Recalibration frequency determination for state space models

    公开(公告)号:US11853388B1

    公开(公告)日:2023-12-26

    申请号:US16562168

    申请日:2019-09-05

    CPC classification number: G06F17/18 G06F17/156

    Abstract: Devices and techniques are generally described for determining a recalibration frequency of a state space model. In various examples, a first hyperparameter for a first dataset may be determined. A residual value between a first data point of the first dataset and a machine learning model fitted to the first dataset may be determined. A plurality of second datasets may be generated based on the residual value. Second hyperparameters may be determined for the plurality of second datasets. A variability of the second hyperparameters may be determined. A third hyperparameter may be determined for a subset of the first dataset. A recalibration frequency may be determined for the machine learning model by comparing the third hyperparameter to the variability of the second hyperparameters.

    Analytical derivative-based ARMA model estimation

    公开(公告)号:US10558767B1

    公开(公告)日:2020-02-11

    申请号:US15461382

    申请日:2017-03-16

    Abstract: Systems are provided to estimate autoregressive moving average (ARMA) models using maximum likelihood estimation and analytical derivatives, and to use such models for forecasting. The evaluation of the analytical derivatives during estimation of the model parameters may be performed using a state space representation with certain characteristics. An ARMA model estimated using maximum likelihood estimation, analytical derivatives, and the state space representation with certain characteristics can be used to forecast/predict values that are likely to occur in the future, given some set of previously-occurring values.

    Selecting forecasting models for time series using state space representations

    公开(公告)号:US10318874B1

    公开(公告)日:2019-06-11

    申请号:US14662021

    申请日:2015-03-18

    Abstract: Corresponding to each forecasting model of a family of related models for a time series sequence, a respective state space representation is generated. One or more cross-validation iterations are then executed for each model of the family. In a given iteration, a training variant of the time series sequence is generated, with a subset of the time series sequence entries replaced by representations of missing values. Predictions for the missing values are obtained using the state space representation and the training variant, and a model quality metric is obtained based on prediction errors. The optimal model of the family is selected using the model quality metrics obtained from the cross validation iterations.

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