Building Statistical Forecast Models

# Building Statistical Forecast Models

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## Building Statistical Forecast Models

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1. Building Statistical Forecast Models Wes Wilson MIT Lincoln Laboratory April, 2001

2. Experiential Forecasting • Idea: Base Forecast on observed outcomes in previous similar situations (training data) • Possible ways to evaluate and condense the training data • Categorization • Seek comparable cases, usually expert-based • Statistical • Correlation and significance analysis • Fuzzy Logic • Combines Expert and Statistical analysis • Belief: Incremental changes in predictors relate to incremental changes in the predictand • Issues • Requirements on the Training Data • Development Methodology • Automation

3. Outline • Regression-based Models • Predictor Selection • Data Quality and Clustering • Measuring Success • An Example

4. Statistical Forecast Models • Multi-Linear Regression F = w0 + S wi Pi wi = Predictor Weighting w0 = Conditional Climatology  Mean Predictor Values • GAM: Generalized Additive Models F = w0 + S wi fi(Pi) fi = Structure Function, determined during regression • PGAM: Pre-scaled Generalized Additive Models F = w0 + S wi fi(Pi) fi = Structure Function, determined prior to regression • The constant term w0 is conditional climatology less the weighted mean bias of the scaled predictors

5. Models Based on Regression • Training Data for one predictor • P vector of predictor values • E vector of observed events • Residual • R2 = || FP – E ||2 • Regression solutions are obtained by adjusting the parametric description of the forecast model (parameters w) until the objective function J(w) = R2 is minimized • Multi-Linear Regression (MLR) • J(w) = || Aw – E ||2 • MLR is solved by matrix algebra; the most stable solution is provided by the SVD decomposition of A

6. Regression and Correlation • Training Data for one predictor • P vector of predictor values • E vector of observed events • Error Residual: R2 = || FP – E ||2 • Correlation Coefficient r(P, E) = DP •DE / sDPsDE • Fundamental Relationship. Let F0 be a forecast equation with error residuals E0 (||E0||=R0). Let W0 + W1 P be a BLUE correction for E0, and let F = F0 + E0 . The error residual RF of F satisfies • RF2 = R02  [ 1 - r(P, E0)2 ]

7. Model Training Considerations • Assumption: The training data are representative of what is expected during the implementation period • Simple models are less likely to capture undesirable (non-stationary) short-term fluctuations in the training data • The climatology of the training period should match that expected in the intended implementation period (decade scale) • It is irrational to expect that short training periods can lead to models with long-term skill • Plan for repeated model tuning • Design self-tuning into the system • It is desirable to have many more training cases than model parameters The only way to prepare for the future is to prepare to be surprised; that doesn’t mean we have to be flabbergasted. Kenneth Boulding

8. GAM • An established statistical technique, which uses the training data to define nonlinear scaling of the predictors • Standard implementation represents the structure functions as B-splines with many knots, which requires the use of a large set of training data • The forecast equations are determined by linear regression including the nonlinear scaling of the predictors F = w0 + Siwi fi(Pi) • The objective is to minimize the error residual • The structure functions are influence by all of the predictors, and may change if the predictor mix is altered • If a GAM model has p predictors and k knots per structure function, then the regression model has np+1 (linear) regression parameters

9. PGAM: Pre-scaled GAM • A new statistical technique, which permits the use of training sets that are decidedly smaller than those for GAM • Once the structure functions are selected, the forecast equations are determined by linear regression of the pre-scaled predictors F = w0 + S wi fi(Pi) • Determination of the structure functions is based on enhancing the correlation of the (scaled) predictor with the error residual of conditional climatology • Maximize r( fi(Pi), DE ) • The structure function is determined for each predictor separately • Composite predictors should be scaled as composites • The structure functions often have interpretations in terms of scientific principles and forecasting techniques

10. Predictors • Every Method Involves a Choice of Predictors • The Great Predictor Set: Everything relevant and available • Possible Reduction based on Correlation Analysis • Predictor Selection Strategies • Sequential Addition • Sequential Deletion • Ensemble Decision ( SVD ) • Changing the predictor list changes the model weights; for GAM, it also changes the structure functions

11. Computing Solutions for the Basic Regression Problem • Setting: Predictor List { Pi }n and observed outcomes b over the m trials of the training set • Basic Linear Regression Problem A w = b where the columns of the m by n matrix A are the lists of observed predictor values over the trials • Normal Equations: ATA w = ATb • Linear Algebra: w = (ATA)-1 Atb • Optimization: Find x to minimize R2 = | Aw – b |2

12. SVD – Singular Value Decomposition S 0 [ S | 0 ] T = • A = U S VT where U and V are orthogonal matrices • and S = [ S | 0 ]T where S is diagonal with positive diagonal entries • UT A w = S VT w = UT b • Set w = VTw, b = [UTb]n • Restatement of the Basic Problem • S VT w = b or S w = b • (original problem space) (VT-transformed problem space) • Since U is orthogonal, the error residual is not altered by this restatement of the problem CAUTION: Analysis of Residuals can be misleading unless the dynamic ranges of the predictor values have been standardized

13. Structure of the Error Residual Vector 0 0 • Truncated Problem: For i > k , . set wi = 0. This increases the . error residual to • Rk2 = Sk+1mbi2= R*2+ Sk+1nbi2 • si’s are usually decreasing • sn > 0, or reduce predictor list • For i < n, wi = bi / si • For i > n, there is no solution. This is the portion of the problem that is not resolved by these predictors • Magnitude of the unresolved portion of the problem: .R*2 = Sn+1mbi2 Sw = b s1 s2 s3 * sn w1 w2 w3 * wn b1 b2 b3 * bn bn+1 * * * * bm =

14. Controlling Predictor Selection • SVD / PC analysis provides guidance • Truncation in w space reduces the degrees of freedom • Truncation does not provide nulling of predictors: . since 0 components of w. do not lead to 0 components of w = V w • Seek a linear forecast model of the form • F( a ) = aT w = S wi ai , a is a vector of predictor values • Predictor Nulling: • The ith predictor is eliminated from the problem if wi = 0 • Benefits of predictor nulling • Provides simple models • Eliminate designated predictors (missing data problem) • Quantifies the incremental benefit provided by essential predictors (sensor benefit problem)

15. Predictor Selection Process • Gross Predictor Selection (availability & correlation) • SVD for problem sizing an gross error estimation • Truncation and Predictor Nulling maximal model(s) ( there may be more than one good solution) • Successive Elimination in the Original Problem Space  minimal model (until SD starts to grow rapidly) • Successive Augmentation in the Original Problem Space • At this point, the good solutions are bracketed between the maximal and the minimal models; exhaustive searches are probably feasible, cross validation is wise.

16. Creating 15z Satellite Forecast Models (1) • 149 marine stratus days from 1996 to 2000 • 51 sectors and 3 potential predictors per sector (153) • Compute the correlation for each predictor with the residual from conditional climatology • Retain only predictors, which have correlation greater than .25, reduces the predictor list to 45 predictors • Separate analysis for two data sets, Raw and PGAM • Truncate each when SD reduction drops below 1.5 % RAW: PGAM:

17. Raw Data SVD Raw 6 PGAM Data SVD PGAM 6 Creating 15z Satellite Forecast Models (2) Sigma PC 6 1.134 Sigma PC 6 0.999 Sigma 1.148 Sigma 0.999 • SVD Truncate 6  Pred.Nulling • In the Truncation space: Null to 7 predictors with acceptable error growth • Maximal Problems (R-8,P-7) • Minimal Problems (R-5,P-4) • Neither problem would accept augmentation according to the strict cross-validation test • Different predictors were selected

18. Data Quality and Clustering • DQA is similar to NWP • need to do the training set • probably need to work to tighter standards • Data Clustering • During training - manual ++ • For implementation - fully automated • Conditional Climatology based on Clustering

19. Satellite Statistical Model (MIT/LL) • 1-km visible channel (brightness) • Data pre-processing • re-mapping to 2 km grid • 3x3 median smoother • normalized for sun angle • calibrated for lens graying • Grid points grouped into sectors • topography • physical forcing • operational areas • Sector statistics • Brightness • Coverage • Texture • 4 year data archive, 153 predictors • PGAM Regression Analysis SECTORIZATION

20. Consensus Forecast Day Characterization - Wind direction - Inversion height - Forcing influences COBEL Forecast Weighting Function Local SFM Consensus Forecast Regional SFM Satellite SFM

21. Measuring Success

22. Conclusions • PGAM, SVD/PC, and Predictor Nulling provides a systematic way to approach the development of Linear Forecast models via Regression • This methodology provides a way to investigate the elimination of specific predictors, which could be useful in the development of contingency models • We are investigating full automation