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High dimensional regression for regenerative time-series: An application to road traffic modeling

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  • Bouchouia, Mohammed
  • Portier, François

Abstract

A statistical predictive model in which a high-dimensional time-series regenerates at the end of each day is used to model road traffic. Due to the regeneration, prediction is based on a daily modeling using a vector autoregressive model that combines linearly the past observations of the day. Due to the high-dimension, the learning algorithm follows from an ℓ1-penalization of the regression coefficients. Excess risk bounds are established under the high-dimensional framework in which the number of road sections goes to infinity with the number of observed days. Considering floating car data observed in an urban area, the approach is compared to state-of-the-art methods including neural networks. In addition of being highly competitive in terms of prediction, it enables the identification of the most determinant sections of the road network.

Suggested Citation

  • Bouchouia, Mohammed & Portier, François, 2021. "High dimensional regression for regenerative time-series: An application to road traffic modeling," Computational Statistics & Data Analysis, Elsevier, vol. 158(C).
    • Handle: RePEc:eee:csdana:v:158:y:2021:i:c:s0167947321000256
    DOI: 10.1016/j.csda.2021.107191
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    References listed on IDEAS

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    4. Song, Song & Bickel, Peter J., 2011. "Large vector auto regressions," SFB 649 Discussion Papers 2011-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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