Time-series-based forecasting is essential to determine how past events affect future events. This paper compares the performance accuracy of different time-series models for oil prices. Three types of univariate mode...Time-series-based forecasting is essential to determine how past events affect future events. This paper compares the performance accuracy of different time-series models for oil prices. Three types of univariate models are discussed: the exponential smoothing (ES), Holt-Winters (HW) and autoregressive intergrade moving average (ARIMA) models. To determine the best model, six different strategies were applied as selection criteria to quantify these models’ prediction accuracies. This comparison should help policy makers and industry marketing strategists select the best forecasting method in oil market. The three models were compared by applying them to the time series of regular oil prices for West Texas Intermediate (WTI) crude. The comparison indicated that the HW model performed better than the ES model for a prediction with a confidence interval of 95%. However, the ARIMA (2, 1, 2) model yielded the best results, leading us to conclude that this sophisticated and robust model outperformed other simple yet flexible models in oil market.展开更多
Multiple response surface methodology (MRSM) most often involves the analysis of small sample size datasets which have associated inherent statistical modeling problems. Firstly, classical model selection criteria in ...Multiple response surface methodology (MRSM) most often involves the analysis of small sample size datasets which have associated inherent statistical modeling problems. Firstly, classical model selection criteria in use are very inefficient with small sample size datasets. Secondly, classical model selection criteria have an acknowledged selection uncertainty problem. Finally, there is a credibility problem associated with modeling small sample sizes of the order of most MRSM datasets. This work focuses on determination of a solution to these identified problems. The small sample model selection uncertainty problem is analysed using sixteen model selection criteria and a typical two-input MRSM dataset. Selection of candidate models, for the responses in consideration, is done based on response surface conformity to expectation to deliberately avoid selection of models using the problematic classical model selection criteria. A set of permutations of combinations of response models with conforming response surfaces is determined. Each combination is optimised and results are obtained using overlaying of data matrices. The permutation of results is then averaged to obtain credible results. Thus, a transparent multiple model approach is used to obtain the solution which gives some credibility to the small sample size results of the typical MRSM dataset. The conclusion is that, for a two-input process MRSM problem, conformity of response surfaces can be effectively used to select candidate models and thus the use of the problematic model selection criteria is avoidable.展开更多
文摘Time-series-based forecasting is essential to determine how past events affect future events. This paper compares the performance accuracy of different time-series models for oil prices. Three types of univariate models are discussed: the exponential smoothing (ES), Holt-Winters (HW) and autoregressive intergrade moving average (ARIMA) models. To determine the best model, six different strategies were applied as selection criteria to quantify these models’ prediction accuracies. This comparison should help policy makers and industry marketing strategists select the best forecasting method in oil market. The three models were compared by applying them to the time series of regular oil prices for West Texas Intermediate (WTI) crude. The comparison indicated that the HW model performed better than the ES model for a prediction with a confidence interval of 95%. However, the ARIMA (2, 1, 2) model yielded the best results, leading us to conclude that this sophisticated and robust model outperformed other simple yet flexible models in oil market.
文摘Multiple response surface methodology (MRSM) most often involves the analysis of small sample size datasets which have associated inherent statistical modeling problems. Firstly, classical model selection criteria in use are very inefficient with small sample size datasets. Secondly, classical model selection criteria have an acknowledged selection uncertainty problem. Finally, there is a credibility problem associated with modeling small sample sizes of the order of most MRSM datasets. This work focuses on determination of a solution to these identified problems. The small sample model selection uncertainty problem is analysed using sixteen model selection criteria and a typical two-input MRSM dataset. Selection of candidate models, for the responses in consideration, is done based on response surface conformity to expectation to deliberately avoid selection of models using the problematic classical model selection criteria. A set of permutations of combinations of response models with conforming response surfaces is determined. Each combination is optimised and results are obtained using overlaying of data matrices. The permutation of results is then averaged to obtain credible results. Thus, a transparent multiple model approach is used to obtain the solution which gives some credibility to the small sample size results of the typical MRSM dataset. The conclusion is that, for a two-input process MRSM problem, conformity of response surfaces can be effectively used to select candidate models and thus the use of the problematic model selection criteria is avoidable.
