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This study proposes a novel method for forecasting a scalar variable based on high-dimensional predictors that is applicable to various data distributions. In the literature, one of the popular approaches for forecasting with many predictors is to use factor models. However, these traditional methods are ineffective when the data exhibit non-Gaussian characteristics such as skewness or heavy tails. In this study, we newly utilize a quantile factor model to extract quantile factors that describe specific quantiles of the data beyond the mean factor. We then build a quantile-based forecast model using the estimated quantile factors at different quantile levels as predictors. Finally, the predicted values at the various quantile levels are combined into a single forecast as a weighted average with weights determined by a Markov chain based on past trends of the target variable. The main idea of the proposed method is to incorporate a quantile approach to a forecasting method to handle non-Gaussian characteristics effectively. The performance of the proposed method is evaluated through a simulation study and real data analysis of PM2.5 data in South Korea, where the proposed method outperforms other existing methods in most cases.

When a deep learning model is sequentially trained on different datasets, it forgets the knowledge acquired from previous data, a phenomenon known as catastrophic forgetting. It deteriorates performance of the deep learning model on diverse datasets, which is critical in privacy-preserving deep learning (PPDL) applications based on transfer learning (TL). To overcome this, we propose review learning (RL), a generative-replay-based continual learning technique that does not require a separate generator. Data samples are generated from the memory stored within the synaptic weights of the deep learning model which are used to review knowledge acquired from previous datasets. The performance of RL was validated through PPDL experiments. Simulations and real-world medical multi-institutional experiments were conducted using three types of binary classification electronic health record data. In the real-world experiments, the global area under the receiver operating curve was 0.710 for RL and 0.655 for TL. Thus, RL was highly effective in retaining previously learned knowledge.