Publication Type

Conference Proceeding Article

Version

publishedVersion

Publication Date

1-2016

Abstract

Autoregressive integrated moving average (ARIMA) is one of the most popular linear models for time series forecasting due to its nice statistical properties and great flexibility. However, its parameters are estimated in a batch manner and its noise terms are often assumed to be strictly bounded, which restricts its applications and makes it inefficient for handling large-scale real data. In this paper, we propose online learning algorithms for estimating ARIMA models under relaxed assumptions on the noise terms, which is suitable to a wider range of applications and enjoys high computational efficiency. The idea of our ARIMA method is to reformulate the ARIMA model into a task of full information online optimization (without random noise terms). As a consequence, we can online estimation of the parameters in an efficient and scalable way. Furthermore, we analyze regret bounds of the proposed algorithms, which guarantee that our online ARIMA model is provably as good as the best ARIMA model in hindsight. Finally, our encouraging experimental results further validate the effectiveness and robustness of our method.

Keywords

Artificial intelligence, Computational efficiency, Estimation, Optimization, Time series, Auto-regressive integrated moving average, Full informations, On-line estimation, Online learning algorithms, Online optimization, Statistical properties, Time series forecasting, Time series prediction

Discipline

Databases and Information Systems | Theory and Algorithms

Publication

AAAI-16: Proceedings of Thirtieth AAAI Conference on Artificial Intelligence: Phoenix, Arizona USA, 2016 February 12-17

First Page

1867

Last Page

1873

ISBN

9781577357605

Publisher

AAAI press

City or Country

Phoenix, Arizona USA

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