelthatutilizesexogenousinputsinordertoforecastaspecificvariable(Fig.1.5). Inthistypeofstochasticmodel,severaltimeserieswhichhavemutualimpactsoneach other,suchasprecipitation,airtemperature,andmoistureareusedasinputstoescalatethe accuracyofthemodels(Box,Jenkins,Reinsel,andLjung,2015; MoeeniandBonakdari, 2018).
1.3Datapreprocessing
1.3.1Definitionofpreprocessing
Intheanalysisoftimeseries,therearetwomaingoals.Thefirstgoalistoidentifythe patternofthephenomenonpresentedbyasequenceofobservations,andthesecondgoal istopredictfuturevalues.Toachievethesetwogoals,itisnecessarytounderstandthe structureandpatternofchangesintheobservedtimeseriesandtobeabletointerpret them.Oncethesestructuresandthepatternsofchangehavebeenidentified,thenecessary
Figure1.6 Stationarizingtimeseries.
datacanbeinterpretedandanalyzed.Afteranalyzingthedata,itispossibletopredict futurephenomenabyextractingtheidentifiedpatterns.
1.3.2Relationshipbetweenforecastingandtimeseriesstructure
Whenstudyingmostnaturalphenomena,however,complextimeseriesstructuresare formedthatmakeitdifficulttoanalyze,interpret,model,andpredictvariables(Fig.1.6). Thesecomplexstructurescanoccurinserieswithascendinganddescendingtrends, seasonalalternations,drasticjumpsthatemergeasaresultofsuddenchangesinphenomena,andthesynergyofthesefactorsmakeanalysisevenmoresophisticated(Ebtehaj, Bonakdari,Zeynoddin,Gharabaghi,andAzari,2020).Broadly,thepurposeofusing timeseriesistofacilitatetheinterpretationofeventsandpredictfutureconditions withoptimalaccuracy.However,manymodelsusedinpredictingtimeserieshavebeen formedbasedonsimplisticinitialassumptionswhicharerequiredtomakemodelingand predictionoftimeseriespossible.Anexampleofonesuchsimplisticassumptionisthe developmentofstatisticalmodelsbasedonnormaldatadistributionandstationarity.
1.3.3Distributionanditsimpactontimeseriesforecasting
Asaresultoftheinherentstructuralcomplexityinvolvedinmostnaturalphenomena, methodsareneededthatprovidethepossibilitytoeliminateorreducethemodel complexityoftimeseries,aswellastomakethemeasiertoanalyzeandinterpret.Furthermore,thesemethodsshouldaimtoincreasethemodelprecisionwhilemaintainingthe validityoftheproducedmodels.Toaccomplishthisgoal,preprocessingisrequired,and isconsideredanonseparablecomponenttoanymodelingexercise.Thesepreprocesses canincludeestimatingmissingdata;identifyinganddeletingoutliers;normalizingdata
Figure1.7 Normalizationofnon-normaltimeseries.
bylogarithmic,BoxCox,John-Draper,Manly,Johnson,andYeo-Johnsontransformsand manyotherconversions(Fig.1.7)(ZeynoddinandBonakdari,2019; Zeynoddinetal., 2018);stationarizingbyeliminatingperiodicpatternsinseriesusingspectralanalysis; jumpelimination;trendanalysis;anddatastandardization(MoeeniandBonakdari,2017; Moeeni,Bonakdari,andFatemi,2017).Eachoneoftheabovemethodsisusedinspecial circumstancesandaccordingtotheunderlyingnatureoftheexistingstructuresinthe seriesbeingstudied.
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