用于机器学习时间序列预测的矢量SHAP值

IF 3.4 3区 经济学 Q1 ECONOMICS
Ji Eun Choi, Ji Won Shin, Dong Wan Shin
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引用次数: 0

摘要

我们提出了一个新的向量SHapley加性解释(SHAP)来解释使用预测变量滞后预测时间序列的机器学习模型。与标准SHAP测量每个预测变量的每个滞后的贡献不同,本文提出的矢量SHAP测量每个变量的滞后向量的贡献。矢量SHAP具有比标准SHAP更快的计算速度的优点。建立了矢量SHAP的一些理想性质(矢量局部精度、矢量缺失性和矢量一致性)。蒙特卡罗仿真表明,矢量SHAP的计算速度比矢量SHAP快得多;标准SHAP与矢量SHAP的差异较小;在一定的实际应用范围内,采样SHAP对采样比例比较敏感;矢量SHAP减轻了灵敏度问题。将向量SHAP应用于16个国家的世界主要股指的已实现波动率,预测韩国综合股价指数的已实现波动率。进一步按欧洲、北美和亚洲地区进行矢量化,每个地区的矢量SHAP值非常接近该地区各国矢量SHAP值的总和,说明矢量化策略的有用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Vector SHAP Values for Machine Learning Time Series Forecasting

We propose a new vector SHapley Additive exPlanations (SHAP) to interpret machine learning models for forecasting time series using lags of predictor variables. Unlike the standard SHAP measuring the contribution of each lag of each predictor variable, the proposed vector SHAP measures the contribution of the vector of the lags of each variable. The vector SHAP has an advantage of faster computation over the standard SHAP. Some desirable properties of the vector SHAP (vector local accuracy, vector missingness, and vector consistency) are established. A Monte Carlo simulation shows that the vector SHAP has a much faster computing time than the SHAP; the difference of the standard SHAP and the vector SHAP is small; the sampling SHAP is sensitive to the sampling proportion in a range of practical application; the vector SHAP mitigates the sensitivity issue. The vector SHAP is applied to the realized volatility of world major stock price indices of 16 countries for forecasting the realized volatility of South Korea stock price index, KOSPI. Further vectoring by regions of Europe, North America, and Asia yields vector SHAP value for each region which is very close to the sum of vector SHAP values of the countries of the region, illustrating usefulness of the strategy of vectoring.

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来源期刊
CiteScore
5.40
自引率
5.90%
发文量
91
期刊介绍: The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.
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