Statistical Random Forests Modelling for Nonlinear Time Series
Prof. Zudi LU
Professor of Biostatistics
City University of Hong Kong
Date: 28 November 2025 (Friday)
Time: 16:00-17:30
Venue: E22-2014
Host: Prof. Degui LI, Distinguished Professor in Business Economics
Abstract
Random forest is a popular machine learning method in many applications. It heavily depends on integrating the trees constructed by the technique of bootstrap resampling of the original data. However, for the time series, it is often challenging to do this owing to the unknown underlying dependence of the data. This paper explores the development of an efficient Random Forests by Random Weights (RF-RW) methodology tailored for time series modeling. Addressing limitations of traditional random forests, the proposed approach handles dependent time series data, moving beyond the assumption of independent and identically distributed (i.i.d.) observations. The project combines theoretical advancements with practical evaluations, including simulation studies and applications to UK COVID-19 daily case modeling. Results demonstrate the superior performance of RF-RW compared to existing methods like original random forests and random forests with traditional time series resampling as well as other machine learning methods including SVMs, and LSTMs. This is a joint work of Shihao Zhang and Chao Zheng.
Speaker
Prof. Zudi Lu is a Professor at City University of Hong Kong. He was working with the University of Southampton as a Professor/Chair in Statistics from late 2013 to July 2024 in the UK. He had also worked at international and domestic academic institutions with the University of Adelaide and Curtin University in Australia, the London School of Economics in the UK, the Academy of Mathematics and Systems Science in Beijing, China, and the Universite Catholique de Louvain in Belgium after receiving his PhD degree in Statistics in 1996 from the Chinese Academy of Sciences (1993-1996). He is an elected member of the International Statistical Institute and serves as an Associate Editor/Board Member with “Journal of Time Series Analysis”, “Environmental Modeling and Assessment”, “Computation” and “Humanities and Social Sciences Communications” and the Chinese journal “Systems Engineering – Theory & Practice”, etc..
All are welcome!
