Jian Sun1,2. 1. School of Public Health, University of Alberta, Edmonton, Alberta, Canada. 2. Department of Medicine, University of Calgary, Calgary, Alberta, Canada.
Abstract
BACKGROUND AND OBJECTIVES: Auto regressive integrated moving average (ARIMA) model is a popular model to forecast future values of a time series using the past values of the same series. However, if the variance of the time series varies with time, the 95% confidence interval estimated by the ARIMA will not be accurate. This study proposes a method to revise the ARIMA model to suit time series with heteroscedasticity. METHODS: Multiple historical ARIMA models were constructed with publicly available COVID-19 data in Alberta, Canada. The time series between different time periods were applied for these models. The means and their 95% confidence intervals of the differences between the forecasted values and the corresponding actual values were computed. The forecasted values of the general ARIMA models were modified by adding these differences. RESULTS: The average incident cases forecasted with the proposed method are lower than those with a general ARIMA model during the forecasted period. The 95% confidence intervals of the forecasted incidence with the proposed method are narrower. During the forecasted period (13 weeks) the average incidence was predicted to increase first and then decrease exponentially. CONCLUSION: The proposed method can be used to automatically specify the best ARIMA model, to fit time series with heteroscedasticity and to forecast longer period of the trends in the future. In the next 13 weeks, the Covid-19 incidence may decrease but not eliminate. To stop the transmission of infections eventually, persistent effects complying with accurate forecasts are necessary.
BACKGROUND AND OBJECTIVES: Auto regressive integrated moving average (ARIMA) model is a popular model to forecast future values of a time series using the past values of the same series. However, if the variance of the time series varies with time, the 95% confidence interval estimated by the ARIMA will not be accurate. This study proposes a method to revise the ARIMA model to suit time series with heteroscedasticity. METHODS: Multiple historical ARIMA models were constructed with publicly available COVID-19 data in Alberta, Canada. The time series between different time periods were applied for these models. The means and their 95% confidence intervals of the differences between the forecasted values and the corresponding actual values were computed. The forecasted values of the general ARIMA models were modified by adding these differences. RESULTS: The average incident cases forecasted with the proposed method are lower than those with a general ARIMA model during the forecasted period. The 95% confidence intervals of the forecasted incidence with the proposed method are narrower. During the forecasted period (13 weeks) the average incidence was predicted to increase first and then decrease exponentially. CONCLUSION: The proposed method can be used to automatically specify the best ARIMA model, to fit time series with heteroscedasticity and to forecast longer period of the trends in the future. In the next 13 weeks, the Covid-19 incidence may decrease but not eliminate. To stop the transmission of infections eventually, persistent effects complying with accurate forecasts are necessary.
Authors: Madeleine C Thomson; Anna M Molesworth; Mamoudou H Djingarey; K R Yameogo; Francois Belanger; Luis E Cuevas Journal: Trop Med Int Health Date: 2006-06 Impact factor: 2.622