Detecting instabilities in time series forecasting
First Claim
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1. A data monitoring system that comprises the following computer-executable components:
- a receiver component that receives predictive samples created by way of forward sampling; and
an analysis component that analyzes a plurality of the received predictive samples and automatically determines whether a predictive model is reliable at a time range associated with the plurality of predictive samples, the determination is based at least in part upon an estimated norm of a forward sampling operator (FS) associated with the predictive model.
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Abstract
A predictive model analysis system comprises a receiver component that receives predictive samples created by way of forward sampling. An analysis component analyzes a plurality of the received predictive samples and automatically determines whether a predictive model is reliable at a time range associated with the plurality of predictive sample, wherein the determination is made based at least in part upon an estimated norm associated with a forward sampling operator.
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Citations
20 Claims
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1. A data monitoring system that comprises the following computer-executable components:
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a receiver component that receives predictive samples created by way of forward sampling; and
an analysis component that analyzes a plurality of the received predictive samples and automatically determines whether a predictive model is reliable at a time range associated with the plurality of predictive samples, the determination is based at least in part upon an estimated norm of a forward sampling operator (FS) associated with the predictive model. - View Dependent Claims (2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15)
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16. A computer-implemented method for determining operability of a predictive model with respect to predicted values of variables at future instances in time, comprising the following computer-executable acts:
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receiving predictive samples from a predictive model that employs forward sampling; and
automatically determining a distance in time in the future that the predictive model can reliably predict values of at least one variable based at least in part upon the received predictive samples. - View Dependent Claims (17, 18, 19)
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20. A system that facilitates monitoring of a predictive model, comprising:
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computer-implemented means for receiving predicted values for at least one variable, the predicted values obtained by way of forward sampling;
computer-implemented means for estimating a rate of change of divergence based at least in part upon the received predicted values; and
computer-implemented means for determining how far in the future the predictive model can accurately generate predictions based at least in part upon the estimated rate of change of divergence.
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Specification