Nonlinear multivariate time–space threshold vector error correction model for short term traffic state prediction
نویسندگان
چکیده
منابع مشابه
Nonlinear Multivariate Time-Space Threshold Vector Error Correction Model for Short Term Traffic State Prediction
We propose Time-Space Threshold Vector Error Correction (TS-TVEC) model for short term traffic state prediction. The theory of cointegration with error correction mechanism is employed in the general design of the new model TS-TVEC. An inherent connection between mathematical form of error correction model and the microscopic traffic flow theory is revealed through the transformation of the Fun...
متن کامل15 Threshold Effects in Multivariate Error Correction Models
We propose a testing procedure for assessing the presence of threshold effects in nonstationary vector autoregressive models with or without cointegration. Our approach involves first testing whether the long-run impact matrix characterizing the VECM type representation of the VAR switches according to the magnitude of some threshold variable and is valid regardless of whether the system is pur...
متن کاملStudy of Short-term Wind Power Prediction Considering the Individual Sample Prediction Error Correction
Wind power prediction of wind farm plays a decisive role in stable electric power system operation.The BP neural network’s basic principle was introduced, and the numerical weather prediction (NWP) data and power data of wind farm as the training data of BP neural network was selected and trained; a linear regression model about the sample prediction error was presented, which considers the cou...
متن کاملGSA-based maximum likelihood estimation for threshold vector error correction model
The log-likelihood function of threshold vector error correction models is neither differentiable, nor smooth with respect to some parameters. Therefore, it is very difficult to implement maximum likelihood estimation (MLE) of the model. A new estimation method, which is based on a hybrid algorithm and MLE, is proposed to resolve this problem. The hybrid algorithm, referred to as genetic-simula...
متن کاملBootstrap testing for the null of no cointegration in a threshold vector error correction model
We develop a test for the linear no cointegration null hypothesis in a threshold vector error correction model. We adopt a sup-Wald type test and derive its null asymptotic distribution. A residual-based bootstrap is proposed, and the first-order consistency of the bootstrap is established. A set of Monte Carlo simulations shows that the bootstrap corrects size distortion of asymptotic distribu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Transportation Research Part B: Methodological
سال: 2015
ISSN: 0191-2615
DOI: 10.1016/j.trb.2015.02.008