Research article Special Issues

Nonlinear autoregressive sieve bootstrap based on extreme learning machines

  • Received: 29 May 2019 Accepted: 09 October 2019 Published: 22 October 2019
  • The aim of the paper is to propose and discuss a sieve bootstrap scheme based on Extreme Learning Machines for non linear time series. The procedure is fully nonparametric in its spirit and retains the conceptual simplicity of the residual bootstrap. Using Extreme Learning Machines in the resampling scheme can dramatically reduce the computational burden of the bootstrap procedure, with performances comparable to the NN-Sieve bootstrap and computing time similar to the ARSieve bootstrap. A Monte Carlo simulation experiment has been implemented, in order to evaluate the performance of the proposed procedure and to compare it with the NN-Sieve bootstrap. The distributions of the bootstrap variance estimators appear to be consistent, delivering good results both in terms of accuracy and bias, for either linear and nonlinear statistics (such as the mean and the median) and smooth functions of means (such as the variance and the covariance).

    Citation: Michele La Rocca, Cira Perna. Nonlinear autoregressive sieve bootstrap based on extreme learning machines[J]. Mathematical Biosciences and Engineering, 2020, 17(1): 636-653. doi: 10.3934/mbe.2020033

    Related Papers:

  • The aim of the paper is to propose and discuss a sieve bootstrap scheme based on Extreme Learning Machines for non linear time series. The procedure is fully nonparametric in its spirit and retains the conceptual simplicity of the residual bootstrap. Using Extreme Learning Machines in the resampling scheme can dramatically reduce the computational burden of the bootstrap procedure, with performances comparable to the NN-Sieve bootstrap and computing time similar to the ARSieve bootstrap. A Monte Carlo simulation experiment has been implemented, in order to evaluate the performance of the proposed procedure and to compare it with the NN-Sieve bootstrap. The distributions of the bootstrap variance estimators appear to be consistent, delivering good results both in terms of accuracy and bias, for either linear and nonlinear statistics (such as the mean and the median) and smooth functions of means (such as the variance and the covariance).


    加载中


    [1] J. P. Kreiss, Bootstrap procedures for AR(∞)-processes, in Bootstrapping and Related Techniques (eds. K.-H. Jockel, G. Rothe and W. Sendler), Springer, Heidelberg, (1992), 107-113.
    [2] P. Bühlmann, Sieve bootstrap for time series, Bernoulli, 3 (1997), 123-148.
    [3] P. J. Bickel and P. Bühlmann, A new mixing notion and functional central limit theorems for a sieve bootstrap in time series, Bernoulli, 5 (1999), 413-446.
    [4] A. M. Alonso, D. Peña and J. Romo, Forecasting time series with sieve bootstrap, J. Stat. Plann. Infer., 100 (2002), 1-11.
    [5] A. M. Alonso, D. Peña and J. Romo, On sieve bootstrap prediction intervals, Stat. Probabili. Lett., 65 (2003), 13-20.
    [6] A. Zagdanski, On the construction and properties of bootstrap-t prediction intervals for stationary time series, Probab. Math. Stati. PWN, 25 (2005), 133-154.
    [7] A. M. Alonso and A. E. Sipols, A time series bootstrap procedure for interpolation intervals, Comput. Stat. Data Anal., 52 (2008), 1792-1805.
    [8] P. Mukhopadhyay and V. A. Samaranayake, Prediction intervals for time series: a modified sieve bootstrap approach, Commun. Stat. Simul. Comput., 39 (2010), 517-538.
    [9] G. Ulloa, H. Allende-Cid and H. Allende Robust sieve bootstrap prediction intervals for contaminated time series, Int. J. Pattern Recognit. Artif. Intell., 28 (2014).
    [10] Y. Chang and J. Y. Park, A sieve bootstrap for the test of a unit root, J. Time Ser. Anal., 24 (2003), 379-400.
    [11] Z. Psaradakis, Blockwise bootstrap testing for stationarity, Stat. Probabili. Lett., 76 (2006), 562 -570.
    [12] D. S. Poskitt, Properties of the sieve bootstrap for fractionally integrated and non-invertible processes, J. Time Ser. Anal., 29 (2008), 224-250.
    [13] D. S. Poskitt, G. M. Martin and S. D. Grose, Bias reduction of long memory parameter estimators via the pre-filtered sieve bootstrap, arXiv preprint arXiv, 2014 (2014).
    [14] E. Paparoditis, Sieve bootstrap for functional time series, Ann. Stat., 46 (2018), 3510-3538.
    [15] M. Meyer, C. Jentsch and J. P. Kreiss Baxter's inequality and sieve bootstrap for random fields, Bernoulli, 23 (2017), 2988-3020.
    [16] J. P. Kreiss, E. Paparoditis and D. N. Politis, On the range of validity of the autoregressive sieve bootstrap, Ann. Stat., 39 (2011), 2103-2130.
    [17] M. Fragkeskou and E. Paparoditis, Extending the Range of Validity of the Autoregressive (Sieve) Bootstrap, J. Time Ser. Anal., 39 (2018), 356-379.
    [18] F. Giordano, M. La Rocca and C. Perna, Forecasting nonlinear time series with neural network sieve bootstrap, Comput. Stat. Data Anal., 51 (2007), 3871-3884.
    [19] F. Giordano, M. La Rocca and C. Perna, Properties of the neural network sieve bootstrap, J. Nonparametr. Stat., 23 (2011), 803-817.
    [20] G. B. Huang, Q. Y. Zhu and C. K. Siew, Extreme learning machine: theory and applications, Neurocomputing, 70 (2006), 489-501.
    [21] G. B. Huang, H. Zhou, X. Ding, et al., Extreme learning machine for regression and multiclass classification, IEEE Trans. Syst. Man Cybern. Part B, 42 (2012), 513-529.
    [22] W. Haerdle and A. Tsybakov, Local polynomial estimators of the volatility function in nonparametric autoregression, J. Econometrics, 81 (1997), 223-242.
    [23] J. Franke and M. Diagne, Estimating market risk with neural network, Stat. Decisions, 24 (2006), 233-253.
    [24] A. R. Barron, Universal approximation bounds for superpositions of a sigmoidal function, IEEE Trans. Inf. Theory, 39 (1993), 930-945.
    [25] K. Hornik, M. Stinchcombe and P. Auer, Degree of approximation results for feedforward networks approximating unknown mappings and their derivatives, Neural Comput., 6 (1994), 1262-1275.
    [26] Y. Makovoz, Random approximates and neural networks, J. Approximation Theory, 85 (1994), 98-109.
    [27] X. Chen and H. White, Improved Rates and Asymptotic Normality for Nonparametric Neural Network Estimators, IEEE Trans. Inf. Theory, 45 (1999), 682-691.
    [28] X. Chen and X. Shen, Asymptotic Properties of Sieve Extremum Estimates for Weakly Dependent Data with Applications, Econometrica, 66 (1998), 299-315.
    [29] J. Zhang, Sieve Estimates via Neural Network for Strong Mixing Processes, Stat. Inference Stochastic Processes, 7 (2004), 115-135.
    [30] S. F. Crone and N. Kourentzes, Feature selection for time series prediction-A combined filter and wrapper approach for neural networks, Neurocomputing, 7 (2010), 1923-1936.
    [31] C. Wang, Y. Qi, M. Shao, et al., A fitting model for feature selection with fuzzy rough sets, IEEE Trans. Fuzzy Syst., 25 (2017), 741-753.
    [32] D. Yu and L. Deng, Efficient and effective algorithms for training single hidden- layer neural networks, Pattern Recognit. Lett., 33 (2012), 554-558.
    [33] K. Li, J. X. Peng and G. W. Irwin, A fast nonlinear model identification method, IEEE Trans. Autom. Control, 50 (2005), 1211-1216.
    [34] X. Yao, A review of evolutionary artificial neural networks, Int. J. Intell. Syst., 8 (1993), 539-567.
    [35] G. B. Huang, D. H. Wang and Y. Lan, Extreme learning machines: a survey, Int. J. Mach. Learn. Cybern., 2 (2011), 107-122.
    [36] S. Ding, H. Zhao, Y. Zhang, et al. Extreme learning machine: algorithm, theory and applications, Artif. Intell. Rev., 44 (2015), 103-115. doi: 10.1007/s10462-013-9405-z
    [37] G. Huang, G. B. Huang, S. Song, et al., Trends in extreme learning machines: A review, Neural Networks, 61 (2015), 32-48.
    [38] G. H. Huang, H. Zhou, X. Ding, et al., Extreme learning machine for regression and multiclass classification, IEEE Trans. Syst. Man Cybern. Part B, 42 (2012), 513-529.
    [39] G. B. Huang, L. Chen and C. K. Siew, Universal approximation using incremental constructive feedforward networks with random hidden nodes, IEEE Trans. Neural Networks, 17 (2006), 879-892.
    [40] G. B. Huang and L. Chen, Convex incremental extreme learning machine, Neurocomputing, 70 (2007), 3056-3062.
    [41] G. B. Huang and L. Chen, Enhanced random search based incremental extreme learning machine, Neurocomputing, 71 (2008), 3460-3468.
    [42] J. Lin, J. Yin, Z. Cai, et al., A secure and practical mechanism of outsourcing extreme learning machine in cloud computing, IEEE Intell. Syst., 28 (1999), 35-38.
    [43] E. Cule and S. Moritz, ridge: Ridge Regression with Automatic Selection of the Penalty Parameter, R package version, (2019), https://CRAN.R-project.org/package=ridge.
    [44] Z. Cai, J. Fan and Q. Yao, Functional-coefficient regression models for nonlinear time series, J. Am. Stat. Assoc., 95 (2000), 941-956.
    [45] H. Kuswanto and P. Sibbertsen, Can we distinguish between common nonlinear time series models and long memory?, Discussion papers//School of Economics and Management of the Hanover Leibniz University., (2007).
  • Reader Comments
  • © 2020 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0)
通讯作者: 陈斌, bchen63@163.com
  • 1. 

    沈阳化工大学材料科学与工程学院 沈阳 110142

  1. 本站搜索
  2. 百度学术搜索
  3. 万方数据库搜索
  4. CNKI搜索

Metrics

Article views(4025) PDF downloads(395) Cited by(2)

Article outline

Figures and Tables

Figures(7)  /  Tables(3)

Other Articles By Authors

/

DownLoad:  Full-Size Img  PowerPoint
Return
Return

Catalog