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Sample records for conditional autoregressive model

  1. Circular Conditional Autoregressive Modeling of Vector Fields.

    Science.gov (United States)

    Modlin, Danny; Fuentes, Montse; Reich, Brian

    2012-02-01

    As hurricanes approach landfall, there are several hazards for which coastal populations must be prepared. Damaging winds, torrential rains, and tornadoes play havoc with both the coast and inland areas; but, the biggest seaside menace to life and property is the storm surge. Wind fields are used as the primary forcing for the numerical forecasts of the coastal ocean response to hurricane force winds, such as the height of the storm surge and the degree of coastal flooding. Unfortunately, developments in deterministic modeling of these forcings have been hindered by computational expenses. In this paper, we present a multivariate spatial model for vector fields, that we apply to hurricane winds. We parameterize the wind vector at each site in polar coordinates and specify a circular conditional autoregressive (CCAR) model for the vector direction, and a spatial CAR model for speed. We apply our framework for vector fields to hurricane surface wind fields for Hurricane Floyd of 1999 and compare our CCAR model to prior methods that decompose wind speed and direction into its N-S and W-E cardinal components.

  2. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    be subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor......This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors...

  3. Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes

    Directory of Open Access Journals (Sweden)

    W. Wang

    2005-01-01

    Full Text Available Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average models for seasonal streamflow series. However, with McLeod-Li test and Engle's Lagrange Multiplier test, clear evidences are found for the existence of autoregressive conditional heteroskedasticity (i.e. the ARCH (AutoRegressive Conditional Heteroskedasticity effect, a nonlinear phenomenon of the variance behaviour, in the residual series from linear models fitted to daily and monthly streamflow processes of the upper Yellow River, China. It is shown that the major cause of the ARCH effect is the seasonal variation in variance of the residual series. However, while the seasonal variation in variance can fully explain the ARCH effect for monthly streamflow, it is only a partial explanation for daily flow. It is also shown that while the periodic autoregressive moving average model is adequate in modelling monthly flows, no model is adequate in modelling daily streamflow processes because none of the conventional time series models takes the seasonal variation in variance, as well as the ARCH effect in the residuals, into account. Therefore, an ARMA-GARCH (Generalized AutoRegressive Conditional Heteroskedasticity error model is proposed to capture the ARCH effect present in daily streamflow series, as well as to preserve seasonal variation in variance in the residuals. The ARMA-GARCH error model combines an ARMA model for modelling the mean behaviour and a GARCH model for modelling the variance behaviour of the residuals from the ARMA model. Since the GARCH model is not followed widely in statistical hydrology, the work can be a useful addition in terms of statistical modelling of daily streamflow processes for the hydrological community.

  4. Nonlinear models for autoregressive conditional heteroskedasticity

    DEFF Research Database (Denmark)

    Teräsvirta, Timo

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discu...

  5. A note on intrinsic conditional autoregressive models for disconnected graphs

    KAUST Repository

    Freni-Sterrantino, Anna; Ventrucci, Massimo; Rue, Haavard

    2018-01-01

    In this note we discuss (Gaussian) intrinsic conditional autoregressive (CAR) models for disconnected graphs, with the aim of providing practical guidelines for how these models should be defined, scaled and implemented. We show how these suggestions can be implemented in two examples, on disease mapping.

  6. A note on intrinsic conditional autoregressive models for disconnected graphs

    KAUST Repository

    Freni-Sterrantino, Anna

    2018-05-23

    In this note we discuss (Gaussian) intrinsic conditional autoregressive (CAR) models for disconnected graphs, with the aim of providing practical guidelines for how these models should be defined, scaled and implemented. We show how these suggestions can be implemented in two examples, on disease mapping.

  7. An application of the Autoregressive Conditional Poisson (ACP) model

    CSIR Research Space (South Africa)

    Holloway, Jennifer P

    2010-11-01

    Full Text Available When modelling count data that comes in the form of a time series, the static Poisson regression and standard time series models are often not appropriate. A current study therefore involves the evaluation of several observation-driven and parameter...

  8. A Bayesian localized conditional autoregressive model for estimating the health effects of air pollution.

    Science.gov (United States)

    Lee, Duncan; Rushworth, Alastair; Sahu, Sujit K

    2014-06-01

    Estimation of the long-term health effects of air pollution is a challenging task, especially when modeling spatial small-area disease incidence data in an ecological study design. The challenge comes from the unobserved underlying spatial autocorrelation structure in these data, which is accounted for using random effects modeled by a globally smooth conditional autoregressive model. These smooth random effects confound the effects of air pollution, which are also globally smooth. To avoid this collinearity a Bayesian localized conditional autoregressive model is developed for the random effects. This localized model is flexible spatially, in the sense that it is not only able to model areas of spatial smoothness, but also it is able to capture step changes in the random effects surface. This methodological development allows us to improve the estimation performance of the covariate effects, compared to using traditional conditional auto-regressive models. These results are established using a simulation study, and are then illustrated with our motivating study on air pollution and respiratory ill health in Greater Glasgow, Scotland in 2011. The model shows substantial health effects of particulate matter air pollution and nitrogen dioxide, whose effects have been consistently attenuated by the currently available globally smooth models. © 2014, The Authors Biometrics published by Wiley Periodicals, Inc. on behalf of International Biometric Society.

  9. Level shift two-components autoregressive conditional heteroscedasticity modelling for WTI crude oil market

    Science.gov (United States)

    Sin, Kuek Jia; Cheong, Chin Wen; Hooi, Tan Siow

    2017-04-01

    This study aims to investigate the crude oil volatility using a two components autoregressive conditional heteroscedasticity (ARCH) model with the inclusion of abrupt jump feature. The model is able to capture abrupt jumps, news impact, clustering volatility, long persistence volatility and heavy-tailed distributed error which are commonly observed in the crude oil time series. For the empirical study, we have selected the WTI crude oil index from year 2000 to 2016. The results found that by including the multiple-abrupt jumps in ARCH model, there are significant improvements of estimation evaluations as compared with the standard ARCH models. The outcomes of this study can provide useful information for risk management and portfolio analysis in the crude oil markets.

  10. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

    DEFF Research Database (Denmark)

    Silvennoinen, Annastiina; Teräsvirta, Timo

    In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Ter¨asvirta (2005) by including...... another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition......, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. The model is applied to a selection of world stock indices, and it is found that time is an important factor affecting...

  11. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

    DEFF Research Database (Denmark)

    Amado, Cristina; Teräsvirta, Timo

    -run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange......In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time...... by incorporating a nonstationary component in the variance equations. The modelling technique to determine the parametric structure of this time-varying component is based on a sequence of specification Lagrange multiplier-type tests derived in Amado and Teräsvirta (2011). The variance equations combine the long...

  12. Evaluating the effect of neighbourhood weight matrices on smoothing properties of Conditional Autoregressive (CAR models

    Directory of Open Access Journals (Sweden)

    Ryan Louise

    2007-11-01

    Full Text Available Abstract Background The Conditional Autoregressive (CAR model is widely used in many small-area ecological studies to analyse outcomes measured at an areal level. There has been little evaluation of the influence of different neighbourhood weight matrix structures on the amount of smoothing performed by the CAR model. We examined this issue in detail. Methods We created several neighbourhood weight matrices and applied them to a large dataset of births and birth defects in New South Wales (NSW, Australia within 198 Statistical Local Areas. Between the years 1995–2003, there were 17,595 geocoded birth defects and 770,638 geocoded birth records with available data. Spatio-temporal models were developed with data from 1995–2000 and their fit evaluated within the following time period: 2001–2003. Results We were able to create four adjacency-based weight matrices, seven distance-based weight matrices and one matrix based on similarity in terms of a key covariate (i.e. maternal age. In terms of agreement between observed and predicted relative risks, categorised in epidemiologically relevant groups, generally the distance-based matrices performed better than the adjacency-based neighbourhoods. In terms of recovering the underlying risk structure, the weight-7 model (smoothing by maternal-age 'Covariate model' was able to correctly classify 35/47 high-risk areas (sensitivity 74% with a specificity of 47%, and the 'Gravity' model had sensitivity and specificity values of 74% and 39% respectively. Conclusion We found considerable differences in the smoothing properties of the CAR model, depending on the type of neighbours specified. This in turn had an effect on the models' ability to recover the observed risk in an area. Prior to risk mapping or ecological modelling, an exploratory analysis of the neighbourhood weight matrix to guide the choice of a suitable weight matrix is recommended. Alternatively, the weight matrix can be chosen a priori

  13. (Re)evaluating the Implications of the Autoregressive Latent Trajectory Model Through Likelihood Ratio Tests of Its Initial Conditions.

    Science.gov (United States)

    Ou, Lu; Chow, Sy-Miin; Ji, Linying; Molenaar, Peter C M

    2017-01-01

    The autoregressive latent trajectory (ALT) model synthesizes the autoregressive model and the latent growth curve model. The ALT model is flexible enough to produce a variety of discrepant model-implied change trajectories. While some researchers consider this a virtue, others have cautioned that this may confound interpretations of the model's parameters. In this article, we show that some-but not all-of these interpretational difficulties may be clarified mathematically and tested explicitly via likelihood ratio tests (LRTs) imposed on the initial conditions of the model. We show analytically the nested relations among three variants of the ALT model and the constraints needed to establish equivalences. A Monte Carlo simulation study indicated that LRTs, particularly when used in combination with information criterion measures, can allow researchers to test targeted hypotheses about the functional forms of the change process under study. We further demonstrate when and how such tests may justifiably be used to facilitate our understanding of the underlying process of change using a subsample (N = 3,995) of longitudinal family income data from the National Longitudinal Survey of Youth.

  14. Analisis Risiko Investasi Saham Syariah Dengan Model Value AT Risk-Asymmetric Power Autoregressive Conditional Heterocedasticity (VaR-APARCH

    Directory of Open Access Journals (Sweden)

    Syarif Hidayatullah

    2017-04-01

    Full Text Available Penelitian ini membahas analisis risiko data runtun waktu dengan model Value at Risk- Asymmetric Power Autoregressive Conditional Heteroscedasticity (VaR-APARCHdalam pasar modal syariah. Metode yang digunakan dalam penelitian ini adalah penerapan kasus.Data yang digunakan adalah harga penutupan harian saham dalam Jakarta Islamic Index (JIIperiode 4 Maret 2013 sampai 8 April 2015.Model APARCH yang dipilih berdasarkan nilai Schwarz Criterion (SC.Langkah-langkah dalam penelitian ini adalah menguji kestasioneran data, mengidentifikasi model ARIMA,mengestimasi parameter model ARIMA, menguji diagnostik model ARIMA, mendeteksi ada tidaknya unsur ARCH atau unsur heteroskedastisitas, uji asimetris data saham, mengestimasi model APARCH, menguji diagnostik model APARCH, dan menghitung risiko dengan VaR-APARCH.Model terbaik yang dipilih adalah ARIMA ((3,0,0 dan APARCH (1,1. Model ini valid untuk menganalisis besar risiko investasi dalam jangka waktu 10 hari ke depan.

  15. Empirical Vector Autoregressive Modeling

    NARCIS (Netherlands)

    M. Ooms (Marius)

    1993-01-01

    textabstractChapter 2 introduces the baseline version of the VAR model, with its basic statistical assumptions that we examine in the sequel. We first check whether the variables in the VAR can be transformed to meet these assumptions. We analyze the univariate characteristics of the series.

  16. Chain binomial models and binomial autoregressive processes.

    Science.gov (United States)

    Weiss, Christian H; Pollett, Philip K

    2012-09-01

    We establish a connection between a class of chain-binomial models of use in ecology and epidemiology and binomial autoregressive (AR) processes. New results are obtained for the latter, including expressions for the lag-conditional distribution and related quantities. We focus on two types of chain-binomial model, extinction-colonization and colonization-extinction models, and present two approaches to parameter estimation. The asymptotic distributions of the resulting estimators are studied, as well as their finite-sample performance, and we give an application to real data. A connection is made with standard AR models, which also has implications for parameter estimation. © 2011, The International Biometric Society.

  17. A Poisson-lognormal conditional-autoregressive model for multivariate spatial analysis of pedestrian crash counts across neighborhoods.

    Science.gov (United States)

    Wang, Yiyi; Kockelman, Kara M

    2013-11-01

    This work examines the relationship between 3-year pedestrian crash counts across Census tracts in Austin, Texas, and various land use, network, and demographic attributes, such as land use balance, residents' access to commercial land uses, sidewalk density, lane-mile densities (by roadway class), and population and employment densities (by type). The model specification allows for region-specific heterogeneity, correlation across response types, and spatial autocorrelation via a Poisson-based multivariate conditional auto-regressive (CAR) framework and is estimated using Bayesian Markov chain Monte Carlo methods. Least-squares regression estimates of walk-miles traveled per zone serve as the exposure measure. Here, the Poisson-lognormal multivariate CAR model outperforms an aspatial Poisson-lognormal multivariate model and a spatial model (without cross-severity correlation), both in terms of fit and inference. Positive spatial autocorrelation emerges across neighborhoods, as expected (due to latent heterogeneity or missing variables that trend in space, resulting in spatial clustering of crash counts). In comparison, the positive aspatial, bivariate cross correlation of severe (fatal or incapacitating) and non-severe crash rates reflects latent covariates that have impacts across severity levels but are more local in nature (such as lighting conditions and local sight obstructions), along with spatially lagged cross correlation. Results also suggest greater mixing of residences and commercial land uses is associated with higher pedestrian crash risk across different severity levels, ceteris paribus, presumably since such access produces more potential conflicts between pedestrian and vehicle movements. Interestingly, network densities show variable effects, and sidewalk provision is associated with lower severe-crash rates. Copyright © 2013 Elsevier Ltd. All rights reserved.

  18. Human circadian phase estimation from signals collected in ambulatory conditions using an autoregressive model

    NARCIS (Netherlands)

    Gil, Enrique A; Aubert, Xavier L; Møst, Els I S; Beersma, Domien G M

    Phase estimation of the human circadian rhythm is a topic that has been explored using various modeling approaches. The current models range from physiological to mathematical, all attempting to estimate the circadian phase from different physiological or behavioral signals. Here, we have focused on

  19. THE ALLOMETRIC-AUTOREGRESSIVE MODEL IN GENETIC ...

    African Journals Online (AJOL)

    The application of an allometric-autoregressive model for the quantification of growth and efficiency of feed utilization for purposes of selection for ... be of value in genetic studies. ... mass) gives a fair indication of the cumulative preweaning.

  20. Optimal Hedging with the Vector Autoregressive Model

    NARCIS (Netherlands)

    L. Gatarek (Lukasz); S.G. Johansen (Soren)

    2014-01-01

    markdownabstract__Abstract__ We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be

  1. Interval Forecast for Smooth Transition Autoregressive Model ...

    African Journals Online (AJOL)

    In this paper, we propose a simple method for constructing interval forecast for smooth transition autoregressive (STAR) model. This interval forecast is based on bootstrapping the residual error of the estimated STAR model for each forecast horizon and computing various Akaike information criterion (AIC) function. This new ...

  2. Forecasting with periodic autoregressive time series models

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1999-01-01

    textabstractThis paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption

  3. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

    DEFF Research Database (Denmark)

    Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis

    We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...

  4. Modeling variations in the cedi/dollar exchange rate in Ghana: an autoregressive conditional heteroscedastic (ARCH) models.

    Science.gov (United States)

    Techie Quaicoe, Michael; Twenefour, Frank B K; Baah, Emmanuel M; Nortey, Ezekiel N N

    2015-01-01

    This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. The ARMA (1, 1) was found to be the most suitable model for the conditional mean. From the Box-Ljung test statistics x-squared of 1476.338 with p value 0.00217 for squared returns and 16.918 with 0.0153 p values for squared residuals, the null hypothesis of no ARCH effect was rejected at 5% significance level indicating the presence of an ARCH effect in the series. ARMA (1, 1) + GARCH (1, 1) which has all parameters significant was found to be the most suitable model for the conditional mean with conditional variance, thus showing adequacy in describing the conditional mean with variance of the return series at 5% significant level. A 24 months forecast for the mean actual exchange rates and mean returns from January, 2013 to December, 2014 made also showed that the fitted model is appropriate for the data and a depreciating trend of the cedi against the dollar for forecasted period respectively.

  5. New interval forecast for stationary autoregressive models ...

    African Journals Online (AJOL)

    In this paper, we proposed a new forecasting interval for stationary Autoregressive, AR(p) models using the Akaike information criterion (AIC) function. Ordinarily, the AIC function is used to determine the order of an AR(p) process. In this study however, AIC forecast interval compared favorably with the theoretical forecast ...

  6. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA; GENTON, MARC G.

    2009-01-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided

  7. Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models

    Science.gov (United States)

    Price, Larry R.

    2012-01-01

    The aim of this study was to compare the small sample (N = 1, 3, 5, 10, 15) performance of a Bayesian multivariate vector autoregressive (BVAR-SEM) time series model relative to frequentist power and parameter estimation bias. A multivariate autoregressive model was developed based on correlated autoregressive time series vectors of varying…

  8. Model selection in periodic autoregressions

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1994-01-01

    textabstractThis paper focuses on the issue of period autoagressive time series models (PAR) selection in practice. One aspect of model selection is the choice for the appropriate PAR order. This can be of interest for the valuation of economic models. Further, the appropriate PAR order is important

  9. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2010-01-01

    This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data X1......,...,X_{T} given the initial values X_{-n}, n=0,1,..., as is usually done. The initial values are not modeled but assumed to be bounded. This represents a considerable generalization relative to all previous work where it is assumed that initial values are zero. For the statistical analysis we assume...... the conditional Gaussian likelihood and for the probability analysis we also condition on initial values but assume that the errors in the autoregressive model are i.i.d. with suitable moment conditions. We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including...

  10. Kumaraswamy autoregressive moving average models for double bounded environmental data

    Science.gov (United States)

    Bayer, Fábio Mariano; Bayer, Débora Missio; Pumi, Guilherme

    2017-12-01

    In this paper we introduce the Kumaraswamy autoregressive moving average models (KARMA), which is a dynamic class of models for time series taking values in the double bounded interval (a,b) following the Kumaraswamy distribution. The Kumaraswamy family of distribution is widely applied in many areas, especially hydrology and related fields. Classical examples are time series representing rates and proportions observed over time. In the proposed KARMA model, the median is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and a link function. We introduce the new class of models and discuss conditional maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting. In particular, we provide closed-form expressions for the conditional score vector and conditional Fisher information matrix. An application to environmental real data is presented and discussed.

  11. Fouling resistance prediction using artificial neural network nonlinear auto-regressive with exogenous input model based on operating conditions and fluid properties correlations

    Energy Technology Data Exchange (ETDEWEB)

    Biyanto, Totok R. [Department of Engineering Physics, Institute Technology of Sepuluh Nopember Surabaya, Surabaya, Indonesia 60111 (Indonesia)

    2016-06-03

    Fouling in a heat exchanger in Crude Preheat Train (CPT) refinery is an unsolved problem that reduces the plant efficiency, increases fuel consumption and CO{sub 2} emission. The fouling resistance behavior is very complex. It is difficult to develop a model using first principle equation to predict the fouling resistance due to different operating conditions and different crude blends. In this paper, Artificial Neural Networks (ANN) MultiLayer Perceptron (MLP) with input structure using Nonlinear Auto-Regressive with eXogenous (NARX) is utilized to build the fouling resistance model in shell and tube heat exchanger (STHX). The input data of the model are flow rates and temperatures of the streams of the heat exchanger, physical properties of product and crude blend data. This model serves as a predicting tool to optimize operating conditions and preventive maintenance of STHX. The results show that the model can capture the complexity of fouling characteristics in heat exchanger due to thermodynamic conditions and variations in crude oil properties (blends). It was found that the Root Mean Square Error (RMSE) are suitable to capture the nonlinearity and complexity of the STHX fouling resistance during phases of training and validation.

  12. Model reduction methods for vector autoregressive processes

    CERN Document Server

    Brüggemann, Ralf

    2004-01-01

    1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo­ cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo­ sitions, have been developed over the years. The econometrics of VAR models and related quantities i...

  13. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA

    2009-09-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.

  14. Bias-correction in vector autoregressive models

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study......, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable...... improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find...

  15. Mathematical model with autoregressive process for electrocardiogram signals

    Science.gov (United States)

    Evaristo, Ronaldo M.; Batista, Antonio M.; Viana, Ricardo L.; Iarosz, Kelly C.; Szezech, José D., Jr.; Godoy, Moacir F. de

    2018-04-01

    The cardiovascular system is composed of the heart, blood and blood vessels. Regarding the heart, cardiac conditions are determined by the electrocardiogram, that is a noninvasive medical procedure. In this work, we propose autoregressive process in a mathematical model based on coupled differential equations in order to obtain the tachograms and the electrocardiogram signals of young adults with normal heartbeats. Our results are compared with experimental tachogram by means of Poincaré plot and dentrended fluctuation analysis. We verify that the results from the model with autoregressive process show good agreement with experimental measures from tachogram generated by electrical activity of the heartbeat. With the tachogram we build the electrocardiogram by means of coupled differential equations.

  16. Identification of BWR feedwater control system using autoregressive integrated model

    International Nuclear Information System (INIS)

    Kanemoto, Shigeru; Andoh, Yasumasa; Yamamoto, Fumiaki; Idesawa, Masato; Itoh, Kazuo.

    1983-01-01

    With the view of contributing toward more reliable interpretation of noise behavior under normal operating conditions, which is essential for correct detection and/or diagnosis of incipient anomalies in nuclear power plants by noise analysis technique, studies has been undertaken of the noise behavior in a BWR feedwater control system, with use made of a multivariate autoregressive modeling technique. Noise propagation mechanisms as well as open- and closed-loop responses in the system are identified from noise data by a method in which an autoregressive integrated model is introduced. The closed-loop responses obtained with this method are compared with transient data from an actual test, and confirmed to be reliable in estimating semi-quantitative features. Other analyses performed with this model also yield results that appear most reasonable in their physical characteristics. These results have demonstrated the effectiveness of the noise analyses technique based on the autoregressive integrated model for evaluating and diagnosing the performance of feedwater control systems. (author)

  17. How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models

    International Nuclear Information System (INIS)

    Auer, Benjamin R.

    2016-01-01

    Based on a dynamic model for the high/low range of electricity prices, this article analyses the effects of Germany's green energy policy on the volatility of the electricity market. Using European Energy Exchange data from 2000 to 2015, we find rather high volatility in the years 2000–2009 but also that the weekly price range has significantly declined in the period following the year 2009. This period is characterised by active regulation under the Energy Industry Law (EnWG), the EU Emissions Trading Directive (ETD) and the Renewable Energy Law (EEG). In contrast to the preceding period, price jumps are smaller and less frequent (especially for day-time hours), implying that current policy measures are effective in promoting renewable energies while simultaneously upholding electricity market stability. This is because the regulations strive towards a more and more flexible and market-oriented structure which allows better integration of renewable energies and supports an efficient alignment of renewable electricity supply with demand. - Highlights: • We estimate a CARR model for German electricity price data. • We augment the model by dummies capturing important regulations. • We find a significant decline in the price range after the year 2009. • This implies effective price stabilisation by German energy policy.

  18. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    2009-01-01

    In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies...... to the conditional variance, making possible interpretation as an integer-valued generalized autoregressive conditional heteroscedasticity process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and past observations. As a particular example, we consider...... an exponential autoregressive Poisson model for time series. Under geometric ergodicity, the maximum likelihood estimators are shown to be asymptotically Gaussian in the linear model. In addition, we provide a consistent estimator of their asymptotic covariance matrix. Our approach to verifying geometric...

  19. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...

  20. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, making an interpretation as an integer valued GARCH process possible. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model...

  1. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    2017-01-01

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class...... of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended...... model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are X 2 -distributed....

  2. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...... of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended...... model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are khi squared distributed....

  3. Spatial analysis of the dairy yield using a conditional autoregressive model / Análise espacial da produção leiteira usando um modelo autoregressivo condicional

    Directory of Open Access Journals (Sweden)

    João Domingos Scalon

    2010-07-01

    Full Text Available The dairy yield is one of the most important activities for the Brazilian economy and the use of statistical models may improve the decision making in this productive sector. The aim of this paper was to compare the performance of both the traditional linear regression model and the spatial regression model called conditional autoregressive (CAR to explain how some covariates may contribute for the dairy yield. This work used a database on dairy yield supplied by the Brazilian Institute of Geography and Statistics (IBGE and another database on geographical information of the state of Minas Gerais provided by the Integrated Program of Technological Use of Geographical Information (GEOMINAS. The results showed the superiority of the CAR model over the traditional linear regression model to explain the dairy yield. The CAR model allowed the identification of two different spatial clusters of counties related to the dairy yield in the state of Minas Gerais. The first cluster represents the region where one observes the biggest levels of dairy yield. It is formed by the counties of the Triângulo Mineiro. The second cluster is formed by the northern counties of the state that present the lesser levels of dairy yield. A produção de leite é uma das atividades mais importantes para a economia brasileira e o uso de modelos estatísticos pode auxiliar a tomada de decisão neste setor produtivo. O objetivo deste artigo foi comparar o desempenho do modelo de regressão linear tradicional e do modelo de regressão espacial, denominado de autoregressivo condicional (CAR, para explicar como algumas variáveis preditoras contribuem para a quantidade de leite produzido. Este trabalho usou uma base de dados sobre a produção de leite fornecida pelo Instituto Brasileiro de Geografia e Estatística (IBGE e outra base de dados sobre informações geográficas do estado de Minas Gerais, fornecida pelo Programa Integrado de Uso da Tecnologia de Geoprocessamento

  4. A complex autoregressive model and application to monthly temperature forecasts

    Directory of Open Access Journals (Sweden)

    X. Gu

    2005-11-01

    Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.

  5. Incorporating measurement error in n = 1 psychological autoregressive modeling

    Science.gov (United States)

    Schuurman, Noémi K.; Houtveen, Jan H.; Hamaker, Ellen L.

    2015-01-01

    Measurement error is omnipresent in psychological data. However, the vast majority of applications of autoregressive time series analyses in psychology do not take measurement error into account. Disregarding measurement error when it is present in the data results in a bias of the autoregressive parameters. We discuss two models that take measurement error into account: An autoregressive model with a white noise term (AR+WN), and an autoregressive moving average (ARMA) model. In a simulation study we compare the parameter recovery performance of these models, and compare this performance for both a Bayesian and frequentist approach. We find that overall, the AR+WN model performs better. Furthermore, we find that for realistic (i.e., small) sample sizes, psychological research would benefit from a Bayesian approach in fitting these models. Finally, we illustrate the effect of disregarding measurement error in an AR(1) model by means of an empirical application on mood data in women. We find that, depending on the person, approximately 30–50% of the total variance was due to measurement error, and that disregarding this measurement error results in a substantial underestimation of the autoregressive parameters. PMID:26283988

  6. Application of autoregressive moving average model in reactor noise analysis

    International Nuclear Information System (INIS)

    Tran Dinh Tri

    1993-01-01

    The application of an autoregressive (AR) model to estimating noise measurements has achieved many successes in reactor noise analysis in the last ten years. The physical processes that take place in the nuclear reactor, however, are described by an autoregressive moving average (ARMA) model rather than by an AR model. Consequently more correct results could be obtained by applying the ARMA model instead of the AR model to reactor noise analysis. In this paper the system of the generalised Yule-Walker equations is derived from the equation of an ARMA model, then a method for its solution is given. Numerical results show the applications of the method proposed. (author)

  7. Modelling cointegration in the vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2000-01-01

    A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegratin...

  8. Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity

    Directory of Open Access Journals (Sweden)

    Isao Ishida

    2015-01-01

    Full Text Available We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s 500 (S&P 500 and several other indices, we obtained good performance using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear heterogeneous autoregressive and other models of realized volatility.

  9. Vector bilinear autoregressive time series model and its superiority ...

    African Journals Online (AJOL)

    In this research, a vector bilinear autoregressive time series model was proposed and used to model three revenue series (X1, X2, X3) . The “orders” of the three series were identified on the basis of the distribution of autocorrelation and partial autocorrelation functions and were used to construct the vector bilinear models.

  10. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2012-01-01

    such that the process X_{t} is fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 0inference when the true values satisfy b0¿1/2 and d0-b0......We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. We give conditions on the parameters...... process in the parameters when errors are i.i.d. with suitable moment conditions and initial values are bounded. When the limit is deterministic this implies uniform convergence in probability of the conditional likelihood function. If the true value b0>1/2, we prove that the limit distribution of (ß...

  11. Optimal hedging with the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Gatarek, Lukasz; Johansen, Søren

    We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated with the...

  12. Estimation of pure autoregressive vector models for revenue series ...

    African Journals Online (AJOL)

    This paper aims at applying multivariate approach to Box and Jenkins univariate time series modeling to three vector series. General Autoregressive Vector Models with time varying coefficients are estimated. The first vector is a response vector, while others are predictor vectors. By matrix expansion each vector, whether ...

  13. Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input

    OpenAIRE

    Addo, Peter Martey

    2014-01-01

    This study defines a multivariate Self--Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditions for stationarity of the nonlinear MSETARX models is provided. In particular, the efficiency of an adaptive parameter estimation algorithm and LSE (least squares estimate) algorithm for this class of models is then provided via simulations.

  14. The comparison study among several data transformations in autoregressive modeling

    Science.gov (United States)

    Setiyowati, Susi; Waluyo, Ramdhani Try

    2015-12-01

    In finance, the adjusted close of stocks are used to observe the performance of a company. The extreme prices, which may increase or decrease drastically, are often become particular concerned since it can impact to bankruptcy. As preventing action, the investors have to observe the future (forecasting) stock prices comprehensively. For that purpose, time series analysis could be one of statistical methods that can be implemented, for both stationary and non-stationary processes. Since the variability process of stocks prices tend to large and also most of time the extreme values are always exist, then it is necessary to do data transformation so that the time series models, i.e. autoregressive model, could be applied appropriately. One of popular data transformation in finance is return model, in addition to ratio of logarithm and some others Tukey ladder transformation. In this paper these transformations are applied to AR stationary models and non-stationary ARCH and GARCH models through some simulations with varying parameters. As results, this work present the suggestion table that shows transformations behavior for some condition of parameters and models. It is confirmed that the better transformation is obtained, depends on type of data distributions. In other hands, the parameter conditions term give significant influence either.

  15. Robust bayesian analysis of an autoregressive model with ...

    African Journals Online (AJOL)

    In this work, robust Bayesian analysis of the Bayesian estimation of an autoregressive model with exponential innovations is performed. Using a Bayesian robustness methodology, we show that, using a suitable generalized quadratic loss, we obtain optimal Bayesian estimators of the parameters corresponding to the ...

  16. Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

    Directory of Open Access Journals (Sweden)

    Nurul Huda

    2015-04-01

    Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

  17. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    DEFF Research Database (Denmark)

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least square...... estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording....

  18. Testing exact rational expectations in cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    1999-01-01

    This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization...... of the restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model....

  19. Analysis of nonlinear systems using ARMA [autoregressive moving average] models

    International Nuclear Information System (INIS)

    Hunter, N.F. Jr.

    1990-01-01

    While many vibration systems exhibit primarily linear behavior, a significant percentage of the systems encountered in vibration and model testing are mildly to severely nonlinear. Analysis methods for such nonlinear systems are not yet well developed and the response of such systems is not accurately predicted by linear models. Nonlinear ARMA (autoregressive moving average) models are one method for the analysis and response prediction of nonlinear vibratory systems. In this paper we review the background of linear and nonlinear ARMA models, and illustrate the application of these models to nonlinear vibration systems. We conclude by summarizing the advantages and disadvantages of ARMA models and emphasizing prospects for future development. 14 refs., 11 figs

  20. REGIONAL FIRST ORDER PERIODIC AUTOREGRESSIVE MODELS FOR MONTHLY FLOWS

    Directory of Open Access Journals (Sweden)

    Ceyhun ÖZÇELİK

    2008-01-01

    Full Text Available First order periodic autoregressive models is of mostly used models in modeling of time dependency of hydrological flow processes. In these models, periodicity of the correlogram is preserved as well as time dependency of processes. However, the parameters of these models, namely, inter-monthly lag-1 autocorrelation coefficients may be often estimated erroneously from short samples, since they are statistics of high order moments. Therefore, to constitute a regional model may be a solution that can produce more reliable and decisive estimates, and derive models and model parameters in any required point of the basin considered. In this study, definitions of homogeneous region for lag-1 autocorrelation coefficients are made; five parametric and non parametric models are proposed to set regional models of lag-1 autocorrelation coefficients. Regional models are applied on 30 stream flow gauging stations in Seyhan and Ceyhan basins, and tested by criteria of relative absolute bias, simple and relative root of mean square errors.

  1. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...

  2. 4K Video Traffic Prediction using Seasonal Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    D. R. Marković

    2017-06-01

    Full Text Available From the perspective of average viewer, high definition video streams such as HD (High Definition and UHD (Ultra HD are increasing their internet presence year over year. This is not surprising, having in mind expansion of HD streaming services, such as YouTube, Netflix etc. Therefore, high definition video streams are starting to challenge network resource allocation with their bandwidth requirements and statistical characteristics. Need for analysis and modeling of this demanding video traffic has essential importance for better quality of service and experience support. In this paper we use an easy-to-apply statistical model for prediction of 4K video traffic. Namely, seasonal autoregressive modeling is applied in prediction of 4K video traffic, encoded with HEVC (High Efficiency Video Coding. Analysis and modeling were performed within R programming environment using over 17.000 high definition video frames. It is shown that the proposed methodology provides good accuracy in high definition video traffic modeling.

  3. Bias-Correction in Vector Autoregressive Models: A Simulation Study

    Directory of Open Access Journals (Sweden)

    Tom Engsted

    2014-03-01

    Full Text Available We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that it compares very favorably in non-stationary models.

  4. Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    A. Alexandre Trindade

    2003-02-01

    Full Text Available The large number of parameters in subset vector autoregressive models often leads one to procure fast, simple, and efficient alternatives or precursors to maximum likelihood estimation. We present the solution of the multivariate subset Yule-Walker equations as one such alternative. In recent work, Brockwell, Dahlhaus, and Trindade (2002, show that the Yule-Walker estimators can actually be obtained as a special case of a general recursive Burg-type algorithm. We illustrate the structure of this Algorithm, and discuss its implementation in a high-level programming language. Applications of the Algorithm in univariate and bivariate modeling are showcased in examples. Univariate and bivariate versions of the Algorithm written in Fortran 90 are included in the appendix, and their use illustrated.

  5. Least squares estimation in a simple random coefficient autoregressive model

    DEFF Research Database (Denmark)

    Johansen, S; Lange, T

    2013-01-01

    The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable with p...... we prove the curious result that View the MathML source. The proof applies the notion of a tail index of sums of positive random variables with infinite variance to find the order of magnitude of View the MathML source and View the MathML source and hence the limit of View the MathML source...

  6. Incorporating measurement error in n=1 psychological autoregressive modeling

    NARCIS (Netherlands)

    Schuurman, Noemi K.; Houtveen, Jan H.; Hamaker, Ellen L.

    2015-01-01

    Measurement error is omnipresent in psychological data. However, the vast majority of applications of autoregressive time series analyses in psychology do not take measurement error into account. Disregarding measurement error when it is present in the data results in a bias of the autoregressive

  7. Drought Patterns Forecasting using an Auto-Regressive Logistic Model

    Science.gov (United States)

    del Jesus, M.; Sheffield, J.; Méndez Incera, F. J.; Losada, I. J.; Espejo, A.

    2014-12-01

    Drought is characterized by a water deficit that may manifest across a large range of spatial and temporal scales. Drought may create important socio-economic consequences, many times of catastrophic dimensions. A quantifiable definition of drought is elusive because depending on its impacts, consequences and generation mechanism, different water deficit periods may be identified as a drought by virtue of some definitions but not by others. Droughts are linked to the water cycle and, although a climate change signal may not have emerged yet, they are also intimately linked to climate.In this work we develop an auto-regressive logistic model for drought prediction at different temporal scales that makes use of a spatially explicit framework. Our model allows to include covariates, continuous or categorical, to improve the performance of the auto-regressive component.Our approach makes use of dimensionality reduction (principal component analysis) and classification techniques (K-Means and maximum dissimilarity) to simplify the representation of complex climatic patterns, such as sea surface temperature (SST) and sea level pressure (SLP), while including information on their spatial structure, i.e. considering their spatial patterns. This procedure allows us to include in the analysis multivariate representation of complex climatic phenomena, as the El Niño-Southern Oscillation. We also explore the impact of other climate-related variables such as sun spots. The model allows to quantify the uncertainty of the forecasts and can be easily adapted to make predictions under future climatic scenarios. The framework herein presented may be extended to other applications such as flash flood analysis, or risk assessment of natural hazards.

  8. Bias-correction in vector autoregressive models: A simulation study

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that this simple...... and easy-to-use analytical bias formula compares very favorably to the more standard but also more computer intensive bootstrap bias-correction method, both in terms of bias and mean squared error. Both methods yield a notable improvement over both OLS and a recently proposed WLS estimator. We also...... of pushing an otherwise stationary model into the non-stationary region of the parameter space during the process of correcting for bias....

  9. vector bilinear autoregressive time series model and its superiority

    African Journals Online (AJOL)

    KEYWORDS: Linear time series, Autoregressive process, Autocorrelation function, Partial autocorrelation function,. Vector time .... important result on matrix algebra with respect to the spectral ..... application to covariance analysis of super-.

  10. A representation theory for a class of vector autoregressive models for fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2008-01-01

    Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a un...... root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0...

  11. On the maximum-entropy/autoregressive modeling of time series

    Science.gov (United States)

    Chao, B. F.

    1984-01-01

    The autoregressive (AR) model of a random process is interpreted in the light of the Prony's relation which relates a complex conjugate pair of poles of the AR process in the z-plane (or the z domain) on the one hand, to the complex frequency of one complex harmonic function in the time domain on the other. Thus the AR model of a time series is one that models the time series as a linear combination of complex harmonic functions, which include pure sinusoids and real exponentials as special cases. An AR model is completely determined by its z-domain pole configuration. The maximum-entropy/autogressive (ME/AR) spectrum, defined on the unit circle of the z-plane (or the frequency domain), is nothing but a convenient, but ambiguous visual representation. It is asserted that the position and shape of a spectral peak is determined by the corresponding complex frequency, and the height of the spectral peak contains little information about the complex amplitude of the complex harmonic functions.

  12. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior.

  13. Sparse representation based image interpolation with nonlocal autoregressive modeling.

    Science.gov (United States)

    Dong, Weisheng; Zhang, Lei; Lukac, Rastislav; Shi, Guangming

    2013-04-01

    Sparse representation is proven to be a promising approach to image super-resolution, where the low-resolution (LR) image is usually modeled as the down-sampled version of its high-resolution (HR) counterpart after blurring. When the blurring kernel is the Dirac delta function, i.e., the LR image is directly down-sampled from its HR counterpart without blurring, the super-resolution problem becomes an image interpolation problem. In such cases, however, the conventional sparse representation models (SRM) become less effective, because the data fidelity term fails to constrain the image local structures. In natural images, fortunately, many nonlocal similar patches to a given patch could provide nonlocal constraint to the local structure. In this paper, we incorporate the image nonlocal self-similarity into SRM for image interpolation. More specifically, a nonlocal autoregressive model (NARM) is proposed and taken as the data fidelity term in SRM. We show that the NARM-induced sampling matrix is less coherent with the representation dictionary, and consequently makes SRM more effective for image interpolation. Our extensive experimental results demonstrate that the proposed NARM-based image interpolation method can effectively reconstruct the edge structures and suppress the jaggy/ringing artifacts, achieving the best image interpolation results so far in terms of PSNR as well as perceptual quality metrics such as SSIM and FSIM.

  14. Adaptive Autoregressive Model for Reduction of Noise in SPECT

    Directory of Open Access Journals (Sweden)

    Reijo Takalo

    2015-01-01

    Full Text Available This paper presents improved autoregressive modelling (AR to reduce noise in SPECT images. An AR filter was applied to prefilter projection images and postfilter ordered subset expectation maximisation (OSEM reconstruction images (AR-OSEM-AR method. The performance of this method was compared with filtered back projection (FBP preceded by Butterworth filtering (BW-FBP method and the OSEM reconstruction method followed by Butterworth filtering (OSEM-BW method. A mathematical cylinder phantom was used for the study. It consisted of hot and cold objects. The tests were performed using three simulated SPECT datasets. Image quality was assessed by means of the percentage contrast resolution (CR% and the full width at half maximum (FWHM of the line spread functions of the cylinders. The BW-FBP method showed the highest CR% values and the AR-OSEM-AR method gave the lowest CR% values for cold stacks. In the analysis of hot stacks, the BW-FBP method had higher CR% values than the OSEM-BW method. The BW-FBP method exhibited the lowest FWHM values for cold stacks and the AR-OSEM-AR method for hot stacks. In conclusion, the AR-OSEM-AR method is a feasible way to remove noise from SPECT images. It has good spatial resolution for hot objects.

  15. Simulation And Forecasting of Daily Pm10 Concentrations Using Autoregressive Models In Kagithane Creek Valley, Istanbul

    Science.gov (United States)

    Ağaç, Kübra; Koçak, Kasım; Deniz, Ali

    2015-04-01

    A time series approach using autoregressive model (AR), moving average model (MA) and seasonal autoregressive integrated moving average model (SARIMA) were used in this study to simulate and forecast daily PM10 concentrations in Kagithane Creek Valley, Istanbul. Hourly PM10 concentrations have been measured in Kagithane Creek Valley between 2010 and 2014 periods. Bosphorus divides the city in two parts as European and Asian parts. The historical part of the city takes place in Golden Horn. Our study area Kagithane Creek Valley is connected with this historical part. The study area is highly polluted because of its topographical structure and industrial activities. Also population density is extremely high in this site. The dispersion conditions are highly poor in this creek valley so it is necessary to calculate PM10 levels for air quality and human health. For given period there were some missing PM10 concentration values so to make an accurate calculations and to obtain exact results gap filling method was applied by Singular Spectrum Analysis (SSA). SSA is a new and efficient method for gap filling and it is an state-of-art modeling. SSA-MTM Toolkit was used for our study. SSA is considered as a noise reduction algorithm because it decomposes an original time series to trend (if exists), oscillatory and noise components by way of a singular value decomposition. The basic SSA algorithm has stages of decomposition and reconstruction. For given period daily and monthly PM10 concentrations were calculated and episodic periods are determined. Long term and short term PM10 concentrations were analyzed according to European Union (EU) standards. For simulation and forecasting of high level PM10 concentrations, meteorological data (wind speed, pressure and temperature) were used to see the relationship between daily PM10 concentrations. Fast Fourier Transformation (FFT) was also applied to the data to see the periodicity and according to these periods models were built

  16. Numerical limitations in application of vector autoregressive modeling and Granger causality to analysis of EEG time series

    Science.gov (United States)

    Kammerdiner, Alla; Xanthopoulos, Petros; Pardalos, Panos M.

    2007-11-01

    In this chapter a potential problem with application of the Granger-causality based on the simple vector autoregressive (VAR) modeling to EEG data is investigated. Although some initial studies tested whether the data support the stationarity assumption of VAR, the stability of the estimated model is rarely (if ever) been verified. In fact, in cases when the stability condition is violated the process may exhibit a random walk like behavior or even be explosive. The problem is illustrated by an example.

  17. Bias-corrected estimation in potentially mildly explosive autoregressive models

    DEFF Research Database (Denmark)

    Haufmann, Hendrik; Kruse, Robinson

    This paper provides a comprehensive Monte Carlo comparison of different finite-sample bias-correction methods for autoregressive processes. We consider classic situations where the process is either stationary or exhibits a unit root. Importantly, the case of mildly explosive behaviour is studied...... that the indirect inference approach oers a valuable alternative to other existing techniques. Its performance (measured by its bias and root mean squared error) is balanced and highly competitive across many different settings. A clear advantage is its applicability for mildly explosive processes. In an empirical...

  18. Forecasting performance of smooth transition autoregressive (STAR model on travel and leisure stock index

    Directory of Open Access Journals (Sweden)

    Usman M. Umer

    2018-06-01

    Full Text Available Travel and leisure recorded a consecutive robust growth and become among the fastest economic sectors in the world. Various forecasting models are proposed by researchers that serve as an early recommendation for investors and policy makers. Numerous studies proposed distinct forecasting models to predict the dynamics of this sector and provide early recommendation for investors and policy makers. In this paper, we compare the performance of smooth transition autoregressive (STAR and linear autoregressive (AR models using monthly returns of Turkey and FTSE travel and leisure index from April 1997 to August 2016. MSCI world index used as a proxy of the overall market. The result shows that nonlinear LSTAR model cannot improve the out-of-sample forecast of linear AR model. This finding demonstrates little to be gained from using LSTAR model in the prediction of travel and leisure stock index. Keywords: Nonlinear time-series, Out-of-sample forecasting, Smooth transition autoregressive, Travel and leisure

  19. Seasonal Forecasting of Agriculture Gross Domestic Production in Iran: Application of Periodic Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Mohammad Ghahremanzadeh

    2014-06-01

    Full Text Available Agriculture as one of the major economic sectors of Iran, has an important role in Gross Domestic Production by providing about 14% of GDP. This study attempts to forecast the value of the agriculture GDP using Periodic Autoregressive model (PAR, as the new seasonal time series techniques. To address this aim, the quarterly data were collected from March 1988 to July 1989. The collected data was firstly analyzed using periodic unit root test Franses & Paap (2004. The analysis found non-periodic unit root in the seasonal data. Second, periodic seasonal behavior (Boswijk & Franses, 1996 was examined. The results showed that periodic autoregressive model fits agriculture GDP well. This makes an accurate forecast of agriculture GDP possible. Using the estimated model, the future value of quarter agricultural GDP from March 2011 to July 2012was forecasted. With consideration to the fair fit of this model with agricultural GDP, It is recommended to use periodic autoregressive model for the future studies.

  20. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the econo......Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... are related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed....

  1. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity in the econo......Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed....

  2. To center or not to center? Investigating inertia with a multilevel autoregressive model

    Directory of Open Access Journals (Sweden)

    Ellen L. Hamaker

    2015-01-01

    Full Text Available Whether level 1 predictors should be centered per cluster has received considerable attention in the multilevel literature. While most agree that there is no one preferred approach, it has also been argued that cluster mean centering is desirable when the within-cluster slope and the between-cluster slope are expected to deviate, and the main interest is in the within-cluster slope. However, we show in a series of simulations that if one has a multilevel autoregressive model in which the level 1 predictor is the lagged outcome variable (i.e., the outcome variable at the previous occasion, cluster mean centering will in general lead to a downward bias in the parameter estimate of the within-cluster slope (i.e., the autoregressive relationship. This is particularly relevant if the main question is whether there is on average an autoregressive effect. Nonetheless, we show that if the main interest is in estimating the effect of a level 2 predictor on the autoregressive parameter (i.e., a cross-level interaction, cluster mean centering should be preferred over other forms of centering. Hence, researchers should be clear on what is considered the main goal of their study, and base their choice of centering method on this when using a multilevel autoregressive model.

  3. Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Kapetanios, George

    We address the issue of modelling and forecasting macroeconomic variables using rich datasets, by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (...

  4. Modeling money demand components in Lebanon using autoregressive models

    International Nuclear Information System (INIS)

    Mourad, M.

    2008-01-01

    This paper analyses monetary aggregate in Lebanon and its different component methodology of AR model. Thirteen variables in monthly data have been studied for the period January 1990 through December 2005. Using the Augmented Dickey-Fuller (ADF) procedure, twelve variables are integrated at order 1, thus they need the filter (1-B)) to become stationary, however the variable X 1 3,t (claims on private sector) becomes stationary with the filter (1-B)(1-B 1 2) . The ex-post forecasts have been calculated for twelve horizons and for one horizon (one-step ahead forecast). The quality of forecasts has been measured using the MAPE criterion for which the forecasts are good because the MAPE values are lower. Finally, a pursuit of this research using the cointegration approach is proposed. (author)

  5. Forecast of sea surface temperature off the Peruvian coast using an autoregressive integrated moving average model

    Directory of Open Access Journals (Sweden)

    Carlos Quispe

    2013-04-01

    Full Text Available El Niño connects globally climate, ecosystems and socio-economic activities. Since 1980 this event has been tried to be predicted, but until now the statistical and dynamical models are insuffi cient. Thus, the objective of the present work was to explore using an autoregressive moving average model the effect of El Niño over the sea surface temperature (TSM off the Peruvian coast. The work involved 5 stages: identifi cation, estimation, diagnostic checking, forecasting and validation. Simple and partial autocorrelation functions (FAC and FACP were used to identify and reformulate the orders of the model parameters, as well as Akaike information criterium (AIC and Schwarz criterium (SC for the selection of the best models during the diagnostic checking. Among the main results the models ARIMA(12,0,11 were proposed, which simulated monthly conditions in agreement with the observed conditions off the Peruvian coast: cold conditions at the end of 2004, and neutral conditions at the beginning of 2005.

  6. Linear and non-linear autoregressive models for short-term wind speed forecasting

    International Nuclear Information System (INIS)

    Lydia, M.; Suresh Kumar, S.; Immanuel Selvakumar, A.; Edwin Prem Kumar, G.

    2016-01-01

    Highlights: • Models for wind speed prediction at 10-min intervals up to 1 h built on time-series wind speed data. • Four different multivariate models for wind speed built based on exogenous variables. • Non-linear models built using three data mining algorithms outperform the linear models. • Autoregressive models based on wind direction perform better than other models. - Abstract: Wind speed forecasting aids in estimating the energy produced from wind farms. The soaring energy demands of the world and minimal availability of conventional energy sources have significantly increased the role of non-conventional sources of energy like solar, wind, etc. Development of models for wind speed forecasting with higher reliability and greater accuracy is the need of the hour. In this paper, models for predicting wind speed at 10-min intervals up to 1 h have been built based on linear and non-linear autoregressive moving average models with and without external variables. The autoregressive moving average models based on wind direction and annual trends have been built using data obtained from Sotavento Galicia Plc. and autoregressive moving average models based on wind direction, wind shear and temperature have been built on data obtained from Centre for Wind Energy Technology, Chennai, India. While the parameters of the linear models are obtained using the Gauss–Newton algorithm, the non-linear autoregressive models are developed using three different data mining algorithms. The accuracy of the models has been measured using three performance metrics namely, the Mean Absolute Error, Root Mean Squared Error and Mean Absolute Percentage Error.

  7. Fitting multistate transition models with autoregressive logistic regression : Supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S O; Fidler, Vaclav; Kuipers, Wietze D; Hunink, Maria G M

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a

  8. Properties of autoregressive model in reactor noise analysis, 1

    International Nuclear Information System (INIS)

    Yamada, Sumasu; Kishida, Kuniharu; Bekki, Keisuke.

    1987-01-01

    Under appropriate conditions, stochastic processes are described by the ARMA model, however, the AR model is popularly used in reactor noise analysis. Hence, the properties of AR model as an approximate representation of the ARMA model should be made clear. Here, convergence of AR-parameters and PSD of AR model were studied through numerical analysis on specific examples such as the neutron noise in subcritical reactors, and it was found that : (1) The convergence of AR-parameters and AR model PSD is governed by the ''zero nearest to the unit circle in the complex plane'' (μ -1 ,|μ| M . (3) The AR model of the neutron noise of subcritical reactors needs a large model order because of an ARMA-zero very close to unity corresponding to the decay constant of the 6-th group of delayed neutron precursors. (4) In applying AR model for system identification, much attention has to be paid to a priori unknown error as an approximate representation of the ARMA model in addition to the statistical errors. (author)

  9. Medium- and Long-term Prediction of LOD Change by the Leap-step Autoregressive Model

    Science.gov (United States)

    Wang, Qijie

    2015-08-01

    The accuracy of medium- and long-term prediction of length of day (LOD) change base on combined least-square and autoregressive (LS+AR) deteriorates gradually. Leap-step autoregressive (LSAR) model can significantly reduce the edge effect of the observation sequence. Especially, LSAR model greatly improves the resolution of signals’ low-frequency components. Therefore, it can improve the efficiency of prediction. In this work, LSAR is used to forecast the LOD change. The LOD series from EOP 08 C04 provided by IERS is modeled by both the LSAR and AR models. The results of the two models are analyzed and compared. When the prediction length is between 10-30 days, the accuracy improvement is less than 10%. When the prediction length amounts to above 30 day, the accuracy improved obviously, with the maximum being around 19%. The results show that the LSAR model has higher prediction accuracy and stability in medium- and long-term prediction.

  10. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets

    Energy Technology Data Exchange (ETDEWEB)

    Lu, Fengbin, E-mail: fblu@amss.ac.cn [Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190 (China); Qiao, Han, E-mail: qiaohan@ucas.ac.cn [School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190 (China); Wang, Shouyang, E-mail: sywang@amss.ac.cn [School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190 (China); Lai, Kin Keung, E-mail: mskklai@cityu.edu.hk [Department of Management Sciences, City University of Hong Kong (Hong Kong); Li, Yuze, E-mail: richardyz.li@mail.utoronto.ca [Department of Industrial Engineering, University of Toronto (Canada)

    2017-01-15

    This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor’s 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model.

  11. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets

    International Nuclear Information System (INIS)

    Lu, Fengbin; Qiao, Han; Wang, Shouyang; Lai, Kin Keung; Li, Yuze

    2017-01-01

    This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor’s 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model.

  12. Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets.

    Science.gov (United States)

    Lu, Fengbin; Qiao, Han; Wang, Shouyang; Lai, Kin Keung; Li, Yuze

    2017-01-01

    This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor's 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model. Copyright © 2016 Elsevier Ltd. All rights reserved.

  13. A time series model: First-order integer-valued autoregressive (INAR(1))

    Science.gov (United States)

    Simarmata, D. M.; Novkaniza, F.; Widyaningsih, Y.

    2017-07-01

    Nonnegative integer-valued time series arises in many applications. A time series model: first-order Integer-valued AutoRegressive (INAR(1)) is constructed by binomial thinning operator to model nonnegative integer-valued time series. INAR (1) depends on one period from the process before. The parameter of the model can be estimated by Conditional Least Squares (CLS). Specification of INAR(1) is following the specification of (AR(1)). Forecasting in INAR(1) uses median or Bayesian forecasting methodology. Median forecasting methodology obtains integer s, which is cumulative density function (CDF) until s, is more than or equal to 0.5. Bayesian forecasting methodology forecasts h-step-ahead of generating the parameter of the model and parameter of innovation term using Adaptive Rejection Metropolis Sampling within Gibbs sampling (ARMS), then finding the least integer s, where CDF until s is more than or equal to u . u is a value taken from the Uniform(0,1) distribution. INAR(1) is applied on pneumonia case in Penjaringan, Jakarta Utara, January 2008 until April 2016 monthly.

  14. Medium- and Long-term Prediction of LOD Change with the Leap-step Autoregressive Model

    Science.gov (United States)

    Liu, Q. B.; Wang, Q. J.; Lei, M. F.

    2015-09-01

    It is known that the accuracies of medium- and long-term prediction of changes of length of day (LOD) based on the combined least-square and autoregressive (LS+AR) decrease gradually. The leap-step autoregressive (LSAR) model is more accurate and stable in medium- and long-term prediction, therefore it is used to forecast the LOD changes in this work. Then the LOD series from EOP 08 C04 provided by IERS (International Earth Rotation and Reference Systems Service) is used to compare the effectiveness of the LSAR and traditional AR methods. The predicted series resulted from the two models show that the prediction accuracy with the LSAR model is better than that from AR model in medium- and long-term prediction.

  15. Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

    Directory of Open Access Journals (Sweden)

    Fei Jin

    2013-05-01

    Full Text Available This paper studies the generalized spatial two stage least squares (GS2SLS estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators asymptotically, but the bias might be large in finite samples, making the inference inaccurate. We consider the case that the number of instruments K increases with, but at a rate slower than, the sample size, and derive the approximate mean square errors (MSE that account for the trade-offs between the bias and variance, for both the GS2SLS estimator and a bias-corrected GS2SLS estimator. A criterion function for the optimal K selection can be based on the approximate MSEs. Monte Carlo experiments are provided to show the performance of our procedure of choosing K.

  16. Thresholds and Smooth Transitions in Vector Autoregressive Models

    DEFF Research Database (Denmark)

    Hubrich, Kirstin; Teräsvirta, Timo

    This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the...

  17. Prediction of earth rotation parameters based on improved weighted least squares and autoregressive model

    Directory of Open Access Journals (Sweden)

    Sun Zhangzhen

    2012-08-01

    Full Text Available In this paper, an improved weighted least squares (WLS, together with autoregressive (AR model, is proposed to improve prediction accuracy of earth rotation parameters(ERP. Four weighting schemes are developed and the optimal power e for determination of the weight elements is studied. The results show that the improved WLS-AR model can improve the ERP prediction accuracy effectively, and for different prediction intervals of ERP, different weight scheme should be chosen.

  18. A Dynamic Model of U.S. Sugar-Related Markets: A Cointegrated Vector Autoregression Approach

    OpenAIRE

    Babula, Ronald A.; Newman, Douglas; Rogowsky, Robert A.

    2006-01-01

    The methods of the cointegrated vector autoregression (VAR) model are applied to monthly U.S. markets for sugar and for sugar-using markets for confectionary, soft drink, and bakery products. Primarily a methods paper, we apply Johansen and Juselius' advanced procedures to these markets for perhaps the first time, with focus on achievement of a statistically adequate model through analysis of a battery of advanced statistical diagnostic tests and on exploitation of the system's cointegration ...

  19. Studies on multivariate autoregressive analysis using synthesized reactor noise-like data for optimal modelling

    Energy Technology Data Exchange (ETDEWEB)

    Ciftcioglu, O.; Hoogenboom, J.E.; Dam, H. van

    1988-01-01

    Studies on the multivariate autoregressive (MAR) analysis are carried out for the choice of the parameters for modelling the data obtained from various sensors optimally. Accordingly, the roles of the parameters on the analysis results are identified and the related ambiguities are reduced. Experimental investigations are carried out by means of synthesized reactor noise-like data obtained from a digital simulator providing simulated stochastic signals of an operating nuclear reactor so that the simulator constitutes a favourable tool for the present studies aimed. As the system is well defined with its known structure, precise comparison of the MAR analysis results with the true values is performed. With the help of the information gained through the studies carried out, conditions to be taken care of for optimal signal processing in MAR modelling are determined. Although the parameters involved are related among themselves and they have to be given different values suitable for the particular application in hand, some criteria, namely memory-time and sample length-time play an essential role in AR modelling and they are found to be applicable to each individual case commonly, for the establishment of the optimality.

  20. Studies on multivariate autoregressive analysis using synthesized reactor noise-like data for optimal modelling

    International Nuclear Information System (INIS)

    Ciftcioglu, O.

    1988-01-01

    Studies on the multivariate autoregressive (MAR) analysis are carried out for the choice of the parameters for modelling the data obtained from various sensors optimally. Accordingly, the roles of the parameters on the analysis results are identified and the related ambiguities are reduced. Experimental investigations are carried out by means of synthesized reactor noise-like data obtained from a digital simulator providing simulated stochastic signals of an operating nuclear reactor so that the simulator constitutes a favourable tool for the present studies aimed. As the system is well defined with its known structure, precise comparison of the MAR analysis results with the true values is performed. With the help of the information gained through the studies carried out, conditions to be taken care of for optimal signal processing in MAR modelling are determined. Although the parameters involved are related among themselves and they have to be given different values suitable for the particular application in hand, some criteria, namely memory-time and sample length-time play an essential role in AR modelling and they are found to be applicable to each individual case commonly, for the establishment of the optimality. (author)

  1. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

    DEFF Research Database (Denmark)

    Nonejad, Nima

    We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...... Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...... forecasts compared to any single model specification. It provides further improvements when we average over nonlinear specifications....

  2. Noise source analysis of nuclear ship Mutsu plant using multivariate autoregressive model

    International Nuclear Information System (INIS)

    Hayashi, K.; Shimazaki, J.; Shinohara, Y.

    1996-01-01

    The present study is concerned with the noise sources in N.S. Mutsu reactor plant. The noise experiments on the Mutsu plant were performed in order to investigate the plant dynamics and the effect of sea condition and and ship motion on the plant. The reactor noise signals as well as the ship motion signals were analyzed by a multivariable autoregressive (MAR) modeling method to clarify the noise sources in the reactor plant. It was confirmed from the analysis results that most of the plant variables were affected mainly by a horizontal component of the ship motion, that is the sway, through vibrations of the plant structures. Furthermore, the effect of ship motion on the reactor power was evaluated through the analysis of wave components extracted by a geometrical transform method. It was concluded that the amplitude of the reactor power oscillation was about 0.15% in normal sea condition, which was small enough for safe operation of the reactor plant. (authors)

  3. DEFECT MONITORING IN IRON CASTING USING RESIDUES OF AUTOREGRESSIVE MODELS

    Directory of Open Access Journals (Sweden)

    Vanusa Andrea Casarin

    2013-06-01

    Full Text Available The purpose of this study is to monitor the index of general waste irons forecasting nodular and gray using the residues originated from the methodology Box & Jenkins by means of X-bar and R control charts. Search is to find a general class of model ARIMA (p, d, q but as data have autocorrelation is found to the number of residues which allowed the application of charts. The found model was the model SARIMA (0,1,1(0,1,1 . In step of checking the stability of the model was found that some comments are out of control due to temperature and chemical composition.

  4. Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

    OpenAIRE

    Bušs, Ginters

    2009-01-01

    Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a sharp economic slowdown changes the optimal prior in two directions. First, it changes the structure of the optimal weight prior, setting smaller weight on the lagged dependent variable compared to varia...

  5. Temporal Aggregation in First Order Cointegrated Vector Autoregressive models

    DEFF Research Database (Denmark)

    Milhøj, Anders; la Cour, Lisbeth Funding

    2011-01-01

    with the frequency of the data. We also introduce a graphical representation that will prove useful as an additional informational tool for deciding the appropriate cointegration rank of a model. In two examples based on models of time series of different grades of gasoline, we demonstrate the usefulness of our...

  6. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2012-01-01

    optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence......Wind power production data at temporal resolutions of a few minutes exhibit successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour...... and autoregressive models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  7. Experimental designs for autoregressive models applied to industrial maintenance

    International Nuclear Information System (INIS)

    Amo-Salas, M.; López-Fidalgo, J.; Pedregal, D.J.

    2015-01-01

    Some time series applications require data which are either expensive or technically difficult to obtain. In such cases scheduling the points in time at which the information should be collected is of paramount importance in order to optimize the resources available. In this paper time series models are studied from a new perspective, consisting in the use of Optimal Experimental Design setup to obtain the best times to take measurements, with the principal aim of saving costs or discarding useless information. The model and the covariance function are expressed in an explicit form to apply the usual techniques of Optimal Experimental Design. Optimal designs for various approaches are computed and their efficiencies are compared. The methods working in an application of industrial maintenance of a critical piece of equipment at a petrochemical plant are shown. This simple model allows explicit calculations in order to show openly the procedure to find the correlation structure, needed for computing the optimal experimental design. In this sense the techniques used in this paper to compute optimal designs may be transferred to other situations following the ideas of the paper, but taking into account the increasing difficulty of the procedure for more complex models. - Highlights: • Optimal experimental design theory is applied to AR models to reduce costs. • The first observation has an important impact on any optimal design. • Either the lack of precision or small starting observations claim for large times. • Reasonable optimal times were obtained relaxing slightly the efficiency. • Optimal designs were computed in a predictive maintenance context

  8. Recursive wind speed forecasting based on Hammerstein Auto-Regressive model

    International Nuclear Information System (INIS)

    Ait Maatallah, Othman; Achuthan, Ajit; Janoyan, Kerop; Marzocca, Pier

    2015-01-01

    Highlights: • Developed a new recursive WSF model for 1–24 h horizon based on Hammerstein model. • Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series. • Recursive WSF intrinsic error accumulation corrected by applying rotation. • Model verified for real wind speed data from two sites with different characteristics. • HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction. - Abstract: A new Wind Speed Forecasting (WSF) model, suitable for a short term 1–24 h forecast horizon, is developed by adapting Hammerstein model to an Autoregressive approach. The model is applied to real data collected for a period of three years (2004–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical Autoregressive Integrated Moving Average (ARIMA) model and a multi-layer perceptron Artificial Neural Network (ANN). Results show that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can better capture various wind speed characteristics, including asymmetric (non-gaussian) wind speed distribution, non-stationary time series profile, and the chaotic dynamics. The new model is beneficial for various applications in the renewable energy area, particularly for power scheduling

  9. A comparison of two least-squared random coefficient autoregressive models: with and without autocorrelated errors

    OpenAIRE

    Autcha Araveeporn

    2013-01-01

    This paper compares a Least-Squared Random Coefficient Autoregressive (RCA) model with a Least-Squared RCA model based on Autocorrelated Errors (RCA-AR). We looked at only the first order models, denoted RCA(1) and RCA(1)-AR(1). The efficiency of the Least-Squared method was checked by applying the models to Brownian motion and Wiener process, and the efficiency followed closely the asymptotic properties of a normal distribution. In a simulation study, we compared the performance of RCA(1) an...

  10. A Two-Factor Autoregressive Moving Average Model Based on Fuzzy Fluctuation Logical Relationships

    Directory of Open Access Journals (Sweden)

    Shuang Guan

    2017-10-01

    Full Text Available Many of the existing autoregressive moving average (ARMA forecast models are based on one main factor. In this paper, we proposed a new two-factor first-order ARMA forecast model based on fuzzy fluctuation logical relationships of both a main factor and a secondary factor of a historical training time series. Firstly, we generated a fluctuation time series (FTS for two factors by calculating the difference of each data point with its previous day, then finding the absolute means of the two FTSs. We then constructed a fuzzy fluctuation time series (FFTS according to the defined linguistic sets. The next step was establishing fuzzy fluctuation logical relation groups (FFLRGs for a two-factor first-order autoregressive (AR(1 model and forecasting the training data with the AR(1 model. Then we built FFLRGs for a two-factor first-order autoregressive moving average (ARMA(1,m model. Lastly, we forecasted test data with the ARMA(1,m model. To illustrate the performance of our model, we used real Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX and Dow Jones datasets as a secondary factor to forecast TAIEX. The experiment results indicate that the proposed two-factor fluctuation ARMA method outperformed the one-factor method based on real historic data. The secondary factor may have some effects on the main factor and thereby impact the forecasting results. Using fuzzified fluctuations rather than fuzzified real data could avoid the influence of extreme values in historic data, which performs negatively while forecasting. To verify the accuracy and effectiveness of the model, we also employed our method to forecast the Shanghai Stock Exchange Composite Index (SHSECI from 2001 to 2015 and the international gold price from 2000 to 2010.

  11. Noncausal Bayesian Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution...

  12. Recognition of NEMP and LEMP signals based on auto-regression model and artificial neutral network

    International Nuclear Information System (INIS)

    Li Peng; Song Lijun; Han Chao; Zheng Yi; Cao Baofeng; Li Xiaoqiang; Zhang Xueqin; Liang Rui

    2010-01-01

    Auto-regression (AR) model, one power spectrum estimation method of stationary random signals, and artificial neutral network were adopted to recognize nuclear and lightning electromagnetic pulses. Self-correlation function and Burg algorithms were used to acquire the AR model coefficients as eigenvalues, and BP artificial neural network was introduced as the classifier with different numbers of hidden layers and hidden layer nodes. The results show that AR model is effective in those signals, feature extraction, and the Burg algorithm is more effective than the self-correlation function algorithm. (authors)

  13. Compact and accurate linear and nonlinear autoregressive moving average model parameter estimation using laguerre functions

    DEFF Research Database (Denmark)

    Chon, K H; Cohen, R J; Holstein-Rathlou, N H

    1997-01-01

    A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via moving...... average models, as is the case for the Volterra-Wiener analysis, we propose an ARMA model-based approach. The proposed algorithm is essentially the same as LEK, but this algorithm is extended to include past values of the output as well. Thus, all of the advantages associated with using the Laguerre...

  14. Hydrological time series modeling: A comparison between adaptive neuro-fuzzy, neural network and autoregressive techniques

    Science.gov (United States)

    Lohani, A. K.; Kumar, Rakesh; Singh, R. D.

    2012-06-01

    SummaryTime series modeling is necessary for the planning and management of reservoirs. More recently, the soft computing techniques have been used in hydrological modeling and forecasting. In this study, the potential of artificial neural networks and neuro-fuzzy system in monthly reservoir inflow forecasting are examined by developing and comparing monthly reservoir inflow prediction models, based on autoregressive (AR), artificial neural networks (ANNs) and adaptive neural-based fuzzy inference system (ANFIS). To take care the effect of monthly periodicity in the flow data, cyclic terms are also included in the ANN and ANFIS models. Working with time series flow data of the Sutlej River at Bhakra Dam, India, several ANN and adaptive neuro-fuzzy models are trained with different input vectors. To evaluate the performance of the selected ANN and adaptive neural fuzzy inference system (ANFIS) models, comparison is made with the autoregressive (AR) models. The ANFIS model trained with the input data vector including previous inflows and cyclic terms of monthly periodicity has shown a significant improvement in the forecast accuracy in comparison with the ANFIS models trained with the input vectors considering only previous inflows. In all cases ANFIS gives more accurate forecast than the AR and ANN models. The proposed ANFIS model coupled with the cyclic terms is shown to provide better representation of the monthly inflow forecasting for planning and operation of reservoir.

  15. Electricity demand loads modeling using AutoRegressive Moving Average (ARMA) models

    Energy Technology Data Exchange (ETDEWEB)

    Pappas, S.S. [Department of Information and Communication Systems Engineering, University of the Aegean, Karlovassi, 83 200 Samos (Greece); Ekonomou, L.; Chatzarakis, G.E. [Department of Electrical Engineering Educators, ASPETE - School of Pedagogical and Technological Education, N. Heraklion, 141 21 Athens (Greece); Karamousantas, D.C. [Technological Educational Institute of Kalamata, Antikalamos, 24100 Kalamata (Greece); Katsikas, S.K. [Department of Technology Education and Digital Systems, University of Piraeus, 150 Androutsou Srt., 18 532 Piraeus (Greece); Liatsis, P. [Division of Electrical Electronic and Information Engineering, School of Engineering and Mathematical Sciences, Information and Biomedical Engineering Centre, City University, Northampton Square, London EC1V 0HB (United Kingdom)

    2008-09-15

    This study addresses the problem of modeling the electricity demand loads in Greece. The provided actual load data is deseasonilized and an AutoRegressive Moving Average (ARMA) model is fitted on the data off-line, using the Akaike Corrected Information Criterion (AICC). The developed model fits the data in a successful manner. Difficulties occur when the provided data includes noise or errors and also when an on-line/adaptive modeling is required. In both cases and under the assumption that the provided data can be represented by an ARMA model, simultaneous order and parameter estimation of ARMA models under the presence of noise are performed. The produced results indicate that the proposed method, which is based on the multi-model partitioning theory, tackles successfully the studied problem. For validation purposes the produced results are compared with three other established order selection criteria, namely AICC, Akaike's Information Criterion (AIC) and Schwarz's Bayesian Information Criterion (BIC). The developed model could be useful in the studies that concern electricity consumption and electricity prices forecasts. (author)

  16. Self-organising mixture autoregressive model for non-stationary time series modelling.

    Science.gov (United States)

    Ni, He; Yin, Hujun

    2008-12-01

    Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches.

  17. Modeling Nonstationary Emotion Dynamics in Dyads using a Time-Varying Vector-Autoregressive Model.

    Science.gov (United States)

    Bringmann, Laura F; Ferrer, Emilio; Hamaker, Ellen L; Borsboom, Denny; Tuerlinckx, Francis

    2018-01-01

    Emotion dynamics are likely to arise in an interpersonal context. Standard methods to study emotions in interpersonal interaction are limited because stationarity is assumed. This means that the dynamics, for example, time-lagged relations, are invariant across time periods. However, this is generally an unrealistic assumption. Whether caused by an external (e.g., divorce) or an internal (e.g., rumination) event, emotion dynamics are prone to change. The semi-parametric time-varying vector-autoregressive (TV-VAR) model is based on well-studied generalized additive models, implemented in the software R. The TV-VAR can explicitly model changes in temporal dependency without pre-existing knowledge about the nature of change. A simulation study is presented, showing that the TV-VAR model is superior to the standard time-invariant VAR model when the dynamics change over time. The TV-VAR model is applied to empirical data on daily feelings of positive affect (PA) from a single couple. Our analyses indicate reliable changes in the male's emotion dynamics over time, but not in the female's-which were not predicted by her own affect or that of her partner. This application illustrates the usefulness of using a TV-VAR model to detect changes in the dynamics in a system.

  18. Autoregressive Model with Partial Forgetting within Rao-Blackwellized Particle Filter

    Czech Academy of Sciences Publication Activity Database

    Dedecius, Kamil; Hofman, Radek

    2012-01-01

    Roč. 41, č. 5 (2012), s. 582-589 ISSN 0361-0918 R&D Projects: GA MV VG20102013018; GA ČR GA102/08/0567 Grant - others:ČVUT(CZ) SGS 10/099/OHK3/1T/16 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian methods * Particle filters * Recursive estimation Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.295, year: 2012 http://library.utia.cas.cz/separaty/2012/AS/dedecius-autoregressive model with partial forgetting within rao-blackwellized particle filter.pdf

  19. Forecasting Rice Productivity and Production of Odisha, India, Using Autoregressive Integrated Moving Average Models

    Directory of Open Access Journals (Sweden)

    Rahul Tripathi

    2014-01-01

    Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.

  20. Order Selection for General Expression of Nonlinear Autoregressive Model Based on Multivariate Stepwise Regression

    Science.gov (United States)

    Shi, Jinfei; Zhu, Songqing; Chen, Ruwen

    2017-12-01

    An order selection method based on multiple stepwise regressions is proposed for General Expression of Nonlinear Autoregressive model which converts the model order problem into the variable selection of multiple linear regression equation. The partial autocorrelation function is adopted to define the linear term in GNAR model. The result is set as the initial model, and then the nonlinear terms are introduced gradually. Statistics are chosen to study the improvements of both the new introduced and originally existed variables for the model characteristics, which are adopted to determine the model variables to retain or eliminate. So the optimal model is obtained through data fitting effect measurement or significance test. The simulation and classic time-series data experiment results show that the method proposed is simple, reliable and can be applied to practical engineering.

  1. Optimal HRF and smoothing parameters for fMRI time series within an autoregressive modeling framework.

    Science.gov (United States)

    Galka, Andreas; Siniatchkin, Michael; Stephani, Ulrich; Groening, Kristina; Wolff, Stephan; Bosch-Bayard, Jorge; Ozaki, Tohru

    2010-12-01

    The analysis of time series obtained by functional magnetic resonance imaging (fMRI) may be approached by fitting predictive parametric models, such as nearest-neighbor autoregressive models with exogeneous input (NNARX). As a part of the modeling procedure, it is possible to apply instantaneous linear transformations to the data. Spatial smoothing, a common preprocessing step, may be interpreted as such a transformation. The autoregressive parameters may be constrained, such that they provide a response behavior that corresponds to the canonical haemodynamic response function (HRF). We present an algorithm for estimating the parameters of the linear transformations and of the HRF within a rigorous maximum-likelihood framework. Using this approach, an optimal amount of both the spatial smoothing and the HRF can be estimated simultaneously for a given fMRI data set. An example from a motor-task experiment is discussed. It is found that, for this data set, weak, but non-zero, spatial smoothing is optimal. Furthermore, it is demonstrated that activated regions can be estimated within the maximum-likelihood framework.

  2. Palm oil price forecasting model: An autoregressive distributed lag (ARDL) approach

    Science.gov (United States)

    Hamid, Mohd Fahmi Abdul; Shabri, Ani

    2017-05-01

    Palm oil price fluctuated without any clear trend or cyclical pattern in the last few decades. The instability of food commodities price causes it to change rapidly over time. This paper attempts to develop Autoregressive Distributed Lag (ARDL) model in modeling and forecasting the price of palm oil. In order to use ARDL as a forecasting model, this paper modifies the data structure where we only consider lagged explanatory variables to explain the variation in palm oil price. We then compare the performance of this ARDL model with a benchmark model namely ARIMA in term of their comparative forecasting accuracy. This paper also utilize ARDL bound testing approach to co-integration in examining the short run and long run relationship between palm oil price and its determinant; production, stock, and price of soybean as the substitute of palm oil and price of crude oil. The comparative forecasting accuracy suggests that ARDL model has a better forecasting accuracy compared to ARIMA.

  3. Order-disorder transitions in time-discrete mean field systems with memory: a novel approach via nonlinear autoregressive models

    International Nuclear Information System (INIS)

    Frank, T D; Mongkolsakulvong, S

    2015-01-01

    In a previous study strongly nonlinear autoregressive (SNAR) models have been introduced as a generalization of the widely-used time-discrete autoregressive models that are known to apply both to Markov and non-Markovian systems. In contrast to conventional autoregressive models, SNAR models depend on process mean values. So far, only linear dependences have been studied. We consider the case in which process mean values can have a nonlinear impact on the processes under consideration. It is shown that such models describe Markov and non-Markovian many-body systems with mean field forces that exhibit a nonlinear impact on single subsystems. We exemplify that such nonlinear dependences can describe order-disorder phase transitions of time-discrete Markovian and non-Markovian many-body systems. The relevant order parameter equations are derived and issues of stability and stationarity are studied. (paper)

  4. Autoregressive spatially varying coefficients model for predicting daily PM2.5 using VIIRS satellite AOT

    Science.gov (United States)

    Schliep, E. M.; Gelfand, A. E.; Holland, D. M.

    2015-12-01

    There is considerable demand for accurate air quality information in human health analyses. The sparsity of ground monitoring stations across the United States motivates the need for advanced statistical models to predict air quality metrics, such as PM2.5, at unobserved sites. Remote sensing technologies have the potential to expand our knowledge of PM2.5 spatial patterns beyond what we can predict from current PM2.5 monitoring networks. Data from satellites have an additional advantage in not requiring extensive emission inventories necessary for most atmospheric models that have been used in earlier data fusion models for air pollution. Statistical models combining monitoring station data with satellite-obtained aerosol optical thickness (AOT), also referred to as aerosol optical depth (AOD), have been proposed in the literature with varying levels of success in predicting PM2.5. The benefit of using AOT is that satellites provide complete gridded spatial coverage. However, the challenges involved with using it in fusion models are (1) the correlation between the two data sources varies both in time and in space, (2) the data sources are temporally and spatially misaligned, and (3) there is extensive missingness in the monitoring data and also in the satellite data due to cloud cover. We propose a hierarchical autoregressive spatially varying coefficients model to jointly model the two data sources, which addresses the foregoing challenges. Additionally, we offer formal model comparison for competing models in terms of model fit and out of sample prediction of PM2.5. The models are applied to daily observations of PM2.5 and AOT in the summer months of 2013 across the conterminous United States. Most notably, during this time period, we find small in-sample improvement incorporating AOT into our autoregressive model but little out-of-sample predictive improvement.

  5. A Nonlinear Autoregressive Exogenous (NARX Neural Network Model for the Prediction of the Daily Direct Solar Radiation

    Directory of Open Access Journals (Sweden)

    Zina Boussaada

    2018-03-01

    Full Text Available The solar photovoltaic (PV energy has an important place among the renewable energy sources. Therefore, several researchers have been interested by its modelling and its prediction, in order to improve the management of the electrical systems which include PV arrays. Among the existing techniques, artificial neural networks have proved their performance in the prediction of the solar radiation. However, the existing neural network models don’t satisfy the requirements of certain specific situations such as the one analyzed in this paper. The aim of this research work is to supply, with electricity, a race sailboat using exclusively renewable sources. The developed solution predicts the direct solar radiation on a horizontal surface. For that, a Nonlinear Autoregressive Exogenous (NARX neural network is used. All the specific conditions of the sailboat operation are taken into account. The results show that the best prediction performance is obtained when the training phase of the neural network is performed periodically.

  6. Neural networks prediction and fault diagnosis applied to stationary and non stationary ARMA (Autoregressive moving average) modeled time series

    International Nuclear Information System (INIS)

    Marseguerra, M.; Minoggio, S.; Rossi, A.; Zio, E.

    1992-01-01

    The correlated noise affecting many industrial plants under stationary or cyclo-stationary conditions - nuclear reactors included -has been successfully modeled by autoregressive moving average (ARMA) due to the versatility of this technique. The relatively recent neural network methods have similar features and much effort is being devoted to exploring their usefulness in forecasting and control. Identifying a signal by means of an ARMA model gives rise to the problem of selecting its correct order. Similar difficulties must be faced when applying neural network methods and, specifically, particular care must be given to the setting up of the appropriate network topology, the data normalization procedure and the learning code. In the present paper the capability of some neural networks of learning ARMA and seasonal ARMA processes is investigated. The results of the tested cases look promising since they indicate that the neural networks learn the underlying process with relative ease so that their forecasting capability may represent a convenient fault diagnosis tool. (Author)

  7. Remaining Useful Life Prediction of Gas Turbine Engine using Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Ahsan Shazaib

    2017-01-01

    Full Text Available Gas turbine (GT engines are known for their high availability and reliability and are extensively used for power generation, marine and aero-applications. Maintenance of such complex machines should be done proactively to reduce cost and sustain high availability of the GT. The aim of this paper is to explore the use of autoregressive (AR models to predict remaining useful life (RUL of a GT engine. The Turbofan Engine data from NASA benchmark data repository is used as case study. The parametric investigation is performed to check on any effect of changing model parameter on modelling accuracy. Results shows that a single sensory data cannot accurately predict RUL of GT and further research need to be carried out by incorporating multi-sensory data. Furthermore, the predictions made using AR model seems to give highly pessimistic values for RUL of GT.

  8. Forecasting hourly global solar radiation using hybrid k-means and nonlinear autoregressive neural network models

    International Nuclear Information System (INIS)

    Benmouiza, Khalil; Cheknane, Ali

    2013-01-01

    Highlights: • An unsupervised clustering algorithm with a neural network model was explored. • The forecasting results of solar radiation time series and the comparison of their performance was simulated. • A new method was proposed combining k-means algorithm and NAR network to provide better prediction results. - Abstract: In this paper, we review our work for forecasting hourly global horizontal solar radiation based on the combination of unsupervised k-means clustering algorithm and artificial neural networks (ANN). k-Means algorithm focused on extracting useful information from the data with the aim of modeling the time series behavior and find patterns of the input space by clustering the data. On the other hand, nonlinear autoregressive (NAR) neural networks are powerful computational models for modeling and forecasting nonlinear time series. Taking the advantage of both methods, a new method was proposed combining k-means algorithm and NAR network to provide better forecasting results

  9. A revival of the autoregressive distributed lag model in estimating energy demand relationships

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J.; Engsted, T.

    1999-07-01

    The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)

  10. Information contraction and extraction by multivariate autoregressive (MAR) modelling. Pt. 2. Dominant noise sources in BWRS

    International Nuclear Information System (INIS)

    Morishima, N.

    1996-01-01

    The multivariate autoregressive (MAR) modeling of a vector noise process is discussed in terms of the estimation of dominant noise sources in BWRs. The discussion is based on a physical approach: a transfer function model on BWR core dynamics is utilized in developing a noise model; a set of input-output relations between three system variables and twelve different noise sources is obtained. By the least-square fitting of a theoretical PSD on neutron noise to an experimental one, four kinds of dominant noise sources are selected. It is shown that some of dominant noise sources consist of two or more different noise sources and have the spectral properties of being coloured and correlated with each other. By diagonalizing the PSD matrix for dominant noise sources, we may obtain an MAR expression for a vector noise process as a response to the diagonal elements(i.e. residual noises) being white and mutually-independent. (Author)

  11. A revival of the autoregressive distributed lag model in estimating energy demand relationships

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J; Engsted, T

    1999-07-01

    The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)

  12. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A

    1999-01-01

    In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...

  13. Learning effective connectivity from fMRI using autoregressive hidden Markov model with missing data.

    Science.gov (United States)

    Dang, Shilpa; Chaudhury, Santanu; Lall, Brejesh; Roy, Prasun Kumar

    2017-02-15

    Effective connectivity (EC) analysis of neuronal groups using fMRI delivers insights about functional-integration. However, fMRI signal has low-temporal resolution due to down-sampling and indirectly measures underlying neuronal activity. The aim is to address above issues for more reliable EC estimates. This paper proposes use of autoregressive hidden Markov model with missing data (AR-HMM-md) in dynamically multi-linked (DML) framework for learning EC using multiple fMRI time series. In our recent work (Dang et al., 2016), we have shown how AR-HMM-md for modelling single fMRI time series outperforms the existing methods. AR-HMM-md models unobserved neuronal activity and lost data over time as variables and estimates their values by joint optimization given fMRI observation sequence. The effectiveness in learning EC is shown using simulated experiments. Also the effects of sampling and noise are studied on EC. Moreover, classification-experiments are performed for Attention-Deficit/Hyperactivity Disorder subjects and age-matched controls for performance evaluation of real data. Using Bayesian model selection, we see that the proposed model converged to higher log-likelihood and demonstrated that group-classification can be performed with higher cross-validation accuracy of above 94% using distinctive network EC which characterizes patients vs. The full data EC obtained from DML-AR-HMM-md is more consistent with previous literature than the classical multivariate Granger causality method. The proposed architecture leads to reliable estimates of EC than the existing latent models. This framework overcomes the disadvantage of low-temporal resolution and improves cross-validation accuracy significantly due to presence of missing data variables and autoregressive process. Copyright © 2016 Elsevier B.V. All rights reserved.

  14. Forecasting and simulating wind speed in Corsica by using an autoregressive model

    International Nuclear Information System (INIS)

    Poggi, P.; Muselli, M.; Notton, G.; Cristofari, C.; Louche, A.

    2003-01-01

    Alternative approaches for generating wind speed time series are discussed. The method utilized involves the use of an autoregressive process model. The model has been applied to three Mediterranean sites in Corsica and has been used to generate 3-hourly synthetic time series for these considered sites. The synthetic time series have been examined to determine their ability to preserve the statistical properties of the Corsican wind speed time series. In this context, using the main statistical characteristics of the wind speed (mean, variance, probability distribution, autocorrelation function), the data simulated are compared to experimental ones in order to check whether the wind speed behavior was correctly reproduced over the studied periods. The purpose is to create a data generator in order to construct a reference year for wind systems simulation in Corsica

  15. Statistical aspects of autoregressive-moving average models in the assessment of radon mitigation

    International Nuclear Information System (INIS)

    Dunn, J.E.; Henschel, D.B.

    1989-01-01

    Radon values, as reflected by hourly scintillation counts, seem dominated by major, pseudo-periodic, random fluctuations. This methodological paper reports a moderate degree of success in modeling these data using relatively simple autoregressive-moving average models to assess the effectiveness of radon mitigation techniques in existing housing. While accounting for the natural correlation of successive observations, familiar summary statistics such as steady state estimates, standard errors, confidence limits, and tests of hypothesis are produced. The Box-Jenkins approach is used throughout. In particular, intervention analysis provides an objective means of assessing the effectiveness of an active mitigation measure, such as a fan off/on cycle. Occasionally, failure to declare a significant intervention has suggested a means of remedial action in the data collection procedure

  16. Spatial pattern of diarrhea based on regional economic and environment by spatial autoregressive model

    Science.gov (United States)

    Bekti, Rokhana Dwi; Nurhadiyanti, Gita; Irwansyah, Edy

    2014-10-01

    The diarrhea case pattern information, especially for toddler, is very important. It is used to show the distribution of diarrhea in every region, relationship among that locations, and regional economic characteristic or environmental behavior. So, this research uses spatial pattern to perform them. This method includes: Moran's I, Spatial Autoregressive Models (SAR), and Local Indicator of Spatial Autocorrelation (LISA). It uses sample from 23 sub districts of Bekasi Regency, West Java, Indonesia. Diarrhea case, regional economic, and environmental behavior of households have a spatial relationship among sub district. SAR shows that the percentage of Regional Gross Domestic Product is significantly effect on diarrhea at α = 10%. Therefore illiteracy and health center facilities are significant at α = 5%. With LISA test, sub districts in southern Bekasi have high dependencies with Cikarang Selatan, Serang Baru, and Setu. This research also builds development application that is based on java and R to support data analysis.

  17. Autoregressive-model-based missing value estimation for DNA microarray time series data.

    Science.gov (United States)

    Choong, Miew Keen; Charbit, Maurice; Yan, Hong

    2009-01-01

    Missing value estimation is important in DNA microarray data analysis. A number of algorithms have been developed to solve this problem, but they have several limitations. Most existing algorithms are not able to deal with the situation where a particular time point (column) of the data is missing entirely. In this paper, we present an autoregressive-model-based missing value estimation method (ARLSimpute) that takes into account the dynamic property of microarray temporal data and the local similarity structures in the data. ARLSimpute is especially effective for the situation where a particular time point contains many missing values or where the entire time point is missing. Experiment results suggest that our proposed algorithm is an accurate missing value estimator in comparison with other imputation methods on simulated as well as real microarray time series datasets.

  18. Assessment of anaesthetic depth by clustering analysis and autoregressive modelling of electroencephalograms

    DEFF Research Database (Denmark)

    Thomsen, C E; Rosenfalck, A; Nørregaard Christensen, K

    1991-01-01

    The brain activity electroencephalogram (EEG) was recorded from 30 healthy women scheduled for hysterectomy. The patients were anaesthetized with isoflurane, halothane or etomidate/fentanyl. A multiparametric method was used for extraction of amplitude and frequency information from the EEG....... The method applied autoregressive modelling of the signal, segmented in 2 s fixed intervals. The features from the EEG segments were used for learning and for classification. The learning process was unsupervised and hierarchical clustering analysis was used to construct a learning set of EEG amplitude......-frequency patterns for each of the three anaesthetic drugs. These EEG patterns were assigned to a colour code corresponding to similar clinical states. A common learning set could be used for all patients anaesthetized with the same drug. The classification process could be performed on-line and the results were...

  19. Investigation of the resonant power oscillation in the Halden Boiling Water Reactor by autoregressive modeling

    International Nuclear Information System (INIS)

    Oguma, Ritsuo

    1980-01-01

    In the HBWR (Halden Boiling Water Reactor), there exists a resonant power oscillation with period about 0.04 Hz at power levels higher than about 9.5 MWt. While the resonant oscillation in not so large as to affect the normal reactor operation, it is significant, from the viewpoint of reactor diagnosis, to grasp its characteristics and find the cause. Noise analysis based on the autoregressive (AR) modeling technique has been made to reveal the driving source for this oscillation which led to the suggestion that it is attributed to the dynamic interference of heat exchange process between two parallel-connected steam transformers against the reactor. The present study demonstrates that the method used here is highly effective for tracing back to a noise source inducing the variation of quantities in a system, and also applicable to problems of reactor noise analysis and diagnosis. (author)

  20. Evaluation of the autoregression time-series model for analysis of a noisy signal

    International Nuclear Information System (INIS)

    Allen, J.W.

    1977-01-01

    The autoregression (AR) time-series model of a continuous noisy signal was statistically evaluated to determine quantitatively the uncertainties of the model order, the model parameters, and the model's power spectral density (PSD). The result of such a statistical evaluation enables an experimenter to decide whether an AR model can adequately represent a continuous noisy signal and be consistent with the signal's frequency spectrum, and whether it can be used for on-line monitoring. Although evaluations of other types of signals have been reported in the literature, no direct reference has been found to AR model's uncertainties for continuous noisy signals; yet the evaluation is necessary to decide the usefulness of AR models of typical reactor signals (e.g., neutron detector output or thermocouple output) and the potential of AR models for on-line monitoring applications. AR and other time-series models for noisy data representation are being investigated by others since such models require fewer parameters than the traditional PSD model. For this study, the AR model was selected for its simplicity and conduciveness to uncertainty analysis, and controlled laboratory bench signals were used for continuous noisy data. (author)

  1. Vector autoregressive model approach for forecasting outflow cash in Central Java

    Science.gov (United States)

    hoyyi, Abdul; Tarno; Maruddani, Di Asih I.; Rahmawati, Rita

    2018-05-01

    Multivariate time series model is more applied in economic and business problems as well as in other fields. Applications in economic problems one of them is the forecasting of outflow cash. This problem can be viewed globally in the sense that there is no spatial effect between regions, so the model used is the Vector Autoregressive (VAR) model. The data used in this research is data on the money supply in Bank Indonesia Semarang, Solo, Purwokerto and Tegal. The model used in this research is VAR (1), VAR (2) and VAR (3) models. Ordinary Least Square (OLS) is used to estimate parameters. The best model selection criteria use the smallest Akaike Information Criterion (AIC). The result of data analysis shows that the AIC value of VAR (1) model is equal to 42.72292, VAR (2) equals 42.69119 and VAR (3) equals 42.87662. The difference in AIC values is not significant. Based on the smallest AIC value criteria, the best model is the VAR (2) model. This model has satisfied the white noise assumption.

  2. Testing the Causal Links between School Climate, School Violence, and School Academic Performance: A Cross-Lagged Panel Autoregressive Model

    Science.gov (United States)

    Benbenishty, Rami; Astor, Ron Avi; Roziner, Ilan; Wrabel, Stephani L.

    2016-01-01

    The present study explores the causal link between school climate, school violence, and a school's general academic performance over time using a school-level, cross-lagged panel autoregressive modeling design. We hypothesized that reductions in school violence and climate improvement would lead to schools' overall improved academic performance.…

  3. Forecasting Nord Pool day-ahead prices with an autoregressive model

    International Nuclear Information System (INIS)

    Kristiansen, Tarjei

    2012-01-01

    This paper presents a model to forecast Nord Pool hourly day-ahead prices. The model is based on but reduced in terms of estimation parameters (from 24 sets to 1) and modified to include Nordic demand and Danish wind power as exogenous variables. We model prices across all hours in the analysis period rather than across each single hour of 24 hours. By applying three model variants on Nord Pool data, we achieve a weekly mean absolute percentage error (WMAE) of around 6–7% and an hourly mean absolute percentage error (MAPE) ranging from 8% to 11%. Out of sample results yields a WMAE and an hourly MAPE of around 5%. The models enable analysts and traders to forecast hourly day-ahead prices accurately. Moreover, the models are relatively straightforward and user-friendly to implement. They can be set up in any trading organization. - Highlights: ► Forecasting Nord Pool day-ahead prices with an autoregressive model. ► The model is based on but with the set of parameters reduced from 24 to 1. ► The model includes Nordic demand and Danish wind power as exogenous variables. ► Hourly mean absolute percentage error ranges from 8% to 11%. ► Out of sample results yields a WMAE and an hourly MAPE of around 5%.

  4. Non-linear auto-regressive models for cross-frequency coupling in neural time series

    Science.gov (United States)

    Tallot, Lucille; Grabot, Laetitia; Doyère, Valérie; Grenier, Yves; Gramfort, Alexandre

    2017-01-01

    We address the issue of reliably detecting and quantifying cross-frequency coupling (CFC) in neural time series. Based on non-linear auto-regressive models, the proposed method provides a generative and parametric model of the time-varying spectral content of the signals. As this method models the entire spectrum simultaneously, it avoids the pitfalls related to incorrect filtering or the use of the Hilbert transform on wide-band signals. As the model is probabilistic, it also provides a score of the model “goodness of fit” via the likelihood, enabling easy and legitimate model selection and parameter comparison; this data-driven feature is unique to our model-based approach. Using three datasets obtained with invasive neurophysiological recordings in humans and rodents, we demonstrate that these models are able to replicate previous results obtained with other metrics, but also reveal new insights such as the influence of the amplitude of the slow oscillation. Using simulations, we demonstrate that our parametric method can reveal neural couplings with shorter signals than non-parametric methods. We also show how the likelihood can be used to find optimal filtering parameters, suggesting new properties on the spectrum of the driving signal, but also to estimate the optimal delay between the coupled signals, enabling a directionality estimation in the coupling. PMID:29227989

  5. Efficient Blind System Identification of Non-Gaussian Auto-Regressive Models with HMM Modeling of the Excitation

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2007-01-01

    We propose two blind system identification methods that exploit the underlying dynamics of non-Gaussian signals. The two signal models to be identified are: an Auto-Regressive (AR) model driven by a discrete-state Hidden Markov process, and the same model whose output is perturbed by white Gaussi...... outputs. The signal models are general and suitable to numerous important signals, such as speech signals and base-band communication signals. Applications to speech analysis and blind channel equalization are given to exemplify the efficiency of the new methods....

  6. Assessment and prediction of air quality using fuzzy logic and autoregressive models

    Science.gov (United States)

    Carbajal-Hernández, José Juan; Sánchez-Fernández, Luis P.; Carrasco-Ochoa, Jesús A.; Martínez-Trinidad, José Fco.

    2012-12-01

    In recent years, artificial intelligence methods have been used for the treatment of environmental problems. This work, presents two models for assessment and prediction of air quality. First, we develop a new computational model for air quality assessment in order to evaluate toxic compounds that can harm sensitive people in urban areas, affecting their normal activities. In this model we propose to use a Sigma operator to statistically asses air quality parameters using their historical data information and determining their negative impact in air quality based on toxicity limits, frequency average and deviations of toxicological tests. We also introduce a fuzzy inference system to perform parameter classification using a reasoning process and integrating them in an air quality index describing the pollution levels in five stages: excellent, good, regular, bad and danger, respectively. The second model proposed in this work predicts air quality concentrations using an autoregressive model, providing a predicted air quality index based on the fuzzy inference system previously developed. Using data from Mexico City Atmospheric Monitoring System, we perform a comparison among air quality indices developed for environmental agencies and similar models. Our results show that our models are an appropriate tool for assessing site pollution and for providing guidance to improve contingency actions in urban areas.

  7. Dynamics analysis of a boiling water reactor based on multivariable autoregressive modeling

    International Nuclear Information System (INIS)

    Oguma, Ritsuo; Matsubara, Kunihiko

    1980-01-01

    The establishment of the highly reliable mathematical model for the dynamic characteristics of a reactor is indispensable for the achievement of safe operation in reactor plants. The authors have tried to model the dynamic characteristics of a reactor based on the identification technique, taking the JPDR (Japan Power Demonstration Reactor) as the object, as one of the technical studies for diagnosing BWR anomaly, and employed the multivariable autoregressive modeling (MAR method) as one of the useful methods for forwarding the analysis. In this paper, the outline of the system analysis by MAR modeling is explained, and the identification experiments and their analysis results performed in the phase 4 of the power increase test of the JPDR are described. The authors evaluated the results of identification based on only reactor noises, making reference to the results of identification in the case of exciting the system by applying artificial irregular disturbance, in order to clarify the extent in which the modeling is possible by reactor noises only. However, some difficulties were encountered. The largest problem is the one concerning the separation and identification of the noise sources exciting the variables from the dynamic characteristics among the variables. If the effective technique can be obtained to this problem, the approach by the identification technique based on the probability model might be a powerful tool in the field of reactor noise analysis and the development of diagnosis technics. (Wakatsuki, Y.)

  8. Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    2016-01-01

    We show that the adaptive Lasso is oracle efficient in stationary and nonstationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...

  9. Forecasting Construction Tender Price Index in Ghana using Autoregressive Integrated Moving Average with Exogenous Variables Model

    Directory of Open Access Journals (Sweden)

    Ernest Kissi

    2018-03-01

    Full Text Available Prices of construction resources keep on fluctuating due to unstable economic situations that have been experienced over the years. Clients knowledge of their financial commitments toward their intended project remains the basis for their final decision. The use of construction tender price index provides a realistic estimate at the early stage of the project. Tender price index (TPI is influenced by various economic factors, hence there are several statistical techniques that have been employed in forecasting. Some of these include regression, time series, vector error correction among others. However, in recent times the integrated modelling approach is gaining popularity due to its ability to give powerful predictive accuracy. Thus, in line with this assumption, the aim of this study is to apply autoregressive integrated moving average with exogenous variables (ARIMAX in modelling TPI. The results showed that ARIMAX model has a better predictive ability than the use of the single approach. The study further confirms the earlier position of previous research of the need to use the integrated model technique in forecasting TPI. This model will assist practitioners to forecast the future values of tender price index. Although the study focuses on the Ghanaian economy, the findings can be broadly applicable to other developing countries which share similar economic characteristics.

  10. Heterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX.

    Science.gov (United States)

    Chin, Wen Cheong; Lee, Min Cherng; Yap, Grace Lee Ching

    2016-01-01

    High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhancement of jump-robust estimators. The breakpoints in the volatility are captured by dummy variables after the detection by Bai-Perron sequential multi breakpoints procedure. In order to further deal with possible abrupt jump in the volatility, the jump-robust volatility estimators are composed by using the nearest neighbor truncation approach, namely the minimum and median realized volatility. Under the structural break improvements in both the models and volatility estimators, the empirical findings show that the modified HAR model provides the best performing in-sample and out-of-sample forecast evaluations as compared with the standard HAR models. Accurate volatility forecasts have direct influential to the application of risk management and investment portfolio analysis.

  11. Detection of shallow buried objects using an autoregressive model on the ground penetrating radar signal

    Science.gov (United States)

    Nabelek, Daniel P.; Ho, K. C.

    2013-06-01

    The detection of shallow buried low-metal content objects using ground penetrating radar (GPR) is a challenging task. This is because these targets are right underneath the ground and the ground bounce reflection interferes with their detections. They do not create distinctive hyperbolic signatures as required by most existing GPR detection algorithms due to their special geometric shapes and low metal content. This paper proposes the use of the Autoregressive (AR) modeling method for the detection of these targets. We fit an A-scan of the GPR data to an AR model. It is found that the fitting error will be small when such a target is present and large when it is absent. The ratio of the energy in an Ascan before and after AR model fitting is used as the confidence value for detection. We also apply AR model fitting over scans and utilize the fitting residual energies over several scans to form a feature vector for improving the detections. Using the data collected from a government test site, the proposed method can improve the detection of this kind of targets by 30% compared to the pre-screener, at a false alarm rate of 0.002/m2.

  12. Modeling Polio Data Using the First Order Non-Negative Integer-Valued Autoregressive, INAR(1), Model

    Science.gov (United States)

    Vazifedan, Turaj; Shitan, Mahendran

    Time series data may consists of counts, such as the number of road accidents, the number of patients in a certain hospital, the number of customers waiting for service at a certain time and etc. When the value of the observations are large it is usual to use Gaussian Autoregressive Moving Average (ARMA) process to model the time series. However if the observed counts are small, it is not appropriate to use ARMA process to model the observed phenomenon. In such cases we need to model the time series data by using Non-Negative Integer valued Autoregressive (INAR) process. The modeling of counts data is based on the binomial thinning operator. In this paper we illustrate the modeling of counts data using the monthly number of Poliomyelitis data in United States between January 1970 until December 1983. We applied the AR(1), Poisson regression model and INAR(1) model and the suitability of these models were assessed by using the Index of Agreement(I.A.). We found that INAR(1) model is more appropriate in the sense it had a better I.A. and it is natural since the data are counts.

  13. Multivariate Autoregressive Model Based Heart Motion Prediction Approach for Beating Heart Surgery

    Directory of Open Access Journals (Sweden)

    Fan Liang

    2013-02-01

    Full Text Available A robotic tool can enable a surgeon to conduct off-pump coronary artery graft bypass surgery on a beating heart. The robotic tool actively alleviates the relative motion between the point of interest (POI on the heart surface and the surgical tool and allows the surgeon to operate as if the heart were stationary. Since the beating heart's motion is relatively high-band, with nonlinear and nonstationary characteristics, it is difficult to follow. Thus, precise beating heart motion prediction is necessary for the tracking control procedure during the surgery. In the research presented here, we first observe that Electrocardiography (ECG signal contains the causal phase information on heart motion and non-stationary heart rate dynamic variations. Then, we investigate the relationship between ECG signal and beating heart motion using Granger Causality Analysis, which describes the feasibility of the improved prediction of heart motion. Next, we propose a nonlinear time-varying multivariate vector autoregressive (MVAR model based adaptive prediction method. In this model, the significant correlation between ECG and heart motion enables the improvement of the prediction of sharp changes in heart motion and the approximation of the motion with sufficient detail. Dual Kalman Filters (DKF estimate the states and parameters of the model, respectively. Last, we evaluate the proposed algorithm through comparative experiments using the two sets of collected vivo data.

  14. Genetic risk prediction using a spatial autoregressive model with adaptive lasso.

    Science.gov (United States)

    Wen, Yalu; Shen, Xiaoxi; Lu, Qing

    2018-05-31

    With rapidly evolving high-throughput technologies, studies are being initiated to accelerate the process toward precision medicine. The collection of the vast amounts of sequencing data provides us with great opportunities to systematically study the role of a deep catalog of sequencing variants in risk prediction. Nevertheless, the massive amount of noise signals and low frequencies of rare variants in sequencing data pose great analytical challenges on risk prediction modeling. Motivated by the development in spatial statistics, we propose a spatial autoregressive model with adaptive lasso (SARAL) for risk prediction modeling using high-dimensional sequencing data. The SARAL is a set-based approach, and thus, it reduces the data dimension and accumulates genetic effects within a single-nucleotide variant (SNV) set. Moreover, it allows different SNV sets having various magnitudes and directions of effect sizes, which reflects the nature of complex diseases. With the adaptive lasso implemented, SARAL can shrink the effects of noise SNV sets to be zero and, thus, further improve prediction accuracy. Through simulation studies, we demonstrate that, overall, SARAL is comparable to, if not better than, the genomic best linear unbiased prediction method. The method is further illustrated by an application to the sequencing data from the Alzheimer's Disease Neuroimaging Initiative. Copyright © 2018 John Wiley & Sons, Ltd.

  15. A Ramp Cosine Cepstrum Model for the Parameter Estimation of Autoregressive Systems at Low SNR

    Directory of Open Access Journals (Sweden)

    Zhu Wei-Ping

    2010-01-01

    Full Text Available A new cosine cepstrum model-based scheme is presented for the parameter estimation of a minimum-phase autoregressive (AR system under low levels of signal-to-noise ratio (SNR. A ramp cosine cepstrum (RCC model for the one-sided autocorrelation function (OSACF of an AR signal is first proposed by considering both white noise and periodic impulse-train excitations. Using the RCC model, a residue-based least-squares optimization technique that guarantees the stability of the system is then presented in order to estimate the AR parameters from noisy output observations. For the purpose of implementation, the discrete cosine transform, which can efficiently handle the phase unwrapping problem and offer computational advantages as compared to the discrete Fourier transform, is employed. From extensive experimentations on AR systems of different orders, it is shown that the proposed method is capable of estimating parameters accurately and consistently in comparison to some of the existing methods for the SNR levels as low as −5 dB. As a practical application of the proposed technique, simulation results are also provided for the identification of a human vocal tract system using noise-corrupted natural speech signals demonstrating a superior estimation performance in terms of the power spectral density of the synthesized speech signals.

  16. Microenvironment temperature prediction between body and seat interface using autoregressive data-driven model.

    Science.gov (United States)

    Liu, Zhuofu; Wang, Lin; Luo, Zhongming; Heusch, Andrew I; Cascioli, Vincenzo; McCarthy, Peter W

    2015-11-01

    There is a need to develop a greater understanding of temperature at the skin-seat interface during prolonged seating from the perspectives of both industrial design (comfort/discomfort) and medical care (skin ulcer formation). Here we test the concept of predicting temperature at the seat surface and skin interface during prolonged sitting (such as required from wheelchair users). As caregivers are usually busy, such a method would give them warning ahead of a problem. This paper describes a data-driven model capable of predicting thermal changes and thus having the potential to provide an early warning (15- to 25-min ahead prediction) of an impending temperature that may increase the risk for potential skin damages for those subject to enforced sitting and who have little or no sensory feedback from this area. Initially, the oscillations of the original signal are suppressed using the reconstruction strategy of empirical mode decomposition (EMD). Consequentially, the autoregressive data-driven model can be used to predict future thermal trends based on a shorter period of acquisition, which reduces the possibility of introducing human errors and artefacts associated with longer duration "enforced" sitting by volunteers. In this study, the method had a maximum predictive error of body insensitivity and disability requiring them to be immobile in seats for prolonged periods. Copyright © 2015 Tissue Viability Society. Published by Elsevier Ltd. All rights reserved.

  17. Inflation, Exchange Rates and Interest Rates in Ghana: an Autoregressive Distributed Lag Model

    Directory of Open Access Journals (Sweden)

    Dennis Nchor

    2015-01-01

    Full Text Available This paper investigates the impact of exchange rate movement and the nominal interest rate on inflation in Ghana. It also looks at the presence of the Fisher Effect and the International Fisher Effect scenarios. It makes use of an autoregressive distributed lag model and an unrestricted error correction model. Ordinary Least Squares regression methods were also employed to determine the presence of the Fischer Effect and the International Fisher Effect. The results from the study show that in the short run a percentage point increase in the level of depreciation of the Ghana cedi leads to an increase in the rate of inflation by 0.20%. A percentage point increase in the level of nominal interest rates however results in a decrease in inflation by 0.98%. Inflation increases by 1.33% for every percentage point increase in the nominal interest rate in the long run. An increase in inflation on the other hand increases the nominal interest rate by 0.51% which demonstrates the partial Fisher effect. A 1% increase in the interest rate differential leads to a depreciation of the Ghana cedi by approximately 1% which indicates the full International Fisher effect.

  18. An Autoregressive and Distributed Lag Model Approach to Inflation in Nigeria

    Directory of Open Access Journals (Sweden)

    Chimere Okechukwu Iheonu

    2017-03-01

    Full Text Available This study scrutinized the precursors of Inflation in Nigeria between the periods 1980 to 2014. The Augmented Dickey-Fuller test was engaged to test for stationarity of the variables while the Autoregressive and Distributed lag (ARDL Model was applied to capture the affiliation between inflation and selected macroeconomic variables. Our findings revealed that there exists a long run relationship between Inflation, money supply, interest rate, GDP per capita and exchange rate in Nigeria while in the short run, money supply has a significant positive one period lag effect on Inflation and Interest Rate also has a significant negative one period lag influence on Inflation in Nigeria. Recommendations are that in the short run, monetary policies should be geared towards the control of money supply and interest rate in Nigeria in other to regulate Inflation and also, the Nigerian economy can afford to vary any of human capital development or technological advancement to boost productivity without causing inflation as GDP per capita proved insignificant in the short run.

  19. Investigating Spatial Interdependence in E-Bike Choice Using Spatially Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Chengcheng Xu

    2017-08-01

    Full Text Available Increased attention has been given to promoting e-bike usage in recent years. However, the research gap still exists in understanding the effects of spatial interdependence on e-bike choice. This study investigated how spatial interdependence affected the e-bike choice. The Moran’s I statistic test showed that spatial interdependence exists in e-bike choice at aggregated level. Bayesian spatial autoregressive logistic analyses were then used to investigate the spatial interdependence at individual level. Separate models were developed for commuting and non-commuting trips. The factors affecting e-bike choice are different between commuting and non-commuting trips. Spatial interdependence exists at both origin and destination sides of commuting and non-commuting trips. Travellers are more likely to choose e-bikes if their neighbours at the trip origin and destination also travel by e-bikes. And the magnitude of this spatial interdependence is different across various traffic analysis zones. The results suggest that, without considering spatial interdependence, the traditional methods may have biased estimation results and make systematic forecasting errors.

  20. Autoregressive Modeling of Drift and Random Error to Characterize a Continuous Intravascular Glucose Monitoring Sensor.

    Science.gov (United States)

    Zhou, Tony; Dickson, Jennifer L; Geoffrey Chase, J

    2018-01-01

    Continuous glucose monitoring (CGM) devices have been effective in managing diabetes and offer potential benefits for use in the intensive care unit (ICU). Use of CGM devices in the ICU has been limited, primarily due to the higher point accuracy errors over currently used traditional intermittent blood glucose (BG) measures. General models of CGM errors, including drift and random errors, are lacking, but would enable better design of protocols to utilize these devices. This article presents an autoregressive (AR) based modeling method that separately characterizes the drift and random noise of the GlySure CGM sensor (GlySure Limited, Oxfordshire, UK). Clinical sensor data (n = 33) and reference measurements were used to generate 2 AR models to describe sensor drift and noise. These models were used to generate 100 Monte Carlo simulations based on reference blood glucose measurements. These were then compared to the original CGM clinical data using mean absolute relative difference (MARD) and a Trend Compass. The point accuracy MARD was very similar between simulated and clinical data (9.6% vs 9.9%). A Trend Compass was used to assess trend accuracy, and found simulated and clinical sensor profiles were similar (simulated trend index 11.4° vs clinical trend index 10.9°). The model and method accurately represents cohort sensor behavior over patients, providing a general modeling approach to any such sensor by separately characterizing each type of error that can arise in the data. Overall, it enables better protocol design based on accurate expected CGM sensor behavior, as well as enabling the analysis of what level of each type of sensor error would be necessary to obtain desired glycemic control safety and performance with a given protocol.

  1. A Novel Modeling Method for Aircraft Engine Using Nonlinear Autoregressive Exogenous (NARX) Models Based on Wavelet Neural Networks

    Science.gov (United States)

    Yu, Bing; Shu, Wenjun; Cao, Can

    2018-05-01

    A novel modeling method for aircraft engine using nonlinear autoregressive exogenous (NARX) models based on wavelet neural networks is proposed. The identification principle and process based on wavelet neural networks are studied, and the modeling scheme based on NARX is proposed. Then, the time series data sets from three types of aircraft engines are utilized to build the corresponding NARX models, and these NARX models are validated by the simulation. The results show that all the best NARX models can capture the original aircraft engine's dynamic characteristic well with the high accuracy. For every type of engine, the relative identification errors of its best NARX model and the component level model are no more than 3.5 % and most of them are within 1 %.

  2. Pemodelan Markov Switching Autoregressive

    OpenAIRE

    Ariyani, Fiqria Devi; Warsito, Budi; Yasin, Hasbi

    2014-01-01

    Transition from depreciation to appreciation of exchange rate is one of regime switching that ignored by classic time series model, such as ARIMA, ARCH, or GARCH. Therefore, economic variables are modeled by Markov Switching Autoregressive (MSAR) which consider the regime switching. MLE is not applicable to parameters estimation because regime is an unobservable variable. So that filtering and smoothing process are applied to see the regime probabilities of observation. Using this model, tran...

  3. Prediction of high airway pressure using a non-linear autoregressive model of pulmonary mechanics.

    Science.gov (United States)

    Langdon, Ruby; Docherty, Paul D; Schranz, Christoph; Chase, J Geoffrey

    2017-11-02

    For mechanically ventilated patients with acute respiratory distress syndrome (ARDS), suboptimal PEEP levels can cause ventilator induced lung injury (VILI). In particular, high PEEP and high peak inspiratory pressures (PIP) can cause over distension of alveoli that is associated with VILI. However, PEEP must also be sufficient to maintain recruitment in ARDS lungs. A lung model that accurately and precisely predicts the outcome of an increase in PEEP may allow dangerous high PIP to be avoided, and reduce the incidence of VILI. Sixteen pressure-flow data sets were collected from nine mechanically ventilated ARDs patients that underwent one or more recruitment manoeuvres. A nonlinear autoregressive (NARX) model was identified on one or more adjacent PEEP steps, and extrapolated to predict PIP at 2, 4, and 6 cmH 2 O PEEP horizons. The analysis considered whether the predicted and measured PIP exceeded a threshold of 40 cmH 2 O. A direct comparison of the method was made using the first order model of pulmonary mechanics (FOM(I)). Additionally, a further, more clinically appropriate method for the FOM was tested, in which the FOM was trained on a single PEEP prior to prediction (FOM(II)). The NARX model exhibited very high sensitivity (> 0.96) in all cases, and a high specificity (> 0.88). While both FOM methods had a high specificity (> 0.96), the sensitivity was much lower, with a mean of 0.68 for FOM(I), and 0.82 for FOM(II). Clinically, false negatives are more harmful than false positives, as a high PIP may result in distension and VILI. Thus, the NARX model may be more effective than the FOM in allowing clinicians to reduce the risk of applying a PEEP that results in dangerously high airway pressures.

  4. Detecting P and S-wave of Mt. Rinjani seismic based on a locally stationary autoregressive (LSAR) model

    Science.gov (United States)

    Nurhaida, Subanar, Abdurakhman, Abadi, Agus Maman

    2017-08-01

    Seismic data is usually modelled using autoregressive processes. The aim of this paper is to find the arrival times of the seismic waves of Mt. Rinjani in Indonesia. Kitagawa algorithm's is used to detect the seismic P and S-wave. Householder transformation used in the algorithm made it effectively finding the number of change points and parameters of the autoregressive models. The results show that the use of Box-Cox transformation on the variable selection level makes the algorithm works well in detecting the change points. Furthermore, when the basic span of the subinterval is set 200 seconds and the maximum AR order is 20, there are 8 change points which occur at 1601, 2001, 7401, 7601,7801, 8001, 8201 and 9601. Finally, The P and S-wave arrival times are detected at time 1671 and 2045 respectively using a precise detection algorithm.

  5. Generalizing smooth transition autoregressions

    DEFF Research Database (Denmark)

    Chini, Emilio Zanetti

    We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with part......We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail......, with particular emphasis on two different LM-type tests for the null of symmetric adjustment towards a new regime and three diagnostic tests, whose power properties are explored via Monte Carlo experiments. Four classical real datasets illustrate the empirical properties of the GSTAR, jointly to a rolling...

  6. The Measurement of the Relationship between Taiwan’s Bond Funds’ Net Flow and the Investment Risk -Threshold Autoregressive Model

    OpenAIRE

    Wo-Chiang Lee; Joe-Ming Lee

    2014-01-01

    This article applies the threshold autoregressive model to investigate the relationship between bond funds’ net flow and investment risk in Taiwan. Our empirical findings show that bond funds’ investors are concerned about the investment return and neglect the investment risk. In particular, when expanding the size of the bond funds, fund investors believe that the fund cannot lose any money on investment products. In order to satisfy investors, bond fund managers only target short-term retur...

  7. Adaptive interpolation of discrete-time signals that can be modeled as autoregressive processes

    NARCIS (Netherlands)

    Janssen, A.J.E.M.; Veldhuis, R.N.J.; Vries, L.B.

    1986-01-01

    The authors present an adaptive algorithm for the restoration of lost sample values in discrete-time signals that can locally be described by means of autoregressive processes. The only restrictions are that the positions of the unknown samples should be known and that they should be embedded in a

  8. Adaptive interpolation of discrete-time signals that can be modeled as autoregressive processes

    NARCIS (Netherlands)

    Janssen, A.J.E.M.; Veldhuis, Raymond N.J.; Vries, Lodewijk B.

    1986-01-01

    This paper presents an adaptive algorithm for the restoration of lost sample values in discrete-time signals that can locally be described by means of autoregressive processes. The only restrictions are that the positions of the unknown samples should be known and that they should be embedded in a

  9. Real time damage detection using recursive principal components and time varying auto-regressive modeling

    Science.gov (United States)

    Krishnan, M.; Bhowmik, B.; Hazra, B.; Pakrashi, V.

    2018-02-01

    In this paper, a novel baseline free approach for continuous online damage detection of multi degree of freedom vibrating structures using Recursive Principal Component Analysis (RPCA) in conjunction with Time Varying Auto-Regressive Modeling (TVAR) is proposed. In this method, the acceleration data is used to obtain recursive proper orthogonal components online using rank-one perturbation method, followed by TVAR modeling of the first transformed response, to detect the change in the dynamic behavior of the vibrating system from its pristine state to contiguous linear/non-linear-states that indicate damage. Most of the works available in the literature deal with algorithms that require windowing of the gathered data owing to their data-driven nature which renders them ineffective for online implementation. Algorithms focussed on mathematically consistent recursive techniques in a rigorous theoretical framework of structural damage detection is missing, which motivates the development of the present framework that is amenable for online implementation which could be utilized along with suite experimental and numerical investigations. The RPCA algorithm iterates the eigenvector and eigenvalue estimates for sample covariance matrices and new data point at each successive time instants, using the rank-one perturbation method. TVAR modeling on the principal component explaining maximum variance is utilized and the damage is identified by tracking the TVAR coefficients. This eliminates the need for offline post processing and facilitates online damage detection especially when applied to streaming data without requiring any baseline data. Numerical simulations performed on a 5-dof nonlinear system under white noise excitation and El Centro (also known as 1940 Imperial Valley earthquake) excitation, for different damage scenarios, demonstrate the robustness of the proposed algorithm. The method is further validated on results obtained from case studies involving

  10. The Shifting Seasonal Mean Autoregressive Model and Seasonality in the Central England Monthly Temperature Series, 1772-2016

    DEFF Research Database (Denmark)

    He, Changli; Kang, Jian; Terasvirta, Timo

    In this paper we introduce an autoregressive model with seasonal dummy variables in which coefficients of seasonal dummies vary smoothly and deterministically over time. The error variance of the model is seasonally heteroskedastic and multiplicatively decomposed, the decomposition being similar ...... temperature series. More specifically, the idea is to find out in which way and by how much the monthly temperatures are varying over time during the period of more than 240 years, if they do. Misspecification tests are applied to the estimated model and the findings discussed....

  11. Exploring the Mechanisms of Ecological Land Change Based on the Spatial Autoregressive Model: A Case Study of the Poyang Lake Eco-Economic Zone, China

    Directory of Open Access Journals (Sweden)

    Hualin Xie

    2013-12-01

    Full Text Available Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p < 0.05. The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  12. Exploring the Mechanisms of Ecological Land Change Based on the Spatial Autoregressive Model: A Case Study of the Poyang Lake Eco-Economic Zone, China

    Science.gov (United States)

    Xie, Hualin; Liu, Zhifei; Wang, Peng; Liu, Guiying; Lu, Fucai

    2013-01-01

    Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model. PMID:24384778

  13. Exploring the mechanisms of ecological land change based on the spatial autoregressive model: a case study of the Poyang Lake Eco-Economic Zone, China.

    Science.gov (United States)

    Xie, Hualin; Liu, Zhifei; Wang, Peng; Liu, Guiying; Lu, Fucai

    2013-12-31

    Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran's I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  14. The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models

    Directory of Open Access Journals (Sweden)

    Mei-Yu LEE

    2014-11-01

    Full Text Available This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of the Durbin-Watson test estimator are slightly different, but the skewed and kurtosis coefficients are considerably different among three models. The shapes of four coefficients are similar between the Durbin-Watson model and our benchmark model, but are not the same with the autoregressive model cut by one-lagged period. Second, the large sample case shows that the three models have the same expected values, however, the autoregressive model cut by one-lagged period explores different shapes of variance, skewed and kurtosis coefficients from the other two models. This implies that the large samples lead to the same expected values, 2(1 – ρ0, whatever the variance-covariance matrix of the errors is assumed. Finally, comparing with the two sample cases, the shape of each coefficient is almost the same, moreover, the autocorrelation coefficients are negatively related with expected values, are inverted-U related with variances, are cubic related with skewed coefficients, and are U related with kurtosis coefficients.

  15. iVAR: a program for imputing missing data in multivariate time series using vector autoregressive models.

    Science.gov (United States)

    Liu, Siwei; Molenaar, Peter C M

    2014-12-01

    This article introduces iVAR, an R program for imputing missing data in multivariate time series on the basis of vector autoregressive (VAR) models. We conducted a simulation study to compare iVAR with three methods for handling missing data: listwise deletion, imputation with sample means and variances, and multiple imputation ignoring time dependency. The results showed that iVAR produces better estimates for the cross-lagged coefficients than do the other three methods. We demonstrate the use of iVAR with an empirical example of time series electrodermal activity data and discuss the advantages and limitations of the program.

  16. Business cycles and fertility dynamics in the United States: a vector autoregressive model.

    Science.gov (United States)

    Mocan, N H

    1990-01-01

    "Using vector-autoregressions...this paper shows that fertility moves countercyclically over the business cycle....[It] shows that the United States fertility is not governed by a deterministic trend as was assumed by previous studies. Rather, fertility evolves around a stochastic trend. It is shown that a bivariate analysis between fertility and unemployment yields a procyclical picture of fertility. However, when one considers the effects on fertility of early marriages and the divorce behavior as well as economic activity, fertility moves countercyclically." excerpt

  17. MOTION ARTIFACT REDUCTION IN FUNCTIONAL NEAR INFRARED SPECTROSCOPY SIGNALS BY AUTOREGRESSIVE MOVING AVERAGE MODELING BASED KALMAN FILTERING

    Directory of Open Access Journals (Sweden)

    MEHDI AMIAN

    2013-10-01

    Full Text Available Functional near infrared spectroscopy (fNIRS is a technique that is used for noninvasive measurement of the oxyhemoglobin (HbO2 and deoxyhemoglobin (HHb concentrations in the brain tissue. Since the ratio of the concentration of these two agents is correlated with the neuronal activity, fNIRS can be used for the monitoring and quantifying the cortical activity. The portability of fNIRS makes it a good candidate for studies involving subject's movement. The fNIRS measurements, however, are sensitive to artifacts generated by subject's head motion. This makes fNIRS signals less effective in such applications. In this paper, the autoregressive moving average (ARMA modeling of the fNIRS signal is proposed for state-space representation of the signal which is then fed to the Kalman filter for estimating the motionless signal from motion corrupted signal. Results are compared to the autoregressive model (AR based approach, which has been done previously, and show that the ARMA models outperform AR models. We attribute it to the richer structure, containing more terms indeed, of ARMA than AR. We show that the signal to noise ratio (SNR is about 2 dB higher for ARMA based method.

  18. Nonlinear Autoregressive

    African Journals Online (AJOL)

    2017-09-10

    Sep 10, 2017 ... The NAR identification process is done in two steps namely model structure selection and parameter .... with MATLAB 2014a as the development platform. ..... on Modeling, Simulation and Applied Optimization, 2011, pp. 1-5.

  19. Optimal transformations for categorical autoregressive time series

    NARCIS (Netherlands)

    Buuren, S. van

    1996-01-01

    This paper describes a method for finding optimal transformations for analyzing time series by autoregressive models. 'Optimal' implies that the agreement between the autoregressive model and the transformed data is maximal. Such transformations help 1) to increase the model fit, and 2) to analyze

  20. [Correlation coefficient-based classification method of hydrological dependence variability: With auto-regression model as example].

    Science.gov (United States)

    Zhao, Yu Xi; Xie, Ping; Sang, Yan Fang; Wu, Zi Yi

    2018-04-01

    Hydrological process evaluation is temporal dependent. Hydrological time series including dependence components do not meet the data consistency assumption for hydrological computation. Both of those factors cause great difficulty for water researches. Given the existence of hydrological dependence variability, we proposed a correlationcoefficient-based method for significance evaluation of hydrological dependence based on auto-regression model. By calculating the correlation coefficient between the original series and its dependence component and selecting reasonable thresholds of correlation coefficient, this method divided significance degree of dependence into no variability, weak variability, mid variability, strong variability, and drastic variability. By deducing the relationship between correlation coefficient and auto-correlation coefficient in each order of series, we found that the correlation coefficient was mainly determined by the magnitude of auto-correlation coefficient from the 1 order to p order, which clarified the theoretical basis of this method. With the first-order and second-order auto-regression models as examples, the reasonability of the deduced formula was verified through Monte-Carlo experiments to classify the relationship between correlation coefficient and auto-correlation coefficient. This method was used to analyze three observed hydrological time series. The results indicated the coexistence of stochastic and dependence characteristics in hydrological process.

  1. A new approach to modeling temperature-related mortality: Non-linear autoregressive models with exogenous input.

    Science.gov (United States)

    Lee, Cameron C; Sheridan, Scott C

    2018-07-01

    Temperature-mortality relationships are nonlinear, time-lagged, and can vary depending on the time of year and geographic location, all of which limits the applicability of simple regression models in describing these associations. This research demonstrates the utility of an alternative method for modeling such complex relationships that has gained recent traction in other environmental fields: nonlinear autoregressive models with exogenous input (NARX models). All-cause mortality data and multiple temperature-based data sets were gathered from 41 different US cities, for the period 1975-2010, and subjected to ensemble NARX modeling. Models generally performed better in larger cities and during the winter season. Across the US, median absolute percentage errors were 10% (ranging from 4% to 15% in various cities), the average improvement in the r-squared over that of a simple persistence model was 17% (6-24%), and the hit rate for modeling spike days in mortality (>80th percentile) was 54% (34-71%). Mortality responded acutely to hot summer days, peaking at 0-2 days of lag before dropping precipitously, and there was an extended mortality response to cold winter days, peaking at 2-4 days of lag and dropping slowly and continuing for multiple weeks. Spring and autumn showed both of the aforementioned temperature-mortality relationships, but generally to a lesser magnitude than what was seen in summer or winter. When compared to distributed lag nonlinear models, NARX model output was nearly identical. These results highlight the applicability of NARX models for use in modeling complex and time-dependent relationships for various applications in epidemiology and environmental sciences. Copyright © 2018 Elsevier Inc. All rights reserved.

  2. Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2008-01-01

    Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed....... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...

  3. Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its stru....... Further fundamental extensions and advances to more sophisticated theory models, such as those related to dynamics and expectations (in the structural relations) are left for future papers......This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its......, it is demonstrated how other controversial hypotheses such as Rational Expectations can be formulated directly as restrictions on the CVAR-parameters. A simple example of a "Neoclassical synthetic" AS-AD model is also formulated. Finally, the partial- general equilibrium distinction is related to the CVAR as well...

  4. Dual-component model of respiratory motion based on the periodic autoregressive moving average (periodic ARMA) method

    International Nuclear Information System (INIS)

    McCall, K C; Jeraj, R

    2007-01-01

    A new approach to the problem of modelling and predicting respiration motion has been implemented. This is a dual-component model, which describes the respiration motion as a non-periodic time series superimposed onto a periodic waveform. A periodic autoregressive moving average algorithm has been used to define a mathematical model of the periodic and non-periodic components of the respiration motion. The periodic components of the motion were found by projecting multiple inhale-exhale cycles onto a common subspace. The component of the respiration signal that is left after removing this periodicity is a partially autocorrelated time series and was modelled as an autoregressive moving average (ARMA) process. The accuracy of the periodic ARMA model with respect to fluctuation in amplitude and variation in length of cycles has been assessed. A respiration phantom was developed to simulate the inter-cycle variations seen in free-breathing and coached respiration patterns. At ±14% variability in cycle length and maximum amplitude of motion, the prediction errors were 4.8% of the total motion extent for a 0.5 s ahead prediction, and 9.4% at 1.0 s lag. The prediction errors increased to 11.6% at 0.5 s and 21.6% at 1.0 s when the respiration pattern had ±34% variations in both these parameters. Our results have shown that the accuracy of the periodic ARMA model is more strongly dependent on the variations in cycle length than the amplitude of the respiration cycles

  5. Valuing structure, model uncertainty and model averaging in vector autoregressive processes

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2004-01-01

    textabstractEconomic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on

  6. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and Auto......Wind power production data at temporal resolutions of a few minutes exhibits successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour......Regressive (AR) models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  7. Behavioural Pattern of Causality Parameter of Autoregressive ...

    African Journals Online (AJOL)

    In this paper, a causal form of Autoregressive Moving Average process, ARMA (p, q) of various orders and behaviour of the causality parameter of ARMA model is investigated. It is deduced that the behaviour of causality parameter ψi depends on positive and negative values of autoregressive parameter φ and moving ...

  8. Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors

    NARCIS (Netherlands)

    Hecq, Alain; Issler, J.V.; Telg, Sean

    2017-01-01

    The mixed autoregressive causal-noncausal model (MAR) has been proposed to estimate economic relationships involving explosive roots in their autoregressive part, as they have stationary forward solutions. In previous work, possible exogenous variables in economic relationships are substituted into

  9. A Method for the Monthly Electricity Demand Forecasting in Colombia based on Wavelet Analysis and a Nonlinear Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Cristhian Moreno-Chaparro

    2011-12-01

    Full Text Available This paper proposes a monthly electricity forecast method for the National Interconnected System (SIN of Colombia. The method preprocesses the time series using a Multiresolution Analysis (MRA with Discrete Wavelet Transform (DWT; a study for the selection of the mother wavelet and her order, as well as the level decomposition was carried out. Given that original series follows a non-linear behaviour, a neural nonlinear autoregressive (NAR model was used. The prediction was obtained by adding the forecast trend with the estimated obtained by the residual series combined with further components extracted from preprocessing. A bibliographic review of studies conducted internationally and in Colombia is included, in addition to references to investigations made with wavelet transform applied to electric energy prediction and studies reporting the use of NAR in prediction.

  10. Spatial and temporal changes in the structure of groundwater nitrate concentration time series (1935 1999) as demonstrated by autoregressive modelling

    Science.gov (United States)

    Jones, A. L.; Smart, P. L.

    2005-08-01

    Autoregressive modelling is used to investigate the internal structure of long-term (1935-1999) records of nitrate concentration for five karst springs in the Mendip Hills. There is a significant short term (1-2 months) positive autocorrelation at three of the five springs due to the availability of sufficient nitrate within the soil store to maintain concentrations in winter recharge for several months. The absence of short term (1-2 months) positive autocorrelation in the other two springs is due to the marked contrast in land use between the limestone and swallet parts of the catchment, rapid concentrated recharge from the latter causing short term switching in the dominant water source at the spring and thus fluctuating nitrate concentrations. Significant negative autocorrelation is evident at lags varying from 4 to 7 months through to 14-22 months for individual springs, with positive autocorrelation at 19-20 months at one site. This variable timing is explained by moderation of the exhaustion effect in the soil by groundwater storage, which gives longer residence times in large catchments and those with a dominance of diffuse flow. The lags derived from autoregressive modelling may therefore provide an indication of average groundwater residence times. Significant differences in the structure of the autocorrelation function for successive 10-year periods are evident at Cheddar Spring, and are explained by the effect the ploughing up of grasslands during the Second World War and increased fertiliser usage on available nitrogen in the soil store. This effect is moderated by the influence of summer temperatures on rates of mineralization, and of both summer and winter rainfall on the timing and magnitude of nitrate leaching. The pattern of nitrate leaching also appears to have been perturbed by the 1976 drought.

  11. Short-term electricity prices forecasting based on support vector regression and Auto-regressive integrated moving average modeling

    International Nuclear Information System (INIS)

    Che Jinxing; Wang Jianzhou

    2010-01-01

    In this paper, we present the use of different mathematical models to forecast electricity price under deregulated power. A successful prediction tool of electricity price can help both power producers and consumers plan their bidding strategies. Inspired by that the support vector regression (SVR) model, with the ε-insensitive loss function, admits of the residual within the boundary values of ε-tube, we propose a hybrid model that combines both SVR and Auto-regressive integrated moving average (ARIMA) models to take advantage of the unique strength of SVR and ARIMA models in nonlinear and linear modeling, which is called SVRARIMA. A nonlinear analysis of the time-series indicates the convenience of nonlinear modeling, the SVR is applied to capture the nonlinear patterns. ARIMA models have been successfully applied in solving the residuals regression estimation problems. The experimental results demonstrate that the model proposed outperforms the existing neural-network approaches, the traditional ARIMA models and other hybrid models based on the root mean square error and mean absolute percentage error.

  12. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    International Nuclear Information System (INIS)

    Geraldo, Issa Cherif; Bose, Tanmoy; Pekpe, Komi Midzodzi; Cassar, Jean-Philippe; Mohanty, A.R.; Paumel, Kévin

    2014-01-01

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected

  13. An iteratively reweighted least-squares approach to adaptive robust adjustment of parameters in linear regression models with autoregressive and t-distributed deviations

    Science.gov (United States)

    Kargoll, Boris; Omidalizarandi, Mohammad; Loth, Ina; Paffenholz, Jens-André; Alkhatib, Hamza

    2018-03-01

    In this paper, we investigate a linear regression time series model of possibly outlier-afflicted observations and autocorrelated random deviations. This colored noise is represented by a covariance-stationary autoregressive (AR) process, in which the independent error components follow a scaled (Student's) t-distribution. This error model allows for the stochastic modeling of multiple outliers and for an adaptive robust maximum likelihood (ML) estimation of the unknown regression and AR coefficients, the scale parameter, and the degree of freedom of the t-distribution. This approach is meant to be an extension of known estimators, which tend to focus only on the regression model, or on the AR error model, or on normally distributed errors. For the purpose of ML estimation, we derive an expectation conditional maximization either algorithm, which leads to an easy-to-implement version of iteratively reweighted least squares. The estimation performance of the algorithm is evaluated via Monte Carlo simulations for a Fourier as well as a spline model in connection with AR colored noise models of different orders and with three different sampling distributions generating the white noise components. We apply the algorithm to a vibration dataset recorded by a high-accuracy, single-axis accelerometer, focusing on the evaluation of the estimated AR colored noise model.

  14. The Employment of spatial autoregressive models in predicting demand for natural gas

    International Nuclear Information System (INIS)

    Castro, Jorge Henrique de; Silva, Alexandre Pinto Alves da

    2010-01-01

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  15. Long-Term Prediction of Emergency Department Revenue and Visitor Volume Using Autoregressive Integrated Moving Average Model

    Directory of Open Access Journals (Sweden)

    Chieh-Fan Chen

    2011-01-01

    Full Text Available This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  16. Autoregressive-moving-average hidden Markov model for vision-based fall prediction-An application for walker robot.

    Science.gov (United States)

    Taghvaei, Sajjad; Jahanandish, Mohammad Hasan; Kosuge, Kazuhiro

    2017-01-01

    Population aging of the societies requires providing the elderly with safe and dependable assistive technologies in daily life activities. Improving the fall detection algorithms can play a major role in achieving this goal. This article proposes a real-time fall prediction algorithm based on the acquired visual data of a user with walking assistive system from a depth sensor. In the lack of a coupled dynamic model of the human and the assistive walker a hybrid "system identification-machine learning" approach is used. An autoregressive-moving-average (ARMA) model is fitted on the time-series walking data to forecast the upcoming states, and a hidden Markov model (HMM) based classifier is built on the top of the ARMA model to predict falling in the upcoming time frames. The performance of the algorithm is evaluated through experiments with four subjects including an experienced physiotherapist while using a walker robot in five different falling scenarios; namely, fall forward, fall down, fall back, fall left, and fall right. The algorithm successfully predicts the fall with a rate of 84.72%.

  17. A heteroskedastic error covariance matrix estimator using a first-order conditional autoregressive Markov simulation for deriving asympotical efficient estimates from ecological sampled Anopheles arabiensis aquatic habitat covariates

    Directory of Open Access Journals (Sweden)

    Githure John I

    2009-09-01

    Full Text Available Abstract Background Autoregressive regression coefficients for Anopheles arabiensis aquatic habitat models are usually assessed using global error techniques and are reported as error covariance matrices. A global statistic, however, will summarize error estimates from multiple habitat locations. This makes it difficult to identify where there are clusters of An. arabiensis aquatic habitats of acceptable prediction. It is therefore useful to conduct some form of spatial error analysis to detect clusters of An. arabiensis aquatic habitats based on uncertainty residuals from individual sampled habitats. In this research, a method of error estimation for spatial simulation models was demonstrated using autocorrelation indices and eigenfunction spatial filters to distinguish among the effects of parameter uncertainty on a stochastic simulation of ecological sampled Anopheles aquatic habitat covariates. A test for diagnostic checking error residuals in an An. arabiensis aquatic habitat model may enable intervention efforts targeting productive habitats clusters, based on larval/pupal productivity, by using the asymptotic distribution of parameter estimates from a residual autocovariance matrix. The models considered in this research extends a normal regression analysis previously considered in the literature. Methods Field and remote-sampled data were collected during July 2006 to December 2007 in Karima rice-village complex in Mwea, Kenya. SAS 9.1.4® was used to explore univariate statistics, correlations, distributions, and to generate global autocorrelation statistics from the ecological sampled datasets. A local autocorrelation index was also generated using spatial covariance parameters (i.e., Moran's Indices in a SAS/GIS® database. The Moran's statistic was decomposed into orthogonal and uncorrelated synthetic map pattern components using a Poisson model with a gamma-distributed mean (i.e. negative binomial regression. The eigenfunction

  18. Economic growth and CO2 emissions: an investigation with smooth transition autoregressive distributed lag models for the 1800-2014 period in the USA.

    Science.gov (United States)

    Bildirici, Melike; Ersin, Özgür Ömer

    2018-01-01

    The study aims to combine the autoregressive distributed lag (ARDL) cointegration framework with smooth transition autoregressive (STAR)-type nonlinear econometric models for causal inference. Further, the proposed STAR distributed lag (STARDL) models offer new insights in terms of modeling nonlinearity in the long- and short-run relations between analyzed variables. The STARDL method allows modeling and testing nonlinearity in the short-run and long-run parameters or both in the short- and long-run relations. To this aim, the relation between CO 2 emissions and economic growth rates in the USA is investigated for the 1800-2014 period, which is one of the largest data sets available. The proposed hybrid models are the logistic, exponential, and second-order logistic smooth transition autoregressive distributed lag (LSTARDL, ESTARDL, and LSTAR2DL) models combine the STAR framework with nonlinear ARDL-type cointegration to augment the linear ARDL approach with smooth transitional nonlinearity. The proposed models provide a new approach to the relevant econometrics and environmental economics literature. Our results indicated the presence of asymmetric long-run and short-run relations between the analyzed variables that are from the GDP towards CO 2 emissions. By the use of newly proposed STARDL models, the results are in favor of important differences in terms of the response of CO 2 emissions in regimes 1 and 2 for the estimated LSTAR2DL and LSTARDL models.

  19. Dynamic RSA: Examining parasympathetic regulatory dynamics via vector-autoregressive modeling of time-varying RSA and heart period.

    Science.gov (United States)

    Fisher, Aaron J; Reeves, Jonathan W; Chi, Cyrus

    2016-07-01

    Expanding on recently published methods, the current study presents an approach to estimating the dynamic, regulatory effect of the parasympathetic nervous system on heart period on a moment-to-moment basis. We estimated second-to-second variation in respiratory sinus arrhythmia (RSA) in order to estimate the contemporaneous and time-lagged relationships among RSA, interbeat interval (IBI), and respiration rate via vector autoregression. Moreover, we modeled these relationships at lags of 1 s to 10 s, in order to evaluate the optimal latency for estimating dynamic RSA effects. The IBI (t) on RSA (t-n) regression parameter was extracted from individual models as an operationalization of the regulatory effect of RSA on IBI-referred to as dynamic RSA (dRSA). Dynamic RSA positively correlated with standard averages of heart rate and negatively correlated with standard averages of RSA. We propose that dRSA reflects the active downregulation of heart period by the parasympathetic nervous system and thus represents a novel metric that provides incremental validity in the measurement of autonomic cardiac control-specifically, a method by which parasympathetic regulatory effects can be measured in process. © 2016 Society for Psychophysiological Research.

  20. Efficient workload management in geographically distributed data centers leveraging autoregressive models

    Science.gov (United States)

    Altomare, Albino; Cesario, Eugenio; Mastroianni, Carlo

    2016-10-01

    The opportunity of using Cloud resources on a pay-as-you-go basis and the availability of powerful data centers and high bandwidth connections are speeding up the success and popularity of Cloud systems, which is making on-demand computing a common practice for enterprises and scientific communities. The reasons for this success include natural business distribution, the need for high availability and disaster tolerance, the sheer size of their computational infrastructure, and/or the desire to provide uniform access times to the infrastructure from widely distributed client sites. Nevertheless, the expansion of large data centers is resulting in a huge rise of electrical power consumed by hardware facilities and cooling systems. The geographical distribution of data centers is becoming an opportunity: the variability of electricity prices, environmental conditions and client requests, both from site to site and with time, makes it possible to intelligently and dynamically (re)distribute the computational workload and achieve as diverse business goals as: the reduction of costs, energy consumption and carbon emissions, the satisfaction of performance constraints, the adherence to Service Level Agreement established with users, etc. This paper proposes an approach that helps to achieve the business goals established by the data center administrators. The workload distribution is driven by a fitness function, evaluated for each data center, which weighs some key parameters related to business objectives, among which, the price of electricity, the carbon emission rate, the balance of load among the data centers etc. For example, the energy costs can be reduced by using a "follow the moon" approach, e.g. by migrating the workload to data centers where the price of electricity is lower at that time. Our approach uses data about historical usage of the data centers and data about environmental conditions to predict, with the help of regressive models, the values of the

  1. MACROECONOMIC FORECASTING USING BAYESIAN VECTOR AUTOREGRESSIVE APPROACH

    Directory of Open Access Journals (Sweden)

    D. Tutberidze

    2017-04-01

    Full Text Available There are many arguments that can be advanced to support the forecasting activities of business entities. The underlying argument in favor of forecasting is that managerial decisions are significantly dependent on proper evaluation of future trends as market conditions are constantly changing and require a detailed analysis of future dynamics. The article discusses the importance of using reasonable macro-econometric tool by suggesting the idea of conditional forecasting through a Vector Autoregressive (VAR modeling framework. Under this framework, a macroeconomic model for Georgian economy is constructed with the few variables believed to be shaping business environment. Based on the model, forecasts of macroeconomic variables are produced, and three types of scenarios are analyzed - a baseline and two alternative ones. The results of the study provide confirmatory evidence that suggested methodology is adequately addressing the research phenomenon and can be used widely by business entities in responding their strategic and operational planning challenges. Given this set-up, it is shown empirically that Bayesian Vector Autoregressive approach provides reasonable forecasts for the variables of interest.

  2. Prediction of Above-elbow Motions in Amputees, based on Electromyographic(EMG Signals, Using Nonlinear Autoregressive Exogenous (NARX Model

    Directory of Open Access Journals (Sweden)

    Ali Akbar Akbari

    2014-08-01

    Full Text Available Introduction In order to improve the quality of life of amputees, biomechatronic researchers and biomedical engineers have been trying to use a combination of various techniques to provide suitable rehabilitation systems. Diverse biomedical signals, acquired from a specialized organ or cell system, e.g., the nervous system, are the driving force for the whole system. Electromyography(EMG, as an experimental technique,is concerned with the development, recording, and analysis of myoelectric signals. EMG-based research is making progress in the development of simple, robust, user-friendly, and efficient interface devices for the amputees. Materials and Methods Prediction of muscular activity and motion patterns is a common, practical problem in prosthetic organs. Recurrent neural network (RNN models are not only applicable for the prediction of time series, but are also commonly used for the control of dynamical systems. The prediction can be assimilated to identification of a dynamic process. An architectural approach of RNN with embedded memory is Nonlinear Autoregressive Exogenous (NARX model, which seems to be suitable for dynamic system applications. Results Performance of NARX model is verified for several chaotic time series, which are applied as input for the neural network. The results showed that NARX has the potential to capture the model of nonlinear dynamic systems. The R-value and MSE are  and  , respectively. Conclusion  EMG signals of deltoid and pectoralis major muscles are the inputs of the NARX  network. It is possible to obtain EMG signals of muscles in other arm motions to predict the lost functions of the absent arm in above-elbow amputees, using NARX model.

  3. Texture classification using autoregressive filtering

    Science.gov (United States)

    Lawton, W. M.; Lee, M.

    1984-01-01

    A general theory of image texture models is proposed and its applicability to the problem of scene segmentation using texture classification is discussed. An algorithm, based on half-plane autoregressive filtering, which optimally utilizes second order statistics to discriminate between texture classes represented by arbitrary wide sense stationary random fields is described. Empirical results of applying this algorithm to natural and sysnthesized scenes are presented and future research is outlined.

  4. on the performance of Autoregressive Moving Average Polynomial

    African Journals Online (AJOL)

    Timothy Ademakinwa

    Distributed Lag (PDL) model, Autoregressive Polynomial Distributed Lag ... Moving Average Polynomial Distributed Lag (ARMAPDL) model. ..... Global Journal of Mathematics and Statistics. Vol. 1. ... Business and Economic Research Center.

  5. Forecasting Hourly Water Demands With Seasonal Autoregressive Models for Real-Time Application

    Science.gov (United States)

    Chen, Jinduan; Boccelli, Dominic L.

    2018-02-01

    Consumer water demands are not typically measured at temporal or spatial scales adequate to support real-time decision making, and recent approaches for estimating unobserved demands using observed hydraulic measurements are generally not capable of forecasting demands and uncertainty information. While time series modeling has shown promise for representing total system demands, these models have generally not been evaluated at spatial scales appropriate for representative real-time modeling. This study investigates the use of a double-seasonal time series model to capture daily and weekly autocorrelations to both total system demands and regional aggregated demands at a scale that would capture demand variability across a distribution system. Emphasis was placed on the ability to forecast demands and quantify uncertainties with results compared to traditional time series pattern-based demand models as well as nonseasonal and single-seasonal time series models. Additional research included the implementation of an adaptive-parameter estimation scheme to update the time series model when unobserved changes occurred in the system. For two case studies, results showed that (1) for the smaller-scale aggregated water demands, the log-transformed time series model resulted in improved forecasts, (2) the double-seasonal model outperformed other models in terms of forecasting errors, and (3) the adaptive adjustment of parameters during forecasting improved the accuracy of the generated prediction intervals. These results illustrate the capabilities of time series modeling to forecast both water demands and uncertainty estimates at spatial scales commensurate for real-time modeling applications and provide a foundation for developing a real-time integrated demand-hydraulic model.

  6. A Realistic Process Example for MIMO MPC based on Autoregressive Models

    DEFF Research Database (Denmark)

    Huusom, Jakob Kjøbsted; Jørgensen, John Bagterp

    2014-01-01

    for advanced control design develo pment which may be used by non experts in control theory. This paper presents and illustra tes the use of a simple methodology to design an offset-free MPC based on ARX models. Hence a mecha nistic process model is not required. The forced circulation evaporator by Newell...... and Lee is used to illustrate the offset-free MPC based on ARX models for a nonlinear multivariate process ....

  7. Non-contact video-based vital sign monitoring using ambient light and auto-regressive models

    International Nuclear Information System (INIS)

    Tarassenko, L; Villarroel, M; Guazzi, A; Jorge, J; Clifton, D A; Pugh, C

    2014-01-01

    Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient’s face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. (paper)

  8. NIRS-EEG joint imaging during transcranial direct current stimulation: Online parameter estimation with an autoregressive model.

    Science.gov (United States)

    Sood, Mehak; Besson, Pierre; Muthalib, Makii; Jindal, Utkarsh; Perrey, Stephane; Dutta, Anirban; Hayashibe, Mitsuhiro

    2016-12-01

    Transcranial direct current stimulation (tDCS) has been shown to perturb both cortical neural activity and hemodynamics during (online) and after the stimulation, however mechanisms of these tDCS-induced online and after-effects are not known. Here, online resting-state spontaneous brain activation may be relevant to monitor tDCS neuromodulatory effects that can be measured using electroencephalography (EEG) in conjunction with near-infrared spectroscopy (NIRS). We present a Kalman Filter based online parameter estimation of an autoregressive (ARX) model to track the transient coupling relation between the changes in EEG power spectrum and NIRS signals during anodal tDCS (2mA, 10min) using a 4×1 ring high-definition montage. Our online ARX parameter estimation technique using the cross-correlation between log (base-10) transformed EEG band-power (0.5-11.25Hz) and NIRS oxy-hemoglobin signal in the low frequency (≤0.1Hz) range was shown in 5 healthy subjects to be sensitive to detect transient EEG-NIRS coupling changes in resting-state spontaneous brain activation during anodal tDCS. Conventional sliding window cross-correlation calculations suffer a fundamental problem in computing the phase relationship as the signal in the window is considered time-invariant and the choice of the window length and step size are subjective. Here, Kalman Filter based method allowed online ARX parameter estimation using time-varying signals that could capture transients in the coupling relationship between EEG and NIRS signals. Our new online ARX model based tracking method allows continuous assessment of the transient coupling between the electrophysiological (EEG) and the hemodynamic (NIRS) signals representing resting-state spontaneous brain activation during anodal tDCS. Published by Elsevier B.V.

  9. A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

    DEFF Research Database (Denmark)

    Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard

    2007-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...... to occasional congestion periods. For a system of bilat- eral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between essen- tially a univariate price process under non-congestion and a bivariate price...

  10. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

    DEFF Research Database (Denmark)

    Teräsvirta, Timo; Yang, Yukai

    is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists...

  11. A vector autoregressive model for electricity prices subject to long memory and regime switching

    International Nuclear Information System (INIS)

    Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten Oerregaard

    2010-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to occasional congestion periods. For a system of bilateral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between a univariate price process under non-congestion and a bivariate price process under congestion. At the same time, it is an empirical regularity that electricity prices tend to show a high degree of long memory, and thus that prices may be fractionally cointegrated. Analysis of Nord Pool data shows that even though the prices are identical under non-congestion, the prices are not, in general, fractionally cointegrated in the congestion state. Hence, in most cases price convergence is a property following from regime switching rather than a conventional error correction mechanism. Finally, the suggested model is shown to deliver forecasts that are more precise compared to competing models. (author)

  12. Recursive Bayesian estimation of autoregressive model with uniform noise using approximation by parallelotopes

    Czech Academy of Sciences Publication Activity Database

    Pavelková, Lenka; Jirsa, Ladislav

    2017-01-01

    Roč. 31, č. 8 (2017), s. 1184-1192 ISSN 0890-6327 R&D Projects: GA MŠk 7D12004 Institutional support: RVO:67985556 Keywords : approximate parameter estimation * ARX model * Bayesian estimation * bounded noise * Kullback-Leibler divergence * parallelotope Subject RIV: BC - Control Systems Theory OBOR OECD: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8) Impact factor: 1.708, year: 2016 http://library.utia.cas.cz/separaty/2017/AS/pavelkova-0472081.pdf

  13. Assessing CO2 emissions in China’s iron and steel industry: A dynamic vector autoregression model

    International Nuclear Information System (INIS)

    Xu, Bin; Lin, Boqiang

    2016-01-01

    Highlights: • We explore the driving forces of the iron and steel industry’s CO 2 emissions in China. • Energy efficiency plays a dominant role in reducing carbon dioxide emissions. • Urbanization has significant effect on CO 2 emissions due to mass real estate construction. • The role of economic growth in reducing emissions is more important than industrialization. - Abstract: Energy saving and carbon dioxide emission reduction in China is attracting increasing attention worldwide. At present, China is in the phase of rapid urbanization and industrialization, which is characterized by rapid growth of energy consumption and carbon dioxide (CO 2 ) emissions. China’s steel industry is highly energy-consuming and pollution-intensive. Between 1980 and 2013, the carbon dioxide emissions in China’s steel industry increased approximately 11 times, with an average annual growth rate of 8%. Identifying the drivers of carbon dioxide emissions in the iron and steel industry is vital for developing effective environmental policies. This study uses Vector Autoregressive model to analyze the influencing factors of the changes in carbon dioxide emissions in the industry. The results show that energy efficiency plays a dominant role in reducing carbon dioxide emissions. Urbanization also has significant effect on CO 2 emissions because of mass urban infrastructure and real estate construction. Economic growth has more impact on emission reduction than industrialization due to the massive fixed asset investment and industrial energy optimization. These findings are important for the relevant authorities in China in developing appropriate energy policy and planning for the iron and steel industry.

  14. Unintentional Interpersonal Synchronization Represented as a Reciprocal Visuo-Postural Feedback System: A Multivariate Autoregressive Modeling Approach.

    Directory of Open Access Journals (Sweden)

    Shuntaro Okazaki

    Full Text Available People's behaviors synchronize. It is difficult, however, to determine whether synchronized behaviors occur in a mutual direction--two individuals influencing one another--or in one direction--one individual leading the other, and what the underlying mechanism for synchronization is. To answer these questions, we hypothesized a non-leader-follower postural sway synchronization, caused by a reciprocal visuo-postural feedback system operating on pairs of individuals, and tested that hypothesis both experimentally and via simulation. In the behavioral experiment, 22 participant pairs stood face to face either 20 or 70 cm away from each other wearing glasses with or without vision blocking lenses. The existence and direction of visual information exchanged between pairs of participants were systematically manipulated. The time series data for the postural sway of these pairs were recorded and analyzed with cross correlation and causality. Results of cross correlation showed that postural sway of paired participants was synchronized, with a shorter time lag when participant pairs could see one another's head motion than when one of the participants was blindfolded. In addition, there was less of a time lag in the observed synchronization when the distance between participant pairs was smaller. As for the causality analysis, noise contribution ratio (NCR, the measure of influence using a multivariate autoregressive model, was also computed to identify the degree to which one's postural sway is explained by that of the other's and how visual information (sighted vs. blindfolded interacts with paired participants' postural sway. It was found that for synchronization to take place, it is crucial that paired participants be sighted and exert equal influence on one another by simultaneously exchanging visual information. Furthermore, a simulation for the proposed system with a wider range of visual input showed a pattern of results similar to the

  15. Comparison of vector autoregressive (VAR) and vector error correction models (VECM) for index of ASEAN stock price

    Science.gov (United States)

    Suharsono, Agus; Aziza, Auliya; Pramesti, Wara

    2017-12-01

    Capital markets can be an indicator of the development of a country's economy. The presence of capital markets also encourages investors to trade; therefore investors need information and knowledge of which shares are better. One way of making decisions for short-term investments is the need for modeling to forecast stock prices in the period to come. Issue of stock market-stock integration ASEAN is very important. The problem is that ASEAN does not have much time to implement one market in the economy, so it would be very interesting if there is evidence whether the capital market in the ASEAN region, especially the countries of Indonesia, Malaysia, Philippines, Singapore and Thailand deserve to be integrated or still segmented. Furthermore, it should also be known and proven What kind of integration is happening: what A capital market affects only the market Other capital, or a capital market only Influenced by other capital markets, or a Capital market as well as affecting as well Influenced by other capital markets in one ASEAN region. In this study, it will compare forecasting of Indonesian share price (IHSG) with neighboring countries (ASEAN) including developed and developing countries such as Malaysia (KLSE), Singapore (SGE), Thailand (SETI), Philippines (PSE) to find out which stock country the most superior and influential. These countries are the founders of ASEAN and share price index owners who have close relations with Indonesia in terms of trade, especially exports and imports. Stock price modeling in this research is using multivariate time series analysis that is VAR (Vector Autoregressive) and VECM (Vector Error Correction Modeling). VAR and VECM models not only predict more than one variable but also can see the interrelations between variables with each other. If the assumption of white noise is not met in the VAR modeling, then the cause can be assumed that there is an outlier. With this modeling will be able to know the pattern of relationship

  16. Bivariate autoregressive state-space modeling of psychophysiological time series data.

    Science.gov (United States)

    Smith, Daniel M; Abtahi, Mohammadreza; Amiri, Amir Mohammad; Mankodiya, Kunal

    2016-08-01

    Heart rate (HR) and electrodermal activity (EDA) are often used as physiological measures of psychological arousal in various neuropsychology experiments. In this exploratory study, we analyze HR and EDA data collected from four participants, each with a history of suicidal tendencies, during a cognitive task known as the Paced Auditory Serial Addition Test (PASAT). A central aim of this investigation is to guide future research by assessing heterogeneity in the population of individuals with suicidal tendencies. Using a state-space modeling approach to time series analysis, we evaluate the effect of an exogenous input, i.e., the stimulus presentation rate which was increased systematically during the experimental task. Participants differed in several parameters characterizing the way in which psychological arousal was experienced during the task. Increasing the stimulus presentation rate was associated with an increase in EDA in participants 2 and 4. The effect on HR was positive for participant 2 and negative for participants 3 and 4. We discuss future directions in light of the heterogeneity in the population indicated by these findings.

  17. Multivariate autoregressive modelling and conditional simulation of precipitation time series for urban water models

    NARCIS (Netherlands)

    Torres-Matallana, J.A.; Leopold, U.; Heuvelink, G.B.M.

    2017-01-01

    Precipitation is the most active flux and major input of hydrological systems. Precipitation controls hydrological states (soil moisture and groundwater level), and fluxes (runoff, evapotranspiration and groundwater recharge).
    Hence, precipitation plays a paramount role in urban water systems.

  18. Advantage of make-to-stock strategy based on linear mixed-effect model: a comparison with regression, autoregressive, times series, and exponential smoothing models

    Directory of Open Access Journals (Sweden)

    Yu-Pin Liao

    2017-11-01

    Full Text Available In the past few decades, demand forecasting has become relatively difficult due to rapid changes in the global environment. This research illustrates the use of the make-to-stock (MTS production strategy in order to explain how forecasting plays an essential role in business management. The linear mixed-effect (LME model has been extensively developed and is widely applied in various fields. However, no study has used the LME model for business forecasting. We suggest that the LME model be used as a tool for prediction and to overcome environment complexity. The data analysis is based on real data in an international display company, where the company needs accurate demand forecasting before adopting a MTS strategy. The forecasting result from the LME model is compared to the commonly used approaches, including the regression model, autoregressive model, times series model, and exponential smoothing model, with the results revealing that prediction performance provided by the LME model is more stable than using the other methods. Furthermore, product types in the data are regarded as a random effect in the LME model, hence demands of all types can be predicted simultaneously using a single LME model. However, some approaches require splitting the data into different type categories, and then predicting the type demand by establishing a model for each type. This feature also demonstrates the practicability of the LME model in real business operations.

  19. Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

    Directory of Open Access Journals (Sweden)

    Lili Li

    2016-01-01

    Full Text Available We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7 and China. The quantile autoregression model (QAR enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

  20. Autoregressive models as a tool to discriminate chaos from randomness in geoelectrical time series: an application to earthquake prediction

    Directory of Open Access Journals (Sweden)

    C. Serio

    1997-06-01

    Full Text Available The time dynamics of geoelectrical precursory time series has been investigated and a method to discriminate chaotic behaviour in geoelectrical precursory time series is proposed. It allows us to detect low-dimensional chaos when the only information about the time series comes from the time series themselves. The short-term predictability of these time series is evaluated using two possible forecasting approaches: global autoregressive approximation and local autoregressive approximation. The first views the data as a realization of a linear stochastic process, whereas the second considers the data points as a realization of a deterministic process, supposedly non-linear. The comparison of the predictive skill of the two techniques is a test to discriminate between low-dimensional chaos and random dynamics. The analyzed time series are geoelectrical measurements recorded by an automatic station located in Tito (Southern Italy in one of the most seismic areas of the Mediterranean region. Our findings are that the global (linear approach is superior to the local one and the physical system governing the phenomena of electrical nature is characterized by a large number of degrees of freedom. Power spectra of the filtered time series follow a P(f = F-a scaling law: they exhibit the typical behaviour of a broad class of fractal stochastic processes and they are a signature of the self-organized systems.

  1. On The Value at Risk Using Bayesian Mixture Laplace Autoregressive Approach for Modelling the Islamic Stock Risk Investment

    Science.gov (United States)

    Miftahurrohmah, Brina; Iriawan, Nur; Fithriasari, Kartika

    2017-06-01

    Stocks are known as the financial instruments traded in the capital market which have a high level of risk. Their risks are indicated by their uncertainty of their return which have to be accepted by investors in the future. The higher the risk to be faced, the higher the return would be gained. Therefore, the measurements need to be made against the risk. Value at Risk (VaR) as the most popular risk measurement method, is frequently ignore when the pattern of return is not uni-modal Normal. The calculation of the risks using VaR method with the Normal Mixture Autoregressive (MNAR) approach has been considered. This paper proposes VaR method couple with the Mixture Laplace Autoregressive (MLAR) that would be implemented for analysing the first three biggest capitalization Islamic stock return in JII, namely PT. Astra International Tbk (ASII), PT. Telekomunikasi Indonesia Tbk (TLMK), and PT. Unilever Indonesia Tbk (UNVR). Parameter estimation is performed by employing Bayesian Markov Chain Monte Carlo (MCMC) approaches.

  2. Forecasting nuclear power supply with Bayesian autoregression

    International Nuclear Information System (INIS)

    Beck, R.; Solow, J.L.

    1994-01-01

    We explore the possibility of forecasting the quarterly US generation of electricity from nuclear power using a Bayesian autoregression model. In terms of forecasting accuracy, this approach compares favorably with both the Department of Energy's current forecasting methodology and their more recent efforts using ARIMA models, and it is extremely easy and inexpensive to implement. (author)

  3. Determinants of foreign direct investment in Tunisia: Empirical assessment based on an application of the autoregressive distributed Lag model

    Directory of Open Access Journals (Sweden)

    Teheni El Ghak

    2017-05-01

    Full Text Available In recent years, the changing economic and political environment in Tunisia led to a renewed interest on the drivers of foreign direct investment, given its potential important gains. In this study, we investigated the impact of various factors over the period 1980-2012. In doing this, three categories of determinants were considered: economic, political and sociocultural variables. Empirical findings drawn from the autoregressive distributed lag bounds testing approach show that variation in foreign direct investment inflow in the short-run and long-run is affected by the majority of variables considered, except exchange rate, urban population and gross domestic savings. As a matter of policy, it is essential that government should continue its efforts to create a macroeconomic environment which is attractive to foreign direct investment.

  4. Oracle Inequalities for High Dimensional Vector Autoregressions

    DEFF Research Database (Denmark)

    Callot, Laurent; Kock, Anders Bredahl

    This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order...

  5. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting

    Directory of Open Access Journals (Sweden)

    Alev Dilek Aydin

    2015-01-01

    Full Text Available The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.

  6. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting.

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.

  7. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2014-10-01

    Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.

  8. Hybrid support vector regression and autoregressive integrated moving average models improved by particle swarm optimization for property crime rates forecasting with economic indicators.

    Science.gov (United States)

    Alwee, Razana; Shamsuddin, Siti Mariyam Hj; Sallehuddin, Roselina

    2013-01-01

    Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR) and autoregressive integrated moving average (ARIMA) to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.

  9. Hybrid Support Vector Regression and Autoregressive Integrated Moving Average Models Improved by Particle Swarm Optimization for Property Crime Rates Forecasting with Economic Indicators

    Directory of Open Access Journals (Sweden)

    Razana Alwee

    2013-01-01

    Full Text Available Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR and autoregressive integrated moving average (ARIMA to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.

  10. Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2007-01-01

    textabstractA Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent

  11. Autoregressive moving average (ARMA) model applied to quantification of cerebral blood flow using dynamic susceptibility contrast-enhanced magnetic resonance imaging

    International Nuclear Information System (INIS)

    Murase, Kenya; Yamazaki, Youichi; Shinohara, Masaaki

    2003-01-01

    The purpose of this study was to investigate the feasibility of the autoregressive moving average (ARMA) model for quantification of cerebral blood flow (CBF) with dynamic susceptibility contrast-enhanced magnetic resonance imaging (DSC-MRI) in comparison with deconvolution analysis based on singular value decomposition (DA-SVD). Using computer simulations, we generated a time-dependent concentration of the contrast agent in the volume of interest (VOI) from the arterial input function (AIF) modeled as a gamma-variate function under various CBFs, cerebral blood volumes and signal-to-noise ratios (SNRs) for three different types of residue function (exponential, triangular, and box-shaped). We also considered the effects of delay and dispersion in AIF. The ARMA model and DA-SVD were used to estimate CBF values from the simulated concentration-time curves in the VOI and AIFs, and the estimated values were compared with the assumed values. We found that the CBF value estimated by the ARMA model was more sensitive to the SNR and the delay in AIF than that obtained by DA-SVD. Although the ARMA model considerably overestimated CBF at low SNRs, it estimated the CBF more accurately than did DA-SVD at high SNRs for the exponential or triangular residue function. We believe this study will contribute to an understanding of the usefulness and limitations of the ARMA model when applied to quantification of CBF with DSC-MRI. (author)

  12. MODELADO DEL PRECIO SPOT DE LA ELECTRICIDAD EN BRASIL USANDO UNA RED NEURONAL AUTORREGRESIVA ELECTRICITY SPOT PRICE MODELLING IN BRASIL USING AN AUTOREGRESSIVE NEURAL NETWORK

    Directory of Open Access Journals (Sweden)

    Juan D Velásquez

    2008-12-01

    Full Text Available Una red neuronal autorregresiva es estimada para el precio mensual brasileño de corto plazo de la electricidad, la cual describe mejor la dinámica de los precios que un modelo lineal autorregresivo y que un perceptrón multicapa clásico que usan las mismas entradas y neuronas en la capa oculta. El modelo propuesto es especificado usando un procedimiento estadístico basado en el contraste del radio de verosimilitud. El modelo pasa una batería de pruebas de diagnóstico. El procedimiento de especificación propuesto permite seleccionar el número de unidades en la capa oculta y las entradas a la red neuronal, usando pruebas estadísticas que tienen en cuenta la cantidad de los datos y el ajuste del modelo a la serie de precios. La especificación del modelo final demuestra que el precio para el próximo mes es una función no lineal del precio actual, de la energía afluente actual y de la energía almacenada en el embalse equivalente en el mes actual y dos meses atrás.An autoregressive neural network model is estimated for the monthly Brazilian electricity spot price, which describes the prices dynamics better than a linear autoregressive model and a classical multilayer perceptron using the same input and neurons in the hidden layer. The proposed model is specified using a statistical procedure based on a likelihood ratio test. The model passes a battery of diagnostic tests. The proposed specification procedure allows us to select the number of units in hidden layer and the inputs to the neural network based on statistical tests, taking into account the number of data and the model fitting to the price time series. The final model specification demonstrates that the price for the next month is a nonlinear function of the current price, the current energy inflow, and the energy saved in the equivalent reservoir in the current month and two months ago.

  13. Application of a Combined Model with Autoregressive Integrated Moving Average (ARIMA and Generalized Regression Neural Network (GRNN in Forecasting Hepatitis Incidence in Heng County, China.

    Directory of Open Access Journals (Sweden)

    Wudi Wei

    Full Text Available Hepatitis is a serious public health problem with increasing cases and property damage in Heng County. It is necessary to develop a model to predict the hepatitis epidemic that could be useful for preventing this disease.The autoregressive integrated moving average (ARIMA model and the generalized regression neural network (GRNN model were used to fit the incidence data from the Heng County CDC (Center for Disease Control and Prevention from January 2005 to December 2012. Then, the ARIMA-GRNN hybrid model was developed. The incidence data from January 2013 to December 2013 were used to validate the models. Several parameters, including mean absolute error (MAE, root mean square error (RMSE, mean absolute percentage error (MAPE and mean square error (MSE, were used to compare the performance among the three models.The morbidity of hepatitis from Jan 2005 to Dec 2012 has seasonal variation and slightly rising trend. The ARIMA(0,1,2(1,1,112 model was the most appropriate one with the residual test showing a white noise sequence. The smoothing factor of the basic GRNN model and the combined model was 1.8 and 0.07, respectively. The four parameters of the hybrid model were lower than those of the two single models in the validation. The parameters values of the GRNN model were the lowest in the fitting of the three models.The hybrid ARIMA-GRNN model showed better hepatitis incidence forecasting in Heng County than the single ARIMA model and the basic GRNN model. It is a potential decision-supportive tool for controlling hepatitis in Heng County.

  14. Middle and long-term prediction of UT1-UTC based on combination of Gray Model and Autoregressive Integrated Moving Average

    Science.gov (United States)

    Jia, Song; Xu, Tian-he; Sun, Zhang-zhen; Li, Jia-jing

    2017-02-01

    UT1-UTC is an important part of the Earth Orientation Parameters (EOP). The high-precision predictions of UT1-UTC play a key role in practical applications of deep space exploration, spacecraft tracking and satellite navigation and positioning. In this paper, a new prediction method with combination of Gray Model (GM(1, 1)) and Autoregressive Integrated Moving Average (ARIMA) is developed. The main idea is as following. Firstly, the UT1-UTC data are preprocessed by removing the leap second and Earth's zonal harmonic tidal to get UT1R-TAI data. Periodic terms are estimated and removed by the least square to get UT2R-TAI. Then the linear terms of UT2R-TAI data are modeled by the GM(1, 1), and the residual terms are modeled by the ARIMA. Finally, the UT2R-TAI prediction can be performed based on the combined model of GM(1, 1) and ARIMA, and the UT1-UTC predictions are obtained by adding the corresponding periodic terms, leap second correction and the Earth's zonal harmonic tidal correction. The results show that the proposed model can be used to predict UT1-UTC effectively with higher middle and long-term (from 32 to 360 days) accuracy than those of LS + AR, LS + MAR and WLS + MAR.

  15. PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

    Directory of Open Access Journals (Sweden)

    VIAN RISKA AYUNING TYAS

    2014-01-01

    Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

  16. PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

    Directory of Open Access Journals (Sweden)

    VIAN RISKA AYUNING TYAS

    2014-08-01

    Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

  17. Methodology for the AutoRegressive Planet Search (ARPS) Project

    Science.gov (United States)

    Feigelson, Eric; Caceres, Gabriel; ARPS Collaboration

    2018-01-01

    The detection of periodic signals of transiting exoplanets is often impeded by the presence of aperiodic photometric variations. This variability is intrinsic to the host star in space-based observations (typically arising from magnetic activity) and from observational conditions in ground-based observations. The most common statistical procedures to remove stellar variations are nonparametric, such as wavelet decomposition or Gaussian Processes regression. However, many stars display variability with autoregressive properties, wherein later flux values are correlated with previous ones. Providing the time series is evenly spaced, parametric autoregressive models can prove very effective. Here we present the methodology of the Autoregessive Planet Search (ARPS) project which uses Autoregressive Integrated Moving Average (ARIMA) models to treat a wide variety of stochastic short-memory processes, as well as nonstationarity. Additionally, we introduce a planet-search algorithm to detect periodic transits in the time-series residuals after application of ARIMA models. Our matched-filter algorithm, the Transit Comb Filter (TCF), replaces the traditional box-fitting step. We construct a periodogram based on the TCF to concentrate the signal of these periodic spikes. Various features of the original light curves, the ARIMA fits, the TCF periodograms, and folded light curves at peaks of the TCF periodogram can then be collected to provide constraints for planet detection. These features provide input into a multivariate classifier when a training set is available. The ARPS procedure has been applied NASA's Kepler mission observations of ~200,000 stars (Caceres, Dissertation Talk, this meeting) and will be applied in the future to other datasets.

  18. [The trial of business data analysis at the Department of Radiology by constructing the auto-regressive integrated moving-average (ARIMA) model].

    Science.gov (United States)

    Tani, Yuji; Ogasawara, Katsuhiko

    2012-01-01

    This study aimed to contribute to the management of a healthcare organization by providing management information using time-series analysis of business data accumulated in the hospital information system, which has not been utilized thus far. In this study, we examined the performance of the prediction method using the auto-regressive integrated moving-average (ARIMA) model, using the business data obtained at the Radiology Department. We made the model using the data used for analysis, which was the number of radiological examinations in the past 9 years, and we predicted the number of radiological examinations in the last 1 year. Then, we compared the actual value with the forecast value. We were able to establish that the performance prediction method was simple and cost-effective by using free software. In addition, we were able to build the simple model by pre-processing the removal of trend components using the data. The difference between predicted values and actual values was 10%; however, it was more important to understand the chronological change rather than the individual time-series values. Furthermore, our method was highly versatile and adaptable compared to the general time-series data. Therefore, different healthcare organizations can use our method for the analysis and forecasting of their business data.

  19. Using autoregressive integrated moving average (ARIMA) models to predict and monitor the number of beds occupied during a SARS outbreak in a tertiary hospital in Singapore.

    Science.gov (United States)

    Earnest, Arul; Chen, Mark I; Ng, Donald; Sin, Leo Yee

    2005-05-11

    The main objective of this study is to apply autoregressive integrated moving average (ARIMA) models to make real-time predictions on the number of beds occupied in Tan Tock Seng Hospital, during the recent SARS outbreak. This is a retrospective study design. Hospital admission and occupancy data for isolation beds was collected from Tan Tock Seng hospital for the period 14th March 2003 to 31st May 2003. The main outcome measure was daily number of isolation beds occupied by SARS patients. Among the covariates considered were daily number of people screened, daily number of people admitted (including observation, suspect and probable cases) and days from the most recent significant event discovery. We utilized the following strategy for the analysis. Firstly, we split the outbreak data into two. Data from 14th March to 21st April 2003 was used for model development. We used structural ARIMA models in an attempt to model the number of beds occupied. Estimation is via the maximum likelihood method using the Kalman filter. For the ARIMA model parameters, we considered the simplest parsimonious lowest order model. We found that the ARIMA (1,0,3) model was able to describe and predict the number of beds occupied during the SARS outbreak well. The mean absolute percentage error (MAPE) for the training set and validation set were 5.7% and 8.6% respectively, which we found was reasonable for use in the hospital setting. Furthermore, the model also provided three-day forecasts of the number of beds required. Total number of admissions and probable cases admitted on the previous day were also found to be independent prognostic factors of bed occupancy. ARIMA models provide useful tools for administrators and clinicians in planning for real-time bed capacity during an outbreak of an infectious disease such as SARS. The model could well be used in planning for bed-capacity during outbreaks of other infectious diseases as well.

  20. Longitudinal Relationship between Self-efficacy and Posttraumatic Stress Symptoms 8 Years after a Violent Assault: An Autoregressive Cross-Lagged Model

    Directory of Open Access Journals (Sweden)

    Egil Nygaard

    2017-06-01

    Full Text Available Self-efficacy is assumed to promote posttraumatic adaption, and several cross-sectional studies support this notion. However, there is a lack of prospective longitudinal studies to further illuminate the temporal relationship between self-efficacy and posttraumatic stress symptoms. Thus, an important unresolved research question is whether posttraumatic stress disorder (PTSD symptoms affect the level of self-efficacy or vice versa or whether they mutually influence each other. The present prospective longitudinal study investigated the reciprocal relationship between general self-efficacy (GSE and posttraumatic stress symptoms in 143 physical assault victims. We used an autoregressive cross-lagged model across four assessment waves: within 4 months after the assault (T1 and then 3 months (T2, 12 months (T3 and 8 years (T4 after the first assessment. Stress symptoms at T1 and T2 predicted subsequent self-efficacy, while self-efficacy at T1 and T2 was not related to subsequent stress symptoms. These relationships were reversed after T3; higher levels of self-efficacy at T3 predicted lower levels of posttraumatic stress symptoms at T4, while posttraumatic tress symptoms at T3 did not predict self-efficacy at T4. In conclusion, posttraumatic stress symptoms may have a deteriorating effect on self-efficacy in the early phase after physical assault, whereas self-efficacy may promote recovery from posttraumatic stress symptoms over the long term.

  1. Longitudinal Relationship between Self-efficacy and Posttraumatic Stress Symptoms 8 Years after a Violent Assault: An Autoregressive Cross-Lagged Model.

    Science.gov (United States)

    Nygaard, Egil; Johansen, Venke A; Siqveland, Johan; Hussain, Ajmal; Heir, Trond

    2017-01-01

    Self-efficacy is assumed to promote posttraumatic adaption, and several cross-sectional studies support this notion. However, there is a lack of prospective longitudinal studies to further illuminate the temporal relationship between self-efficacy and posttraumatic stress symptoms. Thus, an important unresolved research question is whether posttraumatic stress disorder (PTSD) symptoms affect the level of self-efficacy or vice versa or whether they mutually influence each other. The present prospective longitudinal study investigated the reciprocal relationship between general self-efficacy (GSE) and posttraumatic stress symptoms in 143 physical assault victims. We used an autoregressive cross-lagged model across four assessment waves: within 4 months after the assault (T1) and then 3 months (T2), 12 months (T3) and 8 years (T4) after the first assessment. Stress symptoms at T1 and T2 predicted subsequent self-efficacy, while self-efficacy at T1 and T2 was not related to subsequent stress symptoms. These relationships were reversed after T3; higher levels of self-efficacy at T3 predicted lower levels of posttraumatic stress symptoms at T4, while posttraumatic tress symptoms at T3 did not predict self-efficacy at T4. In conclusion, posttraumatic stress symptoms may have a deteriorating effect on self-efficacy in the early phase after physical assault, whereas self-efficacy may promote recovery from posttraumatic stress symptoms over the long term.

  2. Directed coupling in local field potentials of macaque V4 during visual short-term memory revealed by multivariate autoregressive models

    Directory of Open Access Journals (Sweden)

    Gregor M Hoerzer

    2010-05-01

    Full Text Available Processing and storage of sensory information is based on the interaction between different neural populations rather than the isolated activity of single neurons. In order to characterize the dynamic interaction and transient cooperation of sub-circuits within a neural network, multivariate autoregressive (MVAR models have proven to be an important analysis tool. In this study, we apply directed functional coupling based on MVAR models and describe the temporal and spatial changes of functional coupling between simultaneously recorded local field potentials (LFP in extrastriate area V4 during visual memory. Specifically, we compare the strength and directional relations of coupling based on Generalized Partial Directed Coherence (GDPC measures while two rhesus monkeys perform a visual short-term memory task. In both monkeys we find increases in theta power during the memory period that are accompanied by changes in directed coupling. These interactions are most prominent in the low frequency range encompassing the theta band (3-12~Hz and, more importantly, are asymmetric between pairs of recording sites. Furthermore, we find that the degree of interaction decreases as a function of distance between electrode positions, suggesting that these interactions are a predominantly local phenomenon. Taken together, our results show that directed coupling measures based on MVAR models are able to provide important insights into the spatial and temporal formation of local functionally coupled ensembles during visual memory in V4. Moreover, our findings suggest that visual memory is accompanied not only by a temporary increase of oscillatory activity in the theta band, but by a direction-dependent change in theta coupling, which ultimately represents a change in functional connectivity within the neural circuit.

  3. Comparison of arma (autoregressive moving average) with mtm (markov transition matrix): modeling simulation and prediction of wind data

    International Nuclear Information System (INIS)

    Jafri, Y.Z.; Kamal, L.

    2009-01-01

    A generalized theory of ARMA modeling, covering a wide range of researches. with model identification, order determination, estimation and diagnostic checking is presented. We evolved standardization of wind data to overcome non-stationarity. With our techniques on generating synthetic values of wind series using MTM, we modeled and simulated autocorrelated function (ACF). MTM is found relatively a better simulator as compared to ARMA. We used twenty year of wind data. MTM required fast computation and suitable algorithm for backward calculations to yield ACF values. We found ARMA (p, q) model suitableble for both large range (1-6 hours) and short range (1-2 hours). This indicates that forecast values can be considered for appropriate wind energy conversion system. (author)

  4. A Distributed Lag Autoregressive Model of Geostationary Relativistic Electron Fluxes: Comparing the Influences of Waves, Seed and Source Electrons, and Solar Wind Inputs

    Science.gov (United States)

    Simms, Laura; Engebretson, Mark; Clilverd, Mark; Rodger, Craig; Lessard, Marc; Gjerloev, Jesper; Reeves, Geoffrey

    2018-05-01

    Relativistic electron flux at geosynchronous orbit depends on enhancement and loss processes driven by ultralow frequency (ULF) Pc5, chorus, and electromagnetic ion cyclotron (EMIC) waves, seed electron flux, magnetosphere compression, the "Dst effect," and substorms, while solar wind inputs such as velocity, number density, and interplanetary magnetic field Bz drive these factors and thus correlate with flux. Distributed lag regression models show the time delay of highest influence of these factors on log10 high-energy electron flux (0.7-7.8 MeV, Los Alamos National Laboratory satellites). Multiple regression with an autoregressive term (flux persistence) allows direct comparison of the magnitude of each effect while controlling other correlated parameters. Flux enhancements due to ULF Pc5 and chorus waves are of equal importance. The direct effect of substorms on high-energy electron flux is strong, possibly due to injection of high-energy electrons by the substorms themselves. Loss due to electromagnetic ion cyclotron waves is less influential. Southward Bz shows only moderate influence when correlated processes are accounted for. Adding covariate compression effects (pressure and interplanetary magnetic field magnitude) allows wave-driven enhancements to be more clearly seen. Seed electrons (270 keV) are most influential at lower relativistic energies, showing that such a population must be available for acceleration. However, they are not accelerated directly to the highest energies. Source electrons (31.7 keV) show no direct influence when other factors are controlled. Their action appears to be indirect via the chorus waves they generate. Determination of specific effects of each parameter when studied in combination will be more helpful in furthering modeling work than studying them individually.

  5. Using autoregressive integrated moving average (ARIMA models to predict and monitor the number of beds occupied during a SARS outbreak in a tertiary hospital in Singapore

    Directory of Open Access Journals (Sweden)

    Earnest Arul

    2005-05-01

    Full Text Available Abstract Background The main objective of this study is to apply autoregressive integrated moving average (ARIMA models to make real-time predictions on the number of beds occupied in Tan Tock Seng Hospital, during the recent SARS outbreak. Methods This is a retrospective study design. Hospital admission and occupancy data for isolation beds was collected from Tan Tock Seng hospital for the period 14th March 2003 to 31st May 2003. The main outcome measure was daily number of isolation beds occupied by SARS patients. Among the covariates considered were daily number of people screened, daily number of people admitted (including observation, suspect and probable cases and days from the most recent significant event discovery. We utilized the following strategy for the analysis. Firstly, we split the outbreak data into two. Data from 14th March to 21st April 2003 was used for model development. We used structural ARIMA models in an attempt to model the number of beds occupied. Estimation is via the maximum likelihood method using the Kalman filter. For the ARIMA model parameters, we considered the simplest parsimonious lowest order model. Results We found that the ARIMA (1,0,3 model was able to describe and predict the number of beds occupied during the SARS outbreak well. The mean absolute percentage error (MAPE for the training set and validation set were 5.7% and 8.6% respectively, which we found was reasonable for use in the hospital setting. Furthermore, the model also provided three-day forecasts of the number of beds required. Total number of admissions and probable cases admitted on the previous day were also found to be independent prognostic factors of bed occupancy. Conclusion ARIMA models provide useful tools for administrators and clinicians in planning for real-time bed capacity during an outbreak of an infectious disease such as SARS. The model could well be used in planning for bed-capacity during outbreaks of other infectious

  6. Reactor noise diagnostics based on multivariate autoregressive modeling: Application to LOFT [Loss-of-Fluid-Test] reactor process noise

    International Nuclear Information System (INIS)

    Gloeckler, O.; Upadhyaya, B.R.

    1987-01-01

    Multivariate noise analysis of power reactor operating signals is useful for plant diagnostics, for isolating process and sensor anomalies, and for automated plant monitoring. In order to develop a reliable procedure, the previously established techniques for empirical modeling of fluctuation signals in power reactors have been improved. Application of the complete algorithm to operational data from the Loss-of-Fluid-Test (LOFT) Reactor showed that earlier conjectures (based on physical modeling) regarding the perturbation sources in a Pressurized Water Reactor (PWR) affecting coolant temperature and neutron power fluctuations can be systematically explained. This advanced methodology has important implication regarding plant diagnostics, and system or sensor anomaly isolation. 6 refs., 24 figs

  7. A Conditionally Beta Distributed Time-Series Model With Application to Monthly US Corporate Default Rates

    DEFF Research Database (Denmark)

    Nielsen, Thor Pajhede

    2017-01-01

    We consider an observation driven, conditionally Beta distributed model for variables restricted to the unit interval. The model includes both explanatory variables and autoregressive dependence in the mean and precision parameters using the mean-precision parametrization of the beta distribution...... the monthly default rate. (3) There is evidence for volatility clustering beyond what is accounted for by the inherent mean-precision relationship of the Beta distribution in the default rate data....

  8. Modeling the impacts of climate change and technical progress on the wheat yield in inland China: An autoregressive distributed lag approach.

    Science.gov (United States)

    Zhai, Shiyan; Song, Genxin; Qin, Yaochen; Ye, Xinyue; Lee, Jay

    2017-01-01

    This study aims to evaluate the impacts of climate change and technical progress on the wheat yield per unit area from 1970 to 2014 in Henan, the largest agricultural province in China, using an autoregressive distributed lag approach. The bounded F-test for cointegration among the model variables yielded evidence of a long-run relationship among climate change, technical progress, and the wheat yield per unit area. In the long run, agricultural machinery and fertilizer use both had significantly positive impacts on the per unit area wheat yield. A 1% increase in the aggregate quantity of fertilizer use increased the wheat yield by 0.19%. Additionally, a 1% increase in machine use increased the wheat yield by 0.21%. In contrast, precipitation during the wheat growth period (from emergence to maturity, consisting of the period from last October to June) led to a decrease in the wheat yield per unit area. In the short run, the coefficient of the aggregate quantity of fertilizer used was negative. Land size had a significantly positive impact on the per unit area wheat yield in the short run. There was no significant short-run or long-run impact of temperature on the wheat yield per unit area in Henan Province. The results of our analysis suggest that climate change had a weak impact on the wheat yield, while technical progress played an important role in increasing the wheat yield per unit area. The results of this study have implications for national and local agriculture policies under climate change. To design well-targeted agriculture adaptation policies for the future and to reduce the adverse effects of climate change on the wheat yield, climate change and technical progress factors should be considered simultaneously. In addition, adaptive measures associated with technical progress should be given more attention.

  9. Modeling the impacts of climate change and technical progress on the wheat yield in inland China: An autoregressive distributed lag approach.

    Directory of Open Access Journals (Sweden)

    Shiyan Zhai

    Full Text Available This study aims to evaluate the impacts of climate change and technical progress on the wheat yield per unit area from 1970 to 2014 in Henan, the largest agricultural province in China, using an autoregressive distributed lag approach. The bounded F-test for cointegration among the model variables yielded evidence of a long-run relationship among climate change, technical progress, and the wheat yield per unit area. In the long run, agricultural machinery and fertilizer use both had significantly positive impacts on the per unit area wheat yield. A 1% increase in the aggregate quantity of fertilizer use increased the wheat yield by 0.19%. Additionally, a 1% increase in machine use increased the wheat yield by 0.21%. In contrast, precipitation during the wheat growth period (from emergence to maturity, consisting of the period from last October to June led to a decrease in the wheat yield per unit area. In the short run, the coefficient of the aggregate quantity of fertilizer used was negative. Land size had a significantly positive impact on the per unit area wheat yield in the short run. There was no significant short-run or long-run impact of temperature on the wheat yield per unit area in Henan Province. The results of our analysis suggest that climate change had a weak impact on the wheat yield, while technical progress played an important role in increasing the wheat yield per unit area. The results of this study have implications for national and local agriculture policies under climate change. To design well-targeted agriculture adaptation policies for the future and to reduce the adverse effects of climate change on the wheat yield, climate change and technical progress factors should be considered simultaneously. In addition, adaptive measures associated with technical progress should be given more attention.

  10. Dangers and uses of cross-correlation in analyzing time series in perception, performance, movement, and neuroscience: The importance of constructing transfer function autoregressive models.

    Science.gov (United States)

    Dean, Roger T; Dunsmuir, William T M

    2016-06-01

    Many articles on perception, performance, psychophysiology, and neuroscience seek to relate pairs of time series through assessments of their cross-correlations. Most such series are individually autocorrelated: they do not comprise independent values. Given this situation, an unfounded reliance is often placed on cross-correlation as an indicator of relationships (e.g., referent vs. response, leading vs. following). Such cross-correlations can indicate spurious relationships, because of autocorrelation. Given these dangers, we here simulated how and why such spurious conclusions can arise, to provide an approach to resolving them. We show that when multiple pairs of series are aggregated in several different ways for a cross-correlation analysis, problems remain. Finally, even a genuine cross-correlation function does not answer key motivating questions, such as whether there are likely causal relationships between the series. Thus, we illustrate how to obtain a transfer function describing such relationships, informed by any genuine cross-correlations. We illustrate the confounds and the meaningful transfer functions by two concrete examples, one each in perception and performance, together with key elements of the R software code needed. The approach involves autocorrelation functions, the establishment of stationarity, prewhitening, the determination of cross-correlation functions, the assessment of Granger causality, and autoregressive model development. Autocorrelation also limits the interpretability of other measures of possible relationships between pairs of time series, such as mutual information. We emphasize that further complexity may be required as the appropriate analysis is pursued fully, and that causal intervention experiments will likely also be needed.

  11. Exploring the relationship between urbanization and energy consumption in China using ARDL (autoregressive distributed lag) and FDM (factor decomposition model)

    International Nuclear Information System (INIS)

    Liu, Yaobin

    2009-01-01

    The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization.

  12. Exploring the relationship between urbanization and energy consumption in China using ARDL (autoregressive distributed lag) and FDM (factor decomposition model)

    Energy Technology Data Exchange (ETDEWEB)

    Liu, Yaobin [Research Center of the Central China Economic Development, Nanchang University, Nanchang 330047 (China)

    2009-11-15

    The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization. (author)

  13. Vector Autoregressive Models and Granger Causality in Time Series Analysis in Nursing Research: Dynamic Changes Among Vital Signs Prior to Cardiorespiratory Instability Events as an Example.

    Science.gov (United States)

    Bose, Eliezer; Hravnak, Marilyn; Sereika, Susan M

    Patients undergoing continuous vital sign monitoring (heart rate [HR], respiratory rate [RR], pulse oximetry [SpO2]) in real time display interrelated vital sign changes during situations of physiological stress. Patterns in this physiological cross-talk could portend impending cardiorespiratory instability (CRI). Vector autoregressive (VAR) modeling with Granger causality tests is one of the most flexible ways to elucidate underlying causal mechanisms in time series data. The purpose of this article is to illustrate the development of patient-specific VAR models using vital sign time series data in a sample of acutely ill, monitored, step-down unit patients and determine their Granger causal dynamics prior to onset of an incident CRI. CRI was defined as vital signs beyond stipulated normality thresholds (HR = 40-140/minute, RR = 8-36/minute, SpO2 time segment prior to onset of first CRI was chosen for time series modeling in 20 patients using a six-step procedure: (a) the uniform time series for each vital sign was assessed for stationarity, (b) appropriate lag was determined using a lag-length selection criteria, (c) the VAR model was constructed, (d) residual autocorrelation was assessed with the Lagrange Multiplier test, (e) stability of the VAR system was checked, and (f) Granger causality was evaluated in the final stable model. The primary cause of incident CRI was low SpO2 (60% of cases), followed by out-of-range RR (30%) and HR (10%). Granger causality testing revealed that change in RR caused change in HR (21%; i.e., RR changed before HR changed) more often than change in HR causing change in RR (15%). Similarly, changes in RR caused changes in SpO2 (15%) more often than changes in SpO2 caused changes in RR (9%). For HR and SpO2, changes in HR causing changes in SpO2 and changes in SpO2 causing changes in HR occurred with equal frequency (18%). Within this sample of acutely ill patients who experienced a CRI event, VAR modeling indicated that RR changes

  14. Vector Autoregressive (VAR) Models and Granger Causality in Time Series Analysis in Nursing Research: Dynamic Changes Among Vital Signs Prior to Cardiorespiratory Instability Events as an Example

    Science.gov (United States)

    Bose, Eliezer; Hravnak, Marilyn; Sereika, Susan M.

    2016-01-01

    Background Patients undergoing continuous vital sign monitoring (heart rate [HR], respiratory rate [RR], pulse oximetry [SpO2]) in real time display inter-related vital sign changes during situations of physiologic stress. Patterns in this physiological cross-talk could portend impending cardiorespiratory instability (CRI). Vector autoregressive (VAR) modeling with Granger causality tests is one of the most flexible ways to elucidate underlying causal mechanisms in time series data. Purpose The purpose of this article is to illustrate development of patient-specific VAR models using vital sign time series (VSTS) data in a sample of acutely ill, monitored, step-down unit (SDU) patients, and determine their Granger causal dynamics prior to onset of an incident CRI. Approach CRI was defined as vital signs beyond stipulated normality thresholds (HR = 40–140/minute, RR = 8–36/minute, SpO2 < 85%) and persisting for 3 minutes within a 5-minute moving window (60% of the duration of the window). A 6-hour time segment prior to onset of first CRI was chosen for time series modeling in 20 patients using a six-step procedure: (a) the uniform time series for each vital sign was assessed for stationarity; (b) appropriate lag was determined using a lag-length selection criteria; (c) the VAR model was constructed; (d) residual autocorrelation was assessed with the Lagrange Multiplier test; (e) stability of the VAR system was checked; and (f) Granger causality was evaluated in the final stable model. Results The primary cause of incident CRI was low SpO2 (60% of cases), followed by out-of-range RR (30%) and HR (10%). Granger causality testing revealed that change in RR caused change in HR (21%) (i.e., RR changed before HR changed) more often than change in HR causing change in RR (15%). Similarly, changes in RR caused changes in SpO2 (15%) more often than changes in SpO2 caused changes in RR (9%). For HR and SpO2, changes in HR causing changes in SpO2 and changes in SpO2 causing

  15. Modelling classroom conditions with different boundary conditions

    DEFF Research Database (Denmark)

    Marbjerg, Gerd Høy; Jeong, Cheol-Ho; Brunskog, Jonas

    2014-01-01

    A model that combines image source modelling and acoustical radiosity with complex boundary condition, thus including phase shifts on reflection has been developed. The model is called PARISM (Phased Acoustical Radiosity and Image Source Model). It has been developed in order to be able to model...

  16. Correlation-constrained and sparsity-controlled vector autoregressive model for spatio-temporal wind power forecasting

    DEFF Research Database (Denmark)

    Zhao, Yongning; Ye, Lin; Pinson, Pierre

    2018-01-01

    The ever-increasing number of wind farms has brought both challenges and opportunities in the development of wind power forecasting techniques to take advantage of interdependenciesbetweentensorhundredsofspatiallydistributedwind farms, e.g., over a region. In this paper, a Sparsity-Controlled Vec......The ever-increasing number of wind farms has brought both challenges and opportunities in the development of wind power forecasting techniques to take advantage of interdependenciesbetweentensorhundredsofspatiallydistributedwind farms, e.g., over a region. In this paper, a Sparsity...... matrices in direct manner. However this original SC-VAR is difficult to implement due to its complicated constraints and the lack of guidelines for setting its parameters. To reduce the complexity of this MINLP and to make it possible to incorporate prior expert knowledge to benefit model building...

  17. Markov-switching model for nonstationary runoff conditioned on El Nino information

    DEFF Research Database (Denmark)

    Gelati, Emiliano; Madsen, H.; Rosbjerg, Dan

    2010-01-01

    We define a Markov-modulated autoregressive model with exogenous input (MARX) to generate runoff scenarios using climatic information. Runoff parameterization is assumed to be conditioned on a hidden climate state following a Markov chain, where state transition probabilities are functions...... of the climatic input. MARX allows stochastic modeling of nonstationary runoff, as runoff anomalies are described by a mixture of autoregressive models with exogenous input, each one corresponding to a climate state. We apply MARX to inflow time series of the Daule Peripa reservoir (Ecuador). El Nino Southern...... Oscillation (ENSO) information is used to condition runoff parameterization. Among the investigated ENSO indexes, the NINO 1+2 sea surface temperature anomalies and the trans-Nino index perform best as predictors. In the perspective of reservoir optimization at various time scales, MARX produces realistic...

  18. Life insurance, financial development and economic growth in South Africa: An application of the autoregressive distributed lag model

    Directory of Open Access Journals (Sweden)

    Athenia Bongani Sibindi

    2014-12-01

    Full Text Available The life insurance sector may contribute to economic growth by its very mechanism of savings mobilisation and thereby performing an intermediation role in the economy. This ensures that capital is provided to deficient units who are in need of capital to finance their working capital requirements and invest in technology thereby resulting in an increase in output. In this way, it could be argued that life insurance development spurs financial development. In this article we investigate the causal relationship between the life insurance sector, financial development and economic growth in South Africa for the period 1990 to 2012 by applying the ARDL bounds testing procedure. We make use of life insurance density as the proxy for life insurance development, real per capita growth domestic product as the proxy for economic growth and real broad money per capita as the proxy for financial development. We test for cointegration amongst the variables by applying the bounds test and then proceed to test for Granger causality based on the error correction model. Our results confirm that the variables are cointegrated and move in tandem to each other in the long-run. The results also indicate that the direction of causality runs from the economy to the life insurance sector in the short-run which is consistent with the “demand-following” insurance-growth hypothesis. There is also evidence of bidirectional Granger causality running from the economy to financial development and vice versa, both in the long-run and short-run. The results also reveal that life insurance complements financial development in bringing about economic growth further lending credence to the “complementarity” hypothesis

  19. Autoregressive Moving Average Graph Filtering

    OpenAIRE

    Isufi, Elvin; Loukas, Andreas; Simonetto, Andrea; Leus, Geert

    2016-01-01

    One of the cornerstones of the field of signal processing on graphs are graph filters, direct analogues of classical filters, but intended for signals defined on graphs. This work brings forth new insights on the distributed graph filtering problem. We design a family of autoregressive moving average (ARMA) recursions, which (i) are able to approximate any desired graph frequency response, and (ii) give exact solutions for tasks such as graph signal denoising and interpolation. The design phi...

  20. Testing periodically integrated autoregressive models

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); M.J. McAleer (Michael)

    1997-01-01

    textabstractPeriodically integrated time series require a periodic differencing filter to remove the stochastic trend. A non-periodic integrated time series needs the first-difference filter for similar reasons. When the changing seasonal fluctuations for the non-periodic integrated series can be

  1. Kepler AutoRegressive Planet Search (KARPS)

    Science.gov (United States)

    Caceres, Gabriel

    2018-01-01

    One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The Kepler AutoRegressive Planet Search (KARPS) project implements statistical methodology associated with autoregressive processes (in particular, ARIMA and ARFIMA) to model stellar lightcurves in order to improve exoplanet transit detection. We also develop a novel Transit Comb Filter (TCF) applied to the AR residuals which provides a periodogram analogous to the standard Box-fitting Least Squares (BLS) periodogram. We train a random forest classifier on known Kepler Objects of Interest (KOIs) using select features from different stages of this analysis, and then use ROC curves to define and calibrate the criteria to recover the KOI planet candidates with high fidelity. These statistical methods are detailed in a contributed poster (Feigelson et al., this meeting).These procedures are applied to the full DR25 dataset of NASA’s Kepler mission. Using the classification criteria, a vast majority of known KOIs are recovered and dozens of new KARPS Candidate Planets (KCPs) discovered, including ultra-short period exoplanets. The KCPs will be briefly presented and discussed.

  2. Kepler AutoRegressive Planet Search

    Science.gov (United States)

    Caceres, Gabriel Antonio; Feigelson, Eric

    2016-01-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; AR-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. The analysis procedures of the project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. Our findings to date on real

  3. An algebraic method for constructing stable and consistent autoregressive filters

    International Nuclear Information System (INIS)

    Harlim, John; Hong, Hoon; Robbins, Jacob L.

    2015-01-01

    In this paper, we introduce an algebraic method to construct stable and consistent univariate autoregressive (AR) models of low order for filtering and predicting nonlinear turbulent signals with memory depth. By stable, we refer to the classical stability condition for the AR model. By consistent, we refer to the classical consistency constraints of Adams–Bashforth methods of order-two. One attractive feature of this algebraic method is that the model parameters can be obtained without directly knowing any training data set as opposed to many standard, regression-based parameterization methods. It takes only long-time average statistics as inputs. The proposed method provides a discretization time step interval which guarantees the existence of stable and consistent AR model and simultaneously produces the parameters for the AR models. In our numerical examples with two chaotic time series with different characteristics of decaying time scales, we find that the proposed AR models produce significantly more accurate short-term predictive skill and comparable filtering skill relative to the linear regression-based AR models. These encouraging results are robust across wide ranges of discretization times, observation times, and observation noise variances. Finally, we also find that the proposed model produces an improved short-time prediction relative to the linear regression-based AR-models in forecasting a data set that characterizes the variability of the Madden–Julian Oscillation, a dominant tropical atmospheric wave pattern

  4. An extension of cointegration to fractional autoregressive processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional pr...

  5. A generalized conditional heteroscedastic model for temperature downscaling

    Science.gov (United States)

    Modarres, R.; Ouarda, T. B. M. J.

    2014-11-01

    This study describes a method for deriving the time varying second order moment, or heteroscedasticity, of local daily temperature and its association to large Coupled Canadian General Circulation Models predictors. This is carried out by applying a multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) approach to construct the conditional variance-covariance structure between General Circulation Models (GCMs) predictors and maximum and minimum temperature time series during 1980-2000. Two MGARCH specifications namely diagonal VECH and dynamic conditional correlation (DCC) are applied and 25 GCM predictors were selected for a bivariate temperature heteroscedastic modeling. It is observed that the conditional covariance between predictors and temperature is not very strong and mostly depends on the interaction between the random process governing temporal variation of predictors and predictants. The DCC model reveals a time varying conditional correlation between GCM predictors and temperature time series. No remarkable increasing or decreasing change is observed for correlation coefficients between GCM predictors and observed temperature during 1980-2000 while weak winter-summer seasonality is clear for both conditional covariance and correlation. Furthermore, the stationarity and nonlinearity Kwiatkowski-Phillips-Schmidt-Shin (KPSS) and Brock-Dechert-Scheinkman (BDS) tests showed that GCM predictors, temperature and their conditional correlation time series are nonlinear but stationary during 1980-2000 according to BDS and KPSS test results. However, the degree of nonlinearity of temperature time series is higher than most of the GCM predictors.

  6. Modeling of Volatility with Non-linear Time Series Model

    OpenAIRE

    Kim Song Yon; Kim Mun Chol

    2013-01-01

    In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its parameter estimation is studied.

  7. Stable Parameter Estimation for Autoregressive Equations with Random Coefficients

    Directory of Open Access Journals (Sweden)

    V. B. Goryainov

    2014-01-01

    Full Text Available In recent yearsthere has been a growing interest in non-linear time series models. They are more flexible than traditional linear models and allow more adequate description of real data. Among these models a autoregressive model with random coefficients plays an important role. It is widely used in various fields of science and technology, for example, in physics, biology, economics and finance. The model parameters are the mean values of autoregressive coefficients. Their evaluation is the main task of model identification. The basic method of estimation is still the least squares method, which gives good results for Gaussian time series, but it is quite sensitive to even small disturbancesin the assumption of Gaussian observations. In this paper we propose estimates, which generalize the least squares estimate in the sense that the quadratic objective function is replaced by an arbitrary convex and even function. Reasonable choice of objective function allows you to keep the benefits of the least squares estimate and eliminate its shortcomings. In particular, you can make it so that they will be almost as effective as the least squares estimate in the Gaussian case, but almost never loose in accuracy with small deviations of the probability distribution of the observations from the Gaussian distribution.The main result is the proof of consistency and asymptotic normality of the proposed estimates in the particular case of the one-parameter model describing the stationary process with finite variance. Another important result is the finding of the asymptotic relative efficiency of the proposed estimates in relation to the least squares estimate. This allows you to compare the two estimates, depending on the probability distribution of innovation process and of autoregressive coefficients. The results can be used to identify an autoregressive process, especially with nonGaussian nature, and/or of autoregressive processes observed with gross

  8. Volatility in GARCH Models of Business Tendency Index

    Science.gov (United States)

    Wahyuni, Dwi A. S.; Wage, Sutarman; Hartono, Ateng

    2018-01-01

    This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.

  9. The development of a non-linear autoregressive model with exogenous input (NARX) to model climate-water clarity relationships: reconstructing a historical water clarity index for the coastal waters of the southeastern USA

    Science.gov (United States)

    Lee, Cameron C.; Sheridan, Scott C.; Barnes, Brian B.; Hu, Chuanmin; Pirhalla, Douglas E.; Ransibrahmanakul, Varis; Shein, Karsten

    2017-10-01

    The coastal waters of the southeastern USA contain important protected habitats and natural resources that are vulnerable to climate variability and singular weather events. Water clarity, strongly affected by atmospheric events, is linked to substantial environmental impacts throughout the region. To assess this relationship over the long-term, this study uses an artificial neural network-based time series modeling technique known as non-linear autoregressive models with exogenous input (NARX models) to explore the relationship between climate and a water clarity index (KDI) in this area and to reconstruct this index over a 66-year period. Results show that synoptic-scale circulation patterns, weather types, and precipitation all play roles in impacting water clarity to varying degrees in each region of the larger domain. In particular, turbid water is associated with transitional weather and cyclonic circulation in much of the study region. Overall, NARX model performance also varies—regionally, seasonally and interannually—with wintertime estimates of KDI along the West Florida Shelf correlating to the actual KDI at r > 0.70. Periods of extreme (high) KDI in this area coincide with notable El Niño events. An upward trend in extreme KDI events from 1948 to 2013 is also present across much of the Florida Gulf coast.

  10. Penalised Complexity Priors for Stationary Autoregressive Processes

    KAUST Repository

    Sø rbye, Sigrunn Holbek; Rue, Haavard

    2017-01-01

    The autoregressive (AR) process of order p(AR(p)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR(p) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior distribution, to ensure that it behaves according to the users' prior knowledge. In this article, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These prior have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time-dependent frailty. For higher-order processes, we propose a sequential approach, where the base model for AR(p) is the corresponding AR(p-1) model expressed using the partial autocorrelations. The properties of the new prior distribution are compared with the reference prior in a simulation study.

  11. Penalised Complexity Priors for Stationary Autoregressive Processes

    KAUST Repository

    Sørbye, Sigrunn Holbek

    2017-05-25

    The autoregressive (AR) process of order p(AR(p)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR(p) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior distribution, to ensure that it behaves according to the users\\' prior knowledge. In this article, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These prior have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time-dependent frailty. For higher-order processes, we propose a sequential approach, where the base model for AR(p) is the corresponding AR(p-1) model expressed using the partial autocorrelations. The properties of the new prior distribution are compared with the reference prior in a simulation study.

  12. Characteristics of the transmission of autoregressive sub-patterns in financial time series

    Science.gov (United States)

    Gao, Xiangyun; An, Haizhong; Fang, Wei; Huang, Xuan; Li, Huajiao; Zhong, Weiqiong

    2014-09-01

    There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

  13. The ACR Model

    DEFF Research Database (Denmark)

    Bec, Frederique; Rahbek, Anders Christian; Shephard, Neil

    2008-01-01

    This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...... switching class of models, which are commonly used to describe nonlinear dynamics as implied by arbitrage in presence of transaction costs. Simple conditions on the parameters of the ACR process and its innovations are shown to imply geometric ergodicity, stationarity and existence of moments. Furthermore...

  14. On the Stationarity of Multiple Autoregressive Approximants: Theory and Algorithms

    Science.gov (United States)

    1976-08-01

    a I (3.4) Hannan and Terrell (1972) consider problems of a similar nature. Efficient estimates A(1),... , A(p) , and i of A(1)... ,A(p) and...34Autoregressive model fitting for control, Ann . Inst. Statist. Math., 23, 163-180. Hannan, E. J. (1970), Multiple Time Series, New York, John Wiley...Hannan, E. J. and Terrell , R. D. (1972), "Time series regression with linear constraints, " International Economic Review, 13, 189-200. Masani, P

  15. The Employment of spatial autoregressive models in predicting demand for natural gas; O Emprego de modelos auto-regressivos espaciais na previsao de demanda para gas natural

    Energy Technology Data Exchange (ETDEWEB)

    Castro, Jorge Henrique de [Petroleo Brasileiro S.A. (PETROBRAS), Rio de Janeiro, RJ (Brazil); Silva, Alexandre Pinto Alves da [Coordenacao dos Programas de Pos-Graduacao de Engenharia (COPPE/UFRJ), RJ (Brazil). Programa de Engenharia Eletrica

    2010-07-01

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  16. Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region

    Science.gov (United States)

    Khan, Muhammad Yousaf; Mittnik, Stefan

    2018-01-01

    In this study, we extended the application of linear and nonlinear time models in the field of earthquake seismology and examined the out-of-sample forecast accuracy of linear Autoregressive (AR), Autoregressive Conditional Duration (ACD), Self-Exciting Threshold Autoregressive (SETAR), Threshold Autoregressive (TAR), Logistic Smooth Transition Autoregressive (LSTAR), Additive Autoregressive (AAR), and Artificial Neural Network (ANN) models for seismic data of the Hindu Kush region. We also extended the previous studies by using Vector Autoregressive (VAR) and Threshold Vector Autoregressive (TVAR) models and compared their forecasting accuracy with linear AR model. Unlike previous studies that typically consider the threshold model specifications by using internal threshold variable, we specified these models with external transition variables and compared their out-of-sample forecasting performance with the linear benchmark AR model. The modeling results show that time series models used in the present study are capable of capturing the dynamic structure present in the seismic data. The point forecast results indicate that the AR model generally outperforms the nonlinear models. However, in some cases, threshold models with external threshold variables specification produce more accurate forecasts, indicating that specification of threshold time series models is of crucial importance. For raw seismic data, the ACD model does not show an improved out-of-sample forecasting performance over the linear AR model. The results indicate that the AR model is the best forecasting device to model and forecast the raw seismic data of the Hindu Kush region.

  17. Extreme Conditions Modeling Workshop Report

    Energy Technology Data Exchange (ETDEWEB)

    Coe, R. G.; Neary, V. S.; Lawson, M. J.; Yu, Y.; Weber, J.

    2014-07-01

    Sandia National Laboratories (SNL) and the National Renewable Energy Laboratory (NREL) hosted the Wave Energy Converter (WEC) Extreme Conditions Modeling (ECM) Workshop in Albuquerque, NM on May 13th-14th, 2014. The objective of the workshop was to review the current state of knowledge on how to model WECs in extreme conditions (e.g. hurricanes and other large storms) and to suggest how U.S. Department of Energy (DOE) and national laboratory resources could be used to improve ECM methods for the benefit of the wave energy industry.

  18. The Integration Order of Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...

  19. Predication of Crane Condition Parameters Based on SVM and AR

    International Nuclear Information System (INIS)

    Xu Xiuzhong; Hu Xiong; Zhou Congxiao

    2011-01-01

    Through statistic analysis of vibration signals of motor on the container crane hoisting mechanism in a port, the feature vectors with vibration are obtained. Through data preprocessing and training data, Training models of condition parameters based on support vector machine (SVM) are established. The testing data of condition monitoring parameters can be predicted by the training models. During training the models, the penalty parameter and kernel function of model are optimized by cross validation. In order to analysis the accurate of SVM model, autoregressive model is used to predict the trend of vibration. The research showed the predicted results of model using SVM are better than the results by autoregressive (AR) modeling.

  20. Monthly streamflow forecasting with auto-regressive integrated moving average

    Science.gov (United States)

    Nasir, Najah; Samsudin, Ruhaidah; Shabri, Ani

    2017-09-01

    Forecasting of streamflow is one of the many ways that can contribute to better decision making for water resource management. The auto-regressive integrated moving average (ARIMA) model was selected in this research for monthly streamflow forecasting with enhancement made by pre-processing the data using singular spectrum analysis (SSA). This study also proposed an extension of the SSA technique to include a step where clustering was performed on the eigenvector pairs before reconstruction of the time series. The monthly streamflow data of Sungai Muda at Jeniang, Sungai Muda at Jambatan Syed Omar and Sungai Ketil at Kuala Pegang was gathered from the Department of Irrigation and Drainage Malaysia. A ratio of 9:1 was used to divide the data into training and testing sets. The ARIMA, SSA-ARIMA and Clustered SSA-ARIMA models were all developed in R software. Results from the proposed model are then compared to a conventional auto-regressive integrated moving average model using the root-mean-square error and mean absolute error values. It was found that the proposed model can outperform the conventional model.

  1. Extreme Conditions Modeling Workshop Report

    Energy Technology Data Exchange (ETDEWEB)

    Coe, Ryan Geoffrey [Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States); Neary, Vincent Sinclair [Sandia National Laboratories (SNL-NM), Albuquerque, NM (United States); Lawon, Michael J. [National Renewable Energy Lab. (NREL), Golden, CO (United States); Yu, Yi-Hsiang [National Renewable Energy Lab. (NREL), Golden, CO (United States); Weber, Jochem [National Renewable Energy Lab. (NREL), Golden, CO (United States)

    2014-07-01

    Sandia National Laboratories (SNL) and the National Renewable Energy Laboratory (NREL) hosted the Wave Energy Converter (WEC) Extreme Conditions Modeling (ECM) Workshop in Albuquerque, New Mexico on May 13–14, 2014. The objective of the workshop was to review the current state of knowledge on how to numerically and experimentally model WECs in extreme conditions (e.g. large ocean storms) and to suggest how national laboratory resources could be used to improve ECM methods for the benefit of the wave energy industry. More than 30 U.S. and European WEC experts from industry, academia, and national research institutes attended the workshop, which consisted of presentations from W EC developers, invited keynote presentations from subject matter experts, breakout sessions, and a final plenary session .

  2. OPAL Netlogo Land Condition Model

    Science.gov (United States)

    2014-08-15

    ER D C/ CE RL T R- 14 -1 2 Optimal Allocation of Land for Training and Non-training Uses ( OPAL ) OPAL Netlogo Land Condition Model...Fulton, Natalie Myers, Scott Tweddale, Dick Gebhart, Ryan Busby, Anne Dain-Owens, and Heidi Howard August 2014 OPAL team measuring above and...online library at http://acwc.sdp.sirsi.net/client/default. Optimal Allocation of Land for Training and Non-training Uses ( OPAL ) ERDC/CERL TR-14-12

  3. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    la Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....

  4. Multistage Stochastic Programming via Autoregressive Sequences

    Czech Academy of Sciences Publication Activity Database

    Kaňková, Vlasta

    2007-01-01

    Roč. 15, č. 4 (2007), s. 99-110 ISSN 0572-3043 R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/0990; GA ČR GD402/03/H057 Institutional research plan: CEZ:AV0Z10750506 Keywords : Economic proceses * Multistage stochastic programming * autoregressive sequences * individual probability constraints Subject RIV: BB - Applied Statistics, Operational Research

  5. The spatial distribution of flocking foragers : disentangling the effects of food availability, interference and conspecific attraction by means of spatial autoregressive modeling

    NARCIS (Netherlands)

    Folmer, Eelke O.; Olff, Han; Piersma, Theunis; Robinson, Rob

    Patch choice of foraging animals is typically assumed to depend positively on food availability and negatively on interference while benefits of the co-occurrence of conspecifics tend to be ignored. In this paper we integrate a classical functional response model based on resource availability and

  6. Autoregressive Processes in Homogenization of GNSS Tropospheric Data

    Science.gov (United States)

    Klos, A.; Bogusz, J.; Teferle, F. N.; Bock, O.; Pottiaux, E.; Van Malderen, R.

    2016-12-01

    Offsets due to changes in hardware equipment or any other artificial event are all a subject of a task of homogenization of tropospheric data estimated within a processing of Global Navigation Satellite System (GNSS) observables. This task is aimed at identifying exact epochs of offsets and estimate their magnitudes since they may artificially under- or over-estimate trend and its uncertainty delivered from tropospheric data and used in climate studies. In this research, we analysed a common data set of differences of Integrated Water Vapour (IWV) from GPS and ERA-Interim (1995-2010) provided for a homogenization group working within ES1206 COST Action GNSS4SWEC. We analysed daily IWV records of GPS and ERA-Interim in terms of trend, seasonal terms and noise model with Maximum Likelihood Estimation in Hector software. We found that this data has a character of autoregressive process (AR). Basing on this analysis, we performed Monte Carlo simulations of 25 years long data with two different noise types: white as well as combination of white and autoregressive and also added few strictly defined offsets. This synthetic data set of exactly the same character as IWV from GPS and ERA-Interim was then subjected to a task of manual and automatic/statistical homogenization. We made blind tests and detected possible epochs of offsets manually. We found that simulated offsets were easily detected in series with white noise, no influence of seasonal signal was noticed. The autoregressive series were much more problematic when offsets had to be determined. We found few epochs, for which no offset was simulated. This was mainly due to strong autocorrelation of data, which brings an artificial trend within. Due to regime-like behaviour of AR it is difficult for statistical methods to properly detect epochs of offsets, which was previously reported by climatologists.

  7. THE ALLOMETRIC-AUTOREGRESSIVE MODEL IN GENETIC ...

    African Journals Online (AJOL)

    x(t) = In (cumulative feed intake) at time t, x(O) = In (cumulative feed intake) at time O. where w = body mass and v = cumulative feed in- take (Roux, 1976). Slope (b) and intercept (In a) can thus be estimated by linear least squares pro- cedures. Part of MSc (Agric) thesis of the senior author sub- mitted to the University of the ...

  8. Multivariate autoregressive algorithms for ocean wave modelling

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; Lyons, G.J.; Witz, J.A.

    stream_size 8 stream_content_type text/plain stream_name 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt stream_source_info 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt Content-Encoding ISO-8859-1 Content-Type text...

  9. A Vector AutoRegressive (VAR) Approach to the Credit Channel for ...

    African Journals Online (AJOL)

    This paper is an attempt to determine the presence and empirical significance of monetary policy and the bank lending view of the credit channel for Mauritius, which is particularly relevant at these times. A vector autoregressive (VAR) model of order three is used to examine the monetary transmission mechanism using ...

  10. Bayesian informative dropout model for longitudinal binary data with random effects using conditional and joint modeling approaches.

    Science.gov (United States)

    Chan, Jennifer S K

    2016-05-01

    Dropouts are common in longitudinal study. If the dropout probability depends on the missing observations at or after dropout, this type of dropout is called informative (or nonignorable) dropout (ID). Failure to accommodate such dropout mechanism into the model will bias the parameter estimates. We propose a conditional autoregressive model for longitudinal binary data with an ID model such that the probabilities of positive outcomes as well as the drop-out indicator in each occasion are logit linear in some covariates and outcomes. This model adopting a marginal model for outcomes and a conditional model for dropouts is called a selection model. To allow for the heterogeneity and clustering effects, the outcome model is extended to incorporate mixture and random effects. Lastly, the model is further extended to a novel model that models the outcome and dropout jointly such that their dependency is formulated through an odds ratio function. Parameters are estimated by a Bayesian approach implemented using the user-friendly Bayesian software WinBUGS. A methadone clinic dataset is analyzed to illustrate the proposed models. Result shows that the treatment time effect is still significant but weaker after allowing for an ID process in the data. Finally the effect of drop-out on parameter estimates is evaluated through simulation studies. © 2015 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

  11. Asymptotically stable phase synchronization revealed by autoregressive circle maps

    Science.gov (United States)

    Drepper, F. R.

    2000-11-01

    A specially designed of nonlinear time series analysis is introduced based on phases, which are defined as polar angles in spaces spanned by a finite number of delayed coordinates. A canonical choice of the polar axis and a related implicit estimation scheme for the potentially underlying autoregressive circle map (next phase map) guarantee the invertibility of reconstructed phase space trajectories to the original coordinates. The resulting Fourier approximated, invertibility enforcing phase space map allows us to detect conditional asymptotic stability of coupled phases. This comparatively general synchronization criterion unites two existing generalizations of the old concept and can successfully be applied, e.g., to phases obtained from electrocardiogram and airflow recordings characterizing cardiorespiratory interaction.

  12. Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models

    DEFF Research Database (Denmark)

    Ørregård Nielsen, Morten

    2015-01-01

    the multivariate non-cointegrated fractional autoregressive integrated moving average (ARIMA) model. The novelty of the consistency result, in particular, is that it applies to a multivariate model and to an arbitrarily large set of admissible parameter values, for which the objective function does not converge...

  13. Stochastic conditional intensity processes

    DEFF Research Database (Denmark)

    Bauwens, Luc; Hautsch, Nikolaus

    2006-01-01

    model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence......In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed...... for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process...

  14. Sensor network based solar forecasting using a local vector autoregressive ridge framework

    Energy Technology Data Exchange (ETDEWEB)

    Xu, J. [Stony Brook Univ., NY (United States); Yoo, S. [Brookhaven National Lab. (BNL), Upton, NY (United States); Heiser, J. [Brookhaven National Lab. (BNL), Upton, NY (United States); Kalb, P. [Brookhaven National Lab. (BNL), Upton, NY (United States)

    2016-04-04

    The significant improvements and falling costs of photovoltaic (PV) technology make solar energy a promising resource, yet the cloud induced variability of surface solar irradiance inhibits its effective use in grid-tied PV generation. Short-term irradiance forecasting, especially on the minute scale, is critically important for grid system stability and auxiliary power source management. Compared to the trending sky imaging devices, irradiance sensors are inexpensive and easy to deploy but related forecasting methods have not been well researched. The prominent challenge of applying classic time series models on a network of irradiance sensors is to address their varying spatio-temporal correlations due to local changes in cloud conditions. We propose a local vector autoregressive framework with ridge regularization to forecast irradiance without explicitly determining the wind field or cloud movement. By using local training data, our learned forecast model is adaptive to local cloud conditions and by using regularization, we overcome the risk of overfitting from the limited training data. Our systematic experimental results showed an average of 19.7% RMSE and 20.2% MAE improvement over the benchmark Persistent Model for 1-5 minute forecasts on a comprehensive 25-day dataset.

  15. Biometeorological and autoregressive indices for predicting olive pollen intensity.

    Science.gov (United States)

    Oteros, J; García-Mozo, H; Hervás, C; Galán, C

    2013-03-01

    This paper reports on modelling to predict airborne olive pollen season severity, expressed as a pollen index (PI), in Córdoba province (southern Spain) several weeks prior to the pollen season start. Using a 29-year database (1982-2010), a multivariate regression model based on five indices-the index-based model-was built to enhance the efficacy of prediction models. Four of the indices used were biometeorological indices: thermal index, pre-flowering hydric index, dormancy hydric index and summer index; the fifth was an autoregressive cyclicity index based on pollen data from previous years. The extreme weather events characteristic of the Mediterranean climate were also taken into account by applying different adjustment criteria. The results obtained with this model were compared with those yielded by a traditional meteorological-based model built using multivariate regression analysis of simple meteorological-related variables. The performance of the models (confidence intervals, significance levels and standard errors) was compared, and they were also validated using the bootstrap method. The index-based model built on biometeorological and cyclicity indices was found to perform better for olive pollen forecasting purposes than the traditional meteorological-based model.

  16. On robust forecasting of autoregressive time series under censoring

    OpenAIRE

    Kharin, Y.; Badziahin, I.

    2009-01-01

    Problems of robust statistical forecasting are considered for autoregressive time series observed under distortions generated by interval censoring. Three types of robust forecasting statistics are developed; meansquare risk is evaluated for the developed forecasting statistics. Numerical results are given.

  17. Autoregressive processes with exponentially decaying probability distribution functions: applications to daily variations of a stock market index.

    Science.gov (United States)

    Porto, Markus; Roman, H Eduardo

    2002-04-01

    We consider autoregressive conditional heteroskedasticity (ARCH) processes in which the variance sigma(2)(y) depends linearly on the absolute value of the random variable y as sigma(2)(y) = a+b absolute value of y. While for the standard model, where sigma(2)(y) = a + b y(2), the corresponding probability distribution function (PDF) P(y) decays as a power law for absolute value of y-->infinity, in the linear case it decays exponentially as P(y) approximately exp(-alpha absolute value of y), with alpha = 2/b. We extend these results to the more general case sigma(2)(y) = a+b absolute value of y(q), with 0 history of the ARCH process is taken into account, the resulting PDF becomes a stretched exponential even for q = 1, with a stretched exponent beta = 2/3, in a much better agreement with the empirical data.

  18. Estimation of the order of an autoregressive time series: a Bayesian approach

    International Nuclear Information System (INIS)

    Robb, L.J.

    1980-01-01

    Finite-order autoregressive models for time series are often used for prediction and other inferences. Given the order of the model, the parameters of the models can be estimated by least-squares, maximum-likelihood, or Yule-Walker method. The basic problem is estimating the order of the model. The problem of autoregressive order estimation is placed in a Bayesian framework. This approach illustrates how the Bayesian method brings the numerous aspects of the problem together into a coherent structure. A joint prior probability density is proposed for the order, the partial autocorrelation coefficients, and the variance; and the marginal posterior probability distribution for the order, given the data, is obtained. It is noted that the value with maximum posterior probability is the Bayes estimate of the order with respect to a particular loss function. The asymptotic posterior distribution of the order is also given. In conclusion, Wolfer's sunspot data as well as simulated data corresponding to several autoregressive models are analyzed according to Akaike's method and the Bayesian method. Both methods are observed to perform quite well, although the Bayesian method was clearly superior, in most cases

  19. RADIONUCLIDE TRANSPORT MODELS UNDER AMBIENT CONDITIONS

    Energy Technology Data Exchange (ETDEWEB)

    S. Magnuson

    2004-11-01

    The purpose of this model report is to document the unsaturated zone (UZ) radionuclide transport model, which evaluates, by means of three-dimensional numerical models, the transport of radioactive solutes and colloids in the UZ, under ambient conditions, from the repository horizon to the water table at Yucca Mountain, Nevada.

  20. Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity

    OpenAIRE

    Takatoshi Ito

    1984-01-01

    In this paper, a vector autoregression model (VAR) is proposed in order to test uncovered interest parity (UIP) in the foreign exchange market. Consider a VAR system of the spot exchange rate (yen/dollar), the domestic (US) interest rate and the foreign (Japanese) interest rate, describing the interdependence of the domestic and international financia lmarkets. Uncovered interest parity is stated as a null hypothesis that the current difference between the two interest rates is equal to the d...

  1. Exchange rate pass-through in Switzerland: Evidence from vector autoregressions

    OpenAIRE

    Jonas Stulz

    2007-01-01

    This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer ...

  2. Prediction of municipal solid waste generation using nonlinear autoregressive network.

    Science.gov (United States)

    Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A

    2015-12-01

    Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm.

  3. Predictive Uncertainty Estimation in Water Demand Forecasting Using the Model Conditional Processor

    Directory of Open Access Journals (Sweden)

    Amos O. Anele

    2018-04-01

    Full Text Available In a previous paper, a number of potential models for short-term water demand (STWD prediction have been analysed to find the ones with the best fit. The results obtained in Anele et al. (2017 showed that hybrid models may be considered as the accurate and appropriate forecasting models for STWD prediction. However, such best single valued forecast does not guarantee reliable and robust decisions, which can be properly obtained via model uncertainty processors (MUPs. MUPs provide an estimate of the full predictive densities and not only the single valued expected prediction. Amongst other MUPs, the purpose of this paper is to use the multi-variate version of the model conditional processor (MCP, proposed by Todini (2008, to demonstrate how the estimation of the predictive probability conditional to a number of relatively good predictive models may improve our knowledge, thus reducing the predictive uncertainty (PU when forecasting into the unknown future. Through the MCP approach, the probability distribution of the future water demand can be assessed depending on the forecast provided by one or more deterministic forecasting models. Based on an average weekly data of 168 h, the probability density of the future demand is built conditional on three models’ predictions, namely the autoregressive-moving average (ARMA, feed-forward back propagation neural network (FFBP-NN and hybrid model (i.e., combined forecast from ARMA and FFBP-NN. The results obtained show that MCP may be effectively used for real-time STWD prediction since it brings out the PU connected to its forecast, and such information could help water utilities estimate the risk connected to a decision.

  4. Conditional shape models for cardiac motion estimation

    DEFF Research Database (Denmark)

    Metz, Coert; Baka, Nora; Kirisli, Hortense

    2010-01-01

    We propose a conditional statistical shape model to predict patient specific cardiac motion from the 3D end-diastolic CTA scan. The model is built from 4D CTA sequences by combining atlas based segmentation and 4D registration. Cardiac motion estimation is, for example, relevant in the dynamic...

  5. Radionuclide Transport Models Under Ambient Conditions

    International Nuclear Information System (INIS)

    Moridis, G.; Hu, Q.

    2001-01-01

    The purpose of Revision 00 of this Analysis/Model Report (AMR) is to evaluate (by means of 2-D semianalytical and 3-D numerical models) the transport of radioactive solutes and colloids in the unsaturated zone (UZ) under ambient conditions from the potential repository horizon to the water table at Yucca Mountain (YM), Nevada

  6. Drought Forecasting with Vegetation Temperature Condition Index Using ARIMA Models in the Guanzhong Plain

    Directory of Open Access Journals (Sweden)

    Miao Tian

    2016-08-01

    Full Text Available This paper works on the agricultural drought forecasting in the Guanzhong Plain of China using Autoregressive Integrated Moving Average (ARIMA models based on the time series of drought monitoring results of Vegetation Temperature Condition Index (VTCI. About 90 VTCI images derived from Advanced Very High Resolution Radiometer (AVHRR data were selected to develop the ARIMA models from the erecting stage to the maturity stage of winter wheat (early March to late May in each year at a ten-day interval of the years from 2000 to 2009. We take the study area overlying on the administration map around the study area, and divide the study area into 17 parts where at least one weather station is located in each part. The pixels where the 17 weather stations are located are firstly chosen and studied for their fitting models, and then the best models for all pixels of the whole area are determined. According to the procedures for the models’ development, the selected best models for the 17 pixels are identified and the forecast is done with three steps. The forecasting results of the ARIMA models were compared with the monitoring ones. The results show that with reference to the categorized VTCI drought monitoring results, the categorized forecasting results of the ARIMA models are in good agreement with the monitoring ones. The categorized drought forecasting results of the ARIMA models are more severity in the northeast of the Plain in April 2009, which are in good agreements with the monitoring ones. The absolute errors of the AR(1 models are lower than the SARIMA models, both in the frequency distributions and in the statistic results. However, the ability of SARIMA models to detect the changes of the drought situation is better than the AR(1 models. These results indicate that the ARIMA models can better forecast the category and extent of droughts and can be applied to forecast droughts in the Plain.

  7. Asset Condition, Information Systems and Decision Models

    CERN Document Server

    Willett, Roger; Brown, Kerry; Mathew, Joseph

    2012-01-01

    Asset Condition, Information Systems and Decision Models, is the second volume of the Engineering Asset Management Review Series. The manuscripts provide examples of implementations of asset information systems as well as some practical applications of condition data for diagnostics and prognostics. The increasing trend is towards prognostics rather than diagnostics, hence the need for assessment and decision models that promote the conversion of condition data into prognostic information to improve life-cycle planning for engineered assets. The research papers included here serve to support the on-going development of Condition Monitoring standards. This volume comprises selected papers from the 1st, 2nd, and 3rd World Congresses on Engineering Asset Management, which were convened under the auspices of ISEAM in collaboration with a number of organisations, including CIEAM Australia, Asset Management Council Australia, BINDT UK, and Chinese Academy of Sciences, Beijing University of Chemical Technology, Chin...

  8. Modeling conditional correlations of asset returns

    DEFF Research Database (Denmark)

    Silvennoinen, Annastiina; Teräsvirta, Timo

    2015-01-01

    In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five...

  9. Non-Gaussian Autoregressive Processes with Tukey g-and-h Transformations

    KAUST Repository

    Yan, Yuan

    2017-11-20

    When performing a time series analysis of continuous data, for example from climate or environmental problems, the assumption that the process is Gaussian is often violated. Therefore, we introduce two non-Gaussian autoregressive time series models that are able to fit skewed and heavy-tailed time series data. Our two models are based on the Tukey g-and-h transformation. We discuss parameter estimation, order selection, and forecasting procedures for our models and examine their performances in a simulation study. We demonstrate the usefulness of our models by applying them to two sets of wind speed data.

  10. Non-Gaussian Autoregressive Processes with Tukey g-and-h Transformations

    KAUST Repository

    Yan, Yuan; Genton, Marc G.

    2017-01-01

    When performing a time series analysis of continuous data, for example from climate or environmental problems, the assumption that the process is Gaussian is often violated. Therefore, we introduce two non-Gaussian autoregressive time series models that are able to fit skewed and heavy-tailed time series data. Our two models are based on the Tukey g-and-h transformation. We discuss parameter estimation, order selection, and forecasting procedures for our models and examine their performances in a simulation study. We demonstrate the usefulness of our models by applying them to two sets of wind speed data.

  11. Modelling conditional heteroscedasticity in nonstationary series

    NARCIS (Netherlands)

    Cizek, P.; Cizek, P.; Härdle, W.K.; Weron, R.

    2011-01-01

    A vast amount of econometrical and statistical research deals with modeling financial time series and their volatility, which measures the dispersion of a series at a point in time (i.e., conditional variance). Although financial markets have been experiencing many shorter and longer periods of

  12. Adapting AIC to conditional model selection

    NARCIS (Netherlands)

    T. van Ommen (Thijs)

    2012-01-01

    textabstractIn statistical settings such as regression and time series, we can condition on observed information when predicting the data of interest. For example, a regression model explains the dependent variables $y_1, \\ldots, y_n$ in terms of the independent variables $x_1, \\ldots, x_n$.

  13. Estimation bias and bias correction in reduced rank autoregressions

    DEFF Research Database (Denmark)

    Nielsen, Heino Bohn

    2017-01-01

    This paper characterizes the finite-sample bias of the maximum likelihood estimator (MLE) in a reduced rank vector autoregression and suggests two simulation-based bias corrections. One is a simple bootstrap implementation that approximates the bias at the MLE. The other is an iterative root...

  14. A General Representation Theorem for Integrated Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...

  15. Modelling speech intelligibility in adverse conditions

    DEFF Research Database (Denmark)

    Jørgensen, Søren; Dau, Torsten

    2013-01-01

    Jørgensen and Dau (J Acoust Soc Am 130:1475-1487, 2011) proposed the speech-based envelope power spectrum model (sEPSM) in an attempt to overcome the limitations of the classical speech transmission index (STI) and speech intelligibility index (SII) in conditions with nonlinearly processed speech...... subjected to phase jitter, a condition in which the spectral structure of the intelligibility of speech signal is strongly affected, while the broadband temporal envelope is kept largely intact. In contrast, the effects of this distortion can be predicted -successfully by the spectro-temporal modulation...... suggest that the SNRenv might reflect a powerful decision metric, while some explicit across-frequency analysis seems crucial in some conditions. How such across-frequency analysis is "realized" in the auditory system remains unresolved....

  16. Modelling sulfamethoxazole degradation under different redox conditions

    Science.gov (United States)

    Sanchez-Vila, X.; Rodriguez-Escales, P.

    2015-12-01

    Sulfamethoxazole (SMX) is a low adsorptive, polar, sulfonamide antibiotic, widely present in aquatic environments. Degradation of SMX in subsurface porous media is spatially and temporally variable, depending on various environmental factors such as in situ redox potential, availability of nutrients, local soil characteristics, and temperature. It has been reported that SMX is better degraded under anoxic conditions and by co-metabolism processes. In this work, we first develop a conceptual model of degradation of SMX under different redox conditions (denitrification and iron reducing conditions), and second, we construct a mathematical model that allows reproducing different experiments of SMX degradation reported in the literature. The conceptual model focuses on the molecular behavior and contemplates the formation of different metabolites. The model was validated using the experimental data from Barbieri et al. (2012) and Mohatt et al. (2011). It adequately reproduces the reversible degradation of SMX under the presence of nitrite as an intermediate product of denitrification. In those experiments degradation was mediated by the transient formation of a diazonium cation, which was considered responsible of the substitution of the amine radical by a nitro radical, forming the 4-nitro-SMX. The formation of this metabolite is a reversible process, so that once the concentration of nitrite was back to zero due to further advancement of denitrification, the concentration of SMX was fully recovered. The forward reaction, formation of 4-nitro SMX, was modeled considering a kinetic of second order, whereas the backward reaction, dissociation of 4-nitro-SMX back to the original compound, could be modeled with a first order degradation reaction. Regarding the iron conditions, SMX was degraded due to the oxidation of iron (Fe2+), which was previously oxidized from goethite due to the degradation of a pool of labile organic carbon. As the oxidation of iron occurred on the

  17. Statistical models based on conditional probability distributions

    International Nuclear Information System (INIS)

    Narayanan, R.S.

    1991-10-01

    We present a formulation of statistical mechanics models based on conditional probability distribution rather than a Hamiltonian. We show that it is possible to realize critical phenomena through this procedure. Closely linked with this formulation is a Monte Carlo algorithm, in which a configuration generated is guaranteed to be statistically independent from any other configuration for all values of the parameters, in particular near the critical point. (orig.)

  18. Forecasting autoregressive time series under changing persistence

    DEFF Research Database (Denmark)

    Kruse, Robinson

    Changing persistence in time series models means that a structural change from nonstationarity to stationarity or vice versa occurs over time. Such a change has important implications for forecasting, as negligence may lead to inaccurate model predictions. This paper derives generally applicable...

  19. Modelling cladding response to changing conditions

    Energy Technology Data Exchange (ETDEWEB)

    Tulkki, Ville; Ikonen, Timo [VTT Technical Research Centre of Finland ltd (Finland)

    2016-11-15

    The cladding of the nuclear fuel is subjected to varying conditions during fuel reactor life. Load drops and reversals can be modelled by taking cladding viscoelastic behaviour into account. Viscoelastic contribution to the deformation of metals is usually considered small enough to be ignored, and in many applications it merely contributes to the primary part of the creep curve. With nuclear fuel cladding the high temperature and irradiation as well as the need to analyse the variable load all emphasise the need to also inspect the viscoelasticity of the cladding.

  20. Modelling Danish local CHP on market conditions

    DEFF Research Database (Denmark)

    Ravn, Hans V.; Riisom, Jannik; Schaumburg-Müller, Camilla

    2004-01-01

    with the liberalisation process of the energy sectors of the EU countries, it is however anticipated that Danish local CHP are to begin operating on market conditions within the year 2005. This means that the income that the local CHPs previously gained from selling electricity at the feed-in tariff is replaced in part...... the consequences of acting in a liberalised market for a given CHP plant, based on the abovementioned bottom-up model. The key assumption determining the bottom line is the electricity spot price. The formation of the spot price in the Nordic area depends heavily upon the state of the water reservoirs in Norway...

  1. On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return

    Science.gov (United States)

    Pipień, M.

    2008-09-01

    We present the results of an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal Capital Asset Pricing Model, proposed by Merton we built a general sampling distribution suitable in analysing this relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to Skewed Generalized Autoregressive Conditionally Heteroscedastic-in-Mean model. In order to make conditional distribution of financial returns skewed we considered the unified approach based on the inverse probability integral transformation. In particular, we applied hidden truncation mechanism, inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations and also a constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of the positive sign of the tested relationship.

  2. Characterization of autoregressive processes using entropic quantifiers

    Science.gov (United States)

    Traversaro, Francisco; Redelico, Francisco O.

    2018-01-01

    The aim of the contribution is to introduce a novel information plane, the causal-amplitude informational plane. As previous works seems to indicate, Bandt and Pompe methodology for estimating entropy does not allow to distinguish between probability distributions which could be fundamental for simulation or for probability analysis purposes. Once a time series is identified as stochastic by the causal complexity-entropy informational plane, the novel causal-amplitude gives a deeper understanding of the time series, quantifying both, the autocorrelation strength and the probability distribution of the data extracted from the generating processes. Two examples are presented, one from climate change model and the other from financial markets.

  3. Radionuclide Transport Models Under Ambient Conditions

    International Nuclear Information System (INIS)

    Moridis, G.; Hu, Q.

    2000-01-01

    The purpose of this Analysis/Model Report (AMR) is to evaluate (by means of 2-D semianalytical and 3-D numerical models) the transport of radioactive solutes and colloids in the unsaturated zone (UZ) under ambient conditions from the potential repository horizon to the water table at Yucca Mountain (YM), Nevada. This is in accordance with the ''AMR Development Plan U0060, Radionuclide Transport Models Under Ambient Conditions'' (CRWMS M and O 1999a). This AMR supports the UZ Flow and Transport Process Model Report (PMR). This AMR documents the UZ Radionuclide Transport Model (RTM). This model considers: the transport of radionuclides through fractured tuffs; the effects of changes in the intensity and configuration of fracturing from hydrogeologic unit to unit; colloid transport; physical and retardation processes and the effects of perched water. In this AMR they document the capabilities of the UZ RTM, which can describe flow (saturated and/or unsaturated) and transport, and accounts for (a) advection, (b) molecular diffusion, (c) hydrodynamic dispersion (with full 3-D tensorial representation), (d) kinetic or equilibrium physical and/or chemical sorption (linear, Langmuir, Freundlich or combined), (e) first-order linear chemical reaction, (f) radioactive decay and tracking of daughters, (g) colloid filtration (equilibrium, kinetic or combined), and (h) colloid-assisted solute transport. Simulations of transport of radioactive solutes and colloids (incorporating the processes described above) from the repository horizon to the water table are performed to support model development and support studies for Performance Assessment (PA). The input files for these simulations include transport parameters obtained from other AMRs (i.e., CRWMS M and O 1999d, e, f, g, h; 2000a, b, c, d). When not available, the parameter values used are obtained from the literature. The results of the simulations are used to evaluate the transport of radioactive solutes and colloids, and

  4. On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

    International Nuclear Information System (INIS)

    Benth, Fred Espen; Taib, Che Mohd Imran Che

    2013-01-01

    We extend the concept of half life of an Ornstein–Uhlenbeck process to Lévy-driven continuous-time autoregressive moving average processes with stochastic volatility. The half life becomes state dependent, and we analyze its properties in terms of the characteristics of the process. An empirical example based on daily temperatures observed in Petaling Jaya, Malaysia, is presented, where the proposed model is estimated and the distribution of the half life is simulated. The stationarity of the dynamics yield futures prices which asymptotically tend to constant at an exponential rate when time to maturity goes to infinity. The rate is characterized by the eigenvalues of the dynamics. An alternative description of this convergence can be given in terms of our concept of half life. - Highlights: • The concept of half life is extended to Levy-driven continuous time autoregressive moving average processes • The dynamics of Malaysian temperatures are modeled using a continuous time autoregressive model with stochastic volatility • Forward prices on temperature become constant when time to maturity tends to infinity • Convergence in time to maturity is at an exponential rate given by the eigenvalues of the model temperature model

  5. Modeling Daily Rainfall Conditional on Atmospheric Predictors: An application to Western Greece

    Science.gov (United States)

    Langousis, Andreas; Kaleris, Vassilios

    2013-04-01

    Due to its intermittent and highly variable character, daily precipitation is the least well reproduced hydrologic variable by both General Circulation Models (GCMs) and Limited Area Models (LAMs). To that extent, several statistical procedures (usually referred to as downscaling schemes) have been suggested to generate synthetic rainfall time series conditional on predictor variables that are descriptive of the atmospheric circulation at the mesoscale. In addition to be more accurately simulated by GCMs and LAMs, large-scale atmospheric predictors are important indicators of the local weather. Currently used downscaling methods simulate rainfall series using either stable statistical relationships (usually referred to as transfer functions) between certain characteristics of the rainfall process and mesoscale atmospheric predictor variables, or simple stochastic schemes (e.g. properly transformed autoregressive models) with parameters that depend on the large-scale atmospheric conditions. The latter are determined by classifying large-scale circulation patterns into broad categories of weather states, using empirical or theoretically based classification schemes, and modeled by resampling from those categories; a process usually referred to as weather generation. In this work we propose a statistical framework to generate synthetic rainfall timeseries at a daily level, conditional on large scale atmospheric predictors. The latter include the mean sea level pressure (MSLP), the magnitude and direction of upper level geostrophic winds, and the 500 hPa geopotential height, relative vorticity and divergence. The suggested framework operates in continuous time, avoiding the use of transfer functions, and weather classification schemes. The suggested downscaling approach is validated using atmospheric data from the ERA-Interim archive (see http://www.ecmwf.int/research/era/do/get/index), and daily rainfall data from Western Greece, for the 14-year period from 01 October

  6. Modeling speech intelligibility in adverse conditions

    DEFF Research Database (Denmark)

    Dau, Torsten

    2012-01-01

    ) in conditions with nonlinearly processed speech. Instead of considering the reduction of the temporal modulation energy as the intelligibility metric, as assumed in the STI, the sEPSM applies the signal-to-noise ratio in the envelope domain (SNRenv). This metric was shown to be the key for predicting...... understanding speech when more than one person is talking, even when reduced audibility has been fully compensated for by a hearing aid. The reasons for these difficulties are not well understood. This presentation highlights recent concepts of the monaural and binaural signal processing strategies employed...... by the normal as well as impaired auditory system. Jørgensen and Dau [(2011). J. Acoust. Soc. Am. 130, 1475-1487] proposed the speech-based envelope power spectrum model (sEPSM) in an attempt to overcome the limitations of the classical speech transmission index (STI) and speech intelligibility index (SII...

  7. A robust combination approach for short-term wind speed forecasting and analysis – Combination of the ARIMA (Autoregressive Integrated Moving Average), ELM (Extreme Learning Machine), SVM (Support Vector Machine) and LSSVM (Least Square SVM) forecasts using a GPR (Gaussian Process Regression) model

    International Nuclear Information System (INIS)

    Wang, Jianzhou; Hu, Jianming

    2015-01-01

    With the increasing importance of wind power as a component of power systems, the problems induced by the stochastic and intermittent nature of wind speed have compelled system operators and researchers to search for more reliable techniques to forecast wind speed. This paper proposes a combination model for probabilistic short-term wind speed forecasting. In this proposed hybrid approach, EWT (Empirical Wavelet Transform) is employed to extract meaningful information from a wind speed series by designing an appropriate wavelet filter bank. The GPR (Gaussian Process Regression) model is utilized to combine independent forecasts generated by various forecasting engines (ARIMA (Autoregressive Integrated Moving Average), ELM (Extreme Learning Machine), SVM (Support Vector Machine) and LSSVM (Least Square SVM)) in a nonlinear way rather than the commonly used linear way. The proposed approach provides more probabilistic information for wind speed predictions besides improving the forecasting accuracy for single-value predictions. The effectiveness of the proposed approach is demonstrated with wind speed data from two wind farms in China. The results indicate that the individual forecasting engines do not consistently forecast short-term wind speed for the two sites, and the proposed combination method can generate a more reliable and accurate forecast. - Highlights: • The proposed approach can make probabilistic modeling for wind speed series. • The proposed approach adapts to the time-varying characteristic of the wind speed. • The hybrid approach can extract the meaningful components from the wind speed series. • The proposed method can generate adaptive, reliable and more accurate forecasting results. • The proposed model combines four independent forecasting engines in a nonlinear way.

  8. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    International Nuclear Information System (INIS)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan

    2014-01-01

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval

  9. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Science.gov (United States)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan

    2014-09-01

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  10. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Energy Technology Data Exchange (ETDEWEB)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan [Department of Civil and Structural Engineering, Faculty of Engineering and Built Environment, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)

    2014-09-12

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  11. Investors’ Risk Appetite and Global Financial Market Conditions

    OpenAIRE

    Brenda Gonzalez-Hermosillo

    2008-01-01

    A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market conditions (including funding liquidity, market liquidity, as well as credit and volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the change...

  12. Application of autoregressive methods and Lyapunov coefficients for instability studies of nuclear reactors

    International Nuclear Information System (INIS)

    Aruquipa Coloma, Wilmer

    2017-01-01

    Nuclear reactors are susceptible to instability, causing oscillations in reactor power in specific working regions characterized by determined values of power and coolant mass flow. During reactor startup, there is a greater probability that these regions of instability will be present; another reason may be due to transient processes in some reactor parameters. The analysis of the temporal evolution of the power reveals a stable or unstable process after the disturbance in a light water reactor of type BWR (Boiling Water Reactor). In this work, the instability problem was approached in two ways. The first form is based on the ARMA (Autoregressive Moving Average models) model. This model was used to calculate the Decay Ratio (DR) and natural frequency (NF) of the oscillations, parameters that indicate if the one power signal is stable or not. In this sense, the DRARMA code was developed. In the second form, the problems of instability were analyzed using the classical concepts of non-linear systems, such as Lyapunov exponents, phase space and attractors. The Lyapunov exponents quantify the exponential divergence of the trajectories initially close to the phase space and estimate the amount of chaos in a system; the phase space and the attractors describe the dynamic behavior of the system. The main aim of the instability phenomena studies in nuclear reactors is to try to identify points or regions of operation that can lead to power oscillations conditions. The two approaches were applied to two sets of signals. The first set comes from signals of instability events of the commercial Forsmark reactors 1 and 2 and were used to validate the DRARMA code. The second set was obtained from the simulation of transient events of the Peach Bottom reactor; for the simulation, the PARCS and RELAP5 codes were used for the neutronic/thermal hydraulic coupling calculation. For all analyzes made in this work, the Matlab software was used due to its ease of programming and

  13. METODE VECTOR AUTOREGRESSIVE (VAR DALAM PERAMALAN JUMLAH WISATAWAN MANCANEGARA KE BALI

    Directory of Open Access Journals (Sweden)

    TJOK GDE SAHITYAHUTTI RANANGGA

    2018-05-01

    Full Text Available The purposes of this research were to model and to forecast the number of foreign tourists (Australia, China, and Japan arrival to Bali using vector autoregressive (VAR method. The estimated of VAR model obtained to forecast the number of foreign tourists to Bali is the sixth order VAR (VAR(6.We used multivariate least square method to estimate the VAR(6’s parameters.The mean absolute percentage error (MAPE in this model were as follows 6.8% in predicting the number of Australian tourists, 15.9% in predicting the number of Chinese tourists, and 9% in predicting the number of Japanese tourists. The prediction of Australian, Chinese, and Japanese tourists arrival to Bali for July 2017 to December 2017 tended  to experience up and downs that were not too high compared to the previous months.

  14. Very-short-term wind power probabilistic forecasts by sparse vector autoregression

    DEFF Research Database (Denmark)

    Dowell, Jethro; Pinson, Pierre

    2016-01-01

    A spatio-temporal method for producing very-shortterm parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information...... is highly desirable. In addition, probabilistic forecasts are widely regarded as necessary for optimal power system management as they quantify the uncertainty associated with point forecasts. Here we work within a parametric framework based on the logit-normal distribution and forecast its parameters....... The location parameter for multiple wind farms is modelled as a vector-valued spatiotemporal process, and the scale parameter is tracked by modified exponential smoothing. A state-of-the-art technique for fitting sparse vector autoregressive models is employed to model the location parameter and demonstrates...

  15. Model-based temperature noise monitoring methods for LMFBR core anomaly detection

    International Nuclear Information System (INIS)

    Tamaoki, Tetsuo; Sonoda, Yukio; Sato, Masuo; Takahashi, Ryoichi.

    1994-01-01

    Temperature noise, measured by thermocouples mounted at each core fuel subassembly, is considered to be the most useful signal for detecting and locating local cooling anomalies in an LMFBR core. However, the core outlet temperature noise contains background noise due to fluctuations in the operating parameters including reactor power. It is therefore necessary to reduce this background noise for highly sensitive anomaly detection by subtracting predictable components from the measured signal. In the present study, both a physical model and an autoregressive model were applied to noise data measured in the experimental fast reactor JOYO. The results indicate that the autoregressive model has a higher precision than the physical model in background noise prediction. Based on these results, an 'autoregressive model modification method' is proposed, in which a temporary autoregressive model is generated by interpolation or extrapolation of reference models identified under a small number of different operating conditions. The generated autoregressive model has shown sufficient precision over a wide range of reactor power in applications to artificial noise data produced by an LMFBR noise simulator even when the coolant flow rate was changed to keep a constant power-to-flow ratio. (author)

  16. Integrated Modeling for Road Condition Prediction

    Science.gov (United States)

    2017-12-31

    Transportation Systems Management and Operations (TSMO) is at a critical point in its development due to an explosion in data availability and analytics. Intelligent transportation systems (ITS) gathering data about weather and traffic conditions cou...

  17. Integrated Modeling for Road Condition Prediction (IMRCP)

    Science.gov (United States)

    2018-01-17

    Intelligent transportation system deployments have enabled great advances in operational awareness and response based on the data they gather on the current state of the roadways. The next step in decision support is to forecast road conditions and b...

  18. Packet loss replacement in voip using a recursive low-order autoregressive modelbased speech

    International Nuclear Information System (INIS)

    Miralavi, Seyed Reza; Ghorshi, Seyed; Mortazavi, Mohammad; Choupan, Jeiran

    2011-01-01

    In real-time packet-based communication systems one major problem is misrouted or delayed packets which results in degraded perceived voice quality. When some speech packets are not available on time, the packet is known as lost packet in real-time communication systems. The easiest task of a network terminal receiver is to replace silence for the duration of lost speech segments. In a high quality communication system in order to avoid quality reduction due to packet loss a suitable method and/or algorithm is needed to replace the missing segments of speech. In this paper, we introduce a recursive low order autoregressive (AR) model for replacement of lost speech segment. The evaluation results show that this method has a lower mean square error (MSE) and low complexity compared to the other efficient methods like high-order AR model without any substantial degradation in perceived voice quality.

  19. Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals

    Directory of Open Access Journals (Sweden)

    Kanichukattu K. Jose

    2013-05-01

    Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.

  20. The Accuracy of RADIANCE Software in Modelling Overcast Sky Condition

    OpenAIRE

    Baharuddin

    2013-01-01

    A validation study of the sky models of RADIANCE simulation software against the overcast sky condition has been carried out in order to test the accuracy of sky model of RADIANCE for modeling the overcast sky condition in Hong Kong. Two sets of data have been analysed. Firstly, data collected from a set of experiments using a physical scale model. In this experiment, the illuminance of four points inside the model was measured under real sky conditions. Secondly, the RADIANCE simulation has ...

  1. Conditional density estimation using fuzzy GARCH models

    NARCIS (Netherlands)

    Almeida, R.J.; Bastürk, N.; Kaymak, U.; Costa Sousa, da J.M.; Kruse, R.; Berthold, M.R.; Moewes, C.; Gil, M.A.; Grzegorzewski, P.; Hryniewicz, O.

    2013-01-01

    Abstract. Time series data exhibits complex behavior including non-linearity and path-dependency. This paper proposes a flexible fuzzy GARCH model that can capture different properties of data, such as skewness, fat tails and multimodality in one single model. Furthermore, additional information and

  2. Linear models of coregionalization for multivariate lattice data: Order-dependent and order-free cMCARs.

    Science.gov (United States)

    MacNab, Ying C

    2016-08-01

    This paper concerns with multivariate conditional autoregressive models defined by linear combination of independent or correlated underlying spatial processes. Known as linear models of coregionalization, the method offers a systematic and unified approach for formulating multivariate extensions to a broad range of univariate conditional autoregressive models. The resulting multivariate spatial models represent classes of coregionalized multivariate conditional autoregressive models that enable flexible modelling of multivariate spatial interactions, yielding coregionalization models with symmetric or asymmetric cross-covariances of different spatial variation and smoothness. In the context of multivariate disease mapping, for example, they facilitate borrowing strength both over space and cross variables, allowing for more flexible multivariate spatial smoothing. Specifically, we present a broadened coregionalization framework to include order-dependent, order-free, and order-robust multivariate models; a new class of order-free coregionalized multivariate conditional autoregressives is introduced. We tackle computational challenges and present solutions that are integral for Bayesian analysis of these models. We also discuss two ways of computing deviance information criterion for comparison among competing hierarchical models with or without unidentifiable prior parameters. The models and related methodology are developed in the broad context of modelling multivariate data on spatial lattice and illustrated in the context of multivariate disease mapping. The coregionalization framework and related methods also present a general approach for building spatially structured cross-covariance functions for multivariate geostatistics. © The Author(s) 2016.

  3. A managerial modernization model in crisis conditions

    OpenAIRE

    Ion VERBONCU; Ion PURCARU

    2009-01-01

    The improvement of the economic performances of Romanian enterprises facing crisis conditions could be achieved by means of promoting and implementing a range of managerial modernization methods. Among them we mention several factors pertaining to strategic management: redesigning the managerial system, implementing methodological management – with an emphasis on profit center management and other managerial tools which ensure process and organizational flexibility – and professionalizing...

  4. Unit root vector autoregression with volatility induced stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... and geometrically ergodic. Interestingly, these conditions include the case of unit roots and a reduced rank structure in the conditional mean, known from linear co-integration to imply non-stationarity. Asymptotic theory of the maximum likelihood estimators for a particular structured case (so-called self...

  5. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... and geometrically ergodic. Interestingly, these conditions include the case of unit roots and a reduced rank structure in the conditional mean, known from linear co-integration to imply non-stationarity. Asymptotic theory of the maximum likelihood estimators for a particular structured case (so-called self...

  6. Conditional Poisson models: a flexible alternative to conditional logistic case cross-over analysis.

    Science.gov (United States)

    Armstrong, Ben G; Gasparrini, Antonio; Tobias, Aurelio

    2014-11-24

    The time stratified case cross-over approach is a popular alternative to conventional time series regression for analysing associations between time series of environmental exposures (air pollution, weather) and counts of health outcomes. These are almost always analyzed using conditional logistic regression on data expanded to case-control (case crossover) format, but this has some limitations. In particular adjusting for overdispersion and auto-correlation in the counts is not possible. It has been established that a Poisson model for counts with stratum indicators gives identical estimates to those from conditional logistic regression and does not have these limitations, but it is little used, probably because of the overheads in estimating many stratum parameters. The conditional Poisson model avoids estimating stratum parameters by conditioning on the total event count in each stratum, thus simplifying the computing and increasing the number of strata for which fitting is feasible compared with the standard unconditional Poisson model. Unlike the conditional logistic model, the conditional Poisson model does not require expanding the data, and can adjust for overdispersion and auto-correlation. It is available in Stata, R, and other packages. By applying to some real data and using simulations, we demonstrate that conditional Poisson models were simpler to code and shorter to run than are conditional logistic analyses and can be fitted to larger data sets than possible with standard Poisson models. Allowing for overdispersion or autocorrelation was possible with the conditional Poisson model but when not required this model gave identical estimates to those from conditional logistic regression. Conditional Poisson regression models provide an alternative to case crossover analysis of stratified time series data with some advantages. The conditional Poisson model can also be used in other contexts in which primary control for confounding is by fine

  7. Autoregressive techniques for acoustic detection of in-sodium water leaks

    International Nuclear Information System (INIS)

    Hayashi, K.

    1997-01-01

    We have been applied a background signal whitening filter built by univariate autoregressive model to the estimation problem of the leak start time and duration. In the 1995 present benchmark stage, we evaluated the method using acoustic signals from real hydrogen or water/steam injection experiments. The results show that the signal processing technique using this filter can detect reliability the leak signals with a sufficient signal-to-noise ratio. Even if the sensor signal contains non-boiling or non-leak high-amplitude pulses, they can be classified by spectral information. Especially, the feature signal made from the time-frequency spectrum of the filtered signal is very sensitive and useful. (author). 8 refs, 14 figs, 6 tabs

  8. Autoregressive Integrated Adaptive Neural Networks Classifier for EEG-P300 Classification

    Directory of Open Access Journals (Sweden)

    Demi Soetraprawata

    2013-06-01

    Full Text Available Brain Computer Interface has a potency to be applied in mechatronics apparatus and vehicles in the future. Compared to the other techniques, EEG is the most preferred for BCI designs. In this paper, a new adaptive neural network classifier of different mental activities from EEG-based P300 signals is proposed. To overcome the over-training that is caused by noisy and non-stationary data, the EEG signals are filtered and extracted using autoregressive models before passed to the adaptive neural networks classifier. To test the improvement in the EEG classification performance with the proposed method, comparative experiments were conducted using Bayesian Linear Discriminant Analysis. The experiment results show that the all subjects achieve a classification accuracy of 100%.

  9. The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression

    International Nuclear Information System (INIS)

    Gopalakrishnan, C.; Tian, X.; Tran, D.

    1991-01-01

    The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price

  10. Price transmission for agricultural commodities in Uganda: An empirical vector autoregressive analysis

    DEFF Research Database (Denmark)

    Lassen Kaspersen, Line; Føyn, Tullik Helene Ystanes

    This paper investigates price transmission for agricultural commodities between world markets and the Ugandan market in an attempt to determine the impact of world market prices on the Ugandan market. Based on the realization that price formation is not a static concept, a dynamic vector...... price relations, i.e. the price variations between geographically separated markets in Uganda and the world markets. Our analysis indicates that food markets in Uganda, based on our study of sorghum price transmission, are not integrated into world markets, and that oil prices are a very determining...... autoregressive (VAR) model is presented. The prices of Robusta coffee and sorghum are examined, as both of these crops are important for the domestic economy of Uganda – Robusta as a cash crop, mainly traded internationally, and sorghum for consumption at household level. The analysis focuses on the spatial...

  11. Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR Analysis

    Directory of Open Access Journals (Sweden)

    Florence Bouvet

    2013-12-01

    Full Text Available The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU countries, notably Ireland, Portugal, Spain and Italy. Using quarterly data for the 2000–2011 period, we implement a panel-vector autoregressive (PVAR model for 11 EMU countries to examine the extent to which a rise in a country’s bond-yield spread or debt-to-GDP ratio affects another EMU countries’ fiscal and macroeconomic outcomes. To distinguish between interdependence and contagion among EMU countries, we compare results obtained for the pre-crisis period (2000–2007 with the crisis period (2008–2011 and control for global risk aversion.

  12. An interpretable LSTM neural network for autoregressive exogenous model

    OpenAIRE

    Guo, Tian; Lin, Tao; Lu, Yao

    2018-01-01

    In this paper, we propose an interpretable LSTM recurrent neural network, i.e., multi-variable LSTM for time series with exogenous variables. Currently, widely used attention mechanism in recurrent neural networks mostly focuses on the temporal aspect of data and falls short of characterizing variable importance. To this end, our multi-variable LSTM equipped with tensorized hidden states is developed to learn variable specific representations, which give rise to both temporal and variable lev...

  13. Bayesian Analysis of Multivariate Threshold Autoregressive Models with Missing Data

    OpenAIRE

    Calderón Villanueva, Sergio Alejandro

    2014-01-01

    Resumen. En algunos campos, nos vemos forzados a trabajar con datos faltantes en series de tiempo multivaridas, desafortunadamente el análisis en este contexto no puede ser hecho como en caso completo. El análisis de modelos multivaridos autoregresivos de umbrales(MTAR) con entradas exógenas y datos faltantes es llevado a cabo vía el enfoque Bayesiano. Los métodos MCMC son usados para obtener muestras de las distribuciones marginales aposteriori, incluyendo los valores de los umbrales y los d...

  14. Comparison of Classical and Robust Estimates of Threshold Auto-regression Parameters

    Directory of Open Access Journals (Sweden)

    V. B. Goryainov

    2017-01-01

    Full Text Available The study object is the first-order threshold auto-regression model with a single zero-located threshold. The model describes a stochastic temporal series with discrete time by means of a piecewise linear equation consisting of two linear classical first-order autoregressive equations. One of these equations is used to calculate a running value of the temporal series. A control variable that determines the choice between these two equations is the sign of the previous value of the same series.The first-order threshold autoregressive model with a single threshold depends on two real parameters that coincide with the coefficients of the piecewise linear threshold equation. These parameters are assumed to be unknown. The paper studies an estimate of the least squares, an estimate the least modules, and the M-estimates of these parameters. The aim of the paper is a comparative study of the accuracy of these estimates for the main probabilistic distributions of the updating process of the threshold autoregressive equation. These probability distributions were normal, contaminated normal, logistic, double-exponential distributions, a Student's distribution with different number of degrees of freedom, and a Cauchy distribution.As a measure of the accuracy of each estimate, was chosen its variance to measure the scattering of the estimate around the estimated parameter. An estimate with smaller variance made from the two estimates was considered to be the best. The variance was estimated by computer simulation. To estimate the smallest modules an iterative weighted least-squares method was used and the M-estimates were done by the method of a deformable polyhedron (the Nelder-Mead method. To calculate the least squares estimate, an explicit analytic expression was used.It turned out that the estimation of least squares is best only with the normal distribution of the updating process. For the logistic distribution and the Student's distribution with the

  15. Numerical modeling of materials under extreme conditions

    CERN Document Server

    Brown, Eric

    2014-01-01

    The book presents twelve state of the art contributions in the field of numerical modeling of materials subjected to large strain, high strain rates, large pressure and high stress triaxialities, organized into two sections. The first part is focused on high strain rate-high pressures such as those occurring in impact dynamics and shock compression related phenomena, dealing with material response identification, advanced modeling incorporating microstructure and damage, stress waves propagation in solids and structures response under impact. The latter part is focused on large strain-low strain rates applications such as those occurring in technological material processing, dealing with microstructure and texture evolution, material response at elevated temperatures, structural behavior under large strain and multi axial state of stress.

  16. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

    NARCIS (Netherlands)

    Ooms, M.; Koopman, S.J.; Carnero, A.M.

    2007-01-01

    Novel periodic extensions of dynamic long-memory regression models with autoregressive conditional heteroscedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method of

  17. Measuring the Effect of Exchange Rate Movements on Stock Market Returns Volatility: GARCH Model

    Directory of Open Access Journals (Sweden)

    Abdelkadir BESSEBA

    2017-06-01

    Full Text Available This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model. Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.

  18. Modelling of future hydrogeological conditions at SFR

    International Nuclear Information System (INIS)

    Holmen, L.G.; Stigsson, M.

    2001-03-01

    The purpose is to estimate the future groundwater movements at the SFR repository and to produce input to the quantitative safety assessment of the SFR. The future flow pattern of the groundwater is of interest, since components of the waste emplaced in a closed and abandoned repository will dissolve in the groundwater and be transported by the groundwater to the ground surface. The study is based on a system analysis approach. Three-dimensional models were devised of the studied domain. The models include the repository tunnels and the surrounding rock mass with fracture zones. The formal models used for simulation of the groundwater flow are three-dimensional mathematical descriptions of the studied hydraulic system. The studied domain is represented on four scales - regional, local, semi local and detailed - forming four models with different resolutions: regional, local, semi local and detailed models. The local and detailed models include a detailed description of the tunnel system at SFR and of surrounding rock mass and fracture zones. In addition, the detailed model includes description of the different structures that take place inside the deposition tunnels. At the area studied, the shoreline will retreat due to the shore level displacement; this process is included in the models. The studied period starts at 2000 AD and continues until a steady state like situation is reached for the surroundings of the SFR at ca 6000 AD. The models predict that as long as the sea covers the ground above the SFR, the regional groundwater flow as well as the flow in the deposition tunnels are small. However, due to the shore level displacement the shoreline (the sea) will retreat. Because of the retreating shoreline, the general direction of the groundwater flow at SFR will change, from vertical upward to a more horizontal flow; the size of the groundwater flow will be increased as well. The present layout of the SFR includes five deposition tunnels: SILO, BMA, BLA, BTF1

  19. Least squares autoregressive (maximum entropy) spectral estimation for Fourier spectroscopy and its application to the electron cyclotron emission from plasma

    International Nuclear Information System (INIS)

    Iwama, N.; Inoue, A.; Tsukishima, T.; Sato, M.; Kawahata, K.

    1981-07-01

    A new procedure for the maximum entropy spectral estimation is studied for the purpose of data processing in Fourier transform spectroscopy. The autoregressive model fitting is examined under a least squares criterion based on the Yule-Walker equations. An AIC-like criterion is suggested for selecting the model order. The principal advantage of the new procedure lies in the enhanced frequency resolution particularly for small values of the maximum optical path-difference of the interferogram. The usefulness of the procedure is ascertained by some numerical simulations and further by experiments with respect to a highly coherent submillimeter wave and the electron cyclotron emission from a stellarator plasma. (author)

  20. Cointegration rank testing under conditional heteroskedasticity

    DEFF Research Database (Denmark)

    Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, Robert M.

    2010-01-01

    We analyze the properties of the conventional Gaussian-based cointegrating rank tests of Johansen (1996, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models) in the case where the vector of series under test is driven by globally stationary, conditionally heteroskedastic......, relative to tests based on the asymptotic critical values or the i.i.d. bootstrap, the wild bootstrap rank tests perform very well in small samples under a variety of conditionally heteroskedastic innovation processes. An empirical application to the term structure of interest rates is given....

  1. Model development for air conditioning system in heavy duty trucks

    NARCIS (Netherlands)

    Kessels, J.T.B.A.; van den Bosch, P.P.J.; Zhang, Quansheng; Li, Shengbo Eben; Deng, Kun

    2016-01-01

    This chapter presents a modelling approach for the air conditioning (AC) system in heavy duty trucks. The presented model entails two major elements: a mechanical compressor model and a thermal AC model. The compressor model describes the massflow of the refrigerant as well as the mechanical power

  2. Modeling heat stress under different environmental conditions.

    Science.gov (United States)

    Carabaño, M J; Logar, B; Bormann, J; Minet, J; Vanrobays, M-L; Díaz, C; Tychon, B; Gengler, N; Hammami, H

    2016-05-01

    Renewed interest in heat stress effects on livestock productivity derives from climate change, which is expected to increase temperatures and the frequency of extreme weather events. This study aimed at evaluating the effect of temperature and humidity on milk production in highly selected dairy cattle populations across 3 European regions differing in climate and production systems to detect differences and similarities that can be used to optimize heat stress (HS) effect modeling. Milk, fat, and protein test day data from official milk recording for 1999 to 2010 in 4 Holstein populations located in the Walloon Region of Belgium (BEL), Luxembourg (LUX), Slovenia (SLO), and southern Spain (SPA) were merged with temperature and humidity data provided by the state meteorological agencies. After merging, the number of test day records/cows per trait ranged from 686,726/49,655 in SLO to 1,982,047/136,746 in BEL. Values for the daily average and maximum temperature-humidity index (THIavg and THImax) ranges for THIavg/THImax were largest in SLO (22-74/28-84) and shortest in SPA (39-76/46-83). Change point techniques were used to determine comfort thresholds, which differed across traits and climatic regions. Milk yield showed an inverted U-shaped pattern of response across the THI scale with a HS threshold around 73 THImax units. For fat and protein, thresholds were lower than for milk yield and were shifted around 6 THI units toward larger values in SPA compared with the other countries. Fat showed lower HS thresholds than protein traits in all countries. The traditional broken line model was compared with quadratic and cubic fits of the pattern of response in production to increasing heat loads. A cubic polynomial model allowing for individual variation in patterns of response and THIavg as heat load measure showed the best statistical features. Higher/lower producing animals showed less/more persistent production (quantity and quality) across the THI scale. The

  3. Boundary Conditions, Data Assimilation, and Predictability in Coastal Ocean Models

    National Research Council Canada - National Science Library

    Samelson, Roger M; Allen, John S; Egbert, Gary D; Kindle, John C; Snyder, Chris

    2007-01-01

    ...: The specific objectives of this research are to determine the impact on coastal ocean circulation models of open ocean boundary conditions from Global Ocean Data Assimilation Experiment (GODAE...

  4. Model checking conditional CSL for continuous-time Markov chains

    DEFF Research Database (Denmark)

    Gao, Yang; Xu, Ming; Zhan, Naijun

    2013-01-01

    In this paper, we consider the model-checking problem of continuous-time Markov chains (CTMCs) with respect to conditional logic. To the end, we extend Continuous Stochastic Logic introduced in Aziz et al. (2000) [1] to Conditional Continuous Stochastic Logic (CCSL) by introducing a conditional...

  5. NONPARAMETRIC IDENTIFICATION FOR NONLINEAR AUTOREGRESSIVE TIMESERIES MODELS: CONVERGENCE RATES

    Institute of Scientific and Technical Information of China (English)

    LUZUDI; CHENGPING

    1999-01-01

    In this paper the optimal convergence rates of estimators ba~ed on kernel approach fornonlinear AR model are investigated in the sense of Stone[17'1a]. By combining the mixingproperty of the stationary solution with the characteristics of the model itself, the restrictiveconditions in the literature which are not easy to be satisfied by the nonlinear AR model axeremoved, and the mild conditions are obtained to guarantee the optimal ratea of the estimatorof autoregTession function. In addition: the strongly coasistent estimator of the ~riance ofwhite noise is also constructed.

  6. Bayesian analysis of autoregressive panel data model: application in genetic evaluation of beef cattle Análise Bayesiana do modelo auto-regressivo para dados em painel: aplicação na avaliação genética de bovinos de corte

    Directory of Open Access Journals (Sweden)

    Fabyano Fonseca e Silva

    2011-04-01

    Full Text Available The animal breeding values forecasting at futures times is a relevant technological innovation in the field of Animal Science, since its enables a previous indication of animals that will be either kept by the producer for breeding purposes or discarded. This study discusses an MCMC Bayesian methodology applied to panel data in a time series context. We consider Bayesian analysis of an autoregressive, AR(p, panel data model of order p, using an exact likelihood function, comparative analysis of prior distributions and predictive distributions of future observations. The methodology was tested by a simulation study using three priors: hierarchical Multivariate Normal-Inverse Gamma (model 1, independent Multivariate Student's t Inverse Gamma (model 2 and Jeffrey's (model 3. Comparisons by Pseudo-Bayes Factor favored model 2. The proposed methodology was applied to longitudinal data relative to Expected Progeny Difference (EPD of beef cattle sires. The forecast efficiency was around 80%. Regarding the mean width of the EPD interval estimation (95% in a future time, a great advantage was observed for the proposed Bayesian methodology over usual asymptotic frequentist method.A previsão dos valores genéticos de animais em tempos futuros constitui importante inovação tecnológica para a área de Zootecnia, uma vez que possibilita planejar com antecedência o descarte ou a manutenção de animais no rebanho. No presente estudo considerou-se uma análise Bayesiana de modelos auto-regressivos de ordem p, AR(p, para dados em painel, de forma a utilizar a função de verossimilhança exata, a análise de comparação de distribuições a priori e a obtenção de distribuições preditivas de dados futuros. A metodologia utilizada foi testada mediante um estudo de simulação usando a priori hierárquica Normal multivariada-Gama inversa (modelo 1, a priori independente t-Student Gama inversa (modelo 2 e a priori de Jeffreys (modelo 3. As compara

  7. VERIFICATION OF GEAR DYNAMIC MODEL IN DIFFERENT OPERATING CONDITIONS

    Directory of Open Access Journals (Sweden)

    Grzegorz PERUŃ

    2014-09-01

    Full Text Available The article presents the results of verification of the drive system dynamic model with gear. Tests were carried out on the real object in different operating conditions. For the same assumed conditions were also carried out simulation studies. Comparison of the results obtained from those two series of tests helped determine the suitability of the model and verify the possibility of replacing experimental research by simulations with use of dynamic model.

  8. Dynamic Regression Model for Evaluating the Association Between Atmospheric Conditions and Deaths due to Respiratory Diseases in São Paulo, Brazil

    Directory of Open Access Journals (Sweden)

    Ana Carla dos Santos Gomes

    Full Text Available Abstract The article reports the modeling of mortality due to respiratory diseases emanating from atmospheric conditions, capturing significant associations and verifying the ability of stochastic modeling to predict deaths arising from the relationship between weather conditions and air pollution. The statistical methods used in the analysis were cross-correlation and pre-whitening, in addition to dynamic regression modeling combining the dynamics of time series and the effect of explanatory variables. The results show there are significant associations between mortality and sulfur dioxide, air temperature, atmospheric pressure, relative humidity, and autoregressive structure. The cross-correlations captured significant lags between atmospheric variables and deaths, of two months for SO2 and relative humidity, eleven months for PM10, seven months for O3, and eight months for air temperature and the cross-correlation without lag with NO2. With CO variables, precipitation and atmospheric pressure, cross-correlations were not detected. Stochastic modeling showed that deaths due to respiratory diseases can be predicted from the combination of meteorological and air pollution variables, especially considering the existing trend and seasonality.

  9. Assessment of slip factor models at off-design condition

    International Nuclear Information System (INIS)

    Yoon, Sung Ho; Baek, Je Hyun

    2000-01-01

    Slip factor is defined as an empirical factor being multiplied to theoretical energy transfer for the estimation of real work input of a centrifugal compressor. Researchers have tried to develop a simple empirical model, for a century, to predict a slip factor. However most these models were developed on the condition of design point assuming inviscid flow. So these models often fail to predict a correct slip factor at off-design condition. In this study, we summarized various slip factor models and compared these models with experimental and numerical data at off-design condition. As a result of this study, Wiesner's and Paeng and Chung's models are applicable for radial impeller, but all the models are not suitable for backswept impeller. Finally, the essential avenues for future study is discussed

  10. Sensitivity of a Simulated Derecho Event to Model Initial Conditions

    Science.gov (United States)

    Wang, Wei

    2014-05-01

    Since 2003, the MMM division at NCAR has been experimenting cloud-permitting scale weather forecasting using Weather Research and Forecasting (WRF) model. Over the years, we've tested different model physics, and tried different initial and boundary conditions. Not surprisingly, we found that the model's forecasts are more sensitive to the initial conditions than model physics. In 2012 real-time experiment, WRF-DART (Data Assimilation Research Testbed) at 15 km was employed to produce initial conditions for twice-a-day forecast at 3 km. On June 29, this forecast system captured one of the most destructive derecho event on record. In this presentation, we will examine forecast sensitivity to different model initial conditions, and try to understand the important features that may contribute to the success of the forecast.

  11. Fault condition stress analysis of NET 16 TF coil model

    International Nuclear Information System (INIS)

    Jong, C.T.J.

    1992-04-01

    As part of the design process of the NET/ITER toroidal field coils (TFCs), the mechanical behaviour of the magnetic system under fault conditions has to be analysed in some detail. Under fault conditions, either electrical or mechanical, the magnetic loading of the coils becomes extreme and further mechanical failure of parts of the overall structure might occur (e.g. failure of the coil, gravitational support, intercoil structure). The mechanical behaviour of the magnetic system under fault conditions has been analysed with a finite element model of the complete TFC system. The analysed fault conditions consist of: a thermal fault, electrical faults and mechanical faults. The mechanical faults have been applied simultaneously with an electrical fault. This report described the work carried out to create the finite element model of 16 TFCs and contains an extensive presentation of the results, obtained with this model, of a normal operating condition analysis and 9 fault condition analyses. Chapter 2-5 contains a detailed description of the finite element model, boundary conditions and loading conditions of the analyses made. Chapters 2-4 can be skipped if the reader is only interested in results. To understand the results presented chapter 6 is recommended, which contains a detailed description of all analysed fault conditions. The dimensions and geometry of the model correspond to the status of the NET/ITER TFC design of May 1990. Compared with previous models of the complete magnetic system, the finite element model of 16 TFCs is 'detailed', and can be used for linear elastic analysis with faulted loads. (author). 8 refs.; 204 figs.; 134 tabs

  12. Development of plant condition measurement - The Jimah Model

    Science.gov (United States)

    Evans, Roy F.; Syuhaimi, Mohd; Mazli, Mohammad; Kamarudin, Nurliyana; Maniza Othman, Faiz

    2012-05-01

    The Jimah Model is an information management model. The model has been designed to facilitate analysis of machine condition by integrating diagnostic data with quantitative and qualitative information. The model treats data as a single strand of information - metaphorically a 'genome' of data. The 'Genome' is structured to be representative of plant function and identifies the condition of selected components (or genes) in each machine. To date in industry, computer aided work processes used with traditional industrial practices, have been unable to consistently deliver a standard of information suitable for holistic evaluation of machine condition and change. Significantly the reengineered site strategies necessary for implementation of this "data genome concept" have resulted in enhanced knowledge and management of plant condition. In large plant with high initial equipment cost and subsequent high maintenance costs, accurate measurement of major component condition becomes central to whole of life management and replacement decisions. A case study following implementation of the model at a major power station site in Malaysia (Jimah) shows that modeling of plant condition and wear (in real time) can be made a practical reality.

  13. Development of plant condition measurement - The Jimah Model

    International Nuclear Information System (INIS)

    Evans, Roy F; Syuhaimi, Mohd; Mazli, Mohammad; Kamarudin, Nurliyana; Othman, Faiz Maniza

    2012-01-01

    The Jimah Model is an information management model. The model has been designed to facilitate analysis of machine condition by integrating diagnostic data with quantitative and qualitative information. The model treats data as a single strand of information - metaphorically a 'genome' of data. The 'Genome' is structured to be representative of plant function and identifies the condition of selected components (or genes) in each machine. To date in industry, computer aided work processes used with traditional industrial practices, have been unable to consistently deliver a standard of information suitable for holistic evaluation of machine condition and change. Significantly the reengineered site strategies necessary for implementation of this 'data genome concept' have resulted in enhanced knowledge and management of plant condition. In large plant with high initial equipment cost and subsequent high maintenance costs, accurate measurement of major component condition becomes central to whole of life management and replacement decisions. A case study following implementation of the model at a major power station site in Malaysia (Jimah) shows that modeling of plant condition and wear (in real time) can be made a practical reality.

  14. Weak diffusion limits of dynamic conditional correlation models

    DEFF Research Database (Denmark)

    Hafner, Christian M.; Laurent, Sebastien; Violante, Francesco

    The properties of dynamic conditional correlation (DCC) models are still not entirely understood. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized...... by a diffusion matrix of reduced rank. The degeneracy is due to perfect collinearity between the innovations of the volatility and correlation dynamics. For the special case of constant conditional correlations, a non-degenerate diffusion limit can be obtained. Alternative sets of conditions are considered...

  15. Modeling highway travel time distribution with conditional probability models

    Energy Technology Data Exchange (ETDEWEB)

    Oliveira Neto, Francisco Moraes [ORNL; Chin, Shih-Miao [ORNL; Hwang, Ho-Ling [ORNL; Han, Lee [University of Tennessee, Knoxville (UTK)

    2014-01-01

    ABSTRACT Under the sponsorship of the Federal Highway Administration's Office of Freight Management and Operations, the American Transportation Research Institute (ATRI) has developed performance measures through the Freight Performance Measures (FPM) initiative. Under this program, travel speed information is derived from data collected using wireless based global positioning systems. These telemetric data systems are subscribed and used by trucking industry as an operations management tool. More than one telemetric operator submits their data dumps to ATRI on a regular basis. Each data transmission contains truck location, its travel time, and a clock time/date stamp. Data from the FPM program provides a unique opportunity for studying the upstream-downstream speed distributions at different locations, as well as different time of the day and day of the week. This research is focused on the stochastic nature of successive link travel speed data on the continental United States Interstates network. Specifically, a method to estimate route probability distributions of travel time is proposed. This method uses the concepts of convolution of probability distributions and bivariate, link-to-link, conditional probability to estimate the expected distributions for the route travel time. Major contribution of this study is the consideration of speed correlation between upstream and downstream contiguous Interstate segments through conditional probability. The established conditional probability distributions, between successive segments, can be used to provide travel time reliability measures. This study also suggests an adaptive method for calculating and updating route travel time distribution as new data or information is added. This methodology can be useful to estimate performance measures as required by the recent Moving Ahead for Progress in the 21st Century Act (MAP 21).

  16. FIDIC Conditions of Subcontract as a Model for General Conditions of Subcontract in Pakistan

    Directory of Open Access Journals (Sweden)

    Muhammad Umer Zubair

    2016-12-01

    Full Text Available Fair allocation of risks in conditions of contract is pivotal for coordination, unhindered execution, dispute resolution and maintenance of positive relationship among the parties executing the contract. Pakistani construction industry despite subcontracting a large percentage of construction projects lacks standard conditions of subcontract and they are primarily based on the will of the prime contractor that is onerous for the subcontractor. Therefore in order to develop a model for the general conditions of subcontract in Pakistan the conditions proposed by Associated General Contractors of California, FIDIC in 1994 and 2011, Construction Industry Development Board Malaysia, American Institute of Architects and by the Government of Hong Kong were compared to determine the similarities and differences among them. Afterwards a questionnaire based on the significant provisions of these subcontracts was conducted in the construction industry of Pakistan to determine the appropriate conditions for model subcontract. The results of the survey were further subjected to discussions with the legal experts. Out of 35 suggestions made for the general conditions of subcontract 23 originated from FIDIC in which 20 are recommended by its 2011’s version. It can therefore be implemented in Pakistan with certain amendments and additions as proposed in light of conditions of other subcontracts and the results of the survey and discussions with legal experts.

  17. A new model for friction under shock conditions

    Directory of Open Access Journals (Sweden)

    Dambakizi F.

    2011-01-01

    Full Text Available This article is aimed at the developpement of a new model for friction under shock conditions. Thanks to a subgrid model and a specific Coulomb friction law, it takes into account the interface temperature and deformation but also the influence of asperities when the contact pressure is relatively low (≤ 3 GPa.

  18. Modeling the Conditional Covariance between Stock and Bond Returns

    NARCIS (Netherlands)

    P. de Goeij (Peter); W.A. Marquering (Wessel)

    2002-01-01

    textabstractTo analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for

  19. Fitting and Testing Conditional Multinormal Partial Credit Models

    Science.gov (United States)

    Hessen, David J.

    2012-01-01

    A multinormal partial credit model for factor analysis of polytomously scored items with ordered response categories is derived using an extension of the Dutch Identity (Holland in "Psychometrika" 55:5-18, 1990). In the model, latent variables are assumed to have a multivariate normal distribution conditional on unweighted sums of item…

  20. Testing the compounding structure of the CP-INARCH model

    OpenAIRE

    Weiß, Christian H.; Gonçalves, Esmeralda; Lopes, Nazaré Mendes

    2017-01-01

    A statistical test to distinguish between a Poisson INARCH model and a Compound Poisson INARCH model is proposed, based on the form of the probability generating function of the compounding distribution of the conditional law of the model. For first-order autoregression, the normality of the test statistics’ asymptotic distribution is established, either in the case where the model parameters are specified, or when such parameters are consistently estimated. As the test statistics’ law involv...

  1. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    Directory of Open Access Journals (Sweden)

    Zhihua Wang

    2014-01-01

    Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.

  2. Autoregressive harmonic analysis of the earth's polar motion using homogeneous international latitude service data

    Science.gov (United States)

    Fong Chao, B.

    1983-12-01

    The homogeneous set of 80-year-long (1900-1979) International Latitude Service (ILS) polar motion data is analyzed using the autoregressive method (Chao and Gilbert, 1980) which resolves and produces estimates for the complex frequency (or frequency and Q) and complex amplitude (or amplitude and phase) of each harmonic component in the data. Principal conclusion of this analysis are that (1) the ILS data support the multiple-component hypothesis of the Chandler wobble (it is found that the Chandler wobble can be adequately modeled as a linear combination of four (coherent) harmonic components, each of which represents a steady, nearly circular, prograte motion, a behavior that is inconsistent with the hypothesis of a single Chandler period excited in a temporally and/or spatially random fashion). (2) the four-component Chandler wobble model ``explains'' the apparent phase reversal during 1920-1940 and the pre-1950 empirical period-amplitude relation, (3) the annual wobble is shown to be rather stationary over the years both in amplitude and in phase and no evidence is found to support the large variations reported by earlier investigations. (4) the Markowitz wobble is found to support the large variations reported by earlier investigations. (4) the Markowitz wobble is found to be marginally retrograde and appears to have a complicated behavior which cannot be resolved because of the shortness of the data set.

  3. Standard Model Vacuum Stability and Weyl Consistency Conditions

    DEFF Research Database (Denmark)

    Antipin, Oleg; Gillioz, Marc; Krog, Jens

    2013-01-01

    At high energy the standard model possesses conformal symmetry at the classical level. This is reflected at the quantum level by relations between the different beta functions of the model. These relations are known as the Weyl consistency conditions. We show that it is possible to satisfy them...... order by order in perturbation theory, provided that a suitable coupling constant counting scheme is used. As a direct phenomenological application, we study the stability of the standard model vacuum at high energies and compare with previous computations violating the Weyl consistency conditions....

  4. Classically integrable boundary conditions for symmetric-space sigma models

    International Nuclear Information System (INIS)

    MacKay, N.J.; Young, C.A.S.

    2004-01-01

    We investigate boundary conditions for the non-linear sigma model on the compact symmetric space G/H. The Poisson brackets and the classical local conserved charges necessary for integrability are preserved by boundary conditions which correspond to involutions which commute with the involution defining H. Applied to SO(3)/SO(2), the non-linear sigma model on S 2 , these yield the great circles as boundary submanifolds. Applied to GxG/G, they reproduce known results for the principal chiral model

  5. Comparing lagged linear correlation, lagged regression, Granger causality, and vector autoregression for uncovering associations in EHR data.

    Science.gov (United States)

    Levine, Matthew E; Albers, David J; Hripcsak, George

    2016-01-01

    Time series analysis methods have been shown to reveal clinical and biological associations in data collected in the electronic health record. We wish to develop reliable high-throughput methods for identifying adverse drug effects that are easy to implement and produce readily interpretable results. To move toward this goal, we used univariate and multivariate lagged regression models to investigate associations between twenty pairs of drug orders and laboratory measurements. Multivariate lagged regression models exhibited higher sensitivity and specificity than univariate lagged regression in the 20 examples, and incorporating autoregressive terms for labs and drugs produced more robust signals in cases of known associations among the 20 example pairings. Moreover, including inpatient admission terms in the model attenuated the signals for some cases of unlikely associations, demonstrating how multivariate lagged regression models' explicit handling of context-based variables can provide a simple way to probe for health-care processes that confound analyses of EHR data.

  6. Conditioning a segmented stem profile model for two diameter measurements

    Science.gov (United States)

    Raymond L. Czaplewski; Joe P. Mcclure

    1988-01-01

    The stem profile model of Max and Burkhart (1976) is conditioned for dbh and a second upper stem measurement. This model was applied to a loblolly pine data set using diameter outside bark at 5.3m (i.e., height of 17.3 foot Girard form class) as the second upper stem measurement, and then compared to the original, unconditioned model. Variance of residuals was reduced...

  7. URGAP: A gap conductance model for transient conditions

    International Nuclear Information System (INIS)

    Lassmann, K.; Pazdera, F.

    1983-01-01

    A gap conductance model, URGAP, has been developed with contributions from solid, fluid and radiation heat transfer components. Model parameters are easily available, independent of different combinations of material surfaces. The model parameters were fitted to 388 data points under reactor conditions. For model verification, another 274 data points of steel-steel and aluminium-aluminium interfaces, respectively, were used. For minor surface roughnesses normally prevailing in reactor fuel elements the model asymptotically yields Ross' and Stoute's model for the open gap, which is thus confirmed. Materials data were carefully checked over a wide range of temperatures. Special attention was paid to the contact term for high temperatures. Thus, the model can be applied to transients. The URGAP model is being used successfully in several codes (e.g. URANUS, SSYST). (author)

  8. Modelling conditional correlations of asset returns: A smooth transition approach

    DEFF Research Database (Denmark)

    Silvennoinen, Annastiina; Teräsvirta, Timo

    In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of ve...

  9. Regression models of reactor diagnostic signals

    International Nuclear Information System (INIS)

    Vavrin, J.

    1989-01-01

    The application is described of an autoregression model as the simplest regression model of diagnostic signals in experimental analysis of diagnostic systems, in in-service monitoring of normal and anomalous conditions and their diagnostics. The method of diagnostics is described using a regression type diagnostic data base and regression spectral diagnostics. The diagnostics is described of neutron noise signals from anomalous modes in the experimental fuel assembly of a reactor. (author)

  10. Verification of the karst flow model under laboratory controlled conditions

    Science.gov (United States)

    Gotovac, Hrvoje; Andric, Ivo; Malenica, Luka; Srzic, Veljko

    2016-04-01

    Karst aquifers are very important groundwater resources around the world as well as in coastal part of Croatia. They consist of extremely complex structure defining by slow and laminar porous medium and small fissures and usually fast turbulent conduits/karst channels. Except simple lumped hydrological models that ignore high karst heterogeneity, full hydraulic (distributive) models have been developed exclusively by conventional finite element and finite volume elements considering complete karst heterogeneity structure that improves our understanding of complex processes in karst. Groundwater flow modeling in complex karst aquifers are faced by many difficulties such as a lack of heterogeneity knowledge (especially conduits), resolution of different spatial/temporal scales, connectivity between matrix and conduits, setting of appropriate boundary conditions and many others. Particular problem of karst flow modeling is verification of distributive models under real aquifer conditions due to lack of above-mentioned information. Therefore, we will show here possibility to verify karst flow models under the laboratory controlled conditions. Special 3-D karst flow model (5.6*2.6*2 m) consists of concrete construction, rainfall platform, 74 piezometers, 2 reservoirs and other supply equipment. Model is filled by fine sand (3-D porous matrix) and drainage plastic pipes (1-D conduits). This model enables knowledge of full heterogeneity structure including position of different sand layers as well as conduits location and geometry. Moreover, we know geometry of conduits perforation that enable analysis of interaction between matrix and conduits. In addition, pressure and precipitation distribution and discharge flow rates from both phases can be measured very accurately. These possibilities are not present in real sites what this model makes much more useful for karst flow modeling. Many experiments were performed under different controlled conditions such as different

  11. Modelling the meteorological forest fire niche in heterogeneous pyrologic conditions.

    Science.gov (United States)

    De Angelis, Antonella; Ricotta, Carlo; Conedera, Marco; Pezzatti, Gianni Boris

    2015-01-01

    Fire regimes are strongly related to weather conditions that directly and indirectly influence fire ignition and propagation. Identifying the most important meteorological fire drivers is thus fundamental for daily fire risk forecasting. In this context, several fire weather indices have been developed focussing mainly on fire-related local weather conditions and fuel characteristics. The specificity of the conditions for which fire danger indices are developed makes its direct transfer and applicability problematic in different areas or with other fuel types. In this paper we used the low-to-intermediate fire-prone region of Canton Ticino as a case study to develop a new daily fire danger index by implementing a niche modelling approach (Maxent). In order to identify the most suitable weather conditions for fires, different combinations of input variables were tested (meteorological variables, existing fire danger indices or a combination of both). Our findings demonstrate that such combinations of input variables increase the predictive power of the resulting index and surprisingly even using meteorological variables only allows similar or better performances than using the complex Canadian Fire Weather Index (FWI). Furthermore, the niche modelling approach based on Maxent resulted in slightly improved model performance and in a reduced number of selected variables with respect to the classical logistic approach. Factors influencing final model robustness were the number of fire events considered and the specificity of the meteorological conditions leading to fire ignition.

  12. Conformal Extensions of the Standard Model with Veltman Conditions

    DEFF Research Database (Denmark)

    Antipin, Oleg; Mojaza, Matin; Sannino, Francesco

    2014-01-01

    Using the renormalisation group framework we classify different extensions of the standard model according to their degree of naturality. A new relevant class of perturbative models involving elementary scalars is the one in which the theory simultaneously satisfies the Veltman conditions...... and is conformal at the classical level. We term these extensions perturbative natural conformal (PNC) theories. We show that PNC models are very constrained and thus highly predictive. Among the several PNC examples that we exhibit, we discover a remarkably simple PNC extension of the standard model in which...

  13. Selection Criteria in Regime Switching Conditional Volatility Models

    Directory of Open Access Journals (Sweden)

    Thomas Chuffart

    2015-05-01

    Full Text Available A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a regime switching framework. We focus on two types of models: the Logistic Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and loss functions can lead to misspecification ; BIC sometimes indicates the wrong regime switching framework. Depending on the Data Generating Process used in the experiments, great care is needed when choosing a criterion.

  14. Marine Vessel Models in Changing Operational Conditions - A Tutorial

    DEFF Research Database (Denmark)

    Perez, Tristan; Sørensen, Asgeir; Blanke, Mogens

    2006-01-01

    conditions (VOC). However, since marine systems operate in changing VOCs, there is a need to adapt the models. To date, there is no theory available to describe a general model valid across different VOCs due to the complexity of the hydrodynamic involved. It is believed that system identification could......This tutorial paper provides an introduction, from a systems perspective, to the topic of ship motion dynamics of surface ships. It presents a classification of parametric models currently used for monitoring and control of marine vessels. These models are valid for certain vessel operational...

  15. Partitioning uncertainty in streamflow projections under nonstationary model conditions

    Science.gov (United States)

    Chawla, Ila; Mujumdar, P. P.

    2018-02-01

    Assessing the impacts of Land Use (LU) and climate change on future streamflow projections is necessary for efficient management of water resources. However, model projections are burdened with significant uncertainty arising from various sources. Most of the previous studies have considered climate models and scenarios as major sources of uncertainty, but uncertainties introduced by land use change and hydrologic model assumptions are rarely investigated. In this paper an attempt is made to segregate the contribution from (i) general circulation models (GCMs), (ii) emission scenarios, (iii) land use scenarios, (iv) stationarity assumption of the hydrologic model, and (v) internal variability of the processes, to overall uncertainty in streamflow projections using analysis of variance (ANOVA) approach. Generally, most of the impact assessment studies are carried out with unchanging hydrologic model parameters in future. It is, however, necessary to address the nonstationarity in model parameters with changing land use and climate. In this paper, a regression based methodology is presented to obtain the hydrologic model parameters with changing land use and climate scenarios in future. The Upper Ganga Basin (UGB) in India is used as a case study to demonstrate the methodology. The semi-distributed Variable Infiltration Capacity (VIC) model is set-up over the basin, under nonstationary conditions. Results indicate that model parameters vary with time, thereby invalidating the often-used assumption of model stationarity. The streamflow in UGB under the nonstationary model condition is found to reduce in future. The flows are also found to be sensitive to changes in land use. Segregation results suggest that model stationarity assumption and GCMs along with their interactions with emission scenarios, act as dominant sources of uncertainty. This paper provides a generalized framework for hydrologists to examine stationarity assumption of models before considering them

  16. Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

    International Nuclear Information System (INIS)

    Higgs, Helen

    2009-01-01

    This paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales, Queensland, South Australia and Victoria using the constant conditional correlation and Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) and Engle's (Engle, R., 2002. Dynamic conditional correlation: a sample class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3), 339-350.) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) dynamic conditional correlation multivariate GARCH model which takes account of the Student t specification produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well-interconnected markets. (author)

  17. Cosmological viability conditions for f(T) dark energy models

    Energy Technology Data Exchange (ETDEWEB)

    Setare, M.R.; Mohammadipour, N., E-mail: rezakord@ipm.ir, E-mail: N.Mohammadipour@uok.ac.ir [Department of Science, University of Kurdistan, Sanandaj (Iran, Islamic Republic of)

    2012-11-01

    Recently f(T) modified teleparallel gravity where T is the torsion scalar has been proposed as the natural gravitational alternative for dark energy. We perform a detailed dynamical analysis of these models and find conditions for the cosmological viability of f(T) dark energy models as geometrical constraints on the derivatives of these models. We show that in the phase space exists two cosmologically viable trajectory which (i) The universe would start from an unstable radiation point, then pass a saddle standard matter point which is followed by accelerated expansion de sitter point. (ii) The universe starts from a saddle radiation epoch, then falls onto the stable matter era and the system can not evolve to the dark energy dominated epoch. Finally, for a number of f(T) dark energy models were proposed in the more literature, the viability conditions are investigated.

  18. Relative efficiency of joint-model and full-conditional-specification multiple imputation when conditional models are compatible: The general location model.

    Science.gov (United States)

    Seaman, Shaun R; Hughes, Rachael A

    2018-06-01

    Estimating the parameters of a regression model of interest is complicated by missing data on the variables in that model. Multiple imputation is commonly used to handle these missing data. Joint model multiple imputation and full-conditional specification multiple imputation are known to yield imputed data with the same asymptotic distribution when the conditional models of full-conditional specification are compatible with that joint model. We show that this asymptotic equivalence of imputation distributions does not imply that joint model multiple imputation and full-conditional specification multiple imputation will also yield asymptotically equally efficient inference about the parameters of the model of interest, nor that they will be equally robust to misspecification of the joint model. When the conditional models used by full-conditional specification multiple imputation are linear, logistic and multinomial regressions, these are compatible with a restricted general location joint model. We show that multiple imputation using the restricted general location joint model can be substantially more asymptotically efficient than full-conditional specification multiple imputation, but this typically requires very strong associations between variables. When associations are weaker, the efficiency gain is small. Moreover, full-conditional specification multiple imputation is shown to be potentially much more robust than joint model multiple imputation using the restricted general location model to mispecification of that model when there is substantial missingness in the outcome variable.

  19. On the Conditioning of Machine-Learning-Assisted Turbulence Modeling

    Science.gov (United States)

    Wu, Jinlong; Sun, Rui; Wang, Qiqi; Xiao, Heng

    2017-11-01

    Recently, several researchers have demonstrated that machine learning techniques can be used to improve the RANS modeled Reynolds stress by training on available database of high fidelity simulations. However, obtaining improved mean velocity field remains an unsolved challenge, restricting the predictive capability of current machine-learning-assisted turbulence modeling approaches. In this work we define a condition number to evaluate the model conditioning of data-driven turbulence modeling approaches, and propose a stability-oriented machine learning framework to model Reynolds stress. Two canonical flows, the flow in a square duct and the flow over periodic hills, are investigated to demonstrate the predictive capability of the proposed framework. The satisfactory prediction performance of mean velocity field for both flows demonstrates the predictive capability of the proposed framework for machine-learning-assisted turbulence modeling. With showing the capability of improving the prediction of mean flow field, the proposed stability-oriented machine learning framework bridges the gap between the existing machine-learning-assisted turbulence modeling approaches and the demand of predictive capability of turbulence models in real applications.

  20. On specification of initial conditions in turbulence models

    Energy Technology Data Exchange (ETDEWEB)

    Rollin, Bertrand [Los Alamos National Laboratory; Andrews, Malcolm J [Los Alamos National Laboratory

    2010-12-01

    Recent research has shown that initial conditions have a significant influence on the evolution of a flow towards turbulence. This important finding offers a unique opportunity for turbulence control, but also raises the question of how to properly specify initial conditions in turbulence models. We study this problem in the context of the Rayleigh-Taylor instability. The Rayleigh-Taylor instability is an interfacial fluid instability that leads to turbulence and turbulent mixing. It occurs when a light fluid is accelerated in to a heavy fluid because of misalignment between density and pressure gradients. The Rayleigh-Taylor instability plays a key role in a wide variety of natural and man-made flows ranging from supernovae to the implosion phase of Inertial Confinement Fusion (ICF). Our approach consists of providing the turbulence models with a predicted profile of its key variables at the appropriate time in accordance to the initial conditions of the problem.

  1. Modelling the Thermomechanical Conditions in Friction Stir Welding

    DEFF Research Database (Denmark)

    Schmidt, Henrik Nikolaj Blich

    Friction Stir Welding is a solid-state welding process invented by TWI in 1991. The FSW process is unique in the sense that joining of un-weldable alloys readily can be made. The thermomechanical conditions present in the workpiece during the welding process are of great interest since...... these control the properties of the weld. In the present work, a set of experimental, analytical and numerical analyses are carried out in order to evaluate the thermomechanical conditions descriptive for welding of aluminium, in this case AA2024-T3, under a specific set of welding parameters. Despite...... these specific data, the developed models can be applied for other alloys and welding parameters as well. A detailed experiment is carried out which constitutes the basis for the development and validation of the numerical and analytical models presented in this work. The contact condition at the tool...

  2. Modeling current climate conditions for forest pest risk assessment

    Science.gov (United States)

    Frank H. Koch; John W. Coulston

    2010-01-01

    Current information on broad-scale climatic conditions is essential for assessing potential distribution of forest pests. At present, sophisticated spatial interpolation approaches such as the Parameter-elevation Regressions on Independent Slopes Model (PRISM) are used to create high-resolution climatic data sets. Unfortunately, these data sets are based on 30-year...

  3. Compositional models and conditional independence in evidence theory

    Czech Academy of Sciences Publication Activity Database

    Jiroušek, Radim; Vejnarová, Jiřina

    2011-01-01

    Roč. 52, č. 3 (2011), s. 316-334 ISSN 0888-613X Institutional research plan: CEZ:AV0Z10750506 Keywords : Evidence theory * Conditional independence * multidimensional models Subject RIV: BA - General Mathematics Impact factor: 1.948, year: 2011 http://library.utia.cas.cz/separaty/2012/MTR/jirousek-0370515.pdf

  4. Modeling real conditions of 'Ukrytie' object in 3D measurement

    International Nuclear Information System (INIS)

    Podbereznyj, S.S.

    2001-01-01

    The article covers a technology of creation on soft products basis for designing: AutoCad, and computer graphics and animation 3D Studio, 3DS MAX, of 3D model of geometrical parameters of current conditions of building structures, technological equipment, fuel-containing materials, concrete, water of ruined Unit 4, 'Ukryttia' object, of Chernobyl NPP. The model built using the above technology will be applied in the future as a basis when automating the design and computer modeling of processes at the 'Ukryttia' object

  5. Economic value added model upon conditions of banking company

    Directory of Open Access Journals (Sweden)

    Vlasta Kašparovská

    2008-01-01

    Full Text Available The content of this article is the application of the economic value added model (EVA upon the conditions of a banking company. Due to the character of banking business, which is in a different structure of financial sheet, it is not possible to use the standard model EVA for this banking company. The base of this article is the outlined of basic principles of the EVA mode in a non-banking company. Basic specified banking activity dissimilarities are analysed and a directed methodology adjustment of a model such as this, so that it is possible to use it for a banking company.

  6. A model to predict moisture conditions in concrete reactor containments

    International Nuclear Information System (INIS)

    Ahs, M.; Nilsson, L.O.; Poyet, S.; L'Hostis, V.

    2015-01-01

    Moisture has an impact in many of the degradation mechanisms that appear in the structures of a nuclear power plant. Moisture conditions in a reactor containment wall have been simulated by using a hygro-thermal model of drying concrete. Methods to estimate the temperature dependency of the sorption isotherms and moisture transport properties is suggested and applied in the model. This temperature dependency is included as there is a temperature gradient present through the containment wall. The hygro-thermal model was applied on a full scale 3D model of a real reactor containment building and the concrete relative humidity has been computed at 4 different moments: 1, 10, 20 and 30 years. The results show that the major part of the concrete is not dried at all even after 30 years of operation. It is also clear that the temperature distribution inside the whole concrete volume is affected by the variable boundary conditions. It was concluded that the suggested hygro-thermal model was appropriate to use as a method to estimate the existing conditions in a PWR reactor containment wall

  7. Predicting birth weight with conditionally linear transformation models.

    Science.gov (United States)

    Möst, Lisa; Schmid, Matthias; Faschingbauer, Florian; Hothorn, Torsten

    2016-12-01

    Low and high birth weight (BW) are important risk factors for neonatal morbidity and mortality. Gynecologists must therefore accurately predict BW before delivery. Most prediction formulas for BW are based on prenatal ultrasound measurements carried out within one week prior to birth. Although successfully used in clinical practice, these formulas focus on point predictions of BW but do not systematically quantify uncertainty of the predictions, i.e. they result in estimates of the conditional mean of BW but do not deliver prediction intervals. To overcome this problem, we introduce conditionally linear transformation models (CLTMs) to predict BW. Instead of focusing only on the conditional mean, CLTMs model the whole conditional distribution function of BW given prenatal ultrasound parameters. Consequently, the CLTM approach delivers both point predictions of BW and fetus-specific prediction intervals. Prediction intervals constitute an easy-to-interpret measure of prediction accuracy and allow identification of fetuses subject to high prediction uncertainty. Using a data set of 8712 deliveries at the Perinatal Centre at the University Clinic Erlangen (Germany), we analyzed variants of CLTMs and compared them to standard linear regression estimation techniques used in the past and to quantile regression approaches. The best-performing CLTM variant was competitive with quantile regression and linear regression approaches in terms of conditional coverage and average length of the prediction intervals. We propose that CLTMs be used because they are able to account for possible heteroscedasticity, kurtosis, and skewness of the distribution of BWs. © The Author(s) 2014.

  8. Vibration based condition monitoring of a multistage epicyclic gearbox in lifting cranes

    Science.gov (United States)

    Assaad, Bassel; Eltabach, Mario; Antoni, Jérôme

    2014-01-01

    This paper proposes a model-based technique for detecting wear in a multistage planetary gearbox used by lifting cranes. The proposed method establishes a vibration signal model which deals with cyclostationary and autoregressive models. First-order cyclostationarity is addressed by the analysis of the time synchronous average (TSA) of the angular resampled vibration signal. Then an autoregressive model (AR) is applied to the TSA part in order to extract a residual signal containing pertinent fault signatures. The paper also explores a number of methods commonly used in vibration monitoring of planetary gearboxes, in order to make comparisons. In the experimental part of this study, these techniques are applied to accelerated lifetime test bench data for the lifting winch. After processing raw signals recorded with an accelerometer mounted on the outside of the gearbox, a number of condition indicators (CIs) are derived from the TSA signal, the residual autoregressive signal and other signals derived using standard signal processing methods. The goal is to check the evolution of the CIs during the accelerated lifetime test (ALT). Clarity and fluctuation level of the historical trends are finally considered as a criteria for comparing between the extracted CIs.

  9. CFD Modeling of Non-Neutral Atmospheric Boundary Layer Conditions

    DEFF Research Database (Denmark)

    Koblitz, Tilman

    model results. A method is developed how to simulate the time-dependant non-neutral ABL flow over complex terrain: a precursor simulation is used to specify unsteady inlet boundary conditions on complex terrain domains. The advantage of the developed RANS model framework is its general applicability...... characteristics of neutral and non-neutral ABL flow. The developed ABL model significantly improves the predicted flow fields over both flat and complex terrain, when compared against neutral models and measurements....... cost than e.g. using large-eddy simulations. The developed ABL model is successfully validated using a range of different test cases with increasing complexity. Data from several large scale field campaigns, wind tunnel experiments, and previous numerical simulations is presented and compared against...

  10. Physical plausibility of cold star models satisfying Karmarkar conditions

    Energy Technology Data Exchange (ETDEWEB)

    Fuloria, Pratibha [Kumaun University, Physics Dept., Almora (India); Pant, Neeraj [N.D.A., Maths Dept., Khadakwasla, Pune (India)

    2017-11-15

    In the present article, we have obtained a new well behaved solution to Einstein's field equations in the background of Karmarkar spacetime. The solution has been used for stellar modelling within the demand of current observational evidences. All the physical parameters are well behaved inside the stellar interior and our model satisfies all the required conditions to be physically realizable. The obtained compactness parameter is within the Buchdahl limit, i.e. 2M/R ≤ 8/9. The TOV equation is well maintained inside the fluid spheres. The stability of the models has been further confirmed by using Herrera's cracking method. The models proposed in the present work are compatible with observational data of compact objects 4U1608-52 and PSRJ1903+327. The necessary graphs have been shown to authenticate the physical viability of our models. (orig.)

  11. Physical plausibility of cold star models satisfying Karmarkar conditions

    International Nuclear Information System (INIS)

    Fuloria, Pratibha; Pant, Neeraj

    2017-01-01

    In the present article, we have obtained a new well behaved solution to Einstein's field equations in the background of Karmarkar spacetime. The solution has been used for stellar modelling within the demand of current observational evidences. All the physical parameters are well behaved inside the stellar interior and our model satisfies all the required conditions to be physically realizable. The obtained compactness parameter is within the Buchdahl limit, i.e. 2M/R ≤ 8/9. The TOV equation is well maintained inside the fluid spheres. The stability of the models has been further confirmed by using Herrera's cracking method. The models proposed in the present work are compatible with observational data of compact objects 4U1608-52 and PSRJ1903+327. The necessary graphs have been shown to authenticate the physical viability of our models. (orig.)

  12. Physical plausibility of cold star models satisfying Karmarkar conditions

    Science.gov (United States)

    Fuloria, Pratibha; Pant, Neeraj

    2017-11-01

    In the present article, we have obtained a new well behaved solution to Einstein's field equations in the background of Karmarkar spacetime. The solution has been used for stellar modelling within the demand of current observational evidences. All the physical parameters are well behaved inside the stellar interior and our model satisfies all the required conditions to be physically realizable. The obtained compactness parameter is within the Buchdahl limit, i.e. 2M/R ≤ 8/9 . The TOV equation is well maintained inside the fluid spheres. The stability of the models has been further confirmed by using Herrera's cracking method. The models proposed in the present work are compatible with observational data of compact objects 4U1608-52 and PSRJ1903+327. The necessary graphs have been shown to authenticate the physical viability of our models.

  13. Study on homogenization of synthetic GNSS-retrieved IWV time series and its impact on trend estimates with autoregressive noise

    Science.gov (United States)

    Klos, Anna; Pottiaux, Eric; Van Malderen, Roeland; Bock, Olivier; Bogusz, Janusz

    2017-04-01

    A synthetic benchmark dataset of Integrated Water Vapour (IWV) was created within the activity of "Data homogenisation" of sub-working group WG3 of COST ES1206 Action. The benchmark dataset was created basing on the analysis of IWV differences retrieved by Global Positioning System (GPS) International GNSS Service (IGS) stations using European Centre for Medium-Range Weather Forecats (ECMWF) reanalysis data (ERA-Interim). Having analysed a set of 120 series of IWV differences (ERAI-GPS) derived for IGS stations, we delivered parameters of a number of gaps and breaks for every certain station. Moreover, we estimated values of trends, significant seasonalities and character of residuals when deterministic model was removed. We tested five different noise models and found that a combination of white and autoregressive processes of first order describes the stochastic part with a good accuracy. Basing on this analysis, we performed Monte Carlo simulations of 25 years long data with two different types of noise: white as well as combination of white and autoregressive processes. We also added few strictly defined offsets, creating three variants of synthetic dataset: easy, less-complicated and fully-complicated. The 'Easy' dataset included seasonal signals (annual, semi-annual, 3 and 4 months if present for a particular station), offsets and white noise. The 'Less-complicated' dataset included above-mentioned, as well as the combination of white and first order autoregressive processes (AR(1)+WH). The 'Fully-complicated' dataset included, beyond above, a trend and gaps. In this research, we show the impact of manual homogenisation on the estimates of trend and its error. We also cross-compare the results for three above-mentioned datasets, as the synthetized noise type might have a significant influence on manual homogenisation. Therefore, it might mostly affect the values of trend and their uncertainties when inappropriately handled. In a future, the synthetic dataset

  14. Electric machines modeling, condition monitoring, and fault diagnosis

    CERN Document Server

    Toliyat, Hamid A; Choi, Seungdeog; Meshgin-Kelk, Homayoun

    2012-01-01

    With countless electric motors being used in daily life, in everything from transportation and medical treatment to military operation and communication, unexpected failures can lead to the loss of valuable human life or a costly standstill in industry. To prevent this, it is important to precisely detect or continuously monitor the working condition of a motor. Electric Machines: Modeling, Condition Monitoring, and Fault Diagnosis reviews diagnosis technologies and provides an application guide for readers who want to research, develop, and implement a more effective fault diagnosis and condi

  15. Slarti: A boundary condition editor for a coupled climate model

    Science.gov (United States)

    Mickelson, S. A.; Jacob, R. L.; Pierrehumbert, R.

    2006-12-01

    One of the largest barriers to making climate models more flexible is the difficulty in creating new boundary conditions, especially for "deep time" paleoclimate cases where continents are in different positions. Climate models consist of several mutually-interacting component models and the boundary conditions must be consistent between them. We have developed a program called Slarti which uses a Graphical User Interface and a set of consistency rules to aid researchers in creating new, consistent, boundary condition files for the Fast Ocean Atmosphere Model (FOAM). Users can start from existing mask, topography, or bathymetry data or can build a "world" entirely from scratch (e.g. a single island continent). Once a case has been started, users can modify mask, vegetation, bathymetry, topography, and river flow fields by drawing new data through a "paint" interface. Users activate a synchronization button which goes through the fields to eliminate inconsistencies. When the changes are complete and save is selected, Slarti creates all the necessary files for an initial run of FOAM. The data is edited at the highest resolution (the ocean-land surface in FOAM) and then interpolated to the atmosphere resolution. Slarti was implemented in Java to maintain portability across platforms. We also relied heavily on Java Swing components to create the interface. This allowed us to create an object-oriented interface that could be used on many different systems. Since Slarti allows users to visualize their changes, they are able to see areas that may cause problems when the model is ran. Some examples would be lakes from the river flow field and narrow trenches within the bathymetry. Through different checks and options available through its interface, Slarti makes the process of creating new boundary conditions for FOAM easier and faster while reducing the chance for user errors.

  16. Developed Hybrid Model for Propylene Polymerisation at Optimum Reaction Conditions

    Directory of Open Access Journals (Sweden)

    Mohammad Jakir Hossain Khan

    2016-02-01

    Full Text Available A statistical model combined with CFD (computational fluid dynamic method was used to explain the detailed phenomena of the process parameters, and a series of experiments were carried out for propylene polymerisation by varying the feed gas composition, reaction initiation temperature, and system pressure, in a fluidised bed catalytic reactor. The propylene polymerisation rate per pass was considered the response to the analysis. Response surface methodology (RSM, with a full factorial central composite experimental design, was applied to develop the model. In this study, analysis of variance (ANOVA indicated an acceptable value for the coefficient of determination and a suitable estimation of a second-order regression model. For better justification, results were also described through a three-dimensional (3D response surface and a related two-dimensional (2D contour plot. These 3D and 2D response analyses provided significant and easy to understand findings on the effect of all the considered process variables on expected findings. To diagnose the model adequacy, the mathematical relationship between the process variables and the extent of polymer conversion was established through the combination of CFD with statistical tools. All the tests showed that the model is an excellent fit with the experimental validation. The maximum extent of polymer conversion per pass was 5.98% at the set time period and with consistent catalyst and co-catalyst feed rates. The optimum conditions for maximum polymerisation was found at reaction temperature (RT 75 °C, system pressure (SP 25 bar, and 75% monomer concentration (MC. The hydrogen percentage was kept fixed at all times. The coefficient of correlation for reaction temperature, system pressure, and monomer concentration ratio, was found to be 0.932. Thus, the experimental results and model predicted values were a reliable fit at optimum process conditions. Detailed and adaptable CFD results were capable

  17. Groundwater flow modelling under ice sheet conditions. Scoping calculations

    Energy Technology Data Exchange (ETDEWEB)

    Jaquet, O.; Namar, R. (In2Earth Modelling Ltd (Switzerland)); Jansson, P. (Dept. of Physical Geography and Quaternary Geology, Stockholm Univ., Stockholm (Sweden))

    2010-10-15

    The potential impact of long-term climate changes has to be evaluated with respect to repository performance and safety. In particular, glacial periods of advancing and retreating ice sheet and prolonged permafrost conditions are likely to occur over the repository site. The growth and decay of ice sheets and the associated distribution of permafrost will affect the groundwater flow field and its composition. As large changes may take place, the understanding of groundwater flow patterns in connection to glaciations is an important issue for the geological disposal at long term. During a glacial period, the performance of the repository could be weakened by some of the following conditions and associated processes: - Maximum pressure at repository depth (canister failure). - Maximum permafrost depth (canister failure, buffer function). - Concentration of groundwater oxygen (canister corrosion). - Groundwater salinity (buffer stability). - Glacially induced earthquakes (canister failure). Therefore, the GAP project aims at understanding key hydrogeological issues as well as answering specific questions: - Regional groundwater flow system under ice sheet conditions. - Flow and infiltration conditions at the ice sheet bed. - Penetration depth of glacial meltwater into the bedrock. - Water chemical composition at repository depth in presence of glacial effects. - Role of the taliks, located in front of the ice sheet, likely to act as potential discharge zones of deep groundwater flow. - Influence of permafrost distribution on the groundwater flow system in relation to build-up and thawing periods. - Consequences of glacially induced earthquakes on the groundwater flow system. Some answers will be provided by the field data and investigations; the integration of the information and the dynamic characterisation of the key processes will be obtained using numerical modelling. Since most of the data are not yet available, some scoping calculations are performed using the

  18. Groundwater flow modelling under ice sheet conditions. Scoping calculations

    International Nuclear Information System (INIS)

    Jaquet, O.; Namar, R.; Jansson, P.

    2010-10-01

    The potential impact of long-term climate changes has to be evaluated with respect to repository performance and safety. In particular, glacial periods of advancing and retreating ice sheet and prolonged permafrost conditions are likely to occur over the repository site. The growth and decay of ice sheets and the associated distribution of permafrost will affect the groundwater flow field and its composition. As large changes may take place, the understanding of groundwater flow patterns in connection to glaciations is an important issue for the geological disposal at long term. During a glacial period, the performance of the repository could be weakened by some of the following conditions and associated processes: - Maximum pressure at repository depth (canister failure). - Maximum permafrost depth (canister failure, buffer function). - Concentration of groundwater oxygen (canister corrosion). - Groundwater salinity (buffer stability). - Glacially induced earthquakes (canister failure). Therefore, the GAP project aims at understanding key hydrogeological issues as well as answering specific questions: - Regional groundwater flow system under ice sheet conditions. - Flow and infiltration conditions at the ice sheet bed. - Penetration depth of glacial meltwater into the bedrock. - Water chemical composition at repository depth in presence of glacial effects. - Role of the taliks, located in front of the ice sheet, likely to act as potential discharge zones of deep groundwater flow. - Influence of permafrost distribution on the groundwater flow system in relation to build-up and thawing periods. - Consequences of glacially induced earthquakes on the groundwater flow system. Some answers will be provided by the field data and investigations; the integration of the information and the dynamic characterisation of the key processes will be obtained using numerical modelling. Since most of the data are not yet available, some scoping calculations are performed using the

  19. Condition Parameter Modeling for Anomaly Detection in Wind Turbines

    Directory of Open Access Journals (Sweden)

    Yonglong Yan

    2014-05-01

    Full Text Available Data collected from the supervisory control and data acquisition (SCADA system, used widely in wind farms to obtain operational and condition information about wind turbines (WTs, is of important significance for anomaly detection in wind turbines. The paper presents a novel model for wind turbine anomaly detection mainly based on SCADA data and a back-propagation neural network (BPNN for automatic selection of the condition parameters. The SCADA data sets are determined through analysis of the cumulative probability distribution of wind speed and the relationship between output power and wind speed. The automatic BPNN-based parameter selection is for reduction of redundant parameters for anomaly detection in wind turbines. Through investigation of cases of WT faults, the validity of the automatic parameter selection-based model for WT anomaly detection is verified.

  20. Mathematical modelling of unglazed solar collectors under extreme operating conditions

    DEFF Research Database (Denmark)

    Bunea, M.; Perers, Bengt; Eicher, S.

    2015-01-01

    average temperature levels at the evaporator. Simulation of these systems requires a collector model that can take into account operation at very low temperatures (below freezing) and under various weather conditions, particularly operation without solar irradiation.A solar collector mathematical model......Combined heat pumps and solar collectors got a renewed interest on the heating system market worldwide. Connected to the heat pump evaporator, unglazed solar collectors can considerably increase their efficiency, but they also raise the coefficient of performance of the heat pump with higher...... was found due to the condensation phenomenon and up to 40% due to frost under no solar irradiation. This work also points out the influence of the operating conditions on the collector's characteristics.Based on experiments carried out at a test facility, every heat flux on the absorber was separately...

  1. Modeling of composite synthesis in conditions of controlled thermal explosion

    Science.gov (United States)

    Kukta, Yaroslav; Knyazeva, Anna

    2017-12-01

    The paper proposes the model for the titanium-based composite synthesis from powders of titanium and carbon of non-stoichiometric composition. The model takes into account the mixture heating from chamber walls, the dependence of liquidus and solidus temperatures on the composition of reacting mixture and the formation of possible irreversible phases. The reaction retardation by the reaction product is taken into consideration in kinetic laws. As an example, the results of temperature and conversion level calculation are presented for the system Ti-C with the summary reaction for different temperatures of chamber walls heating. It was revealed that the reaction retardation being the reaction product can be the cause of incomplete conversion in the thermal explosion conditions. Non-stoichiometric composition leads to the conditions of degenerated mode when some additional heating is necessary to complete the reaction.

  2. Discounted cost model for condition-based maintenance optimization

    International Nuclear Information System (INIS)

    Weide, J.A.M. van der; Pandey, M.D.; Noortwijk, J.M. van

    2010-01-01

    This paper presents methods to evaluate the reliability and optimize the maintenance of engineering systems that are damaged by shocks or transients arriving randomly in time and overall degradation is modeled as a cumulative stochastic point process. The paper presents a conceptually clear and comprehensive derivation of formulas for computing the discounted cost associated with a maintenance policy combining both condition-based and age-based criteria for preventive maintenance. The proposed discounted cost model provides a more realistic basis for optimizing the maintenance policies than those based on the asymptotic, non-discounted cost rate criterion.

  3. Urban search mobile platform modeling in hindered access conditions

    Science.gov (United States)

    Barankova, I. I.; Mikhailova, U. V.; Kalugina, O. B.; Barankov, V. V.

    2018-05-01

    The article explores the control system simulation and the design of the experimental model of the rescue robot mobile platform. The functional interface, a structural functional diagram of the mobile platform control unit, and a functional control scheme for the mobile platform of secure robot were modeled. The task of design a mobile platform for urban searching in hindered access conditions is realized through the use of a mechanical basis with a chassis and crawler drive, a warning device, human heat sensors and a microcontroller based on Arduino platforms.

  4. Simulating reservoir lithologies by an actively conditioned Markov chain model

    Science.gov (United States)

    Feng, Runhai; Luthi, Stefan M.; Gisolf, Dries

    2018-06-01

    The coupled Markov chain model can be used to simulate reservoir lithologies between wells, by conditioning them on the observed data in the cored wells. However, with this method, only the state at the same depth as the current cell is going to be used for conditioning, which may be a problem if the geological layers are dipping. This will cause the simulated lithological layers to be broken or to become discontinuous across the reservoir. In order to address this problem, an actively conditioned process is proposed here, in which a tolerance angle is predefined. The states contained in the region constrained by the tolerance angle will be employed for conditioning in the horizontal chain first, after which a coupling concept with the vertical chain is implemented. In order to use the same horizontal transition matrix for different future states, the tolerance angle has to be small. This allows the method to work in reservoirs without complex structures caused by depositional processes or tectonic deformations. Directional artefacts in the modeling process are avoided through a careful choice of the simulation path. The tolerance angle and dipping direction of the strata can be obtained from a correlation between wells, or from seismic data, which are available in most hydrocarbon reservoirs, either by interpretation or by inversion that can also assist the construction of a horizontal probability matrix.

  5. Groundwater flow modelling of periods with temperate climate conditions - Laxemar

    International Nuclear Information System (INIS)

    Joyce, Steven; Simpson, Trevor; Hartley, Lee; Applegate, David; Hoek, Jaap; Jackson, Peter; Roberts, David; Swan, David; Gylling, Bjoern; Marsic, Niko; Rhen, Ingvar

    2010-12-01

    As a part of the license application for a final repository for spent nuclear fuel at Forsmark, the Swedish Nuclear Fuel and Waste Management Company (SKB) has undertaken a series of groundwater flow modelling studies. These represent time periods with different hydraulic conditions and the simulations carried out contribute to the overall evaluation of the repository design and long-term radiological safety. This report concerns the modelling of a repository at the Laxemar-Simpevarp site during temperate climate conditions as a comparison to corresponding modelling carried out for Forsmark /Joyce et al. 2010/. The collation and implementation of onsite hydrogeological and hydrogeochemical data from previous reports are used in the construction of a Hydrogeological base case (reference case conceptualisation) and then an examination of various areas of uncertainty within the current understanding by a series of model variants. The Hydrogeological base case models at three different scales, 'repository', 'site' and 'regional' make use of a discrete fracture network (DFN) and equivalent continuous porous medium (ECPM) models. The use of hydrogeological models allow for the investigation of the groundwater flow from a deep disposal facility to the biosphere and for the calculation of performance measures that will provide an input to the site performance assessment. The focus of the study described in this report has been to perform numerical simulations of the hydrogeological system from post-closure and throughout the temperate period up until the receding shoreline leaves the modelling domain at around 15,000 AD. Besides providing quantitative results for the immediate temperate period following post-closure, these results are also intended to give a qualitative indication of the evolution of the groundwater system during future temperate periods within an ongoing cycle of glacial/inter-glacial events

  6. Groundwater flow modelling of periods with temperate climate conditions - Laxemar

    Energy Technology Data Exchange (ETDEWEB)

    Joyce, Steven; Simpson, Trevor; Hartley, Lee; Applegate, David; Hoek, Jaap; Jackson, Peter; Roberts, David; Swan, David (Serco Technical Consulting Services (United Kingdom)); Gylling, Bjoern; Marsic, Niko (Kemakta Konsult AB, Stockholm (Sweden)); Rhen, Ingvar (SWECO Environment AB, Falun (Sweden))

    2010-12-15

    As a part of the license application for a final repository for spent nuclear fuel at Forsmark, the Swedish Nuclear Fuel and Waste Management Company (SKB) has undertaken a series of groundwater flow modelling studies. These represent time periods with different hydraulic conditions and the simulations carried out contribute to the overall evaluation of the repository design and long-term radiological safety. This report concerns the modelling of a repository at the Laxemar-Simpevarp site during temperate climate conditions as a comparison to corresponding modelling carried out for Forsmark /Joyce et al. 2010/. The collation and implementation of onsite hydrogeological and hydrogeochemical data from previous reports are used in the construction of a Hydrogeological base case (reference case conceptualisation) and then an examination of various areas of uncertainty within the current understanding by a series of model variants. The Hydrogeological base case models at three different scales, 'repository', 'site' and 'regional' make use of a discrete fracture network (DFN) and equivalent continuous porous medium (ECPM) models. The use of hydrogeological models allow for the investigation of the groundwater flow from a deep disposal facility to the biosphere and for the calculation of performance measures that will provide an input to the site performance assessment. The focus of the study described in this report has been to perform numerical simulations of the hydrogeological system from post-closure and throughout the temperate period up until the receding shoreline leaves the modelling domain at around 15,000 AD. Besides providing quantitative results for the immediate temperate period following post-closure, these results are also intended to give a qualitative indication of the evolution of the groundwater system during future temperate periods within an ongoing cycle of glacial/inter-glacial events

  7. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

    DEFF Research Database (Denmark)

    Cavaliere, Guiseppe; Rahbæk, Anders; Taylor, A.M. Robert

    Many key macro-economic and financial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

  8. Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility

    DEFF Research Database (Denmark)

    Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, A. M. Robert

    Many key macro-economic and …nancial variables are characterised by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...

  9. On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    We show that the Adaptive LASSO is oracle efficient in stationary and non-stationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...

  10. MATHEMATICAL MODEL FOR ESTIMATION OF MECHANICAL SYSTEM CONDITION IN DYNAMICS

    Directory of Open Access Journals (Sweden)

    D. N. Mironov

    2011-01-01

    Full Text Available The paper considers an estimation of a complicated mechanical system condition in dynamics with due account of material degradation and accumulation of micro-damages. An element of continuous medium has been simulated and described with the help of a discrete element. The paper contains description of a model for determination of mechanical system longevity in accordance with number of cycles and operational period.

  11. Modelling of air-conditioned and heated spaces

    Energy Technology Data Exchange (ETDEWEB)

    Moehl, U

    1987-01-01

    A space represents a complex system involving numerous components, manipulated variables and disturbances which need to be described if dynamic behaviour of space air is to be determined. A justifiable amount of simulation input is determined by the application of adjusted modelling of the individual components. The determination of natural air exchange in heated spaces and of space-air flow in air-conditioned space are a primary source of uncertainties. (orig.).

  12. Wavelet regression model in forecasting crude oil price

    Science.gov (United States)

    Hamid, Mohd Helmie; Shabri, Ani

    2017-05-01

    This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.

  13. The transferability of hydrological models under nonstationary climatic conditions

    Directory of Open Access Journals (Sweden)

    C. Z. Li

    2012-04-01

    Full Text Available This paper investigates issues involved in calibrating hydrological models against observed data when the aim of the modelling is to predict future runoff under different climatic conditions. To achieve this objective, we tested two hydrological models, DWBM and SIMHYD, using data from 30 unimpaired catchments in Australia which had at least 60 yr of daily precipitation, potential evapotranspiration (PET, and streamflow data. Nash-Sutcliffe efficiency (NSE, modified index of agreement (d1 and water balance error (WBE were used as performance criteria. We used a differential split-sample test to split up the data into 120 sub-periods and 4 different climatic sub-periods in order to assess how well the calibrated model could be transferred different periods. For each catchment, the models were calibrated for one sub-period and validated on the other three. Monte Carlo simulation was used to explore parameter stability compared to historic climatic variability. The chi-square test was used to measure the relationship between the distribution of the parameters and hydroclimatic variability. The results showed that the performance of the two hydrological models differed and depended on the model calibration. We found that if a hydrological model is set up to simulate runoff for a wet climate scenario then it should be calibrated on a wet segment of the historic record, and similarly a dry segment should be used for a dry climate scenario. The Monte Carlo simulation provides an effective and pragmatic approach to explore uncertainty and equifinality in hydrological model parameters. Some parameters of the hydrological models are shown to be significantly more sensitive to the choice of calibration periods. Our findings support the idea that when using conceptual hydrological models to assess future climate change impacts, a differential split-sample test and Monte Carlo simulation should be used to quantify uncertainties due to

  14. APPLICABILITY OF SIMILARITY CONDITIONS TO ANALOGUE MODELLING OF TECTONIC STRUCTURES

    Directory of Open Access Journals (Sweden)

    Mikhail A. Goncharov

    2010-01-01

    Full Text Available The publication is aimed at comparing concepts of V.V. Belousov and M.V. Gzovsky, outstanding researchers who established fundamentals of tectonophysics in Russia, specifically similarity conditions in application to tectonophysical modeling. Quotations from their publications illustrate differences in their views. In this respect, we can reckon V.V. Belousov as a «realist» as he supported «the liberal point of view» [Methods of modelling…, 1988, p. 21–22], whereas M.V. Gzovsky can be regarded as an «idealist» as he believed that similarity conditions should be mandatorily applied to ensure correctness of physical modeling of tectonic deformations and structures [Gzovsky, 1975, pp. 88 and 94].Objectives of the present publication are (1 to be another reminder about desirability of compliance with similarity conditions in experimental tectonics; (2 to point out difficulties in ensuring such compliance; (3 to give examples which bring out the fact that similarity conditions are often met per se, i.e. automatically observed; (4 to show that modeling can be simplified in some cases without compromising quantitative estimations of parameters of structure formation.(1 Physical modelling of tectonic deformations and structures should be conducted, if possible, in compliance with conditions of geometric and physical similarity between experimental models and corresponding natural objects. In any case, a researcher should have a clear vision of conditions applicable to each particular experiment.(2 Application of similarity conditions is often challenging due to unavoidable difficulties caused by the following: a Imperfection of experimental equipment and technologies (Fig. 1 to 3; b uncertainties in estimating parameters of formation of natural structures, including main ones: structure size (Fig. 4, time of formation (Fig. 5, deformation properties of the medium wherein such structures are formed, including, first of all, viscosity (Fig. 6

  15. Applying Time Series Analysis Model to Temperature Data in Greenhouses

    Directory of Open Access Journals (Sweden)

    Abdelhafid Hasni

    2011-03-01

    Full Text Available The objective of the research is to find an appropriate Seasonal Auto-Regressive Integrated Moving Average (SARIMA Model for fitting the inside air temperature (Tin of a naturally ventilated greenhouse under Mediterranean conditions by considering the minimum of Akaike Information Criterion (AIC. The results of fitting were as follows: the best SARIMA Model for fitting air temperature of greenhouse is SARIMA (1,0,0 (1,0,224.

  16. Groundwater flow modelling of periods with temperate climate conditions - Forsmark

    Energy Technology Data Exchange (ETDEWEB)

    Joyce, Steven; Simpson, Trevor; Hartley, Lee; Applegate, David; Hoek, Jaap; Jackson, Peter; Swan, David (Serco Technical Consulting Services (United Kingdom)); Marsic, Niko (Kemakta Konsult AB (Sweden)); Follin, Sven (SF GeoLogic AB (Sweden))

    2010-11-15

    As a part of the license application for a final repository for spent nuclear fuel at Forsmark, the Swedish Nuclear Fuel and Waste Management Company (SKB) has undertaken a series of groundwater flow modelling studies. These represent time periods with different climate conditions and the simulations carried out contribute to the overall evaluation of the repository design and long-term radiological safety. This report concerns the modelling of a repository at the Forsmark site during temperate conditions; i.e. from post-closure and throughout the temperate period up until the receding shoreline leaves the modelling domain at around 12,000 AD. The collation and implementation of onsite hydrogeological and hydrogeochemical data from previous reports are used in the construction of a hydrogeological base case (reference case conceptualisation) and then in an examination of various areas of uncertainty within the current understanding by a series of model variants. The hydrogeological base case models at three different scales, 'repository', 'site' and 'regional', make use of continuous porous medium (CPM), equivalent continuous porous medium (ECPM) and discrete fracture network (DFN) models. The use of hydrogeological models allow for the investigation of the groundwater flow from a deep disposal facility to the biosphere and for the calculation of performance measures that will provide an input to the site performance assessment. The focus of the study described in this report has been to perform numerical simulations of the hydrogeological system from post-closure and throughout the temperate period. Besides providing quantitative results for the immediate temperate period following post-closure, these results are also intended to give a qualitative indication of the evolution of the groundwater system during future temperate periods within an ongoing cycle of glacial/inter-glacial events

  17. MENENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL CONDITIONAL MEAN VARIANCE

    Directory of Open Access Journals (Sweden)

    I GEDE ERY NISCAHYANA

    2016-08-01

    Full Text Available When the returns of stock prices show the existence of autocorrelation and heteroscedasticity, then conditional mean variance models are suitable method to model the behavior of the stocks. In this thesis, the implementation of the conditional mean variance model to the autocorrelated and heteroscedastic return was discussed. The aim of this thesis was to assess the effect of the autocorrelated and heteroscedastic returns to the optimal solution of a portfolio. The margin of four stocks, Fortune Mate Indonesia Tbk (FMII.JK, Bank Permata Tbk (BNLI.JK, Suryamas Dutamakmur Tbk (SMDM.JK dan Semen Gresik Indonesia Tbk (SMGR.JK were estimated by GARCH(1,1 model with standard innovations following the standard normal distribution and the t-distribution.  The estimations were used to construct a portfolio. The portfolio optimal was found when the standard innovation used was t-distribution with the standard deviation of 1.4532 and the mean of 0.8023 consisting of 0.9429 (94% of FMII stock, 0.0473 (5% of  BNLI stock, 0% of SMDM stock, 1% of  SMGR stock.

  18. Empirical models of wind conditions on Upper Klamath Lake, Oregon

    Science.gov (United States)

    Buccola, Norman L.; Wood, Tamara M.

    2010-01-01

    Upper Klamath Lake is a large (230 square kilometers), shallow (mean depth 2.8 meters at full pool) lake in southern Oregon. Lake circulation patterns are driven largely by wind, and the resulting currents affect the water quality and ecology of the lake. To support hydrodynamic modeling of the lake and statistical investigations of the relation between wind and lake water-quality measurements, the U.S. Geological Survey has monitored wind conditions along the lakeshore and at floating raft sites in the middle of the lake since 2005. In order to make the existing wind archive more useful, this report summarizes the development of empirical wind models that serve two purposes: (1) to fill short (on the order of hours or days) wind data gaps at raft sites in the middle of the lake, and (2) to reconstruct, on a daily basis, over periods of months to years, historical wind conditions at U.S. Geological Survey sites prior to 2005. Empirical wind models based on Artificial Neural Network (ANN) and Multivariate-Adaptive Regressive Splines (MARS) algorithms were compared. ANNs were better suited to simulating the 10-minute wind data that are the dependent variables of the gap-filling models, but the simpler MARS algorithm may be adequate to accurately simulate the daily wind data that are the dependent variables of the historical wind models. To further test the accuracy of the gap-filling models, the resulting simulated winds were used to force the hydrodynamic model of the lake, and the resulting simulated currents were compared to measurements from an acoustic Doppler current profiler. The error statistics indicated that the simulation of currents was degraded as compared to when the model was forced with observed winds, but probably is adequate for short gaps in the data of a few days or less. Transport seems to be less affected by the use of the simulated winds in place of observed winds. The simulated tracer concentration was similar between model results when

  19. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL Approach

    Directory of Open Access Journals (Sweden)

    Helen Higgs

    2014-03-01

    Full Text Available This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL approach. We particularly focus on the impact of the global financial crisis (GFC from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets: owneroccupied housing loans (Sep 1985–June 2010, term loans (for motor vehicles, household goods and debt consolidation, etc. (Dec 1988–Jun 2010, credit card loans (Mar 1990–Jun 2010, and margin loans (Sep 2000–Jun 2010. Other than the indicator lending rates and annual full-time earnings respectively used as proxies for the price and income effects, we specify a large number of other variables as demand factors, particularly reflecting the value of the asset for which retail finance demand is derived. These variously include the yield on indexed bonds as a proxy for inflation expectations, median housing prices, consumer sentiment indices as measures of consumer confidence, motor vehicle and retail trade sales, housing debt-to-housing assets as a measure of leverage, the proportion of protected margin lending, the available credit limit on credit cards, and the All Ordinaries Index. In the long run, we find significant price elasticities only for term loans and margin loans, and significant income elasticities of demand for housing loans, term loans and margin loans. We also find that the GFC only significantly affected the longrun demand for term loans and margin loans. In the short run, we find that the GFC has had a significant effect on the price elasticity of demand for term loans and margin loans. Expected inflation is also a key factor affecting retail finance demand. Overall, most of the submarkets in the analysis indicate that retail finance demand is certainly price inelastic but more income elastic than conventionally thought.

  20. The impact of media campaigns on smoking cessation activity: a structural vector autoregression analysis.

    Science.gov (United States)

    Langley, Tessa E; McNeill, Ann; Lewis, Sarah; Szatkowski, Lisa; Quinn, Casey

    2012-11-01

    To evaluate the effect of tobacco control media campaigns and pharmaceutical company-funded advertising for nicotine replacement therapy (NRT) on smoking cessation activity. Multiple time series analysis using structural vector autoregression, January 2002-May 2010. England and Wales. Tobacco control campaign data from the Central Office of Information; commercial NRT campaign data; data on calls to the National Health Service (NHS) stop smoking helpline from the Department of Health; point-of-sale data on over-the-counter (OTC) sales of NRT; and prescribing data from The Health Improvement Network (THIN), a database of UK primary care records. Monthly calls to the NHS stop smoking helpline and monthly rates of OTC sales and prescribing of NRT. A 1% increase in tobacco control television ratings (TVRs), a standard measure of advertising exposure, was associated with a statistically significant 0.085% increase in calls in the same month (P = 0.007), and no statistically significant effect in subsequent months. Tobacco control TVRs were not associated with OTC NRT sales or prescribed NRT. NRT advertising TVRs had a significant effect on NRT sales which became non-significant in the seasonally adjusted model, and no significant effect on prescribing or calls. Tobacco control campaigns appear to be more effective at triggering quitting behaviour than pharmaceutical company NRT campaigns. Any effect of such campaigns on quitting behaviour seems to be restricted to the month of the campaign, suggesting that such campaigns need to be sustained over time. © 2012 The Authors, Addiction © 2012 Society for the Study of Addiction.

  1. Computational modeling for hexcan failure under core distruptive accidental conditions

    Energy Technology Data Exchange (ETDEWEB)

    Sawada, T.; Ninokata, H.; Shimizu, A. [Tokyo Institute of Technology (Japan)

    1995-09-01

    This paper describes the development of computational modeling for hexcan wall failures under core disruptive accident conditions of fast breeder reactors. A series of out-of-pile experiments named SIMBATH has been analyzed by using the SIMMER-II code. The SIMBATH experiments were performed at KfK in Germany. The experiments used a thermite mixture to simulate fuel. The test geometry of SIMBATH ranged from single pin to 37-pin bundles. In this study, phenomena of hexcan wall failure found in a SIMBATH test were analyzed by SIMMER-II. Although the original model of SIMMER-II did not calculate any hexcan failure, several simple modifications made it possible to reproduce the hexcan wall melt-through observed in the experiment. In this paper the modifications and their significance are discussed for further modeling improvements.

  2. Modelling crop yield in Iberia under drought conditions

    Science.gov (United States)

    Ribeiro, Andreia; Páscoa, Patrícia; Russo, Ana; Gouveia, Célia

    2017-04-01

    The improved assessment of the cereal yield and crop loss under drought conditions are essential to meet the increasing economy demands. The growing frequency and severity of the extreme drought conditions in the Iberian Peninsula (IP) has been likely responsible for negative impacts on agriculture, namely on crop yield losses. Therefore, a continuous monitoring of vegetation activity and a reliable estimation of drought impacts is crucial to contribute for the agricultural drought management and development of suitable information tools. This works aims to assess the influence of drought conditions in agricultural yields over the IP, considering cereal yields from mainly rainfed agriculture for the provinces with higher productivity. The main target is to develop a strategy to model drought risk on agriculture for wheat yield at a province level. In order to achieve this goal a combined assessment was made using a drought indicator (Standardized Precipitation Evapotranspiration Index, SPEI) to evaluate drought conditions together with a widely used vegetation index (Normalized Difference Vegetation Index, NDVI) to monitor vegetation activity. A correlation analysis between detrended wheat yield and SPEI was performed in order to assess the vegetation response to each time scale of drought occurrence and also identify the moment of the vegetative cycle when the crop yields are more vulnerable to drought conditions. The time scales and months of SPEI, together with the months of NDVI, better related with wheat yield were chosen to perform a multivariate regression analysis to simulate crop yield. Model results are satisfactory and highlighted the usefulness of such analysis in the framework of developing a drought risk model for crop yields. In terms of an operational point of view, the results aim to contribute to an improved understanding of crop yield management under dry conditions, particularly adding substantial information on the advantages of combining

  3. A thermal model for photovoltaic panels under varying atmospheric conditions

    International Nuclear Information System (INIS)

    Armstrong, S.; Hurley, W.G.

    2010-01-01

    The response of the photovoltaic (PV) panel temperature is dynamic with respect to the changes in the incoming solar radiation. During periods of rapidly changing conditions, a steady state model of the operating temperature cannot be justified because the response time of the PV panel temperature becomes significant due to its large thermal mass. Therefore, it is of interest to determine the thermal response time of the PV panel. Previous attempts to determine the thermal response time have used indoor measurements, controlling the wind flow over the surface of the panel with fans or conducting the experiments in darkness to avoid radiative heat loss effects. In real operating conditions, the effective PV panel temperature is subjected to randomly varying ambient temperature and fluctuating wind speeds and directions; parameters that are not replicated in controlled, indoor experiments. A new thermal model is proposed that incorporates atmospheric conditions; effects of PV panel material composition and mounting structure. Experimental results are presented which verify the thermal behaviour of a photovoltaic panel for low to strong winds.

  4. Wall conditioning for ITER: Current experimental and modeling activities

    Energy Technology Data Exchange (ETDEWEB)

    Douai, D., E-mail: david.douai@cea.fr [CEA, IRFM, Association Euratom-CEA, 13108 St. Paul lez Durance (France); Kogut, D. [CEA, IRFM, Association Euratom-CEA, 13108 St. Paul lez Durance (France); Wauters, T. [LPP-ERM/KMS, Association Belgian State, 1000 Brussels (Belgium); Brezinsek, S. [FZJ, Institut für Energie- und Klimaforschung Plasmaphysik, 52441 Jülich (Germany); Hagelaar, G.J.M. [Laboratoire Plasma et Conversion d’Energie, UMR5213, Toulouse (France); Hong, S.H. [National Fusion Research Institute, Daejeon 305-806 (Korea, Republic of); Lomas, P.J. [CCFE, Culham Science Centre, OX14 3DB Abingdon (United Kingdom); Lyssoivan, A. [LPP-ERM/KMS, Association Belgian State, 1000 Brussels (Belgium); Nunes, I. [Associação EURATOM-IST, Instituto de Plasmas e Fusão Nuclear, 1049-001 Lisboa (Portugal); Pitts, R.A. [ITER International Organization, F-13067 St. Paul lez Durance (France); Rohde, V. [Max-Planck-Institut für Plasmaphysik, 85748 Garching (Germany); Vries, P.C. de [ITER International Organization, F-13067 St. Paul lez Durance (France)

    2015-08-15

    Wall conditioning will be required in ITER to control fuel and impurity recycling, as well as tritium (T) inventory. Analysis of conditioning cycle on the JET, with its ITER-Like Wall is presented, evidencing reduced need for wall cleaning in ITER compared to JET–CFC. Using a novel 2D multi-fluid model, current density during Glow Discharge Conditioning (GDC) on the in-vessel plasma-facing components (PFC) of ITER is predicted to approach the simple expectation of total anode current divided by wall surface area. Baking of the divertor to 350 °C should desorb the majority of the co-deposited T. ITER foresees the use of low temperature plasma based techniques compatible with the permanent toroidal magnetic field, such as Ion (ICWC) or Electron Cyclotron Wall Conditioning (ECWC), for tritium removal between ITER plasma pulses. Extrapolation of JET ICWC results to ITER indicates removal comparable to estimated T-retention in nominal ITER D:T shots, whereas GDC may be unattractive for that purpose.

  5. Statistical analysis of hypotheses on the cointegrating relations in the I(2) model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2006-01-01

    The cointegrated vector autoregressive model for I(2) variables is a non-linear parametric restriction on the linear I(2) regression model for variables of order I(0), I(1) and I(2). In this paper we discuss non-linear submodels given by smooth parametrizations. We give conditions on the parametr......) and the reformulation is applied to show that some hypotheses on the cointegrating coefficients in the cointegrated I(2) model give asymptotic ¿² inference....

  6. New boundary conditions for 3D RF modelling

    International Nuclear Information System (INIS)

    Ko, K.; Nelson, E.; Fitze, H.

    1990-01-01

    The new capabilities are being implemented into the 3D particle-in-cell code, ARGUS, which will reduce substantially both problem size and computing time when modeling realistic geometries with high accuracies. In the time domain, a cylindrical radiative boundary condition will enable traveling wave propagation to be simulated in accelerator structures. An application of interest is the input coupler in the SLAC x-band high-gradient structure where local field gradients and impedance matching are important issues. In the frequency domain, a quasi-periodic boundary condition will facilitate the cold-test analysis of 3D periodic structures where many calculations are required to generate an ω β diagram. Present applications include the crossed-field amplifier cavity and the cluster klystron cavity

  7. Model of personal consumption under conditions of modern economy

    Science.gov (United States)

    Rakhmatullina, D. K.; Akhmetshina, E. R.; Ignatjeva, O. A.

    2017-12-01

    In the conditions of the modern economy, in connection with the development of production, the expansion of the market for goods and services, its differentiation, active use of marketing tools in the sphere of sales, changes occur in the system of values and consumer needs. Motives that drive the consumer are transformed, stimulating it to activity. The article presents a model of personal consumption that takes into account modern trends in consumer behavior. The consumer, making a choice, seeks to maximize the overall utility from consumption, physiological and socio-psychological satisfaction, in accordance with his expectations, preferences and conditions of consumption. The system of his preferences is formed under the influence of factors of a different nature. It is also shown that the structure of consumer spending allows us to characterize and predict its further behavior in the market. Based on the proposed model and analysis of current trends in consumer behavior, conclusions and recommendations have been made that can be used by legislative and executive government bodies, business organizations, research centres and other structures to form a methodological and analytical tool for preparing a forecast model of consumption.

  8. Modelling and simulation of concrete leaching under outdoor exposure conditions

    International Nuclear Information System (INIS)

    Schiopu, Nicoleta; Tiruta-Barna, Ligia; Jayr, Emmanuel; Mehu, Jacques; Moszkowicz, Pierre

    2009-01-01

    Recently, a demand regarding the assessment of release of dangerous substances from construction products was raised by European Commission which has issued the Mandate M/366 addressed to CEN. This action is in relation with the Essential Requirement No. 3 'Hygiene, Health and Environment' of the Construction Products Directive (89/106/EC). The potential hazard for environment and health may arise in different life cycle stages of a construction product. During the service life stage, the release of substances due to contact with the rain water is the main potential hazard source, as a consequence of the leaching phenomenon. The objective of this paper is to present the development of a coupled chemical-transport model for the case of a concrete based construction product, i.e. concrete paving slabs, exposed to rain water under outdoor exposure conditions. The development of the model is based on an iterative process of comparing the experimental results with the simulated results up to an acceptable fit. The experiments were conducted at laboratory scale (equilibrium and dynamic leaching tests) and field scale. The product was exposed for one year in two types of leaching scenarios under outdoor conditions, 'runoff' and 'stagnation', and the element release was monitored. The model was calibrated using the experimental data obtained at laboratory scale and validated against measured field data, by taking into account the specific rain water balance and the atmospheric CO 2 uptake as input parameters. The numerical tool used in order to model and simulate the leaching behaviour was PHREEQC, coupled with the Lawrence Livermore National Laboratory (LLNL) thermodynamic data base. The simulation results are satisfying and the paper demonstrates the feasibility of the modelling approach for the leaching behaviour assessment of concrete type construction materials

  9. Do downscaled general circulation models reliably simulate historical climatic conditions?

    Science.gov (United States)

    Bock, Andrew R.; Hay, Lauren E.; McCabe, Gregory J.; Markstrom, Steven L.; Atkinson, R. Dwight

    2018-01-01

    The accuracy of statistically downscaled (SD) general circulation model (GCM) simulations of monthly surface climate for historical conditions (1950–2005) was assessed for the conterminous United States (CONUS). The SD monthly precipitation (PPT) and temperature (TAVE) from 95 GCMs from phases 3 and 5 of the Coupled Model Intercomparison Project (CMIP3 and CMIP5) were used as inputs to a monthly water balance model (MWBM). Distributions of MWBM input (PPT and TAVE) and output [runoff (RUN)] variables derived from gridded station data (GSD) and historical SD climate were compared using the Kolmogorov–Smirnov (KS) test For all three variables considered, the KS test results showed that variables simulated using CMIP5 generally are more reliable than those derived from CMIP3, likely due to improvements in PPT simulations. At most locations across the CONUS, the largest differences between GSD and SD PPT and RUN occurred in the lowest part of the distributions (i.e., low-flow RUN and low-magnitude PPT). Results indicate that for the majority of the CONUS, there are downscaled GCMs that can reliably simulate historical climatic conditions. But, in some geographic locations, none of the SD GCMs replicated historical conditions for two of the three variables (PPT and RUN) based on the KS test, with a significance level of 0.05. In these locations, improved GCM simulations of PPT are needed to more reliably estimate components of the hydrologic cycle. Simple metrics and statistical tests, such as those described here, can provide an initial set of criteria to help simplify GCM selection.

  10. Conditional Monte Carlo randomization tests for regression models.

    Science.gov (United States)

    Parhat, Parwen; Rosenberger, William F; Diao, Guoqing

    2014-08-15

    We discuss the computation of randomization tests for clinical trials of two treatments when the primary outcome is based on a regression model. We begin by revisiting the seminal paper of Gail, Tan, and Piantadosi (1988), and then describe a method based on Monte Carlo generation of randomization sequences. The tests based on this Monte Carlo procedure are design based, in that they incorporate the particular randomization procedure used. We discuss permuted block designs, complete randomization, and biased coin designs. We also use a new technique by Plamadeala and Rosenberger (2012) for simple computation of conditional randomization tests. Like Gail, Tan, and Piantadosi, we focus on residuals from generalized linear models and martingale residuals from survival models. Such techniques do not apply to longitudinal data analysis, and we introduce a method for computation of randomization tests based on the predicted rate of change from a generalized linear mixed model when outcomes are longitudinal. We show, by simulation, that these randomization tests preserve the size and power well under model misspecification. Copyright © 2014 John Wiley & Sons, Ltd.

  11. Modeling of a bioethanol combustion engine under different operating conditions

    International Nuclear Information System (INIS)

    Hedfi, Hachem; Jedli, Hedi; Jbara, Abdessalem; Slimi, Khalifa

    2014-01-01

    Highlights: • Bioethanol/gasoline blends’ fuel effects on engine’s efficiency, CO and NOx emissions. • Fuel consumption and EGR optimizations with respect to estimated engine’s work. • Ignition timing and blends’ effects on engine’s efficiency. • Rich mixture, gasoline/bioethanol blends and EGR effects on engine’s efficiency. - Abstract: A physical model based on a thermodynamic analysis was designed to characterize the combustion reaction parameters. The time-variations of pressure and temperature required for the calculation of specific heat ratio are obtained from the solution of energy conservation equation. The chemical combustion of biofuel is modeled by an overall reaction in two-steps. The rich mixture and EGR were varied to obtain the optimum operating conditions for the engine. The NOx formation is modeled by using an eight-species six-step mechanism. The effect of various formation steps of NOx in combustion is considered via a phenomenological model of combustion speed. This simplified model, which has been validated by the most available published results, is used to characterize and control, in real time, the impact of biofuel on engine performances and NOx emissions as well. It has been demonstrated that a delay of the ignition timing leads to an increase of the gas mixture temperature and cylinder pressure. Furthermore, it has been found that the CO is lower near the stoichiometry. Nevertheless, we notice that lower rich mixture values result in small NOx emission rates

  12. Nonlinear modeling of magnetorheological energy absorbers under impact conditions

    Science.gov (United States)

    Mao, Min; Hu, Wei; Choi, Young-Tai; Wereley, Norman M.; Browne, Alan L.; Ulicny, John; Johnson, Nancy

    2013-11-01

    Magnetorheological energy absorbers (MREAs) provide adaptive vibration and shock mitigation capabilities to accommodate varying payloads, vibration spectra, and shock pulses, as well as other environmental factors. A key performance metric is the dynamic range, which is defined as the ratio of the force at maximum field to the force in the absence of field. The off-state force is typically assumed to increase linearly with speed, but at the higher shaft speeds occurring in impact events, the off-state damping exhibits nonlinear velocity squared damping effects. To improve understanding of MREA behavior under high-speed impact conditions, this study focuses on nonlinear MREA models that can more accurately predict MREA dynamic behavior for nominal impact speeds of up to 6 m s-1. Three models were examined in this study. First, a nonlinear Bingham-plastic (BP) model incorporating Darcy friction and fluid inertia (Unsteady-BP) was formulated where the force is proportional to the velocity. Second, a Bingham-plastic model incorporating minor loss factors and fluid inertia (Unsteady-BPM) to better account for high-speed behavior was formulated. Third, a hydromechanical (HM) analysis was developed to account for fluid compressibility and inertia as well as minor loss factors. These models were validated using drop test data obtained using the drop tower facility at GM R&D Center for nominal drop speeds of up to 6 m s-1.

  13. Nonlinear modeling of magnetorheological energy absorbers under impact conditions

    International Nuclear Information System (INIS)

    Mao, Min; Hu, Wei; Choi, Young-Tai; Wereley, Norman M; Browne, Alan L; Ulicny, John; Johnson, Nancy

    2013-01-01

    Magnetorheological energy absorbers (MREAs) provide adaptive vibration and shock mitigation capabilities to accommodate varying payloads, vibration spectra, and shock pulses, as well as other environmental factors. A key performance metric is the dynamic range, which is defined as the ratio of the force at maximum field to the force in the absence of field. The off-state force is typically assumed to increase linearly with speed, but at the higher shaft speeds occurring in impact events, the off-state damping exhibits nonlinear velocity squared damping effects. To improve understanding of MREA behavior under high-speed impact conditions, this study focuses on nonlinear MREA models that can more accurately predict MREA dynamic behavior for nominal impact speeds of up to 6 m s −1 . Three models were examined in this study. First, a nonlinear Bingham-plastic (BP) model incorporating Darcy friction and fluid inertia (Unsteady-BP) was formulated where the force is proportional to the velocity. Second, a Bingham-plastic model incorporating minor loss factors and fluid inertia (Unsteady-BPM) to better account for high-speed behavior was formulated. Third, a hydromechanical (HM) analysis was developed to account for fluid compressibility and inertia as well as minor loss factors. These models were validated using drop test data obtained using the drop tower facility at GM R and D Center for nominal drop speeds of up to 6 m s −1 . (paper)

  14. Homologous Basal Ganglia Network Models in Physiological and Parkinsonian Conditions

    Directory of Open Access Journals (Sweden)

    Jyotika Bahuguna

    2017-08-01

    Full Text Available The classical model of basal ganglia has been refined in recent years with discoveries of subpopulations within a nucleus and previously unknown projections. One such discovery is the presence of subpopulations of arkypallidal and prototypical neurons in external globus pallidus, which was previously considered to be a primarily homogeneous nucleus. Developing a computational model of these multiple interconnected nuclei is challenging, because the strengths of the connections are largely unknown. We therefore use a genetic algorithm to search for the unknown connectivity parameters in a firing rate model. We apply a binary cost function derived from empirical firing rate and phase relationship data for the physiological and Parkinsonian conditions. Our approach generates ensembles of over 1,000 configurations, or homologies, for each condition, with broad distributions for many of the parameter values and overlap between the two conditions. However, the resulting effective weights of connections from or to prototypical and arkypallidal neurons are consistent with the experimental data. We investigate the significance of the weight variability by manipulating the parameters individually and cumulatively, and conclude that the correlation observed between the parameters is necessary for generating the dynamics of the two conditions. We then investigate the response of the networks to a transient cortical stimulus, and demonstrate that networks classified as physiological effectively suppress activity in the internal globus pallidus, and are not susceptible to oscillations, whereas parkinsonian networks show the opposite tendency. Thus, we conclude that the rates and phase relationships observed in the globus pallidus are predictive of experimentally observed higher level dynamical features of the physiological and parkinsonian basal ganglia, and that the multiplicity of solutions generated by our method may well be indicative of a natural

  15. Forecasting Hong Kong economy using factor augmented vector autoregression

    OpenAIRE

    Pang, Iris Ai Jao

    2010-01-01

    This work applies the FAVAR model to forecast GDP growth rate, unemployment rate and inflation rate of the Hong Kong economy. There is no factor model forecasting literature on the Hong Kong economy. The objective is to find out whether factor forecasting of using a large dataset can improve forecast performance of the Hong Kong economy. To avoid misspecification of the number of factors in the FAVAR, combination forecasts are constructed. It is found that forecasts from FAVAR model overall o...

  16. ADAPTATION OF WOFOST MODEL FROM CGMS TO ROMANIAN CONDITIONS

    Directory of Open Access Journals (Sweden)

    LAZĂR CĂTĂLIN

    2009-12-01

    Full Text Available This preliminary study is an inventory of the main resources and difficulties in adaptation of the Crop Growth Monitoring System (CGMS used by Agri4cast unit of IPSC from Joint Research Centre (JRC - Ispra of European Commission to conditions of Romania.In contrast with the original model calibrated mainly with statistical average yields at national level, for local calibration of the model the statistical yields at lower administrative units (macroregion or county must be used. In addition, for winter crops, the start of simulation in the new system will be in the autumn of the previous year. The start of simulation (and emergence day in the genuine system is 1st of January of the current year and the existing calibration was meant to provide a compensation system for this technical physiological delay.Proposed approach provides a better initialisation of the water balance (emergence occurs after start of simulation, as well as a better account for impact of wintering conditions, but obviously a new calibration for all cultivar dependent parameters is necessary. For the preoperational run, the localized model will use the weather data available till the last day available and the missing data from the rest of the year will be replaced either by the daily values of the long term averages or by the values from a year considered similar with the current one.Proposed adaptations permit a better use of information available on local scale and the localized model may be the core of a regional system for crop monitoring and in the same degree as the original system it can be used as tool for specific researches, such as studying the impact of climate changes.

  17. Exact simulation of conditioned Wright-Fisher models.

    Science.gov (United States)

    Zhao, Lei; Lascoux, Martin; Waxman, David

    2014-12-21

    Forward and backward simulations play an increasing role in population genetics, in particular when inferring the relative importance of evolutionary forces. It is therefore important to develop fast and accurate simulation methods for general population genetics models. Here we present an exact simulation method that generates trajectories of an allele׳s frequency in a finite population, as described by a general Wright-Fisher model. The method generates conditioned trajectories that start from a known frequency at a known time, and which achieve a specific final frequency at a known final time. The simulation method applies irrespective of the smallness of the probability of the transition between the initial and final states, because it is not based on rejection of trajectories. We illustrate the method on several different populations where a Wright-Fisher model (or related) applies, namely (i) a locus with 2 alleles, that is subject to selection and mutation; (ii) a locus with 3 alleles, that is subject to selection; (iii) a locus in a metapopulation consisting of two subpopulations of finite size, that are subject to selection and migration. The simulation method allows the generation of conditioned trajectories that can be used for the purposes of visualisation, the estimation of summary statistics, and the development/testing of new inferential methods. The simulated trajectories provide a very simple approach to estimating quantities that cannot easily be expressed in terms of the transition matrix, and can be applied to finite Markov chains other than the Wright-Fisher model. Copyright © 2014 Elsevier Ltd. All rights reserved.

  18. A computational model of conditioning inspired by Drosophila olfactory system.

    Science.gov (United States)

    Faghihi, Faramarz; Moustafa, Ahmed A; Heinrich, Ralf; Wörgötter, Florentin

    2017-03-01

    Recent studies have demonstrated that Drosophila melanogaster (briefly Drosophila) can successfully perform higher cognitive processes including second order olfactory conditioning. Understanding the neural mechanism of this behavior can help neuroscientists to unravel the principles of information processing in complex neural systems (e.g. the human brain) and to create efficient and robust robotic systems. In this work, we have developed a biologically-inspired spiking neural network which is able to execute both first and second order conditioning. Experimental studies demonstrated that volume signaling (e.g. by the gaseous transmitter nitric oxide) contributes to memory formation in vertebrates and invertebrates including insects. Based on the existing knowledge of odor encoding in Drosophila, the role of retrograde signaling in memory function, and the integration of synaptic and non-synaptic neural signaling, a neural system is implemented as Simulated fly. Simulated fly navigates in a two-dimensional environment in which it receives odors and electric shocks as sensory stimuli. The model suggests some experimental research on retrograde signaling to investigate neural mechanisms of conditioning in insects and other animals. Moreover, it illustrates a simple strategy to implement higher cognitive capabilities in machines including robots. Copyright © 2016 Elsevier Ltd. All rights reserved.

  19. Religiousness and hazardous alcohol use: a conditional indirect effects model.

    Science.gov (United States)

    Jankowski, Peter J; Hardy, Sam A; Zamboanga, Byron L; Ham, Lindsay S

    2013-08-01

    The current study examined a conditional indirect effects model of the association between religiousness and adolescents' hazardous alcohol use. In doing so, we responded to the need to include both mediators and moderators, and the need for theoretically informed models when examining religiousness and adolescents' alcohol use. The sample consisted of 383 adolescents, aged 15-18, who completed an online questionnaire. Results of structural equation modeling supported the proposed model. Religiousness was indirectly associated with hazardous alcohol use through both positive alcohol expectancy outcomes and negative alcohol expectancy valuations. Significant moderating effects for alcohol expectancy valuations on the association between alcohol expectancies and alcohol use were also found. The effects for alcohol expectancy valuations confirm valuations as a distinct construct to that of alcohol expectancy outcomes, and offer support for the protective role of internalized religiousness on adolescents' hazardous alcohol use as a function of expectancy valuations. Copyright © 2013 The Foundation for Professionals in Services for Adolescents. Published by Elsevier Ltd. All rights reserved.

  20. Ageing model considering effects of maintenance and working conditions

    International Nuclear Information System (INIS)

    Martorell, S.; Sanchez, A.; Serradell, V.

    1998-01-01

    Nowadays, there is some doubt about building new Nuclear Power Plants (NPPs). Instead, there is a growing interest in analyzing the possibility to extend current NPP operation where life management programs play an important role. The evolution of the NPP safety depends on the evolution of the reliability of its safety components as a function of their age along the NPP operational life. In this paper, a new age-dependent reliability model is presented, which includes parameters related to surveillance and maintenance effectiveness and working conditions, both environmental and operational, of the equipment. This model may be used to support NPP life management and life extension programs by improving or optimizing surveillance and maintenance tasks using risk and cost models based on such an age-dependent reliability model. The results of the sensitivity study in the application show that the selection of the most appropriate maintenance strategy would directly depend on the previous parameters and very important differences are expected to appear under certain circumstance. (Author) 7 refs

  1. Variable Width Riparian Model Enhances Landscape and Watershed Condition

    Science.gov (United States)

    Abood, S. A.; Spencer, L.

    2017-12-01

    Riparian areas are ecotones that represent about 1% of USFS administered landscape and contribute to numerous valuable ecosystem functions such as wildlife habitat, stream water quality and flows, bank stability and protection against erosion, and values related to diversity, aesthetics and recreation. Riparian zones capture the transitional area between terrestrial and aquatic ecosystems with specific vegetation and soil characteristics which provide critical values/functions and are very responsive to changes in land management activities and uses. Two staff areas at the US Forest Service have coordinated on a two phase project to support the National Forests in their planning revision efforts and to address rangeland riparian business needs at the Forest Plan and Allotment Management Plan levels. The first part of the project will include a national fine scale (USGS HUC-12 digits watersheds) inventory of riparian areas on National Forest Service lands in western United States with riparian land cover, utilizing GIS capabilities and open source geospatial data. The second part of the project will include the application of riparian land cover change and assessment based on selected indicators to assess and monitor riparian areas on annual/5-year cycle basis.This approach recognizes the dynamic and transitional nature of riparian areas by accounting for hydrologic, geomorphic and vegetation data as inputs into the delineation process. The results suggest that incorporating functional variable width riparian mapping within watershed management planning can improve riparian protection and restoration. The application of Riparian Buffer Delineation Model (RBDM) approach can provide the agency Watershed Condition Framework (WCF) with observed riparian area condition on an annual basis and on multiple scales. The use of this model to map moderate to low gradient systems of sufficient width in conjunction with an understanding of the influence of distinctive landscape

  2. Response of Simple, Model Systems to Extreme Conditions

    Energy Technology Data Exchange (ETDEWEB)

    Ewing, Rodney C. [Univ. of Michigan, Ann Arbor, MI (United States); Lang, Maik [Univ. of Michigan, Ann Arbor, MI (United States)

    2015-07-30

    The focus of the research was on the application of high-pressure/high-temperature techniques, together with intense energetic ion beams, to the study of the behavior of simple oxide systems (e.g., SiO2, GeO2, CeO2, TiO2, HfO2, SnO2, ZnO and ZrO2) under extreme conditions. These simple stoichiometries provide unique model systems for the analysis of structural responses to pressure up to and above 1 Mbar, temperatures of up to several thousands of kelvin, and the extreme energy density generated by energetic heavy ions (tens of keV/atom). The investigations included systematic studies of radiation- and pressure-induced amorphization of high P-T polymorphs. By studying the response of simple stoichiometries that have multiple structural “outcomes”, we have established the basic knowledge required for the prediction of the response of more complex structures to extreme conditions. We especially focused on the amorphous state and characterized the different non-crystalline structure-types that result from the interplay of radiation and pressure. For such experiments, we made use of recent technological developments, such as the perforated diamond-anvil cell and in situ investigation using synchrotron x-ray sources. We have been particularly interested in using extreme pressures to alter the electronic structure of a solid prior to irradiation. We expected that the effects of modified band structure would be evident in the track structure and morphology, information which is much needed to describe theoretically the fundamental physics of track-formation. Finally, we investigated the behavior of different simple-oxide, composite nanomaterials (e.g., uncoated nanoparticles vs. core/shell systems) under coupled, extreme conditions. This provided insight into surface and boundary effects on phase stability under extreme conditions.

  3. An Application of Non-Linear Autoregressive Neural Networks to Predict Energy Consumption in Public Buildings

    Directory of Open Access Journals (Sweden)

    Luis Gonzaga Baca Ruiz

    2016-08-01

    Full Text Available This paper addresses the problem of energy consumption prediction using neural networks over a set of public buildings. Since energy consumption in the public sector comprises a substantial share of overall consumption, the prediction of such consumption represents a decisive issue in the achievement of energy savings. In our experiments, we use the data provided by an energy consumption monitoring system in a compound of faculties and research centers at the University of Granada, and provide a methodology to predict future energy consumption using nonlinear autoregressive (NAR and the nonlinear autoregressive neural network with exogenous inputs (NARX, respectively. Results reveal that NAR and NARX neural networks are both suitable for performing energy consumption prediction, but also that exogenous data may help to improve the accuracy of predictions.

  4. Damage and noise sensitivity evaluation of autoregressive features extracted from structure vibration

    International Nuclear Information System (INIS)

    Yao, Ruigen; Pakzad, Shamim N

    2014-01-01

    In the past few decades many types of structural damage indices based on structural health monitoring signals have been proposed, requiring performance evaluation and comparison studies on these indices in a quantitative manner. One tool to help accomplish this objective is analytical sensitivity analysis, which has been successfully used to evaluate the influences of system operational parameters on observable characteristics in many fields of study. In this paper, the sensitivity expressions of two damage features, namely the Mahalanobis distance of autoregressive coefficients and the Cosh distance of autoregressive spectra, will be derived with respect to both structural damage and measurement noise level. The effectiveness of the proposed methods is illustrated in a numerical case study on a 10-DOF system, where their results are compared with those from direct simulation and theoretical calculation. (paper)

  5. Brillouin Scattering Spectrum Analysis Based on Auto-Regressive Spectral Estimation

    Science.gov (United States)

    Huang, Mengyun; Li, Wei; Liu, Zhangyun; Cheng, Linghao; Guan, Bai-Ou

    2018-06-01

    Auto-regressive (AR) spectral estimation technology is proposed to analyze the Brillouin scattering spectrum in Brillouin optical time-domain refelectometry. It shows that AR based method can reliably estimate the Brillouin frequency shift with an accuracy much better than fast Fourier transform (FFT) based methods provided the data length is not too short. It enables about 3 times improvement over FFT at a moderate spatial resolution.

  6. Brillouin Scattering Spectrum Analysis Based on Auto-Regressive Spectral Estimation

    Science.gov (United States)

    Huang, Mengyun; Li, Wei; Liu, Zhangyun; Cheng, Linghao; Guan, Bai-Ou

    2018-03-01

    Auto-regressive (AR) spectral estimation technology is proposed to analyze the Brillouin scattering spectrum in Brillouin optical time-domain refelectometry. It shows that AR based method can reliably estimate the Brillouin frequency shift with an accuracy much better than fast Fourier transform (FFT) based methods provided the data length is not too short. It enables about 3 times improvement over FFT at a moderate spatial resolution.

  7. A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

    NARCIS (Netherlands)

    M. Asai (Manabu); M.J. McAleer (Michael)

    2016-01-01

    textabstractThe paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency

  8. 76 FR 41041 - Special Conditions: Gulfstream Aerospace LP (GALP) Model G250 Airplane, Interaction of Systems...

    Science.gov (United States)

    2011-07-13

    ... Conditions No. 25-439-SC] Special Conditions: Gulfstream Aerospace LP (GALP) Model G250 Airplane, Interaction... special conditions are issued for the Gulfstream Aerospace LP (GALP) Model G250 airplane. This airplane...

  9. Modelling climate change impacts on stream habitat conditions

    DEFF Research Database (Denmark)

    Boegh, Eva; Conallin, John; Karthikeyan, Matheswaran

    Impact from groundwater abstraction on freshwater resources and ecosystems is an issue of sincere concern in Denmark and many other countries worldwide. In addition, climate change projections add complexity to the existing conflict between water demands to satisfy human needs and water demands...... required to conserve streams as biologically diverse and healthy ecosystems. Solutions to this intensifying conflict require a holistic approach whereby stream biota is related to their physical environment at catchment scale, as also demanded by the EU Water Framework Directive. In the present study......, climate impacts on stream ecological conditions were quantified by combining a heat and mass stream flow with a habitat suitability modelling approach. Habitat suitability indices were developed for stream velocity, water depth, water temperature and substrate. Generally, water depth was found...

  10. Study of α-16O scattering by orthogonality condition models

    International Nuclear Information System (INIS)

    Breitschaft, A.M.; Canto, L.F.; Schechter, H.

    1983-01-01

    The use of approximate microscopic theories in α- 16 O scattering is investigated. The Orthogonality Condition Model (OCM) with both the direct potential of the Resonating Group Method (RMG) and with an effective local potential, V sub(eff), derived from Kernels of Generator Coordinate Method (GCM) is employed to study collisions at CM energies up to 30 MeV, for all relevant partial waves. Although the predictions of the OCM are consistent with 'exact' RGM results in both cases, the nuclear phase-shifts obtained with the effective potential are better. The presence of ambiguities in the derivation of V sub(eff) is noticed. The nature of such ambiguities is discussed. (Author) [pt

  11. Study of α-16O scattering by orthogonality condition models

    International Nuclear Information System (INIS)

    Breitschaft, A.M.; Canto, L.F.; Schechter, H.

    1982-01-01

    The use of approximate microscopic theories in α- 16 O scattering is investigated. The Orthogonality Condition Model (OCM) with the direct potential of the Resonating Group Method (RGM) and with an effective local potential V sub(eff') derived from Kernels of the Generator Coordinate Method (GCM) is employed to study collisions at CM energies up to 30 MeV, for all relevant partial waves. Although the predictions of the OCM are consistent with 'exact' RGM results in both cases, the nuclear phase-shifts obtained with the effective potential are better. It is noticed the presence of ambiguities in the derivation of V sub(eff'). The nature of such ambiguities is discussed. (Author) [pt

  12. Predictive hydrogeochemical modelling of bauxite residue sand in field conditions.

    Science.gov (United States)

    Wissmeier, Laurin; Barry, David A; Phillips, Ian R

    2011-07-15

    The suitability of residue sand (the coarse fraction remaining from Bayer's process of bauxite refining) for constructing the surface cover of closed bauxite residue storage areas was investigated. Specifically, its properties as a medium for plant growth are of interest to ensure residue sand can support a sustainable ecosystem following site closure. The geochemical evolution of the residue sand under field conditions, its plant nutrient status and soil moisture retention were studied by integrated modelling of geochemical and hydrological processes. For the parameterization of mineral reactions, amounts and reaction kinetics of the mineral phases natron, calcite, tricalcium aluminate, sodalite, muscovite and analcime were derived from measured acid neutralization curves. The effective exchange capacity for ion adsorption was measured using three independent exchange methods. The geochemical model, which accounts for mineral reactions, cation exchange and activity corrected solution speciation, was formulated in the geochemical modelling framework PHREEQC, and partially validated in a saturated-flow column experiment. For the integration of variably saturated flow with multi-component solute transport in heterogeneous 2D domains, a coupling of PHREEQC with the multi-purpose finite-element solver COMSOL was established. The integrated hydrogeochemical model was applied to predict water availability and quality in a vertical flow lysimeter and a cover design for a storage facility using measured time series of rainfall and evaporation from southwest Western Australia. In both scenarios the sand was fertigated and gypsum-amended. Results show poor long-term retention of fertilizer ions and buffering of the pH around 10 for more than 5 y of leaching. It was concluded that fertigation, gypsum amendment and rainfall leaching alone were insufficient to render the geochemical conditions of residue sand suitable for optimal plant growth within the given timeframe. The

  13. Flow and air conditioning simulations of computer turbinectomized nose models.

    Science.gov (United States)

    Pérez-Mota, J; Solorio-Ordaz, F; Cervantes-de Gortari, J

    2018-04-16

    Air conditioning for the human respiratory system is the most important function of the nose. When obstruction occurs in the nasal airway, turbinectomy is used to correct such pathology. However, mucosal atrophy may occur sometime after this surgery when it is overdone. There is not enough information about long-term recovery of nasal air conditioning performance after partial or total surgery. The purpose of this research was to assess if, based on the flow and temperature/humidity characteristics of the air intake to the choana, partial resection of turbinates is better than total resection. A normal nasal cavity geometry was digitized from tomographic scans and a model was printed in 3D. Dynamic (sinusoidal) laboratory tests and computer simulations of airflow were conducted with full agreement between numerical and experimental results. Computational adaptations were subsequently performed to represent six turbinectomy variations and a swollen nasal cavity case. Streamlines along the nasal cavity and temperature and humidity distributions at the choana indicated that the middle turbinate partial resection is the best alternative. These findings may facilitate the diagnosis of nasal obstruction and can be useful both to plan a turbinectomy and to reduce postoperative discomfort. Graphical Abstract ᅟ.

  14. Identification and estimation of non-Gaussian structural vector autoregressions

    DEFF Research Database (Denmark)

    Lanne, Markku; Meitz, Mika; Saikkonen, Pentti

    -Gaussian components is, without any additional restrictions, identified and leads to (essentially) unique impulse responses. We also introduce an identification scheme under which the maximum likelihood estimator of the non-Gaussian SVAR model is consistent and asymptotically normally distributed. As a consequence......, additional economic identifying restrictions can be tested. In an empirical application, we find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions....

  15. Automatic Target Recognition Using Nonlinear Autoregressive Neural Networks

    Science.gov (United States)

    2014-03-27

    series. Chakraborty et al. (1992) modeled flour prices over an eight year period for the cities of Buffalo, Minneapolis and Kansas City via a neural...on stock and commodity market prices (Kaastra & Boyd, 1996) with a goal of discovering non-linear relationships via ANNs which might provide an...Time Series A vector of past observations from a specific time interval is an example of a time series. For example, monthly stock prices from 2000

  16. Modeling intelligent adversaries for terrorism risk assessment: some necessary conditions for adversary models.

    Science.gov (United States)

    Guikema, Seth

    2012-07-01

    Intelligent adversary modeling has become increasingly important for risk analysis, and a number of different approaches have been proposed for incorporating intelligent adversaries in risk analysis models. However, these approaches are based on a range of often-implicit assumptions about the desirable properties of intelligent adversary models. This "Perspective" paper aims to further risk analysis for situations involving intelligent adversaries by fostering a discussion of the desirable properties for these models. A set of four basic necessary conditions for intelligent adversary models is proposed and discussed. These are: (1) behavioral accuracy to the degree possible, (2) computational tractability to support decision making, (3) explicit consideration of uncertainty, and (4) ability to gain confidence in the model. It is hoped that these suggested necessary conditions foster discussion about the goals and assumptions underlying intelligent adversary modeling in risk analysis. © 2011 Society for Risk Analysis.

  17. Cellular automata model for traffic flow with safe driving conditions

    International Nuclear Information System (INIS)

    Lárraga María Elena; Alvarez-Icaza Luis

    2014-01-01

    In this paper, a recently introduced cellular automata (CA) model is used for a statistical analysis of the inner microscopic structure of synchronized traffic flow. The analysis focuses on the formation and dissolution of clusters or platoons of vehicles, as the mechanism that causes the presence of this synchronized traffic state with a high flow. This platoon formation is one of the most interesting phenomena observed in traffic flows and plays an important role both in manual and automated highway systems (AHS). Simulation results, obtained from a single-lane system under periodic boundary conditions indicate that in the density region where the synchronized state is observed, most vehicles travel together in platoons with approximately the same speed and small spatial distances. The examination of velocity variations and individual vehicle gaps shows that the flow corresponding to the synchronized state is stable, safe and highly correlated. Moreover, results indicate that the observed platoon formation in real traffic is reproduced in simulations by the relation between vehicle headway and velocity that is embedded in the dynamics definition of the CA model. (general)

  18. Downscaling ocean conditions: Experiments with a quasi-geostrophic model

    Science.gov (United States)

    Katavouta, A.; Thompson, K. R.

    2013-12-01

    The predictability of small-scale ocean variability, given the time history of the associated large-scales, is investigated using a quasi-geostrophic model of two wind-driven gyres separated by an unstable, mid-ocean jet. Motivated by the recent theoretical study of Henshaw et al. (2003), we propose a straightforward method for assimilating information on the large-scale in order to recover the small-scale details of the quasi-geostrophic circulation. The similarity of this method to the spectral nudging of limited area atmospheric models is discussed. Results from the spectral nudging of the quasi-geostrophic model, and an independent multivariate regression-based approach, show that important features of the ocean circulation, including the position of the meandering mid-ocean jet and the associated pinch-off eddies, can be recovered from the time history of a small number of large-scale modes. We next propose a hybrid approach for assimilating both the large-scales and additional observed time series from a limited number of locations that alone are too sparse to recover the small scales using traditional assimilation techniques. The hybrid approach improved significantly the recovery of the small-scales. The results highlight the importance of the coupling between length scales in downscaling applications, and the value of assimilating limited point observations after the large-scales have been set correctly. The application of the hybrid and spectral nudging to practical ocean forecasting, and projecting changes in ocean conditions on climate time scales, is discussed briefly.

  19. Modelling spent fuel and HLW behaviour in repository conditions

    Energy Technology Data Exchange (ETDEWEB)

    Esparza, A M; Esteban, J A

    2003-07-01

    The aim of this report is to give the reader an overall insight of the different models, which are used to predict the long-term behaviour of the spent fuels and HLW disposed in a repository. The models must be established on basic data and robust kinetics describing the mechanisms controlling spent fuel alteration/dissolution in a repository. The UO2 matrix, or source term, contains embedded in it the , majority of radionuclides of the spent fuel (some are in the gap cladding). For this reason the SF radionuclides release models play a significant role in the performance assessment of radioactive waste disposal. The differences existing between models published in the literature are due to the conceptual understanding of the processes and the degree of the conservatism used with the parameter values, and the boundary conditions. They mainly differ in their level of simplification and their final objective. Sometimes are focused the show compliance with regulatory requirements, other to support decision making, to increase the level of confidence of public and scientific community, could be empirical, semi-empirical or analytical. The models take into account the experimental results from radionuclides releases and their extrapolation to the very long term. Its necessary a great statistics for have a representative dissolution rate, due at the number of experimental results is not very high and many of them show a great scatter, independently of theirs different compositions by axial and radial variations, due to linear power or local burnup. On the other hand, it is difficult to predict the spent fuel behaviour over the long term, based in short term experiments. In this report is given a little description of the radionuclides distribution in the spent fuel and also in the cladding/pellet gap, grain boundary, cracks and rim zones (the matrix rim zone can be considered with an especial characteristics very different to the rest of the spent fuel), and structural

  20. Modelling spent fuel and HLW behaviour in repository conditions

    International Nuclear Information System (INIS)

    Esparza, A. M.; Esteban, J. A.

    2003-01-01

    The aim of this report is to give the reader an overall insight of the different models, which are used to predict the long-term behaviour of the spent fuels and HLW disposed in a repository. The models must be established on basic data and robust kinetics describing the mechanisms controlling spent fuel alteration/dissolution in a repository. The UO2 matrix, or source term, contains embedded in it the , majority of radionuclides of the spent fuel (some are in the gap cladding). For this reason the SF radionuclides release models play a significant role in the performance assessment of radioactive waste disposal. The differences existing between models published in the literature are due to the conceptual understanding of the processes and the degree of the conservatism used with the parameter values, and the boundary conditions. They mainly differ in their level of simplification and their final objective. Sometimes are focused the show compliance with regulatory requirements, other to support decision making, to increase the level of confidence of public and scientific community, could be empirical, semi-empirical or analytical. The models take into account the experimental results from radionuclides releases and their extrapolation to the very long term. Its necessary a great statistics for have a representative dissolution rate, due at the number of experimental results is not very high and many of them show a great scatter, independently of theirs different compositions by axial and radial variations, due to linear power or local burnup. On the other hand, it is difficult to predict the spent fuel behaviour over the long term, based in short term experiments. In this report is given a little description of the radionuclides distribution in the spent fuel and also in the cladding/pellet gap, grain boundary, cracks and rim zones (the matrix rim zone can be considered with an especial characteristics very different to the rest of the spent fuel), and structural

  1. Identification of Civil Engineering Structures using Vector ARMA Models

    DEFF Research Database (Denmark)

    Andersen, P.

    The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models.......The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models....

  2. Wake of a blunt planetary probe model under hypervelocity conditions

    Energy Technology Data Exchange (ETDEWEB)

    Kastell, D.; Hannemann, D.; Eitelberg, G. [DLR Deutsches Zentrum fuer Luft- und Raumfahrt e.V., Goettingen (Germany). Inst. fuer Stroemungsmechanik

    1998-12-31

    The flow in the wake of a planetary probe under hypervelocity re-entry conditions has two idiosyncrasies not present in the conventional (cold) hypersonic flows: the strong dissociation reaction occurring behind the bow shock wave, and the freezing of the chemical reactions of the flow by the rapid expansion at the shoulder of the probe. The aim of the present study was to both understand the relative importance of the two phenomena upon the total heat and pressure loads on a planetary probe and its possible payload as well as to provide experimental validation data for those developing numerical codes for planetary probe design and analysis. For the experimental study an instrumented blunted 140 cone was tested in the High Enthalpy Shock Tunnel in Goettingen (HEG). The numerical calculations were performed with a Thin-Layer Navier-Stokes code which is capable of simulating chemical and thermal nonequilibrium flows. For the forebody loads the prediction methods were very reliable and capable of accounting for the kinetic effects caused by the high specific enthalpy of the flow. On the other side considerable discrepancies between experimental and numerical results for the wake of the model have been observed. (orig.)

  3. Wake of a blunt planetary probe model under hypervelocity conditions

    Energy Technology Data Exchange (ETDEWEB)

    Kastell, D.; Hannemann, D.; Eitelberg, G. (DLR Deutsches Zentrum fuer Luft- und Raumfahrt e.V., Goettingen (Germany). Inst. fuer Stroemungsmechanik)

    1998-01-01

    The flow in the wake of a planetary probe under hypervelocity re-entry conditions has two idiosyncrasies not present in the conventional (cold) hypersonic flows: the strong dissociation reaction occurring behind the bow shock wave, and the freezing of the chemical reactions of the flow by the rapid expansion at the shoulder of the probe. The aim of the present study was to both understand the relative importance of the two phenomena upon the total heat and pressure loads on a planetary probe and its possible payload as well as to provide experimental validation data for those developing numerical codes for planetary probe design and analysis. For the experimental study an instrumented blunted 140 cone was tested in the High Enthalpy Shock Tunnel in Goettingen (HEG). The numerical calculations were performed with a Thin-Layer Navier-Stokes code which is capable of simulating chemical and thermal nonequilibrium flows. For the forebody loads the prediction methods were very reliable and capable of accounting for the kinetic effects caused by the high specific enthalpy of the flow. On the other side considerable discrepancies between experimental and numerical results for the wake of the model have been observed. (orig.)

  4. Short-Term Wave Forecasting with AR models in Real-Time Optimal Control of Wave Energy Converters

    OpenAIRE

    Fusco, Francesco; Ringwood, John

    2010-01-01

    Time domain control of wave energy converters requires knowledge of future incident wave elevation in order to approach conditions for optimal energy extraction. Autoregressive models revealed to be a promising approach to the prediction of future values of the wave elevation only from its past history. Results on real wave observations from different ocean locations show that AR models allow to achieve very good predictions for more than one wave period in the future if ...

  5. Study of solar radiation prediction and modeling of relationships between solar radiation and meteorological variables

    International Nuclear Information System (INIS)

    Sun, Huaiwei; Zhao, Na; Zeng, Xiaofan; Yan, Dong

    2015-01-01

    Highlights: • We investigate relationships between solar radiation and meteorological variables. • A strong relationship exists between solar radiation and sunshine duration. • Daily global radiation can be estimated accurately with ARMAX–GARCH models. • MGARCH model was applied to investigate time-varying relationships. - Abstract: The traditional approaches that employ the correlations between solar radiation and other measured meteorological variables are commonly utilized in studies. It is important to investigate the time-varying relationships between meteorological variables and solar radiation to determine which variables have the strongest correlations with solar radiation. In this study, the nonlinear autoregressive moving average with exogenous variable–generalized autoregressive conditional heteroscedasticity (ARMAX–GARCH) and multivariate GARCH (MGARCH) time-series approaches were applied to investigate the associations between solar radiation and several meteorological variables. For these investigations, the long-term daily global solar radiation series measured at three stations from January 1, 2004 until December 31, 2007 were used in this study. Stronger relationships were observed to exist between global solar radiation and sunshine duration than between solar radiation and temperature difference. The results show that 82–88% of the temporal variations of the global solar radiation were captured by the sunshine-duration-based ARMAX–GARCH models and 55–68% of daily variations were captured by the temperature-difference-based ARMAX–GARCH models. The advantages of the ARMAX–GARCH models were also confirmed by comparison of Auto-Regressive and Moving Average (ARMA) and neutral network (ANN) models in the estimation of daily global solar radiation. The strong heteroscedastic persistency of the global solar radiation series was revealed by the AutoRegressive Conditional Heteroscedasticity (ARCH) and Generalized AutoRegressive

  6. Semi-parametric estimation for ARCH models

    Directory of Open Access Journals (Sweden)

    Raed Alzghool

    2018-03-01

    Full Text Available In this paper, we conduct semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH model with Quasi likelihood (QL and Asymptotic Quasi-likelihood (AQL estimation methods. The QL approach relaxes the distributional assumptions of ARCH processes. The AQL technique is obtained from the QL method when the process conditional variance is unknown. We present an application of the methods to a daily exchange rate series. Keywords: ARCH model, Quasi likelihood (QL, Asymptotic Quasi-likelihood (AQL, Martingale difference, Kernel estimator

  7. 78 FR 31835 - Special Conditions: Embraer S.A., Model EMB-550 Airplane; Landing Pitchover Condition

    Science.gov (United States)

    2013-05-28

    ... automatic braking system. This feature is a pilot-selectable function that allows earlier braking at landing... with an automatic braking system, which is a pilot-selectable function that allows earlier maximum... automatic braking system. The special conditions define the airplane configuration, speeds, and other...

  8. A simple condition monitoring model for a direct monitoring process

    NARCIS (Netherlands)

    Christer, A.H.; Wang, Wenbin

    1995-01-01

    This paper addresses the problem of condition monitoring of a component which has available a measure of condition called wear. Wear accumulates over time and monitoring inspections are performed at chosen times to monitor and measure the cumulative wear. If past measurements of wear are available

  9. Forecasting Marine Corps Enlisted Manpower Inventory Levels With Univariate Time Series Models

    National Research Council Canada - National Science Library

    Feiring, Douglas I

    2006-01-01

    .... Models are developed for 44 representative population groups using Holt-Winters exponential smoothing, multiplicative decomposition, and Box-Jenkins autoregressive integrated moving average (ARIMA...

  10. Computer Model to Estimate Reliability Engineering for Air Conditioning Systems

    International Nuclear Information System (INIS)

    Afrah Al-Bossly, A.; El-Berry, A.; El-Berry, A.

    2012-01-01

    Reliability engineering is used to predict the performance and optimize design and maintenance of air conditioning systems. Air conditioning systems are expose to a number of failures. The failures of an air conditioner such as turn on, loss of air conditioner cooling capacity, reduced air conditioning output temperatures, loss of cool air supply and loss of air flow entirely can be due to a variety of problems with one or more components of an air conditioner or air conditioning system. Forecasting for system failure rates are very important for maintenance. This paper focused on the reliability of the air conditioning systems. Statistical distributions that were commonly applied in reliability settings: the standard (2 parameter) Weibull and Gamma distributions. After distributions parameters had been estimated, reliability estimations and predictions were used for evaluations. To evaluate good operating condition in a building, the reliability of the air conditioning system that supplies conditioned air to the several The company's departments. This air conditioning system is divided into two, namely the main chilled water system and the ten air handling systems that serves the ten departments. In a chilled-water system the air conditioner cools water down to 40-45 degree F (4-7 degree C). The chilled water is distributed throughout the building in a piping system and connected to air condition cooling units wherever needed. Data analysis has been done with support a computer aided reliability software, this is due to the Weibull and Gamma distributions indicated that the reliability for the systems equal to 86.012% and 77.7% respectively. A comparison between the two important families of distribution functions, namely, the Weibull and Gamma families was studied. It was found that Weibull method performed for decision making.

  11. Insurance-growth nexus in Ghana: An autoregressive distributed lag bounds cointegration approach

    Directory of Open Access Journals (Sweden)

    Abdul Latif Alhassan

    2014-12-01

    Full Text Available This paper examines the long-run causal relationship between insurance penetration and economic growth in Ghana from 1990 to 2010. Using the autoregressive distributed lag (ARDL bounds approach to cointegration by Pesaran et al. (1996, 2001, the study finds a long-run positive relationship between insurance penetration and economic growth which implies that funds mobilized from insurance business have a long run impact on economic growth. A unidirectional causality was found to run from aggregate insurance penetration, life and non-life insurance penetration to economic growth to support the ‘supply-leading’ hypothesis. The findings have implications for insurance market development in Ghana.

  12. PERAMALAN PERSEDIAAN INFUS MENGGUNAKAN METODE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PADA RUMAH SAKIT UMUM PUSAT SANGLAH

    OpenAIRE

    I PUTU YUDI PRABHADIKA; NI KETUT TARI TASTRAWATI; LUH PUTU IDA HARINI

    2018-01-01

    Infusion supplies are an important thing that must be considered by the hospital in meeting the needs of patients. This study aims to predict the need for infusion of 0.9% 500 ml of NaCl and 5% 500 ml glucose infusion at Sanglah General Hospital (RSUP) Sanglah so that the hospital can estimate the many infusions needed for the next six months. The forecasting method used in this research is the autoregressive integrated moving average (ARIMA) time series method. The results of this study indi...

  13. Fisher Consistency of AM-Estimates of the Autoregression Parameter Using Hard Rejection Filter Cleaners

    Science.gov (United States)

    1987-02-04

    U5tr,)! P(U 5-t Since U - F with F RS, we get (3.1). Case b: 0 S 5 k -a Now P([U~t]riM) = P(UZk-a) and P([ Ugt ]rM) = P(US-k-a) S P(US-(k-a)) which again...robustness for autoregressive processes." The Annals of Statistics, 12, 843-863. Mallows, C.L. (1980). "Some theory of nonlinear smoothen." The Annals of

  14. Robust estimation of autoregressive processes using a mixture-based filter-bank

    Czech Academy of Sciences Publication Activity Database

    Šmídl, V.; Anthony, Q.; Kárný, Miroslav; Guy, Tatiana Valentine

    2005-01-01

    Roč. 54, č. 4 (2005), s. 315-323 ISSN 0167-6911 R&D Projects: GA AV ČR IBS1075351; GA ČR GA102/03/0049; GA ČR GP102/03/P010; GA MŠk 1M0572 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian estimation * probabilistic mixtures * recursive estimation Subject RIV: BC - Control Systems Theory Impact factor: 1.239, year: 2005 http://library.utia.cas.cz/separaty/historie/karny-robust estimation of autoregressive processes using a mixture-based filter- bank .pdf

  15. Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework: The Case of Indian Stock and Commodity Markets

    OpenAIRE

    Brajesh Kumar; Singh, Priyanka

    2008-01-01

    This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature is examined for Indian stock and commodity markets. The risk-r...

  16. Conditional Density Models Integrating Fuzzy and Probabilistic Representations of Uncertainty

    NARCIS (Netherlands)

    R.J. Almeida e Santos Nogueira (Rui Jorge)

    2014-01-01

    markdownabstract__Abstract__ Conditional density estimation is an important problem in a variety of areas such as system identification, machine learning, artificial intelligence, empirical economics, macroeconomic analysis, quantitative finance and risk management. This work considers the

  17. Modelling of the Contact Condition at the Tool/Matrix Interface in Friction Stir Welding

    DEFF Research Database (Denmark)

    Schmidt, Henrik Nikolaj Blich; Hattel, Jesper; Wert, John

    2003-01-01

    a known contact condition at the contact interface, e.g. either as pure sliding or sticking. The present model uses Coulomb’s law of friction for the sliding condition and the material yield shear stress for the sticking condition to model the contact forces. The model includes heat generation...

  18. Mathematical Modeling of Wastewater Oxidation under Microgravity Conditions

    OpenAIRE

    Boyun Guo; Donald W. Holder; David S. Schechter

    2005-01-01

    Volatile removal assembly (VRA) is a module installed in the International Space Station for removing contaminants (volatile organics) in the wastewater produced by the crew. The VRA contains a slim pack bed reactor to perform catalyst oxidation of the wastewater at elevated pressure and temperature under microgravity conditions. Optimal design of the reactor requires a thorough understanding about how the reactor performs under microgravity conditions. The objective of this study was to theo...

  19. Validation of spectral gas radiation models under oxyfuel conditions

    Energy Technology Data Exchange (ETDEWEB)

    Becher, Johann Valentin

    2013-05-15

    Combustion of hydrocarbon fuels with pure oxygen results in a different flue gas composition than combustion with air. Standard computational-fluid-dynamics (CFD) spectral gas radiation models for air combustion are therefore out of their validity range in oxyfuel combustion. This thesis provides a common spectral basis for the validation of new spectral models. A literature review about fundamental gas radiation theory, spectral modeling and experimental methods provides the reader with a basic understanding of the topic. In the first results section, this thesis validates detailed spectral models with high resolution spectral measurements in a gas cell with the aim of recommending one model as the best benchmark model. In the second results section, spectral measurements from a turbulent natural gas flame - as an example for a technical combustion process - are compared to simulated spectra based on measured gas atmospheres. The third results section compares simplified spectral models to the benchmark model recommended in the first results section and gives a ranking of the proposed models based on their accuracy. A concluding section gives recommendations for the selection and further development of simplified spectral radiation models. Gas cell transmissivity spectra in the spectral range of 2.4 - 5.4 {mu}m of water vapor and carbon dioxide in the temperature range from 727 C to 1500 C and at different concentrations were compared in the first results section at a nominal resolution of 32 cm{sup -1} to line-by-line models from different databases, two statistical-narrow-band models and the exponential-wide-band model. The two statistical-narrow-band models EM2C and RADCAL showed good agreement with a maximal band transmissivity deviation of 3 %. The exponential-wide-band model showed a deviation of 6 %. The new line-by-line database HITEMP2010 had the lowest band transmissivity deviation of 2.2% and was therefore recommended as a reference model for the

  20. Predictive Models for Photovoltaic Electricity Production in Hot Weather Conditions

    Directory of Open Access Journals (Sweden)

    Jabar H. Yousif

    2017-07-01

    Full Text Available The process of finding a correct forecast equation for photovoltaic electricity production from renewable sources is an important matter, since knowing the factors affecting the increase in the proportion of renewable energy production and reducing the cost of the product has economic and scientific benefits. This paper proposes a mathematical model for forecasting energy production in photovoltaic (PV panels based on a self-organizing feature map (SOFM model. The proposed model is compared with other models, including the multi-layer perceptron (MLP and support vector machine (SVM models. Moreover, a mathematical model based on a polynomial function for fitting the desired output is proposed. Different practical measurement methods are used to validate the findings of the proposed neural and mathematical models such as mean square error (MSE, mean absolute error (MAE, correlation (R, and coefficient of determination (R2. The proposed SOFM model achieved a final MSE of 0.0007 in the training phase and 0.0005 in the cross-validation phase. In contrast, the SVM model resulted in a small MSE value equal to 0.0058, while the MLP model achieved a final MSE of 0.026 with a correlation coefficient of 0.9989, which indicates a strong relationship between input and output variables. The proposed SOFM model closely fits the desired results based on the R2 value, which is equal to 0.9555. Finally, the comparison results of MAE for the three models show that the SOFM model achieved a best result of 0.36156, whereas the SVM and MLP models yielded 4.53761 and 3.63927, respectively. A small MAE value indicates that the output of the SOFM model closely fits the actual results and predicts the desired output.