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2017 IEEE International Conference on Data Mining Workshops (ICDMW) (2017)
New Orleans, Louisiana, USA
Nov. 18, 2017 to Nov. 21, 2017
ISSN: 2375-9259
ISBN: 978-1-5386-3800-2
pp: 924-931
ABSTRACT
Forecasting models that utilize multiple predictors are gaining popularity in a variety of fields. In some cases they allow constructing more precise forecasting models, leveraging the predictive potential of many variables. Unfortunately, in practice we do not know which observed predictors have a direct impact on the target variable. Moreover, adding unrelated variables may diminish the quality of forecasts. Thus, constructing a set of predictor variables that can be used in a forecast model is one of the greatest challenges in forecasting. We propose a new selection model for predictor variables based on the directed causality graph and a modification of the random walk with restarts model. Experiments conducted using the two popular macroeconomics sets, from the US and Australia, show that this simple and scalable approach performs well compared to other well established methods.
INDEX TERMS
directed graphs, economic forecasting, macroeconomics, time series
CITATION

P. Przymus, Y. Hmamouche, A. Casali and L. Lakhal, "Improving Multivariate Time Series Forecasting with Random Walks with Restarts on Causality Graphs," 2017 IEEE International Conference on Data Mining Workshops (ICDMW), New Orleans, Louisiana, USA, 2018, pp. 924-931.
doi:10.1109/ICDMW.2017.127
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