key: cord-0261437-whgxy21p
authors: Franses, Philip Hans
title: Forecasting virus diffusion with simple Bayesian forecast combination
date: 2020-06-10
journal: bioRxiv
DOI: 10.1101/2020.06.10.144006
sha: dac507abd0d86fb20bc2f6221a3cf7e45caaaf5f
doc_id: 261437
cord_uid: whgxy21p

There are various diffusion models for S shaped processes like virus diffusion and these models are typically not nested. In this note it is proposed to combine the forecasts using a simple Bayesian forecast combination algorithm. An illustration to daily data on cumulative Covid-19 cases in the Netherlands shows the ease of use of the algorithm and the accuracy of the thus combined forecasts.

Virus diffusion often obeys an S shaped pattern. Consider for example the daily cumulative new cases of Covid-19 in the Netherlands in Figure 1 , for the sample February 27, 2020 with the first case, and May 19, 2020 with 44249 cases. The S shape is obvious. Figure 2 presents the daily new cases, and, as expected, a humped shape is noticeable, although at the same time variation across the days can be large.

Each day it can be of interest to predict the total cumulative number of cases for the next day.

There are various models for S shaped data, and there is no evidence that one of these models is always preferable over the others. Hence, it seems reasonable to consider various models at the same time. For forecasting, it may then also be useful to combine the forecast, see Bates and Granger (1969) , Clemen (1989) and Timmermann (2006) for evidence that combined forecasts often yield an improvement over individual forecasts. A typical combination refers to assign equal weights to the forecasts. In this paper it is however proposed to assign weights based on insample performance of each of the models, as reflected by their posterior probabilities, see Leamer (1978) for the first discussion of Bayesian model averaging. In practice, Bayesian methods may sometimes be difficult to handle, but here I rely on an important result in Raftery (1995, page 145) , which is that the posterior probability can be expressed as a simple function of the values of the Bayesian Information Criterion (BIC) (Schwarz 1978) . Such a BIC value is easily with the estimated maximum likelihood and many statistical packages report BIC values.

The outline of this note is as follows. Section 2 present three models that are frequently used for modeling and forecasting S shaped diffusion processes. Section 3 presents the simple algorithm to compute combined forecasts. Section 4 analyzes the recursive one-day-ahead forecasts for the three models, and two combined forecasts. It is found that the combination based on posterior probabilities yields accurate forecasts. Section 5 concludes. 

This section presents three functional forms that can be used to model and predict S shaped diffusion processes. These forms are chosen because these are extensively used in practice, as they are not nested, and because they all have just three unknown parameters. Denote the cumulative new cases as , for , and denote as the final cumulative number of = 1,2,3,…, cases, and and as two unknown parameters. > 0 > 0

The first is the logistic curve, which is represented by

The inflection point, or peak moment of new cases, that is, occurs at . Adding an = 1 2 = error term, the parameters (and associated standard errors) can be estimated using Nonlinear Least Squares (NLS). The second is the Gompertz curve, represented by

for which , which occurs at . As the inflection point has a cumulative number of = 1 cases which is less than , the Gompertz curve is asymmetric. Again, NLS can be used to 1 2 estimate the parameters. The third and final function is the Bass (1969) growth curve, which is represented by

The inflection point is at and at the peak, cumulative cases are .

Again, this is an asymmetric curve as the latter expression is smaller than . There are various 1 2 estimation methods for the parameters, but to treat all three models equally, I will consider NLS also for the Bass model.

The three models will be considered for the sample , and then a one-step-ahead = 1,2,3,…, forecast will be created for . Next, the sample moves to , and a forecast + 1 = 1,2,3,…, + 1 is created for . This will be repeated for forecasts. + 2

Each of the three models gives one-step-ahead forecasts, and these are denoted as + | + -1 , as and as , respectively, for . Additionally, it might be

useful to incorporate combined forecasts. A simple average forecast, which, as is found in the literature, is hard to beat in many practical situations, is = 1 3 ( + | + -1 + + | + -1 + + | + -1 )

An alternative combination might take into account the quality of the model in the in-sample period. One way to do so is to consider the in-sample posterior probabilities of each of the models given the data. When the prior probability of each of the models is equal, which seems reasonable here, Raftery (1995) shows that the posterior probability (here for the Logistic curve for illustration) can be computed as where BIC is the familiar Bayesian Information Criterion (Schwarz, 1978) . With these three posterior probabilities, one can construct a Bayesian average forecast simply as

As the forecasts are created recursively, one should also compute for each forecast the BIC again for the recursive samples.

To illustrate, consider the data as in Figure 1 . Table 1 presents the estimation results for the three models for the full sample with + observations. Looking back from May 19, 2020 it seems that the inflection point occurred somewhere in the first ten days of April 2020. Table 2 presents the results on forecast accuracy. Clearly, the Logistic and Bass models perform poorly, whereas the Gompertz model gives rather accurate forecasts. The Bayesian average forecast is more accurate than the simple average forecast, and hence it seems useful to incorporate the quality of the in-sample fit in the combined forecast. In terms of absolute forecast errors, the Bayesian combined forecasts are more accurate than the logistic forecasts for 48 of the than the Gompertz model forecasts are obtained. This closeness is also reflected by the error measures in Table 2 , which indicate that the Gompertz model itself, at least for these data, provides already reasonably accurate forecasts.

This note has implemented a simple algorithm to combine non-nested model forecasts in a Bayesian way. The algorithm only needs the BIC values, and with these, one can compute the posterior probabilities of each of the models. When evaluating forecasts for Covid-19 cases it was found that the Bayesian approach, which takes the in-sample fit of each of the models into account, yielded more accurate forecasts than equal weighted average forecasts. 

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