Andrew Zammit Mangion (University of Wollongong) Title: Statistical Machine Learning for Spatio-Temporal Forecasting
From Greg McCracken
Andrew Zammit Mangion (University of Wollongong)
Title: Statistical Machine Learning for Spatio-Temporal Forecasting
Abstract: Conventional spatio-temporal statistical models are well-suited for modelling and forecasting using data collected over short time horizons. However, they are generally time-consuming to fit, and often do not realistically encapsulate temporally-varying dynamics. Here, we tackle these two issues by using a deep convolution neural network (CNN) in a hierarchical statistical framework, where the CNN is designed to extract process dynamics from the process' most recent behaviour. Once the CNN is fitted, probabilistic forecasting can be done extremely quickly online using an ensemble Kalman filter with no requirement for repeated parameter estimation. We conduct an experiment where we train the model using 13 years of daily sea-surface temperature data in the North Atlantic Ocean. Forecasts are seen to be accurate and calibrated. A key advantage of the approach is that the CNN provides a global prior model for the dynamics that is realistic, interpretable, and computationally efficient to forecast with. We show the versatility of the approach by successfully producing 10-minute nowcasts of weather radar reflectivities in Sydney using the same model that was trained on daily sea-surface temperature data in the North Atlantic Ocean. This is joint work with Christopher Wikle, University of Missouri.