Predicting rare extreme values

• Type: Article in International Scientific Journal
• Date: 2006

Authors

Torgo, L (Author) FEP; Ribeiro, R (Author) FCUP

Journal

Title: Lecture Notes in Computer Science

Vol. 1

Pages: 816-820

ISSN: 0302-9743

Publisher: Springer Nature

Indexing

ISI Web of Knowledge - 1 Citation

Scopus - 1 Citation

Scientific classification

FOS: Natural sciences > Computer and information sciences

Other information

Authenticus ID: P-004-P2Q

DOI: 10.1007/11731139_95

Abstract (EN): Modelling extreme data is very important in several application domains, like for instance finance, meteorology, ecology, etc.. This paper addresses the problem of predicting extreme values of a continuous variable. The main distinguishing feature of our target applications resides on the fact that these values are rare. Any prediction model is obtained by some sort of search process guided by a pre-specified evaluation criterion. In this work we argue against the use of standard criteria for evaluating regression models in the context of our target applications. We propose. a new predictive performance metric for this class of problems that our experiments show to perform better in distinguishing models that are more accurate at rare extreme values. This new evaluation metric could be used as the basis for developing better models in terms of rare extreme values prediction.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 5