Aboukhamseen, Suja Manssour; (2001) Data-driven methods for the assessment and improvement of forecasts. Doctoral thesis (Ph.D), UCL (University College London).

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Abstract

This thesis uses data-driven techniques to analyse and assess both point and probability forecasts within a prequential framework. Point forecasts are assessed using recursive residuals. Examination of the properties of the recursive residual found them to be unique to this residual. Recursive residuals for the hidden state of HMM are also defined by taking the difference between the one step ahead forecast and the forecast's filtered update. The quality of forecasts generated from different models can be assessed by comparing the information content in their corresponding residuals. When faced with model misspecification it is shown how this residual can be modelled to correct this misspecification, thereby improving forecasts. It is also shown how the residual content can be used to judge the predictive sufficiency of alternative forecasting methods. Using the theory of probability forecasting, the technique of forecasting assessment by calibration is extended to HMM's to assess how well the one step ahead forecast is explained by its filtered update. A test statistic to test the empirical calibration of the forecasts is also defined and applied to the real world problem of CpG island detection in Human DNA sequences. The distribution of the test statistic is investigated using a prequential frame of reference and is found to be N(0,1). Calibration of HMMs is also examined using smoothed predictions and cross-validation forecasts. A test statistic is defined for this scenario and the its distribution is examined using a cross-validation frame of reference. A prequential estimation algorithm for HMMs is also developed.

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