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Intervention and causality: forecasting traffic flows using a dynamic Bayesian network

Queen, Catriona and Albers, Casper (2009). Intervention and causality: forecasting traffic flows using a dynamic Bayesian network. Journal of the American Statistical Association, 104(486) pp. 669–681.

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DOI (Digital Object Identifier) Link: http://dx.doi.org/10.1198/jasa.2009.0042
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Abstract

Real-time traffic flow data across entire networks can be used in a traffic management system to monitor current traffic flows so that traffic can be directed and managed efficiently. Reliable short-term forecasting models of traffic flows are crucial for the success of any traffic management system.

The model proposed in this paper for forecasting traffic flows is a multivariate Bayesian dynamic model called the multiregression dynamic model (MDM). This model is an example of a dynamic Bayesian network and is designed to preserve the conditional independences and causal drive exhibited by the traffic flow series.

Sudden changes can occur in traffic flow series in response to such events as traffic accidents or roadworks. A traffic management system is particularly useful at such times of change. To ensure that the associated forecasting model continues to produce reliable forecasts, despite the change, the MDM uses the technique of external intervention. This paper will demonstrate how intervention works in the MDM and how it can improve forecast performance at times of change.

External intervention has also been used in the context of Bayesian networks to identify causal relationships between variables, and in dynamic Bayesian networks to identify lagged causal relationships between time series. This paper goes beyond the identification of lagged causal relationships previously addressed using intervention in dynamic Bayesian networks, to show how intervention in the MDM can be used to identify contemporaneous causal relationships between time series.

Item Type: Journal Article
Copyright Holders: 2009 American Statistical Association
ISSN: 1537-274X
Keywords: multivariate time series; Bayesian forecasting; dynamic linear model; multiregression dynamic model
Academic Unit/Department: Mathematics, Computing and Technology > Mathematics and Statistics
Mathematics, Computing and Technology
Item ID: 17545
Depositing User: Catriona Queen
Date Deposited: 07 Jul 2009 15:20
Last Modified: 31 Oct 2013 15:09
URI: http://oro.open.ac.uk/id/eprint/17545
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