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Sample records for vector autoregressive models

  1. 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.

  2. 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

  3. 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...

  4. 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.

  5. 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...

  6. 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 ...

  7. 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.

  8. 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

  9. 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...

  10. 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...

  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. 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.

  13. 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....

  14. 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-.

  15. 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...

  16. 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....

  17. 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....

  18. 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.

  19. 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....

  20. 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...

  1. 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.

  2. 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...

  3. 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....

  4. 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....

  5. 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 (...

  6. 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 ...

  7. 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...

  8. 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...

  9. 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.

  10. 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...

  11. 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.

  12. 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.

  13. 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

  14. 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

  15. 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.

  16. 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.

  17. 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...

  18. 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.

  19. 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.

  20. 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.

  1. 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...

  2. 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…

  3. 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.

  4. 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

  5. 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.

  6. 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.

  7. 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...

  8. 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...

  9. 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)

  10. 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....

  11. 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.

  12. 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.

  13. 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...

  14. 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

  15. 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.

  16. 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.

  17. 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%

  18. 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%

  19. 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 ...

  20. 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.

  1. 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...

  2. 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

  3. 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

  4. 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...

  5. 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 ...

  6. 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 ...

  7. 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

  8. 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 ...

  9. 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.

  10. 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

  11. 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.

  12. 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...

  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. 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

  15. 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...

  16. 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.

  17. 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...

  18. 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...

  19. 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.

  20. 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....

  1. Modeling vector nonlinear time series using POLYMARS

    NARCIS (Netherlands)

    de Gooijer, J.G.; Ray, B.K.

    2003-01-01

    A modified multivariate adaptive regression splines method for modeling vector nonlinear time series is investigated. The method results in models that can capture certain types of vector self-exciting threshold autoregressive behavior, as well as provide good predictions for more general vector

  2. 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...

  3. 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.

  4. 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....

  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. 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...

  7. 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.

  8. 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.

  9. 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

  10. 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)

  11. 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.

  12. 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...

  13. 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.

  14. 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.

  15. 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.

  16. 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 ...

  17. 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...

  18. 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....

  19. 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.

  20. 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...

  1. 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.

  2. 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)

  3. Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl; Callot, Laurent

    We show that the adaptive Lasso (aLasso) and the adaptive group Lasso (agLasso) are oracle efficient in stationary vector autoregressions where the number of parameters per equation is smaller than the number of observations. In particular, this means that the parameters are estimated consistently...

  4. 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

  5. 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...

  6. 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.

  7. 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)

  8. 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.

  9. 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...

  10. 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

  11. 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.

  12. 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.

  13. 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.

  14. 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.

  15. 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...

  16. 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...

  17. 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...

  18. 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.

  19. Carbon dioxide emissions reduction in China's transport sector: A dynamic VAR (vector autoregression) approach

    International Nuclear Information System (INIS)

    Xu, Bin; Lin, Boqiang

    2015-01-01

    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. China's transport sector is highly energy-consuming and pollution-intensive. Between 1980 and 2012, the carbon dioxide emissions in China's transport sector increased approximately 9.7 times, with an average annual growth rate of 7.4%. Identifying the driving forces of the increase in carbon dioxide emissions in the transport sector is vital to developing effective environmental policies. This study uses Vector Autoregressive model to analyze the influencing factors of the changes in carbon dioxide emissions in the sector. The results show that energy efficiency plays a dominant role in reducing carbon dioxide emissions. Private vehicles have more impact on emission reduction than cargo turnover due to the surge in private car population and its low energy efficiency. Urbanization also has significant effect on carbon dioxide emissions because of large-scale population movements and the transformation of the industrial structure. These findings are important for the relevant authorities in China in developing appropriate energy policy and planning for the transport sector. - Highlights: • The driving forces of CO 2 emissions in China's transport sector were investigated. • Energy efficiency plays a dominant role in reducing carbon dioxide emissions. • Urbanization has significant effect on CO 2 emissions due to large-scale migration. • The role of private cars in reducing emissions is more important than cargo turnover

  20. 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.

  1. 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...

  2. 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.

  3. Custodial vector model

    DEFF Research Database (Denmark)

    Becciolini, Diego; Franzosi, Diogo Buarque; Foadi, Roshan

    2015-01-01

    We analyze the Large Hadron Collider (LHC) phenomenology of heavy vector resonances with a $SU(2)_L\\times SU(2)_R$ spectral global symmetry. This symmetry partially protects the electroweak S-parameter from large contributions of the vector resonances. The resulting custodial vector model spectrum...

  4. 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

  5. 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.

  6. 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.

  7. 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.

  8. 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.

  9. 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.

  10. Custodial vector model

    Science.gov (United States)

    Becciolini, Diego; Franzosi, Diogo Buarque; Foadi, Roshan; Frandsen, Mads T.; Hapola, Tuomas; Sannino, Francesco

    2015-07-01

    We analyze the Large Hadron Collider (LHC) phenomenology of heavy vector resonances with a S U (2 )L×S U (2 )R spectral global symmetry. This symmetry partially protects the electroweak S parameter from large contributions of the vector resonances. The resulting custodial vector model spectrum and interactions with the standard model fields lead to distinct signatures at the LHC in the diboson, dilepton, and associated Higgs channels.

  11. 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.

  12. 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)

  13. 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.

  14. 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

  15. Testing for rational bubbles in a co-explosive vector autoregression

    DEFF Research Database (Denmark)

    Engsted, Tom; Nielsen, Bent

    , are derived both for a model without bubbles and for a model with a rational bubble. In both cases we show how the restrictions can be tested through standard chi-squared inference. The analysis for the no-bubble case is done within the traditional Johansen model for I(1) variables, while the bubble model...

  16. 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.

  17. Testing for co-integration in vector autoregressions with non-stationary volatility

    DEFF Research Database (Denmark)

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

    2010-01-01

    cases. We show that the conventional rank statistics computed as in (Johansen, 1988) and (Johansen, 1991) are potentially unreliable. In particular, their large sample distributions depend on the integrated covariation of the underlying multivariate volatility process which impacts on both the size...... and power of the associated co-integration tests, as we demonstrate numerically. A solution to the identified inference problem is provided by considering wild bootstrap-based implementations of the rank tests. These do not require the practitioner to specify a parametric model for volatility, or to assume...

  18. 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.

  19. 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.

  20. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  1. 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.

  2. 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.

  3. 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....

  4. 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)

  5. 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.

  6. 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...

  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. 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....

  9. 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

  10. 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

  11. 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...

  12. 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.

  13. 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)

  14. 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...

  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. 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)

  17. 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.

  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. 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.

  6. 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

  7. 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.

  8. 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)

  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. 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...

  11. 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.

  12. 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

  13. 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

  14. 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.

  15. 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.

  16. 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...

  17. 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)

  18. 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)

  19. Short-Term Forecasting of Electric Loads Using Nonlinear Autoregressive Artificial Neural Networks with Exogenous Vector Inputs

    Directory of Open Access Journals (Sweden)

    Jaime Buitrago

    2017-01-01

    Full Text Available Short-term load forecasting is crucial for the operations planning of an electrical grid. Forecasting the next 24 h of electrical load in a grid allows operators to plan and optimize their resources. The purpose of this study is to develop a more accurate short-term load forecasting method utilizing non-linear autoregressive artificial neural networks (ANN with exogenous multi-variable input (NARX. The proposed implementation of the network is new: the neural network is trained in open-loop using actual load and weather data, and then, the network is placed in closed-loop to generate a forecast using the predicted load as the feedback input. Unlike the existing short-term load forecasting methods using ANNs, the proposed method uses its own output as the input in order to improve the accuracy, thus effectively implementing a feedback loop for the load, making it less dependent on external data. Using the proposed framework, mean absolute percent errors in the forecast in the order of 1% have been achieved, which is a 30% improvement on the average error using feedforward ANNs, ARMAX and state space methods, which can result in large savings by avoiding commissioning of unnecessary power plants. The New England electrical load data are used to train and validate the forecast prediction.

  20. Vector hysteresis models

    Czech Academy of Sciences Publication Activity Database

    Krejčí, Pavel

    1991-01-01

    Roč. 2, - (1991), s. 281-292 ISSN 0956-7925 Keywords : vector hysteresis operator * hysteresis potential * differential inequality Subject RIV: BA - General Mathematics http://www.math.cas.cz/~krejci/b15p.pdf

  1. 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...

  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. 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.

  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. 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.

  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. 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.

  14. 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)

  15. 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.

  16. 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.

  17. 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.

  18. 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.

  19. 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)

  20. 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.

  1. 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.

  2. 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.

  3. 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 %.

  4. 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...

  5. 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.

  6. 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.

  7. 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...

  8. 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...

  9. 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

  10. 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

  11. 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

  12. 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

  13. 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....

  14. (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.

  15. 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.

  16. Vector models and generalized SYK models

    Energy Technology Data Exchange (ETDEWEB)

    Peng, Cheng [Department of Physics, Brown University,Providence RI 02912 (United States)

    2017-05-23

    We consider the relation between SYK-like models and vector models by studying a toy model where a tensor field is coupled with a vector field. By integrating out the tensor field, the toy model reduces to the Gross-Neveu model in 1 dimension. On the other hand, a certain perturbation can be turned on and the toy model flows to an SYK-like model at low energy. A chaotic-nonchaotic phase transition occurs as the sign of the perturbation is altered. We further study similar models that possess chaos and enhanced reparameterization symmetries.

  17. 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.

  18. Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models

    CSIR Research Space (South Africa)

    Das, Sonali

    2010-01-01

    Full Text Available and Gertler, 1995), but also because changes in house prices tend to have important wealth effects on consumption (International Monetary Fund, 2000) and investment (Topel and Rosen, 1988), the importance of forecasting house price infl ation is vital, since... sections, respectively, lay out the DFM and outline the basics of the VAR, the Minnesota-type BVARs, and the SBVARs based on the fi rst-order spatial contiguity (FOSC) and the random walk averaging (RWA) priors developed by LeSage and Pan (1995) and Le...

  19. 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.

  20. 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.

  1. Properties of Vector Preisach Models

    Science.gov (United States)

    Kahler, Gary R.; Patel, Umesh D.; Torre, Edward Della

    2004-01-01

    This paper discusses rotational anisotropy and rotational accommodation of magnetic particle tape. These effects have a performance impact during the reading and writing of the recording process. We introduce the reduced vector model as the basis for the computations. Rotational magnetization models must accurately compute the anisotropic characteristics of ellipsoidally magnetizable media. An ellipticity factor is derived for these media that computes the two-dimensional magnetization trajectory for all applied fields. An orientation correction must be applied to the computed rotational magnetization. For isotropic materials, an orientation correction has been developed and presented. For anisotropic materials, an orientation correction is introduced.

  2. 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

  3. [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.

  4. 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.

  5. 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

  6. 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...

  7. 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

  8. 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...

  9. 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.

  10. 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)

  11. 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....

  12. 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 ...

  13. 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

  14. Vector models in RETRAN-02 MOD 2

    International Nuclear Information System (INIS)

    Kinnersly, S.R.

    1985-06-01

    The vector momentum model in RETRAN-02 allows momentum flux to be modelled in two dimensions. Vector models in RETRAN-2 are described, including both the actual implementation in the code and the specification given in the code manual. The vector momentum model is described in detail. Other models which use vector quantities include models for volume average flow, volume average slip velocity, volume average phase velocities and fill junction flows. Both code implementations and code manual descriptions are described and inconsistencies noted. The differences between the standard RETRA-02 Mod 2 version and the Winfrith version RETN2204 are noted. (U.K.)

  15. 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.

  16. 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.

  17. 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.

  18. 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%.

  19. 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.

  20. 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.

  1. 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.

  2. 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.

  3. 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.

  4. 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.

  5. 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 ....

  6. Vector condensate model of electroweak interactions

    International Nuclear Information System (INIS)

    Cynolter, G.; Pocsik, G.

    1997-01-01

    Motivated by the fact that the Higgs is not seen, a new version of the standard model is proposed where the scalar doublet is replaced by a vector doublet and its neutral member forms a nonvanishing condensate. Gauge fields are coupled to the new vector fields B in a gauge invariant way leading to mass terms for the gauge fields by condensation. The model is presented and some implications are discussed. (K.A.)

  7. 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

  8. 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...

  9. Topics in the generalized vector dominance model

    International Nuclear Information System (INIS)

    Chavin, S.

    1976-01-01

    Two topics are covered in the generalized vector dominance model. In the first topic a model is constructed for dilepton production in hadron-hadron interactions based on the idea of generalized vector-dominance. It is argued that in the high mass region the generalized vector-dominance model and the Drell-Yan parton model are alternative descriptions of the same underlying physics. In the low mass regions the models differ; the vector-dominance approach predicts a greater production of dileptons. It is found that the high mass vector mesons which are the hallmark of the generalized vector-dominance model make little contribution to the large yield of leptons observed in the transverse-momentum range 1 less than p/sub perpendicular/ less than 6 GeV. The recently measured hadronic parameters lead one to believe that detailed fits to the data are possible under the model. The possibility was expected, and illustrated with a simple model the extreme sensitivity of the large-p/sub perpendicular/ lepton yield to the large-transverse-momentum tail of vector-meson production. The second topic is an attempt to explain the mysterious phenomenon of photon shadowing in nuclei utilizing the contribution of the longitudinally polarized photon. It is argued that if the scalar photon anti-shadows, it could compensate for the transverse photon, which is presumed to shadow. It is found in a very simple model that the scalar photon could indeed anti-shadow. The principal feature of the model is a cancellation of amplitudes. The scheme is consistent with scalar photon-nucleon data as well. The idea is tested with two simple GVDM models and finds that the anti-shadowing contribution of the scalar photon is not sufficient to compensate for the contribution of the transverse photon. It is found doubtful that the scalar photon makes a significant contribution to the total photon-nuclear cross section

  10. 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)

  11. 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.

  12. 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)

  13. 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

  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. Vector-Interaction-Enhanced Bag Model

    Science.gov (United States)

    Cierniak, Mateusz; Klähn, Thomas; Fischer, Tobias; Bastian, Niels-Uwe

    2018-02-01

    A commonly applied quark matter model in astrophysics is the thermodynamic bag model (tdBAG). The original MIT bag model approximates the effect of quark confinement, but does not explicitly account for the breaking of chiral symmetry, an important property of Quantum Chromodynamics (QCD). It further ignores vector repulsion. The vector-interaction-enhanced bag model (vBag) improves the tdBAG approach by accounting for both dynamical chiral symmetry breaking and repulsive vector interactions. The latter is of particular importance to studies of dense matter in beta-equilibriumto explain the two solar mass maximum mass constraint for neutron stars. The model is motivated by analyses of QCD based Dyson-Schwinger equations (DSE), assuming a simple quark-quark contact interaction. Here, we focus on the study of hybrid neutron star properties resulting from the application of vBag and will discuss possible extensions.

  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. 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

  18. An Investigation of Feature Models for Music Genre Classification using the Support Vector Classifier

    DEFF Research Database (Denmark)

    Meng, Anders; Shawe-Taylor, John

    2005-01-01

    In music genre classification the decision time is typically of the order of several seconds however most automatic music genre classification systems focus on short time features derived from 10-50ms. This work investigates two models, the multivariate gaussian model and the multivariate...... probability kernel. In order to examine the different methods an 11 genre music setup was utilized. In this setup the Mel Frequency Cepstral Coefficients (MFCC) were used as short time features. The accuracy of the best performing model on this data set was 44% as compared to a human performance of 52...... autoregressive model for modelling short time features. Furthermore, it was investigated how these models can be integrated over a segment of short time features into a kernel such that a support vector machine can be applied. Two kernels with this property were considered, the convolution kernel and product...

  19. 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.

  20. 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.

  1. 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

  2. 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.

  3. 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.

  4. 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.

  5. The impact of TV mass media campaigns on calls to a National Quitline and the use of prescribed nicotine replacement therapy: a structural vector autoregression analysis.

    Science.gov (United States)

    Haghpanahan, Houra; Mackay, Daniel F; Pell, Jill P; Bell, David; Langley, Tessa; Haw, Sally

    2017-07-01

    To estimate (1) the immediate impact; (2) the cumulative impact; and (3) the duration of impact of Scottish tobacco control TV mass media campaigns (MMCs) on smoking cessation activity, as measured by calls to Smokeline and the volume of prescribed nicotine replacement therapy (NRT). Multivariate time-series analysis using secondary data on population level measures of exposure to TV MMCs broadcast and smoking cessation activity between 2003 and 2012. Population of Scotland. Adult television viewer ratings (TVRs) as a measure of exposure to Scottish mass media campaigns in the adult population; monthly calls to NHS Smokeline; and the monthly volume of prescribed NRT as measured by gross ingredient costs (GIC). Tobacco control TVRs were associated with an increase in calls to Smokeline but not an increase in the volume of prescribed NRT. A 1 standard deviation (SD) increase of 194 tobacco control TVRs led to an immediate and significant increase of 385.9 [95% confidence interval (CI) = 171.0, 600.7] calls to Smokeline (unadjusted model) within 1 month. When adjusted for seasonality the impact was reduced, but the increase in calls remained significant (226.3 calls, 95% CI = 37.3, 415.3). The cumulative impact on Smokeline calls remained significant for 6 months after broadcast in the unadjusted model and 18 months in the adjusted model. However, an increase in tobacco control TVRs of 194 failed to have a significant impact on the GIC of prescribed NRT in either the unadjusted (£1361.4, 95% CI = -£9138.0, £11860.9) or adjusted (£6297.1, 95% CI = -£2587.8, £15182.1) models. Tobacco control television mass media campaigns broadcast in Scotland between 2003 and 2012 were effective in triggering calls to Smokeline, but did not increase significantly the use of prescribed nicotine replacement therapy by adult smokers. The impact on calls to Smokeline occurred immediately within 1 month of broadcast and was sustained for at least 6 months. © 2017 The

  6. 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)

  7. 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.

  8. Two-dimensional gauge model with vector U(1) and axial-vector U(1) symmetries

    International Nuclear Information System (INIS)

    Watabiki, Y.

    1989-01-01

    We have succeeded in constructing a two-dimensional gauge model with both vector U(1) and axial-vector U(1) symmetries. This model is exactly solvable. The Schwinger term vanishes in this model as a consequence of the above symmetries, and negative-norm states appear. However, the norms of physical states are always positive semidefinite due to the gauge symmetries

  9. Properties of invariant modelling and invariant glueing of vector fields

    International Nuclear Information System (INIS)

    Petukhov, V.R.

    1987-01-01

    Invariant modelling and invariant glueing of both continuous (rates and accelerations) and descrete vector fields, gradient and divergence cases are considered. The following appendices are discussed: vector fields in crystals, crystal disclinations, topological charges and their fields

  10. 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.

  11. 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...

  12. The Effect of Macroeconomic Variables on Value-Added Agriculture: Approach of Vector Autoregresive Bayesian Model (BVAR

    Directory of Open Access Journals (Sweden)

    E. Pishbahar

    2015-05-01

    Full Text Available There are different ideas and opinions about the effects of macroeconomic variables on real and nominal variables. To answer the question of whether changes in macroeconomic variables as a political tool is useful over a business cycle, understanding the effect of macroeconomic variables on economic growth is important. In the present study, the Bayesian Vector autoregresive model and seasonality data for the years between 1991 and 2013 was used to determine the impact of monetary policy on value-added agriculture. Predicts of Vector autoregresive model are usually divertaed due to a lot of parameters in the model. Bayesian vector autoregresive model estimates more reliable predictions due to reducing the number of included parametrs and considering the former models. Compared to the Vector Autoregressive model, the coefficients are estimated more accurately. Based on the results of RMSE in this study, previous function Nrmal-Vyshart was identified as a suitable previous disteribution. According to the results of the impulse response function, the sudden effects of shocks in macroeconomic variables on the value added in agriculture and domestic venture capital are stable. The effects on the exchange rates, tax revenues and monetary will bemoderated after 7, 5 and 4periods. Monetary policy shocks ,in the first half of the year, increased the value added of agriculture, while in the second half of the year had a depressing effect on the value added.

  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. Annealed n-vector p spin model

    International Nuclear Information System (INIS)

    Taucher, T.; Frankel, N.E.

    1992-01-01

    A disordered n-vector model with p spin interactions is introduced and studied in mean field theory for the annealed case. The complete solutions for the cases n = 2 and n = 3, is presented and explicit order parameter equations is given for all the stable solutions for arbitrary n. For all n and p was found on stable high temperature phase and one stable low temperature phase. The phase transition is of first order. For n = 2, it is continuous in the order parameters for p ≤ 4 and has a jump discontinuity in the order parameters if p > 4. For n = 3, it has a jump discontinuity in the order parameters for all p. 11 refs., 4 figs

  15. 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)

  16. 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.

  17. 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.

  18. Composite vector mesons and string models

    International Nuclear Information System (INIS)

    Mandelstam, S.

    1985-01-01

    The author discusses the general question of gauge mesons in extended supergravities, and whether such theories can produce the gauge mesons corresponding to a group at least as large as SU(3) x SU(2) x U(1). An exciting conjecture in this direction was made a few years ago by previous authors, who suggested that there might be composite SU(8) gauge mesons in a supergravity model known as the N=8 model. Until we have a consistent, renormalizable theory of supergravity we cannot really obtain any indication of the truth or falseness of that conjecture. One form of the Neveu-Schwarz string model has been shown to be a theory of supergravity; it is finite at the one-loop level and probably in any order of perturbation theory. The discussion is within the framework of this model. The author questions whether massive vector mesons can possibly lose their mass due to interactions. Arguments have been given on both sides of this question, and the author believes that this can occur under certain circumstances. Our conclusions is that the FNNS mechanism will create a gauge symmetry in addition to the rigid symmetry

  19. Vectors

    DEFF Research Database (Denmark)

    Boeriis, Morten; van Leeuwen, Theo

    2017-01-01

    should be taken into account in discussing ‘reactions’, which Kress and van Leeuwen link only to eyeline vectors. Finally, the question can be raised as to whether actions are always realized by vectors. Drawing on a re-reading of Rudolf Arnheim’s account of vectors, these issues are outlined......This article revisits the concept of vectors, which, in Kress and van Leeuwen’s Reading Images (2006), plays a crucial role in distinguishing between ‘narrative’, action-oriented processes and ‘conceptual’, state-oriented processes. The use of this concept in image analysis has usually focused...

  20. 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.

  1. 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.

  2. [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.

  3. 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.

  4. Optical Associative Memory Model With Threshold Modification Using Complementary Vector

    Science.gov (United States)

    Bian, Shaoping; Xu, Kebin; Hong, Jing

    1989-02-01

    A new criterion to evaluate the similarity between two vectors in associative memory is presented. According to it, an experimental research about optical associative memory model with threshold modification using complementary vector is carried out. This model is capable of eliminating the posibility to recall erroneously. Therefore the accuracy of reading out is improved.

  5. Output-only modal parameter estimator of linear time-varying structural systems based on vector TAR model and least squares support vector machine

    Science.gov (United States)

    Zhou, Si-Da; Ma, Yuan-Chen; Liu, Li; Kang, Jie; Ma, Zhi-Sai; Yu, Lei

    2018-01-01

    Identification of time-varying modal parameters contributes to the structural health monitoring, fault detection, vibration control, etc. of the operational time-varying structural systems. However, it is a challenging task because there is not more information for the identification of the time-varying systems than that of the time-invariant systems. This paper presents a vector time-dependent autoregressive model and least squares support vector machine based modal parameter estimator for linear time-varying structural systems in case of output-only measurements. To reduce the computational cost, a Wendland's compactly supported radial basis function is used to achieve the sparsity of the Gram matrix. A Gamma-test-based non-parametric approach of selecting the regularization factor is adapted for the proposed estimator to replace the time-consuming n-fold cross validation. A series of numerical examples have illustrated the advantages of the proposed modal parameter estimator on the suppression of the overestimate and the short data. A laboratory experiment has further validated the proposed estimator.

  6. 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.

  7. 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.

  8. 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.

  9. 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)

  10. 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.

  11. 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.

  12. 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

  13. 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

  14. 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.

  15. 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.

  16. 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.

  17. 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.

  18. 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.

  19. 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.

  20. 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)

  1. 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

  2. Coal demand prediction based on a support vector machine model

    Energy Technology Data Exchange (ETDEWEB)

    Jia, Cun-liang; Wu, Hai-shan; Gong, Dun-wei [China University of Mining & Technology, Xuzhou (China). School of Information and Electronic Engineering

    2007-01-15

    A forecasting model for coal demand of China using a support vector regression was constructed. With the selected embedding dimension, the output vectors and input vectors were constructed based on the coal demand of China from 1980 to 2002. After compared with lineal kernel and Sigmoid kernel, a radial basis function(RBF) was adopted as the kernel function. By analyzing the relationship between the error margin of prediction and the model parameters, the proper parameters were chosen. The support vector machines (SVM) model with multi-input and single output was proposed. Compared the predictor based on RBF neural networks with test datasets, the results show that the SVM predictor has higher precision and greater generalization ability. In the end, the coal demand from 2003 to 2006 is accurately forecasted. l0 refs., 2 figs., 4 tabs.

  3. 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...

  4. 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

  5. First experience of vectorizing electromagnetic physics models for detector simulation

    Energy Technology Data Exchange (ETDEWEB)

    Amadio, G. [Sao Paulo State U.; Apostolakis, J. [CERN; Bandieramonte, M. [Catania Astrophys. Observ.; Bianchini, C. [Mackenzie Presbiteriana U.; Bitzes, G. [CERN; Brun, R. [CERN; Canal, P. [Fermilab; Carminati, F. [CERN; Licht, J.de Fine [U. Copenhagen (main); Duhem, L. [Intel, Santa Clara; Elvira, D. [Fermilab; Gheata, A. [CERN; Jun, S. Y. [Fermilab; Lima, G. [Fermilab; Novak, M. [CERN; Presbyterian, M. [Bhabha Atomic Res. Ctr.; Shadura, O. [CERN; Seghal, R. [Bhabha Atomic Res. Ctr.; Wenzel, S. [CERN

    2015-12-23

    The recent emergence of hardware architectures characterized by many-core or accelerated processors has opened new opportunities for concurrent programming models taking advantage of both SIMD and SIMT architectures. The GeantV vector prototype for detector simulations has been designed to exploit both the vector capability of mainstream CPUs and multi-threading capabilities of coprocessors including NVidia GPUs and Intel Xeon Phi. The characteristics of these architectures are very different in terms of the vectorization depth, parallelization needed to achieve optimal performance or memory access latency and speed. An additional challenge is to avoid the code duplication often inherent to supporting heterogeneous platforms. In this paper we present the first experience of vectorizing electromagnetic physics models developed for the GeantV project.

  6. First experience of vectorizing electromagnetic physics models for detector simulation

    International Nuclear Information System (INIS)

    Amadio, G; Bianchini, C; Apostolakis, J; Bitzes, G; Brun, R; Carminati, F; Gheata, A; Novak, M; Shadura, O; Wenzel, S; Bandieramonte, M; Canal, P; Elvira, D; Jun, S Y; Lima, G; Licht, J de Fine; Duhem, L; Presbyterian, M; Seghal, R

    2015-01-01

    The recent emergence of hardware architectures characterized by many-core or accelerated processors has opened new opportunities for concurrent programming models taking advantage of both SIMD and SIMT architectures. The GeantV vector prototype for detector simulations has been designed to exploit both the vector capability of mainstream CPUs and multi-threading capabilities of coprocessors including NVidia GPUs and Intel Xeon Phi. The characteristics of these architectures are very different in terms of the vectorization depth, parallelization needed to achieve optimal performance or memory access latency and speed. An additional challenge is to avoid the code duplication often inherent to supporting heterogeneous platforms. In this paper we present the first experience of vectorizing electromagnetic physics models developed for the GeantV project. (paper)

  7. First experience of vectorizing electromagnetic physics models for detector simulation

    Science.gov (United States)

    Amadio, G.; Apostolakis, J.; Bandieramonte, M.; Bianchini, C.; Bitzes, G.; Brun, R.; Canal, P.; Carminati, F.; de Fine Licht, J.; Duhem, L.; Elvira, D.; Gheata, A.; Jun, S. Y.; Lima, G.; Novak, M.; Presbyterian, M.; Shadura, O.; Seghal, R.; Wenzel, S.

    2015-12-01

    The recent emergence of hardware architectures characterized by many-core or accelerated processors has opened new opportunities for concurrent programming models taking advantage of both SIMD and SIMT architectures. The GeantV vector prototype for detector simulations has been designed to exploit both the vector capability of mainstream CPUs and multi-threading capabilities of coprocessors including NVidia GPUs and Intel Xeon Phi. The characteristics of these architectures are very different in terms of the vectorization depth, parallelization needed to achieve optimal performance or memory access latency and speed. An additional challenge is to avoid the code duplication often inherent to supporting heterogeneous platforms. In this paper we present the first experience of vectorizing electromagnetic physics models developed for the GeantV project.

  8. Efficient modeling of vector hysteresis using fuzzy inference systems

    International Nuclear Information System (INIS)

    Adly, A.A.; Abd-El-Hafiz, S.K.

    2008-01-01

    Vector hysteresis models have always been regarded as important tools to determine which multi-dimensional magnetic field-media interactions may be predicted. In the past, considerable efforts have been focused on mathematical modeling methodologies of vector hysteresis. This paper presents an efficient approach based upon fuzzy inference systems for modeling vector hysteresis. Computational efficiency of the proposed approach stems from the fact that the basic non-local memory Preisach-type hysteresis model is approximated by a local memory model. The proposed computational low-cost methodology can be easily integrated in field calculation packages involving massive multi-dimensional discretizations. Details of the modeling methodology and its experimental testing are presented

  9. Labour motivation : an axiomatic vector model

    OpenAIRE

    Kotliarov, Ivan

    2008-01-01

    En el presente artículo se da una lista de axiomas necesarios para la construcción de una teoría matemática de la motivación humana. Se propone un modelo matemático de la motivación en el trabajo. La motivación se representa como un vector resultante de la motivación parcial generada por grupos específicos de necesidades. El modelo de Vroom se incluye en el modelo propuesto como ejemplo de motivación. Se establece una correlación entre los gastos de motivación, el nivel de motivación y el niv...

  10. Deformations of vector-scalar models

    Science.gov (United States)

    Barnich, Glenn; Boulanger, Nicolas; Henneaux, Marc; Julia, Bernard; Lekeu, Victor; Ranjbar, Arash

    2018-02-01

    Abelian vector fields non-minimally coupled to uncharged scalar fields arise in many contexts. We investigate here through algebraic methods their consistent deformations ("gaugings"), i.e., the deformations that preserve the number (but not necessarily the form or the algebra) of the gauge symmetries. Infinitesimal consistent deformations are given by the BRST cohomology classes at ghost number zero. We parametrize explicitly these classes in terms of various types of global symmetries and corresponding Noether currents through the characteristic cohomology related to antifields and equations of motion. The analysis applies to all ghost numbers and not just ghost number zero. We also provide a systematic discussion of the linear and quadratic constraints on these parameters that follow from higher-order consistency. Our work is relevant to the gaugings of extended supergravities.

  11. Quasi-renormalization of the axial vector model

    International Nuclear Information System (INIS)

    Schweda, M.

    1979-01-01

    Using the regulator-free BPHZL renormalization scheme the problem of anomalies in a massive axial vector meson model is reinvestigated. The Adler-Bardeen-Bell-Jackiw anomaly introduces some impressive modifications: the nontrivial self-energy and the counterterm of the longitudinal part of the axial vector field depend on the anomaly via the anomalous Ward identity. The investigations are based on a Fermi-type gauge. (author)

  12. Vector-like bottom quarks in composite Higgs models

    DEFF Research Database (Denmark)

    Gillioz, M.; Grober, R.; Kapuvari, A.

    2014-01-01

    Like many other models, Composite Higgs Models feature the existence of heavy vector-like quarks. Mixing effects between the Standard Model fields and the heavy states, which can be quite large in case of the top quark, imply deviations from the SM. In this work we investigate the possibility of ...

  13. Vector fields in a tight laser focus: comparison of models.

    Science.gov (United States)

    Peatross, Justin; Berrondo, Manuel; Smith, Dallas; Ware, Michael

    2017-06-26

    We assess several widely used vector models of a Gaussian laser beam in the context of more accurate vector diffraction integration. For the analysis, we present a streamlined derivation of the vector fields of a uniformly polarized beam reflected from an ideal parabolic mirror, both inside and outside of the resulting focus. This exact solution to Maxwell's equations, first developed in 1920 by V. S. Ignatovsky, is highly relevant to high-intensity laser experiments since the boundary conditions at a focusing optic dictate the form of the focus in a manner analogous to a physical experiment. In contrast, many models simply assume a field profile near the focus and develop the surrounding vector fields consistent with Maxwell's equations. In comparing the Ignatovsky result with popular closed-form analytic vector models of a Gaussian beam, we find that the relatively simple model developed by Erikson and Singh in 1994 provides good agreement in the paraxial limit. Models involving a Lax expansion introduce a divergences outside of the focus while providing little if any improvement in the focal region. Extremely tight focusing produces a somewhat complicated structure in the focus, and requires the Ignatovsky model for accurate representation.

  14. 3D Model Retrieval Based on Vector Quantisation Index Histograms

    International Nuclear Information System (INIS)

    Lu, Z M; Luo, H; Pan, J S

    2006-01-01

    This paper proposes a novel technique to retrieval 3D mesh models using vector quantisation index histograms. Firstly, points are sampled uniformly on mesh surface. Secondly, to a point five features representing global and local properties are extracted. Thus feature vectors of points are obtained. Third, we select several models from each class, and employ their feature vectors as a training set. After training using LBG algorithm, a public codebook is constructed. Next, codeword index histograms of the query model and those in database are computed. The last step is to compute the distance between histograms of the query and those of the models in database. Experimental results show the effectiveness of our method

  15. A surface hydrology model for regional vector borne disease models

    Science.gov (United States)

    Tompkins, Adrian; Asare, Ernest; Bomblies, Arne; Amekudzi, Leonard

    2016-04-01

    Small, sun-lit temporary pools that form during the rainy season are important breeding sites for many key mosquito vectors responsible for the transmission of malaria and other diseases. The representation of this surface hydrology in mathematical disease models is challenging, due to their small-scale, dependence on the terrain and the difficulty of setting soil parameters. Here we introduce a model that represents the temporal evolution of the aggregate statistics of breeding sites in a single pond fractional coverage parameter. The model is based on a simple, geometrical assumption concerning the terrain, and accounts for the processes of surface runoff, pond overflow, infiltration and evaporation. Soil moisture, soil properties and large-scale terrain slope are accounted for using a calibration parameter that sets the equivalent catchment fraction. The model is calibrated and then evaluated using in situ pond measurements in Ghana and ultra-high (10m) resolution explicit simulations for a village in Niger. Despite the model's simplicity, it is shown to reproduce the variability and mean of the pond aggregate water coverage well for both locations and validation techniques. Example malaria simulations for Uganda will be shown using this new scheme with a generic calibration setting, evaluated using district malaria case data. Possible methods for implementing regional calibration will be briefly discussed.

  16. 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

  17. 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.

  18. Modeling Malaria Vector Distribution under Climate Change Scenarios in Kenya

    Science.gov (United States)

    Ngaina, J. N.

    2017-12-01

    Projecting the distribution of malaria vectors under climate change is essential for planning integrated vector control strategies for sustaining elimination and preventing reintroduction of malaria. However, in Kenya, little knowledge exists on the possible effects of climate change on malaria vectors. Here we assess the potential impact of future climate change on locally dominant Anopheles vectors including Anopheles gambiae, Anopheles arabiensis, Anopheles merus, Anopheles funestus, Anopheles pharoensis and Anopheles nili. Environmental data (Climate, Land cover and elevation) and primary empirical geo-located species-presence data were identified. The principle of maximum entropy (Maxent) was used to model the species' potential distribution area under paleoclimate, current and future climates. The Maxent model was highly accurate with a statistically significant AUC value. Simulation-based estimates suggest that the environmentally suitable area (ESA) for Anopheles gambiae, An. arabiensis, An. funestus and An. pharoensis would increase under all two scenarios for mid-century (2016-2045), but decrease for end century (2071-2100). An increase in ESA of An. Funestus was estimated under medium stabilizing (RCP4.5) and very heavy (RCP8.5) emission scenarios for mid-century. Our findings can be applied in various ways such as the identification of additional localities where Anopheles malaria vectors may already exist, but has not yet been detected and the recognition of localities where it is likely to spread to. Moreover, it will help guide future sampling location decisions, help with the planning of vector control suites nationally and encourage broader research inquiry into vector species niche modeling

  19. 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

  20. Production of new vector bosons from alternative models

    International Nuclear Information System (INIS)

    Chiappetta, P.; Fiandrino, A.; Taxil, P.

    1992-01-01

    Some effective alternative models are considered, introduced on the basis of compositeness, which are based on SU(2) WI weak isospin symmetry broken down explicitly to U(1) em via the mixing of the photon with the mental member W (3) of on SU(2) WI triplet of vector bosons. Besides W + ,W - and Z isoscalar neutral vectors, Y(Y L ) can be added which couple to the fuel hypercharge current or only to its left-handed part. Both Y and Y L models are tested. (K.A.) 9 refs., 4 figs

  1. Radiative decays of vector mesons in the chiral bag model

    International Nuclear Information System (INIS)

    Tabachenko, A.N.

    1988-01-01

    A new model of radiative π-meson decays of vector mesons in the chiral bag model is proposed. The quark-π-meson interaction has the form of a pseudoscalar coupling and is located on the bag surface. The vector meson decay width depends on the quark masses, the π-meson decay constant, the radius of the bag, and the free parameter Z 2 , which specifies the disappearance of the bag during the decay. The obtained results for the omega- and p-decay widths are in satisfactory agreement with the experiment

  2. A new Preisach-type vector model of hysteresis

    Energy Technology Data Exchange (ETDEWEB)

    D' Aquino, M. E-mail: mdaquino@unina.it; Serpico, C. E-mail: serpico@unina.it

    2004-05-01

    A new class of scalar hysteresis operators is obtained from the classical Preisach scalar model of hysteresis by introducing a transformation of variables dependent on a suitable function g. The operators of this class are defined by means of a new type of Play operator and are characterized by the property of having the same scalar input-output relationship. These operators are then extended to the isotropic vector case by using the vector extension of the scalar Play operator. It is shown that the function g, although does not affect the scalar behavior, it does affect the vector behaviour of the mathematical model. The influence of the function g is illustrated by reporting numerically computed rotational hysteresis losses curves for different choices of the function g.

  3. Discrete approximations to vector spin models

    Energy Technology Data Exchange (ETDEWEB)

    Van Enter, Aernout C D [University of Groningen, Johann Bernoulli Institute of Mathematics and Computing Science, Postbus 407, 9700 AK Groningen (Netherlands); Kuelske, Christof [Ruhr-Universitaet Bochum, Fakultaet fuer Mathematik, D44801 Bochum (Germany); Opoku, Alex A, E-mail: A.C.D.v.Enter@math.rug.nl, E-mail: Christof.Kuelske@ruhr-uni-bochum.de, E-mail: opoku@math.leidenuniv.nl [Mathematisch Instituut, Universiteit Leiden, Postbus 9512, 2300 RA, Leiden (Netherlands)

    2011-11-25

    We strengthen a result from Kuelske and Opoku (2008 Electron. J. Probab. 13 1307-44) on the existence of effective interactions for discretized continuous-spin models. We also point out that such an interaction cannot exist at very low temperatures. Moreover, we compare two ways of discretizing continuous-spin models, and show that except for very low temperatures, they behave similarly in two dimensions. We also discuss some possibilities in higher dimensions. (paper)

  4. Discrete approximations to vector spin models

    International Nuclear Information System (INIS)

    Van Enter, Aernout C D; Külske, Christof; Opoku, Alex A

    2011-01-01

    We strengthen a result from Külske and Opoku (2008 Electron. J. Probab. 13 1307–44) on the existence of effective interactions for discretized continuous-spin models. We also point out that such an interaction cannot exist at very low temperatures. Moreover, we compare two ways of discretizing continuous-spin models, and show that except for very low temperatures, they behave similarly in two dimensions. We also discuss some possibilities in higher dimensions. (paper)

  5. 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

  6. Linearity and Misspecification Tests for Vector Smooth Transition Regression Models

    DEFF Research Database (Denmark)

    Teräsvirta, Timo; Yang, Yukai

    The purpose of the paper is to derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition regression models. We report results from simulation studies in which the size and power properties of the proposed asymptotic tests in small...

  7. Equivalent Dynamic Models.

    Science.gov (United States)

    Molenaar, Peter C M

    2017-01-01

    Equivalences of two classes of dynamic models for weakly stationary multivariate time series are discussed: dynamic factor models and autoregressive models. It is shown that exploratory dynamic factor models can be rotated, yielding an infinite set of equivalent solutions for any observed series. It also is shown that dynamic factor models with lagged factor loadings are not equivalent to the currently popular state-space models, and that restriction of attention to the latter type of models may yield invalid results. The known equivalent vector autoregressive model types, standard and structural, are given a new interpretation in which they are conceived of as the extremes of an innovating type of hybrid vector autoregressive models. It is shown that consideration of hybrid models solves many problems, in particular with Granger causality testing.

  8. Modeling and prediction of flotation performance using support vector regression

    Directory of Open Access Journals (Sweden)

    Despotović Vladimir

    2017-01-01

    Full Text Available Continuous efforts have been made in recent year to improve the process of paper recycling, as it is of critical importance for saving the wood, water and energy resources. Flotation deinking is considered to be one of the key methods for separation of ink particles from the cellulose fibres. Attempts to model the flotation deinking process have often resulted in complex models that are difficult to implement and use. In this paper a model for prediction of flotation performance based on Support Vector Regression (SVR, is presented. Representative data samples were created in laboratory, under a variety of practical control variables for the flotation deinking process, including different reagents, pH values and flotation residence time. Predictive model was created that was trained on these data samples, and the flotation performance was assessed showing that Support Vector Regression is a promising method even when dataset used for training the model is limited.

  9. Some models for epidemics of vector-transmitted diseases

    Directory of Open Access Journals (Sweden)

    Fred Brauer

    2016-10-01

    Full Text Available Vector-transmitted diseases such as dengue fever and chikungunya have been spreading rapidly in many parts of the world. The Zika virus has been known since 1947 and invaded South America in 2013. It can be transmitted not only by (mosquito vectors but also directly through sexual contact. Zika has developed into a serious global health problem because, while most cases are asymptomatic or very light, babies born to Zika - infected mothers may develop microcephaly and other very serious birth defects.We formulate and analyze two epidemic models for vector-transmitted diseases, one appropriate for dengue and chikungunya fever outbreaks and one that includes direct transmission appropriate for Zika virus outbreaks. This is especially important because the Zika virus is the first example of a disease that can be spread both indirectly through a vector and directly (through sexual contact. In both cases, we obtain expressions for the basic reproduction number and show how to use the initial exponential growth rate to estimate the basic reproduction number. However, for the model that includes direct transmission some additional data would be needed to identify the fraction of cases transmitted directly. Data for the 2015 Zika virus outbreak in Barranquilla, Colombia has been used to fit parameters to the model developed here and to estimate the basic reproduction number.

  10. Vector-model-supported approach in prostate plan optimization

    International Nuclear Information System (INIS)

    Liu, Eva Sau Fan; Wu, Vincent Wing Cheung; Harris, Benjamin; Lehman, Margot; Pryor, David; Chan, Lawrence Wing Chi

    2017-01-01

    Lengthy time consumed in traditional manual plan optimization can limit the use of step-and-shoot intensity-modulated radiotherapy/volumetric-modulated radiotherapy (S&S IMRT/VMAT). A vector model base, retrieving similar radiotherapy cases, was developed with respect to the structural and physiologic features extracted from the Digital Imaging and Communications in Medicine (DICOM) files. Planning parameters were retrieved from the selected similar reference case and applied to the test case to bypass the gradual adjustment of planning parameters. Therefore, the planning time spent on the traditional trial-and-error manual optimization approach in the beginning of optimization could be reduced. Each S&S IMRT/VMAT prostate reference database comprised 100 previously treated cases. Prostate cases were replanned with both traditional optimization and vector-model-supported optimization based on the oncologists' clinical dose prescriptions. A total of 360 plans, which consisted of 30 cases of S&S IMRT, 30 cases of 1-arc VMAT, and 30 cases of 2-arc VMAT plans including first optimization and final optimization with/without vector-model-supported optimization, were compared using the 2-sided t-test and paired Wilcoxon signed rank test, with a significance level of 0.05 and a false discovery rate of less than 0.05. For S&S IMRT, 1-arc VMAT, and 2-arc VMAT prostate plans, there was a significant reduction in the planning time and iteration with vector-model-supported optimization by almost 50%. When the first optimization plans were compared, 2-arc VMAT prostate plans had better plan quality than 1-arc VMAT plans. The volume receiving 35 Gy in the femoral head for 2-arc VMAT plans was reduced with the vector-model-supported optimization compared with the traditional manual optimization approach. Otherwise, the quality of plans from both approaches was comparable. Vector-model-supported optimization was shown to offer much shortened planning time and iteration

  11. Vector-model-supported approach in prostate plan optimization

    Energy Technology Data Exchange (ETDEWEB)

    Liu, Eva Sau Fan [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong); Wu, Vincent Wing Cheung [Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong); Harris, Benjamin [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); Lehman, Margot; Pryor, David [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); School of Medicine, University of Queensland (Australia); Chan, Lawrence Wing Chi, E-mail: wing.chi.chan@polyu.edu.hk [Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong)

    2017-07-01

    Lengthy time consumed in traditional manual plan optimization can limit the use of step-and-shoot intensity-modulated radiotherapy/volumetric-modulated radiotherapy (S&S IMRT/VMAT). A vector model base, retrieving similar radiotherapy cases, was developed with respect to the structural and physiologic features extracted from the Digital Imaging and Communications in Medicine (DICOM) files. Planning parameters were retrieved from the selected similar reference case and applied to the test case to bypass the gradual adjustment of planning parameters. Therefore, the planning time spent on the traditional trial-and-error manual optimization approach in the beginning of optimization could be reduced. Each S&S IMRT/VMAT prostate reference database comprised 100 previously treated cases. Prostate cases were replanned with both traditional optimization and vector-model-supported optimization based on the oncologists' clinical dose prescriptions. A total of 360 plans, which consisted of 30 cases of S&S IMRT, 30 cases of 1-arc VMAT, and 30 cases of 2-arc VMAT plans including first optimization and final optimization with/without vector-model-supported optimization, were compared using the 2-sided t-test and paired Wilcoxon signed rank test, with a significance level of 0.05 and a false discovery rate of less than 0.05. For S&S IMRT, 1-arc VMAT, and 2-arc VMAT prostate plans, there was a significant reduction in the planning time and iteration with vector-model-supported optimization by almost 50%. When the first optimization plans were compared, 2-arc VMAT prostate plans had better plan quality than 1-arc VMAT plans. The volume receiving 35 Gy in the femoral head for 2-arc VMAT plans was reduced with the vector-model-supported optimization compared with the traditional manual optimization approach. Otherwise, the quality of plans from both approaches was comparable. Vector-model-supported optimization was shown to offer much shortened planning time and iteration

  12. 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.

  13. Vector and Axial-Vector Correlators in AN Instanton-Like Quark Model

    Science.gov (United States)

    Dorokhov, Alexander E.

    The behavior of the vector Adler function at spacelike momenta is studied in the framework of a covariant chiral quark model with instanton-like quark-quark interaction. This function describes the transition between the high energy asymptotically free region of almost massless current quarks to the low energy hadronized regime with massive constituent quarks. The model reproduces the Adler function and V-A correlator extracted from the ALEPH and OPAL data on hadronic τ lepton decays, transformed into the Euclidean domain via dispersion relations. The leading order contribution from hadronic part of the photon vacuum polarization to the anomalous magnetic moment of the muon, aμ hvp(1), is estimated.

  14. 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.

  15. 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.

  16. Linearized vector radiative transfer model MCC++ for a spherical atmosphere

    International Nuclear Information System (INIS)

    Postylyakov, O.V.

    2004-01-01

    Application of radiative transfer models has shown that optical remote sensing requires extra characteristics of radiance field in addition to the radiance intensity itself. Simulation of spectral measurements, analysis of retrieval errors and development of retrieval algorithms are in need of derivatives of radiance with respect to atmospheric constituents under investigation. The presented vector spherical radiative transfer model MCC++ was linearized, which allows the calculation of derivatives of all elements of the Stokes vector with respect to the volume absorption coefficient simultaneously with radiance calculation. The model MCC++ employs Monte Carlo algorithm for radiative transfer simulation and takes into account aerosol and molecular scattering, gas and aerosol absorption, and Lambertian surface albedo. The model treats a spherically symmetrical atmosphere. Relation of the estimated derivatives with other forms of radiance derivatives: the weighting functions used in gas retrieval and the air mass factors used in the DOAS retrieval algorithms, is obtained. Validation of the model against other radiative models is overviewed. The computing time of the intensity for the MCC++ model is about that for radiative models treating sphericity of the atmosphere approximately and is significantly shorter than that for the full spherical models used in the comparisons. The simultaneous calculation of all derivatives (i.e. with respect to absorption in all model atmosphere layers) and the intensity is only 1.2-2 times longer than the calculation of the intensity only

  17. Critical behavior in a stochastic model of vector mediated epidemics

    Science.gov (United States)

    Alfinito, E.; Beccaria, M.; Macorini, G.

    2016-06-01

    The extreme vulnerability of humans to new and old pathogens is constantly highlighted by unbound outbreaks of epidemics. This vulnerability is both direct, producing illness in humans (dengue, malaria), and also indirect, affecting its supplies (bird and swine flu, Pierce disease, and olive quick decline syndrome). In most cases, the pathogens responsible for an illness spread through vectors. In general, disease evolution may be an uncontrollable propagation or a transient outbreak with limited diffusion. This depends on the physiological parameters of hosts and vectors (susceptibility to the illness, virulence, chronicity of the disease, lifetime of the vectors, etc.). In this perspective and with these motivations, we analyzed a stochastic lattice model able to capture the critical behavior of such epidemics over a limited time horizon and with a finite amount of resources. The model exhibits a critical line of transition that separates spreading and non-spreading phases. The critical line is studied with new analytical methods and direct simulations. Critical exponents are found to be the same as those of dynamical percolation.

  18. Twin support vector machines models, extensions and applications

    CERN Document Server

    Jayadeva; Chandra, Suresh

    2017-01-01

    This book provides a systematic and focused study of the various aspects of twin support vector machines (TWSVM) and related developments for classification and regression. In addition to presenting most of the basic models of TWSVM and twin support vector regression (TWSVR) available in the literature, it also discusses the important and challenging applications of this new machine learning methodology. A chapter on “Additional Topics” has been included to discuss kernel optimization and support tensor machine topics, which are comparatively new but have great potential in applications. It is primarily written for graduate students and researchers in the area of machine learning and related topics in computer science, mathematics, electrical engineering, management science and finance.

  19. Radiative corrections in a vector-tensor model

    International Nuclear Information System (INIS)

    Chishtie, F.; Gagne-Portelance, M.; Hanif, T.; Homayouni, S.; McKeon, D.G.C.

    2006-01-01

    In a recently proposed model in which a vector non-Abelian gauge field interacts with an antisymmetric tensor field, it has been shown that the tensor field possesses no physical degrees of freedom. This formal demonstration is tested by computing the one-loop contributions of the tensor field to the self-energy of the vector field. It is shown that despite the large number of Feynman diagrams in which the tensor field contributes, the sum of these diagrams vanishes, confirming that it is not physical. Furthermore, if the tensor field were to couple with a spinor field, it is shown at one-loop order that the spinor self-energy is not renormalizable, and hence this coupling must be excluded. In principle though, this tensor field does couple to the gravitational field

  20. Vector boson fusion in the inert doublet model

    Science.gov (United States)

    Dutta, Bhaskar; Palacio, Guillermo; Restrepo, Diego; Ruiz-Álvarez, José D.

    2018-03-01

    In this paper we probe the inert Higgs doublet model at the LHC using vector boson fusion (VBF) search strategy. We optimize the selection cuts and investigate the parameter space of the model and we show that the VBF search has a better reach when compared with the monojet searches. We also investigate the Drell-Yan type cuts and show that they can be important for smaller charged Higgs masses. We determine the 3 σ reach for the parameter space using these optimized cuts for a luminosity of 3000 fb-1 .

  1. A moving approach for the Vector Hysteron Model

    Energy Technology Data Exchange (ETDEWEB)

    Cardelli, E. [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Faba, A., E-mail: antonio.faba@unipg.it [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Laudani, A. [Department of Engineering, Roma Tre University, Via V. Volterra 62, 00146 Rome (Italy); Quondam Antonio, S. [Department of Engineering, University of Perugia, Via G. Duranti 93, 06125 Perugia (Italy); Riganti Fulginei, F.; Salvini, A. [Department of Engineering, Roma Tre University, Via V. Volterra 62, 00146 Rome (Italy)

    2016-04-01

    A moving approach for the VHM (Vector Hysteron Model) is here described, to reconstruct both scalar and rotational magnetization of electrical steels with weak anisotropy, such as the non oriented grain Silicon steel. The hysterons distribution is postulated to be function of the magnetization state of the material, in order to overcome the practical limitation of the congruency property of the standard VHM approach. By using this formulation and a suitable accommodation procedure, the results obtained indicate that the model is accurate, in particular in reproducing the experimental behavior approaching to the saturation region, allowing a real improvement respect to the previous approach.

  2. Initial geomagnetic field model from Magsat vector data

    Science.gov (United States)

    Langel, R. A.; Mead, G. D.; Lancaster, E. R.; Estes, R. H.; Fabiano, E. B.

    1980-01-01

    Magsat data from the magnetically quiet days of November 5-6, 1979, were used to derive a thirteenth degree and order spherical harmonic geomagnetic field model, MGST(6/80). The model utilized both scalar and high-accuracy vector data and fit that data with root-mean-square deviations of 8.2, 6.9, 7.6 and 7.4 nT for the scalar magnitude, B(r), B(theta), and B(phi), respectively. The model includes the three first-order coefficients of the external field. Comparison with averaged Dst indicates that zero Dst corresponds with 25 nT of horizontal field from external sources. When compared with earlier models, the earth's dipole moment continues to decrease at a rate of about 26 nT/yr. Evaluation of earlier models with Magsat data shows that the scalar field at the Magsat epoch is best predicted by the POGO(2/72) model but that the WC80, AWC/75 and IGS/75 are better for predicting vector fields.

  3. 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.

  4. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market

    DEFF Research Database (Denmark)

    Hurn, A.S.; Silvennoinen, Annastiina; Teräsvirta, Timo

    We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of specific......We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting...... of specification, including testing linearity, estimation and evaluation of these models is constructed. Nonlinear least squares estimation of the parameters of the model is discussed. Evaluation by misspecification tests is carried out using tests derived in a companion paper. The use of the modelling strategy...

  5. Properties of vector and axial-vector mesons from a generalized Nambu-Jona-Lasinio model

    International Nuclear Information System (INIS)

    Bernard, V.; Meissner, U.G.; Massachusetts Inst. of Tech., Cambridge; Massachusetts Inst. of Tech., Cambridge

    1988-01-01

    We construct a generalized Nambu-Jona-Lasinio lagrangian including scalar, pseudoscalar, vector and axial-vector mesons. We specialize to the two-flavor case. The properties of the structured vacuum as well as meson masses and coupling constants are calculated giving an overall agreement within 20% of the experimental data. We investigate the meson properties at finite density. In contrast to the mass of the scalar σ-meson, which decreases sharply with increasing density, the vector meson masses are almost independent of density. Furthermore, the vector-meson-quark coupling constants are also stable against density changes. We point out that these results imply a softening of the nuclear equation of state at high densities. Furthermore, we discuss the breakdown of the KFSR relation on the quark level as well as other deviations from phenomenological concepts such as universality and vector meson dominance. (orig.)

  6. 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

  7. Support vector machine based battery model for electric vehicles

    International Nuclear Information System (INIS)

    Wang Junping; Chen Quanshi; Cao Binggang

    2006-01-01

    The support vector machine (SVM) is a novel type of learning machine based on statistical learning theory that can map a nonlinear function successfully. As a battery is a nonlinear system, it is difficult to establish the relationship between the load voltage and the current under different temperatures and state of charge (SOC). The SVM is used to model the battery nonlinear dynamics in this paper. Tests are performed on an 80Ah Ni/MH battery pack with the Federal Urban Driving Schedule (FUDS) cycle to set up the SVM model. Compared with the Nernst and Shepherd combined model, the SVM model can simulate the battery dynamics better with small amounts of experimental data. The maximum relative error is 3.61%

  8. Vector meson decays in the chiral bag model

    International Nuclear Information System (INIS)

    Maxwell, O.V.; Jennings, B.K.

    1985-01-01

    Vector meson decays are examined in a model where a confined quark and antiquark annihilate, producing a pair of elementary pseudoscalar mesons. Two versions of the pseudoscalar meson-quark interaction are employed, one where the coupling is restricted to the bag surface and one where it extends throughout the bag volume. Energy conservation is ensured in the model through insertion of exponential factors containing the bag energy at each interaction vertex. To guarantee momentum conservation, a wave-packet description is utilized in which the decay widths are normalized by a factor involving the overlap of the initial bag state with the confined qanti q state of zero momentum. With either interaction, the model yields a value for the p-width that exceeds the empirical width by a factor two. For the Ksup(*) and PHI mesons, the computed widths depend strongly on the interaction employed. Implications of these results for chiral bag models are discussed. (orig.)

  9. 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

  10. Subspace identification of Hammer stein models using support vector machines

    International Nuclear Information System (INIS)

    Al-Dhaifallah, Mujahed

    2011-01-01

    System identification is the art of finding mathematical tools and algorithms that build an appropriate mathematical model of a system from measured input and output data. Hammerstein model, consisting of a memoryless nonlinearity followed by a dynamic linear element, is often a good trade-off as it can represent some dynamic nonlinear systems very accurately, but is nonetheless quite simple. Moreover, the extensive knowledge about LTI system representations can be applied to the dynamic linear block. On the other hand, finding an effective representation for the nonlinearity is an active area of research. Recently, support vector machines (SVMs) and least squares support vector machines (LS-SVMs) have demonstrated powerful abilities in approximating linear and nonlinear functions. In contrast with other approximation methods, SVMs do not require a-priori structural information. Furthermore, there are well established methods with guaranteed convergence (ordinary least squares, quadratic programming) for fitting LS-SVMs and SVMs. The general objective of this research is to develop new subspace algorithms for Hammerstein systems based on SVM regression.

  11. Traditional and robust vector selection methods for use with similarity based models

    International Nuclear Information System (INIS)

    Hines, J. W.; Garvey, D. R.

    2006-01-01

    Vector selection, or instance selection as it is often called in the data mining literature, performs a critical task in the development of nonparametric, similarity based models. Nonparametric, similarity based modeling (SBM) is a form of 'lazy learning' which constructs a local model 'on the fly' by comparing a query vector to historical, training vectors. For large training sets the creation of local models may become cumbersome, since each training vector must be compared to the query vector. To alleviate this computational burden, varying forms of training vector sampling may be employed with the goal of selecting a subset of the training data such that the samples are representative of the underlying process. This paper describes one such SBM, namely auto-associative kernel regression (AAKR), and presents five traditional vector selection methods and one robust vector selection method that may be used to select prototype vectors from a larger data set in model training. The five traditional vector selection methods considered are min-max, vector ordering, combination min-max and vector ordering, fuzzy c-means clustering, and Adeli-Hung clustering. Each method is described in detail and compared using artificially generated data and data collected from the steam system of an operating nuclear power plant. (authors)

  12. Environmental statistical modelling of mosquito vectors at different geographical scales

    NARCIS (Netherlands)

    Cianci, D.

    2015-01-01

    Vector-borne diseases are infections transmitted by the bite of infected arthropod vectors, such as mosquitoes, ticks, fleas, midges and flies. Vector-borne diseases pose an increasingly wider threat to global public health, both in terms of people affected and their geographical spread. Mosquitoes

  13. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

    DEFF Research Database (Denmark)

    Kristensen, Dennis; Rahbæk, Anders

    In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing...... of non-stationary non-linear time series models. Thus the paper provides a full asymptotic theory for estimators as well as standard and non-standard test statistics. The derived asymptotic results prove to be new compared to results found elsewhere in the literature due to the impact of the estimated...... symmetric non-linear error correction considered. A simulation study shows that the fi…nite sample properties of the bootstrapped tests are satisfactory with good size and power properties for reasonable sample sizes....

  14. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

    DEFF Research Database (Denmark)

    Kristensen, Dennis; Rahbek, Anders

    In this paper, we consider a general class of vector error correction models which allow for asymmetric and non-linear error correction. We provide asymptotic results for (quasi-)maximum likelihood (QML) based estimators and tests. General hypothesis testing is considered, where testing...... of non-stationary non-linear time series models. Thus the paper provides a full asymptotic theory for estimators as well as standard and non-standard test statistics. The derived asymptotic results prove to be new compared to results found elsewhere in the literature due to the impact of the estimated...... symmetric non-linear error correction are considered. A simulation study shows that the finite sample properties of the bootstrapped tests are satisfactory with good size and power properties for reasonable sample sizes....

  15. Equivalence of the O( n) vector ferromagnetic and antiferromagnetic models

    Science.gov (United States)

    Sousa, J. Ricardo de

    The effective-field renormalization group (EFRG) approach is used to find the Néel temperature ( TN) of the O( n) vector model with antiferromagnetic (AF) interaction. The EFRG method is illustrated by employing approximations in which clusters with one ( N‧=1) and two ( N=2) spins are used. The critical temperature TN is obtained as a function of component ( n) and coordination ( z) numbers. For all values of n and z we show that TN= Tc, where Tc is the Curie temperature for the ferromagnetic (F) case. As a comparison, the results of the quantum Heisenberg model ( n=3) with F and AF interactions are also presented, and we find that TN> Tc, which is different from the classical result Tc= TN.

  16. Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches

    OpenAIRE

    Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A.

    2012-01-01

    The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several bevera...

  17. Efficient and Enhanced Diffusion of Vector Field for Active Contour Model

    OpenAIRE

    Liu, Guoqi; Sun, Lin; Liu, Shangwang

    2015-01-01

    Gradient vector flow (GVF) is an important external force field for active contour models. Various vector fields based on GVF have been proposed. However, these vector fields are obtained with many iterations and have difficulty in capturing the whole image area. On the other hand, the ability to converge to deep and complex concavity with these vector fields is also needed to improve. In this paper, by analyzing the diffusion equation of GVF, a normalized set is defined and a dynamically nor...

  18. Modelling spread of Bluetongue and other vector borne diseases in Denmark and evaluation of intervention strategies

    DEFF Research Database (Denmark)

    Græsbøll, Kaare

    that describes spread of disease using vectors or hosts as agents of the spread. The model is run with bluetongue as the primary case study, and it is demonstrated how an epidemic outbreak of bluetongue 8 in Denmark is sensitive to the use of pasture, climate, vaccination, vector abundance, and flying parameters......The main outcome of this PhD project is a generic model for non-contagious infectious vector-borne disease spread by one vector species between up to two species of hosts distributed on farms and pasture. The model features a within-herd model of disease, combined with a triple movement kernel....... In constructing a more process oriented agent-based approach to spread modeling new parameters describing vector behavior were introduced. When these vector flying parameters have been quantified by experiments, this model can be implemented on areas naïve to the modeled disease with a high predictive power...

  19. Testing and inference in nonlinear cointegrating vector error correction models

    DEFF Research Database (Denmark)

    Kristensen, D.; Rahbek, A.

    2013-01-01

    We analyze estimators and tests for a general class of vector error correction models that allows for asymmetric and nonlinear error correction. For a given number of cointegration relationships, general hypothesis testing is considered, where testing for linearity is of particular interest. Under...... the null of linearity, parameters of nonlinear components vanish, leading to a nonstandard testing problem. We apply so-called sup-tests to resolve this issue, which requires development of new(uniform) functional central limit theory and results for convergence of stochastic integrals. We provide a full...... asymptotic theory for estimators and test statistics. The derived asymptotic results prove to be nonstandard compared to results found elsewhere in the literature due to the impact of the estimated cointegration relations. This complicates implementation of tests motivating the introduction of bootstrap...

  20. Multidirectional Scanning Model, MUSCLE, to Vectorize Raster Images with Straight Lines

    Directory of Open Access Journals (Sweden)

    Ibrahim Baz

    2008-04-01

    Full Text Available This paper presents a new model, MUSCLE (Multidirectional Scanning for Line Extraction, for automatic vectorization of raster images with straight lines. The algorithm of the model implements the line thinning and the simple neighborhood methods to perform vectorization. The model allows users to define specified criteria which are crucial for acquiring the vectorization process. In this model, various raster images can be vectorized such as township plans, maps, architectural drawings, and machine plans. The algorithm of the model was developed by implementing an appropriate computer programming and tested on a basic application. Results, verified by using two well known vectorization programs (WinTopo and Scan2CAD, indicated that the model can successfully vectorize the specified raster data quickly and accurately.

  1. Design and Modeling of a Novel Torque Vectoring Differential System

    Directory of Open Access Journals (Sweden)

    Chen Yu-Fan

    2017-01-01

    Full Text Available In this paper, a new concept torque vectoring differential (TVD system is presented. It is shown that the structure and the mechanism of the system, the operating methods, and the parameters design by a simulation program, i.e. SimulationX. First of all, the structure of the new TVD system is introduced, as well as the relevant mechanic equations. Second, we attempt to verify the feasibility and accuracy of SimulationX through establishing a simple mechanical model by MATLAB, so that the further modeling and simulation results of the new TVD system will be credible. Then, the simulation results at the setting conditions are presented. Finally, the sensitivity of the design parameters is analyzed, including adjusting the braking torque and the dimensions of the gear sets in the differential. According to these results, the characteristics of the new TVD system can be derived in order to develop the whole system with vehicle dynamic model in the next stage.

  2. Melting spectral functions of the scalar and vector mesons in a holographic QCD model

    International Nuclear Information System (INIS)

    Fujita, Mitsutoshi; Kikuchi, Toru; Fukushima, Kenji; Misumi, Tatsuhiro; Murata, Masaki

    2010-01-01

    We investigate the finite-temperature spectral functions of heavy quarkonia by using the soft-wall anti-de Sitter/QCD model. We discuss the scalar, the pseudoscalar, the vector, and the axial-vector mesons and compare their qualitative features of the melting temperature and growing width. We find that the axial-vector meson melts earlier than the vector meson, while there appears only a slight difference between the scalar and pseudoscalar mesons, which also melt earlier than the vector meson.

  3. Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging

    NARCIS (Netherlands)

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

    2010-01-01

    textabstractThe empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is

  4. Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging

    NARCIS (Netherlands)

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

    2012-01-01

    textabstractThe empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown

  5. Use of a mixture statistical model in studying malaria vectors density.

    Directory of Open Access Journals (Sweden)

    Olayidé Boussari

    Full Text Available Vector control is a major step in the process of malaria control and elimination. This requires vector counts and appropriate statistical analyses of these counts. However, vector counts are often overdispersed. A non-parametric mixture of Poisson model (NPMP is proposed to allow for overdispersion and better describe vector distribution. Mosquito collections using the Human Landing Catches as well as collection of environmental and climatic data were carried out from January to December 2009 in 28 villages in Southern Benin. A NPMP regression model with "village" as random effect is used to test statistical correlations between malaria vectors density and environmental and climatic factors. Furthermore, the villages were ranked using the latent classes derived from the NPMP model. Based on this classification of the villages, the impacts of four vector control strategies implemented in the villages were compared. Vector counts were highly variable and overdispersed with important proportion of zeros (75%. The NPMP model had a good aptitude to predict the observed values and showed that: i proximity to freshwater body, market gardening, and high levels of rain were associated with high vector density; ii water conveyance, cattle breeding, vegetation index were associated with low vector density. The 28 villages could then be ranked according to the mean vector number as estimated by the random part of the model after adjustment on all covariates. The NPMP model made it possible to describe the distribution of the vector across the study area. The villages were ranked according to the mean vector density after taking into account the most important covariates. This study demonstrates the necessity and possibility of adapting methods of vector counting and sampling to each setting.

  6. Predators indirectly control vector-borne disease: linking predator-prey and host-pathogen models.

    Science.gov (United States)

    Moore, Sean M; Borer, Elizabeth T; Hosseini, Parviez R

    2010-01-06

    Pathogens transmitted by arthropod vectors are common in human populations, agricultural systems and natural communities. Transmission of these vector-borne pathogens depends on the population dynamics of the vector species as well as its interactions with other species within the community. In particular, predation may be sufficient to control pathogen prevalence indirectly via the vector. To examine the indirect effect of predators on vectored-pathogen dynamics, we developed a theoretical model that integrates predator-prey and host-pathogen theory. We used this model to determine whether predation can prevent pathogen persistence or alter the stability of host-pathogen dynamics. We found that, in the absence of predation, pathogen prevalence in the host increases with vector fecundity, whereas predation on the vector causes pathogen prevalence to decline, or even become extinct, with increasing vector fecundity. We also found that predation on a vector may drastically slow the initial spread of a pathogen. The predator can increase host abundance indirectly by reducing or eliminating infection in the host population. These results highlight the importance of studying interactions that, within the greater community, may alter our predictions when studying disease dynamics. From an applied perspective, these results also suggest situations where an introduced predator or the natural enemies of a vector may slow the rate of spread of an emerging vector-borne pathogen.

  7. Distinction between the model of vector dominance and the model of oscillations

    International Nuclear Information System (INIS)

    Beshtoev, Kh.M.

    2010-01-01

    The distinction between the model of vector dominance and the model of oscillations is considered on the example of γ→ρ 0 transitions. It is shown that transition probabilities in these cases differ by a factor of 2. The physical reason of these transition schemes is also discussed

  8. Vector Control Using Series Iron Loss Model of Induction, Motors and Power Loss Minimization

    OpenAIRE

    Kheldoun Aissa; Khodja Djalal Eddine

    2009-01-01

    The iron loss is a source of detuning in vector controlled induction motor drives if the classical rotor vector controller is used for decoupling. In fact, the field orientation will not be satisfied and the output torque will not truck the reference torque mostly used by Loss Model Controllers (LMCs). In addition, this component of loss, among others, may be excessive if the vector controlled induction motor is driving light loads. In this paper, the series iron loss model ...

  9. Prediction of the Cabibbo angle in the vector model for electroweak interactions

    International Nuclear Information System (INIS)

    Reifler, F.; Morris, R.

    1985-01-01

    In a recent paper we presented a vector model for the electroweak interactions which is similar to the Weinberg--Salam model but differs in the following features. (1) In the vector model all fermion wave functions are bispinors or equivalently isotropic Yang--Mills triplets (as opposed to a state vector composed of a spinor and bispinors in the Weinberg--Salam model). Particles are distinguished by their Higgs fields. (2) The vector model predicts that sin 2 theta/sub W/ = 1/4 , where theta/sub W/ is the Weinberg angle. (3) The vector model accounts for conservation of lepton number, electric charge, and baryon number. (4) In the vector model an antiparticle is characterized by opposite lepton number, electric charge, and baryon number; yet both particles and antiparticles propagate forward in time with positive energies. In this paper we extend the vector theory to include interactions between fermions and the gauge bosons mediating the electroweak force. We model the bosons as Yang--Mills fields with their own Higgs fields. We further propose a specific configuration of Higgs fields for the u,d,s, and c quarks. With these features, the model accounts for electroweak transitions of quarks and leptons and predicts that cos theta/sub C/ = 0.9744, where theta/sub C/ is the Cabibbo angle. We further show that the vector model accounts for the intrinsic parity of particles and antiparticles, and parity violations and CPT invariance for electroweak interactions

  10. 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.

  11. 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.

  12. Modelling Chinese Inbound Tourism Arrivals into Christchurch

    OpenAIRE

    Fieger, Peter; Rice, John

    2016-01-01

    New data and modelling approaches are improving the usefulness of internet search data for forecasting inbound tourist arrivals. This short paper provides evidence of the usefulness of Baidu search data in predicting Chinese inbound tourist arrivals into a specific region in New Zealand. It also compares three modelling approaches, finding a Vector Autoregressive approach the most useful.

  13. Effective theory analysis for vector-like quark model

    Science.gov (United States)

    Morozumi, Takuya; Shimizu, Yusuke; Takahashi, Shunya; Umeeda, Hiroyuki

    2018-04-01

    We study a model with a down-type SU(2) singlet vector-like quark (VLQ) as a minimal extension of the standard model (SM). In this model, flavor-changing neutral currents (FCNCs) arise at tree level and the unitarity of the 3× 3 Cabibbo-Kobayashi-Maskawa (CKM) matrix does not hold. In this paper, we constrain the FCNC coupling from b\\rArr s transitions, especially B_s\\rArr μ^+μ^- and \\bar{B}\\rArr X_sγ processes. In order to analyze these processes we derive an effective Lagrangian that is valid below the electroweak symmetry breaking scale. For this purpose, we first integrate out the VLQ field and derive an effective theory by matching Wilson coefficients up to one-loop level. Using the effective theory, we construct the effective Lagrangian for b\\rArr sγ^{(*)}. It includes the effects of the SM quarks and the violation of CKM unitarity. We show the constraints on the magnitude of the FCNC coupling and its phase by taking account of the current experimental data on Δ M_{B_s}, Br[B_s\\rArrμ^+μ^-], Br[\\bar{B}\\rArr X_sγ], and CKM matrix elements, as well as theoretical uncertainties. We find that the constraint from Br[B_s\\rArrμ^+μ^-] is more stringent than that from Br[\\bar{B}\\rArr X_sγ]. We also obtain a bound for the mass of the VLQ and the strength of the Yukawa couplings related to the FCNC coupling of the b\\rArr s transition. Using the CKM elements that satisfy the above constraints, we show how the unitarity is violated on the complex plane.

  14. Entanglement and RG in the O(N) vector model

    International Nuclear Information System (INIS)

    Akers, Chris; Ben-Ami, Omer; Rosenhaus, Vladimir; Smolkin, Michael; Yankielowicz, Shimon

    2016-01-01

    We consider the large N interacting vector O(N) model on a sphere in 4−ϵ Euclidean dimensions. The Gaussian theory in the UV is taken to be either conformally or non-conformally coupled. The endpoint of the RG flow corresponds to a conformally coupled scalar field at the Wilson-Fisher fixed point. We take a spherical entangling surface in de Sitter space and compute the entanglement entropy everywhere along the RG trajectory. In 4 dimensions, a free non-conformal scalar has a universal area term scaling with the logarithm of the UV cutoff. In 4−ϵ dimensions, such a term scales as 1/ϵ. For a non-conformal scalar, a 1/ϵ term is present both at the UV fixed point, and its vicinity. For flow between two conformal fixed points, 1/ϵ terms are absent everywhere. Finally, we make contact with replica trick calculations. The conical singularity gives rise to boundary terms residing on the entangling surface, which are usually discarded. Consistency with our results requires they be kept. We argue that, in fact, this conclusion also follows from the work of Metlitski, Fuertes, and Sachdev, which demonstrated that such boundary terms will be generated through quantum corrections.

  15. Some Models for Epidemics of Vector-Transmitted Diseases

    OpenAIRE

    Brauer, Fred; Castillo-Chavez, Carlos; Mubayi, Anuj; Towers, Sherry

    2016-01-01

    Vector-transmitted diseases such as dengue fever and chikungunya have been spreading rapidly in many parts of the world. The Zika virus has been known since 1947 and invaded South America in 2013. It can be transmitted not only by (mosquito) vectors but also directly through sexual contact. Zika has developed into a serious global health problem because, while most cases are asymptomatic or very light, babies born to Zika - infected mothers may develop microcephaly and other very serious birt...

  16. 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

  17. Applications of the Local Algebras of Vector Fields to the Modelling of Physical Phenomena

    OpenAIRE

    Bayak, Igor V.

    2015-01-01

    In this paper we discuss the local algebras of linear vector fields that can be used in the mathematical modelling of physical space by building the dynamical flows of vector fields on eight-dimensional cylindrical or toroidal manifolds. It is shown that the topological features of the vector fields obey the Dirac equation when moving freely within the surface of a pseudo-sphere in the eight-dimensional pseudo-Euclidean space.

  18. 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

  19. Product Quality Modelling Based on Incremental Support Vector Machine

    International Nuclear Information System (INIS)

    Wang, J; Zhang, W; Qin, B; Shi, W

    2012-01-01

    Incremental Support vector machine (ISVM) is a new learning method developed in recent years based on the foundations of statistical learning theory. It is suitable for the problem of sequentially arriving field data and has been widely used for product quality prediction and production process optimization. However, the traditional ISVM learning does not consider the quality of the incremental data which may contain noise and redundant data; it will affect the learning speed and accuracy to a great extent. In order to improve SVM training speed and accuracy, a modified incremental support vector machine (MISVM) is proposed in this paper. Firstly, the margin vectors are extracted according to the Karush-Kuhn-Tucker (KKT) condition; then the distance from the margin vectors to the final decision hyperplane is calculated to evaluate the importance of margin vectors, where the margin vectors are removed while their distance exceed the specified value; finally, the original SVs and remaining margin vectors are used to update the SVM. The proposed MISVM can not only eliminate the unimportant samples such as noise samples, but also can preserve the important samples. The MISVM has been experimented on two public data and one field data of zinc coating weight in strip hot-dip galvanizing, and the results shows that the proposed method can improve the prediction accuracy and the training speed effectively. Furthermore, it can provide the necessary decision supports and analysis tools for auto control of product quality, and also can extend to other process industries, such as chemical process and manufacturing process.

  20. Vector wind and vector wind shear models 0 to 27 km altitude for Cape Kennedy, Florida, and Vandenberg AFB, California

    Science.gov (United States)

    Smith, O. E.

    1976-01-01

    The techniques are presented to derive several statistical wind models. The techniques are from the properties of the multivariate normal probability function. Assuming that the winds can be considered as bivariate normally distributed, then (1) the wind components and conditional wind components are univariate normally distributed, (2) the wind speed is Rayleigh distributed, (3) the conditional distribution of wind speed given a wind direction is Rayleigh distributed, and (4) the frequency of wind direction can be derived. All of these distributions are derived from the 5-sample parameter of wind for the bivariate normal distribution. By further assuming that the winds at two altitudes are quadravariate normally distributed, then the vector wind shear is bivariate normally distributed and the modulus of the vector wind shear is Rayleigh distributed. The conditional probability of wind component shears given a wind component is normally distributed. Examples of these and other properties of the multivariate normal probability distribution function as applied to Cape Kennedy, Florida, and Vandenberg AFB, California, wind data samples are given. A technique to develop a synthetic vector wind profile model of interest to aerospace vehicle applications is presented.

  1. 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.

  2. 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)

  3. 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.

  4. Spatio-temporal Rich Model Based Video Steganalysis on Cross Sections of Motion Vector Planes.

    Science.gov (United States)

    Tasdemir, Kasim; Kurugollu, Fatih; Sezer, Sakir

    2016-05-11

    A rich model based motion vector steganalysis benefiting from both temporal and spatial correlations of motion vectors is proposed in this work. The proposed steganalysis method has a substantially superior detection accuracy than the previous methods, even the targeted ones. The improvement in detection accuracy lies in several novel approaches introduced in this work. Firstly, it is shown that there is a strong correlation, not only spatially but also temporally, among neighbouring motion vectors for longer distances. Therefore, temporal motion vector dependency along side the spatial dependency is utilized for rigorous motion vector steganalysis. Secondly, unlike the filters previously used, which were heuristically designed against a specific motion vector steganography, a diverse set of many filters which can capture aberrations introduced by various motion vector steganography methods is used. The variety and also the number of the filter kernels are substantially more than that of used in previous ones. Besides that, filters up to fifth order are employed whereas the previous methods use at most second order filters. As a result of these, the proposed system captures various decorrelations in a wide spatio-temporal range and provides a better cover model. The proposed method is tested against the most prominent motion vector steganalysis and steganography methods. To the best knowledge of the authors, the experiments section has the most comprehensive tests in motion vector steganalysis field including five stego and seven steganalysis methods. Test results show that the proposed method yields around 20% detection accuracy increase in low payloads and 5% in higher payloads.

  5. Ultrametric distribution of culture vectors in an extended Axelrod model of cultural dissemination

    Science.gov (United States)

    Stivala, Alex; Robins, Garry; Kashima, Yoshihisa; Kirley, Michael

    2014-05-01

    The Axelrod model of cultural diffusion is an apparently simple model that is capable of complex behaviour. A recent work used a real-world dataset of opinions as initial conditions, demonstrating the effects of the ultrametric distribution of empirical opinion vectors in promoting cultural diversity in the model. Here we quantify the degree of ultrametricity of the initial culture vectors and investigate the effect of varying degrees of ultrametricity on the absorbing state of both a simple and extended model. Unlike the simple model, ultrametricity alone is not sufficient to sustain long-term diversity in the extended Axelrod model; rather, the initial conditions must also have sufficiently large variance in intervector distances. Further, we find that a scheme for evolving synthetic opinion vectors from cultural ``prototypes'' shows the same behaviour as real opinion data in maintaining cultural diversity in the extended model; whereas neutral evolution of cultural vectors does not.

  6. Filtering and smoothing of stae vector for diffuse state space models

    NARCIS (Netherlands)

    Koopman, S.J.; Durbin, J.

    2003-01-01

    This paper presents exact recursions for calculating the mean and mean square error matrix of the state vector given the observations for the multi-variate linear Gaussian state-space model in the case where the initial state vector is (partially) diffuse.

  7. Effects of OCR Errors on Ranking and Feedback Using the Vector Space Model.

    Science.gov (United States)

    Taghva, Kazem; And Others

    1996-01-01

    Reports on the performance of the vector space model in the presence of OCR (optical character recognition) errors in information retrieval. Highlights include precision and recall, a full-text test collection, smart vector representation, impact of weighting parameters, ranking variability, and the effect of relevance feedback. (Author/LRW)

  8. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice

    NARCIS (Netherlands)

    Callot, Laurent A.F.; Kock, Anders B.; Medeiros, Marcelo C.

    2017-01-01

    We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality and provide strong theoretical guarantees on the forecast capability of our procedure. We show that we can forecast

  9. Vector spin modeling for magnetic tunnel junctions with voltage dependent effects

    International Nuclear Information System (INIS)

    Manipatruni, Sasikanth; Nikonov, Dmitri E.; Young, Ian A.

    2014-01-01

    Integration and co-design of CMOS and spin transfer devices requires accurate vector spin conduction modeling of magnetic tunnel junction (MTJ) devices. A physically realistic model of the MTJ should comprehend the spin torque dynamics of nanomagnet interacting with an injected vector spin current and the voltage dependent spin torque. Vector spin modeling allows for calculation of 3 component spin currents and potentials along with the charge currents/potentials in non-collinear magnetic systems. Here, we show 4-component vector spin conduction modeling of magnetic tunnel junction devices coupled with spin transfer torque in the nanomagnet. Nanomagnet dynamics, voltage dependent spin transport, and thermal noise are comprehended in a self-consistent fashion. We show comparison of the model with experimental magnetoresistance (MR) of MTJs and voltage degradation of MR with voltage. Proposed model enables MTJ circuit design that comprehends voltage dependent spin torque effects, switching error rates, spin degradation, and back hopping effects

  10. Malaria in Africa: vector species' niche models and relative risk maps.

    Directory of Open Access Journals (Sweden)

    Alexander Moffett

    2007-09-01

    Full Text Available A central theoretical goal of epidemiology is the construction of spatial models of disease prevalence and risk, including maps for the potential spread of infectious disease. We provide three continent-wide maps representing the relative risk of malaria in Africa based on ecological niche models of vector species and risk analysis at a spatial resolution of 1 arc-minute (9 185 275 cells of approximately 4 sq km. Using a maximum entropy method we construct niche models for 10 malaria vector species based on species occurrence records since 1980, 19 climatic variables, altitude, and land cover data (in 14 classes. For seven vectors (Anopheles coustani, A. funestus, A. melas, A. merus, A. moucheti, A. nili, and A. paludis these are the first published niche models. We predict that Central Africa has poor habitat for both A. arabiensis and A. gambiae, and that A. quadriannulatus and A. arabiensis have restricted habitats in Southern Africa as claimed by field experts in criticism of previous models. The results of the niche models are incorporated into three relative risk models which assume different ecological interactions between vector species. The "additive" model assumes no interaction; the "minimax" model assumes maximum relative risk due to any vector in a cell; and the "competitive exclusion" model assumes the relative risk that arises from the most suitable vector for a cell. All models include variable anthrophilicity of vectors and spatial variation in human population density. Relative risk maps are produced from these models. All models predict that human population density is the critical factor determining malaria risk. Our method of constructing relative risk maps is equally general. We discuss the limits of the relative risk maps reported here, and the additional data that are required for their improvement. The protocol developed here can be used for any other vector-borne disease.

  11. Structural Equation Modeling of Multivariate Time Series

    Science.gov (United States)

    du Toit, Stephen H. C.; Browne, Michael W.

    2007-01-01

    The covariance structure of a vector autoregressive process with moving average residuals (VARMA) is derived. It differs from other available expressions for the covariance function of a stationary VARMA process and is compatible with current structural equation methodology. Structural equation modeling programs, such as LISREL, may therefore be…

  12. Wavelet transform-vector quantization compression of supercomputer ocean model simulation output

    Energy Technology Data Exchange (ETDEWEB)

    Bradley, J N; Brislawn, C M

    1992-11-12

    We describe a new procedure for efficient compression of digital information for storage and transmission purposes. The algorithm involves a discrete wavelet transform subband decomposition of the data set, followed by vector quantization of the wavelet transform coefficients using application-specific vector quantizers. The new vector quantizer design procedure optimizes the assignment of both memory resources and vector dimensions to the transform subbands by minimizing an exponential rate-distortion functional subject to constraints on both overall bit-rate and encoder complexity. The wavelet-vector quantization method, which originates in digital image compression. is applicable to the compression of other multidimensional data sets possessing some degree of smoothness. In this paper we discuss the use of this technique for compressing the output of supercomputer simulations of global climate models. The data presented here comes from Semtner-Chervin global ocean models run at the National Center for Atmospheric Research and at the Los Alamos Advanced Computing Laboratory.

  13. On a Numerical and Graphical Technique for Evaluating some Models Involving Rational Expectations

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give...

  14. On a numerical and graphical technique for evaluating some models involving rational expectations

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    Campbell and Shiller (1987) proposed a graphical technique for the present value model which consists of plotting the spread and theoretical spread as calculated from the cointegrated vector autoregressive model. We extend these techniques to a number of rational expectation models and give...

  15. Formula I(1 and I(2: Race Tracks for Likelihood Maximization Algorithms of I(1 and I(2 Cointegrated VAR Models

    Directory of Open Access Journals (Sweden)

    Jurgen A. Doornik

    2017-11-01

    Full Text Available This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1 and I(2 models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as the ability to find the overall maximum. The next step is to compare their efficiency and reliability across experiments. The aim of the paper is to commence a collective learning project by the profession on the actual properties of algorithms for cointegrated vector autoregressive model estimation, in order to improve their quality and, as a consequence, also the reliability of empirical research.

  16. Ecological niche modelling of Rift Valley fever virus vectors in Baringo, Kenya

    Directory of Open Access Journals (Sweden)

    Alfred O. Ochieng

    2016-11-01

    Full Text Available Background: Rift Valley fever (RVF is a vector-borne zoonotic disease that has an impact on human health and animal productivity. Here, we explore the use of vector presence modelling to predict the distribution of RVF vector species under climate change scenario to demonstrate the potential for geographic spread of Rift Valley fever virus (RVFV. Objectives: To evaluate the effect of climate change on RVF vector distribution in Baringo County, Kenya, with an aim of developing a risk map for spatial prediction of RVF outbreaks. Methodology: The study used data on vector presence and ecological niche modelling (MaxEnt algorithm to predict the effect of climatic change on habitat suitability and the spatial distribution of RVF vectors in Baringo County. Data on species occurrence were obtained from longitudinal sampling of adult mosquitoes and larvae in the study area. We used present (2000 and future (2050 Bioclim climate databases to model the vector distribution. Results: Model results predicted potential suitable areas with high success rates for Culex quinquefasciatus, Culex univitattus, Mansonia africana, and Mansonia uniformis. Under the present climatic conditions, the lowlands were found to be highly suitable for all the species. Future climatic conditions indicate an increase in the spatial distribution of Cx. quinquefasciatus and M. africana. Model performance was statistically significant. Conclusion: Soil types, precipitation in the driest quarter, precipitation seasonality, and isothermality showed the highest predictive potential for the four species.

  17. A vector model for off-axis hysteresis loops using anisotropy field

    International Nuclear Information System (INIS)

    Jamali, Ali; Torre, Edward Della; Cardelli, Ermanno; ElBidweihy, Hatem; Bennett, Lawrence H.

    2016-01-01

    A model for the off-axis vector magnetization of a distribution of uniaxial particles is presented. Recent work by the authors decomposed the magnetization into two components and modeled the total vector magnetization as their vector sum. In this paper, to account for anisotropy, the direction of the reversible magnetization component is specified by the vector sum of the applied field and an effective anisotropy field. The formulation of the new anisotropy field (AF) model is derived and its results are discussed considering (i) oscillation and rotational modes, (ii) lag angle, and (iii) unitary magnetization. The advantages of the AF model are outlined by comparing its results to the results of the classical Stoner–Wohlfarth model.

  18. A vector model for off-axis hysteresis loops using anisotropy field

    Energy Technology Data Exchange (ETDEWEB)

    Jamali, Ali, E-mail: alijamal@gwu.edu [Electrical and Computer Engineering Department, The George Washington University, Washington, D.C. 20052 (United States); Torre, Edward Della [Electrical and Computer Engineering Department, The George Washington University, Washington, D.C. 20052 (United States); Cardelli, Ermanno [Department of Engineering, University of Perugia, Perugia (Italy); ElBidweihy, Hatem [Electrical and Computer Engineering Department, United States Naval Academy, Annapolis, MD 21402 (United States); Bennett, Lawrence H. [Electrical and Computer Engineering Department, The George Washington University, Washington, D.C. 20052 (United States)

    2016-11-15

    A model for the off-axis vector magnetization of a distribution of uniaxial particles is presented. Recent work by the authors decomposed the magnetization into two components and modeled the total vector magnetization as their vector sum. In this paper, to account for anisotropy, the direction of the reversible magnetization component is specified by the vector sum of the applied field and an effective anisotropy field. The formulation of the new anisotropy field (AF) model is derived and its results are discussed considering (i) oscillation and rotational modes, (ii) lag angle, and (iii) unitary magnetization. The advantages of the AF model are outlined by comparing its results to the results of the classical Stoner–Wohlfarth model.

  19. 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 ...

  20. 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...

  1. Vector and axial-vector resonances in composite models of the Higgs boson

    Energy Technology Data Exchange (ETDEWEB)

    Franzosi, Diogo Buarque [II. Physikalisches Institut, Universität Göttingen,Friedrich-Hund-Platz 1, 37077 Göttingen (Germany); Cacciapaglia, Giacomo; Cai, Haiying; Deandrea, Aldo [Univ Lyon, Université Lyon 1, CNRS/IN2P3, IPNL,F-69622, Villeurbanne (France); Frandsen, Mads [CP-Origins & Danish Institute for Advanced Study DIAS, University of Southern Denmark,Campusvej 55, DK-5230 Odense M (Denmark)

    2016-11-11

    We provide a non-linear realisation of composite Higgs models in the context of the SU(4)/Sp(4) symmetry breaking pattern, where the effective Lagrangian of the spin-0 and spin-1 resonances is constructed via the CCWZ prescription using the Hidden Symmetry formalism. We investigate the EWPT constraints by accounting the effects from reduced Higgs couplings and integrating out heavy spin-1 resonances. This theory emerges from an underlying theory of gauge interactions with fermions, thus first principle lattice results predict the massive spectrum in composite Higgs models. This model can be used as a template for the phenomenology of composite Higgs models at the LHC and at future 100 TeV colliders, as well as for other application. In this work, we focus on the formalism for spin-1 resonances and their bounds from di-lepton and di-boson searches at the LHC.

  2. Vector and Axial-vector resonances in composite models of the Higgs boson

    DEFF Research Database (Denmark)

    Franzosi, Diogo Buarque; Cacciapaglia, Giacomo; Cai, Haiying

    2016-01-01

    We provide a non-linear realisation of composite Higgs models in the context of the SU(4)/Sp(4) symmetry breaking pattern, where the effective Lagrangian of the spin-0 and spin-1 resonances is constructed via the CCWZ prescription using the Hidden Symmetry formalism. We investigate the EWPT const...... as a template for the phenomenology of composite Higgs models at the LHC and at future 100 TeV colliders, as well as for other application. In this work, we focus on the formalism for spin-1 resonances and their bounds from di-lepton and di-boson searches at the LHC.......We provide a non-linear realisation of composite Higgs models in the context of the SU(4)/Sp(4) symmetry breaking pattern, where the effective Lagrangian of the spin-0 and spin-1 resonances is constructed via the CCWZ prescription using the Hidden Symmetry formalism. We investigate the EWPT...... constraints by accounting the effects from reduced Higgs couplings and integrating out heavy spin-1 resonances. This theory emerges from an underlying theory of gauge interactions with fermions, thus first principle lattice results predict the massive spectrum in composite Higgs models. This model can be used...

  3. Spherical cap modelling of Orsted magnetic field vectors over southern Africa

    CSIR Research Space (South Africa)

    Kotze, PB

    2001-01-01

    Full Text Available Vector magnetic field observations by the Orsted satellite during geomagnetic quiet conditions around January 1, 2000, have been employed to derive a spherical cap harmonic model (Haines, 1985) over the southern African region between 10 degrees...

  4. Estimating transmitted waves of floating breakwater using support vector regression model

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; Hegde, A.V.; Kumar, V.; Patil, S.G.

    is first mapped onto an m-dimensional feature space using some fixed (nonlinear) mapping, and then a linear model is constructed in this feature space (Ivanciuc Ovidiu 2007). Using mathematical notation, the linear model in the feature space f(x, w... regressive vector machines, Ocean Engineering Journal, Vol – 36, pp 339 – 347, 2009. 3. Ivanciuc Ovidiu, Applications of support vector machines in chemistry, Review in Computational Chemistry, Eds K. B. Lipkouitz and T. R. Cundari, Vol – 23...

  5. Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

    NARCIS (Netherlands)

    Koopman, S.J.; Mallee, M.I.P.; van der Wel, M.

    2010-01-01

    In this article we introduce time-varying parameters in the dynamic Nelson-Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson-Siegel model has been recently reformulated as a dynamic factor model with vector autoregressive

  6. Higher-dimensional generalizations of the Watanabe–Strogatz transform for vector models of synchronization

    Science.gov (United States)

    Lohe, M. A.

    2018-06-01

    We generalize the Watanabe–Strogatz (WS) transform, which acts on the Kuramoto model in d  =  2 dimensions, to a higher-dimensional vector transform which operates on vector oscillator models of synchronization in any dimension , for the case of identical frequency matrices. These models have conserved quantities constructed from the cross ratios of inner products of the vector variables, which are invariant under the vector transform, and have trajectories which lie on the unit sphere S d‑1. Application of the vector transform leads to a partial integration of the equations of motion, leaving independent equations to be solved, for any number of nodes N. We discuss properties of complete synchronization and use the reduced equations to derive a stability condition for completely synchronized trajectories on S d‑1. We further generalize the vector transform to a mapping which acts in and in particular preserves the unit ball , and leaves invariant the cross ratios constructed from inner products of vectors in . This mapping can be used to partially integrate a system of vector oscillators with trajectories in , and for d  =  2 leads to an extension of the Kuramoto system to a system of oscillators with time-dependent amplitudes and trajectories in the unit disk. We find an inequivalent generalization of the Möbius map which also preserves but leaves invariant a different set of cross ratios, this time constructed from the vector norms. This leads to a different extension of the Kuramoto model with trajectories in the complex plane that can be partially integrated by means of fractional linear transformations.

  7. Non-Gaussianity and statistical anisotropy from vector field populated inflationary models

    CERN Document Server

    Dimastrogiovanni, Emanuela; Matarrese, Sabino; Riotto, Antonio

    2010-01-01

    We present a review of vector field models of inflation and, in particular, of the statistical anisotropy and non-Gaussianity predictions of models with SU(2) vector multiplets. Non-Abelian gauge groups introduce a richer amount of predictions compared to the Abelian ones, mostly because of the presence of vector fields self-interactions. Primordial vector fields can violate isotropy leaving their imprint in the comoving curvature fluctuations zeta at late times. We provide the analytic expressions of the correlation functions of zeta up to fourth order and an analysis of their amplitudes and shapes. The statistical anisotropy signatures expected in these models are important and, potentially, the anisotropic contributions to the bispectrum and the trispectrum can overcome the isotropic parts.

  8. Fishery landing forecasting using EMD-based least square support vector machine models

    Science.gov (United States)

    Shabri, Ani

    2015-05-01

    In this paper, the novel hybrid ensemble learning paradigm integrating ensemble empirical mode decomposition (EMD) and least square support machine (LSSVM) is proposed to improve the accuracy of fishery landing forecasting. This hybrid is formulated specifically to address in modeling fishery landing, which has high nonlinear, non-stationary and seasonality time series which can hardly be properly modelled and accurately forecasted by traditional statistical models. In the hybrid model, EMD is used to decompose original data into a finite and often small number of sub-series. The each sub-series is modeled and forecasted by a LSSVM model. Finally the forecast of fishery landing is obtained by aggregating all forecasting results of sub-series. To assess the effectiveness and predictability of EMD-LSSVM, monthly fishery landing record data from East Johor of Peninsular Malaysia, have been used as a case study. The result shows that proposed model yield better forecasts than Autoregressive Integrated Moving Average (ARIMA), LSSVM and EMD-ARIMA models on several criteria..

  9. CP violation for electroweak baryogenesis from mixing of standard model and heavy vector quarks

    International Nuclear Information System (INIS)

    McDonald, J.

    1996-01-01

    It is known that the CP violation in the minimal standard model is insufficient to explain the observed baryon asymmetry of the Universe in the context electroweak baryogenesis. In this paper we consider the possibility that the additional CP violation required could originate in the mixing of the standard model quarks and heavy vector quark pairs. We consider the baryon asymmetry in the context of the spontaneous baryogenesis scenario. It is shown that, in general, the CP-violating phase entering the mass matrix of the standard model and heavy vector quarks must be space dependent in order to produce a baryon asymmetry, suggesting that the additional CP violation must be spontaneous in nature. This is true for the case of the simplest models which mix the standard model and heavy vector quarks. We derive a charge potential term for the model by diagonalizing the quark mass matrix in the presence of the electroweak bubble wall, which turns out to be quite different from the fermionic hypercharge potentials usually considered in spontaneous baryogenesis models, and obtain the rate of baryon number generation within the wall. We find, for the particular example where the standard model quarks mix with weak-isodoublet heavy vector quarks via the expectation value of a gauge singlet scalar, that we can account for the observed baryon asymmetry with conservative estimates for the uncertain parameters of electroweak baryogenesis, provided that the heavy vector quarks are not heavier than a few hundred GeV and that the coupling of the standard model quarks to the heavy vector quarks and gauge singlet scalars is not much smaller than order of 1, corresponding to a mixing angle of the heavy vector quarks and standard model quarks not much smaller than order of 10 -1 . copyright 1996 The American Physical Society

  10. A vectorized Monte Carlo code for modeling photon transport in SPECT

    International Nuclear Information System (INIS)

    Smith, M.F.; Floyd, C.E. Jr.; Jaszczak, R.J.

    1993-01-01

    A vectorized Monte Carlo computer code has been developed for modeling photon transport in single photon emission computed tomography (SPECT). The code models photon transport in a uniform attenuating region and photon detection by a gamma camera. It is adapted from a history-based Monte Carlo code in which photon history data are stored in scalar variables and photon histories are computed sequentially. The vectorized code is written in FORTRAN77 and uses an event-based algorithm in which photon history data are stored in arrays and photon history computations are performed within DO loops. The indices of the DO loops range over the number of photon histories, and these loops may take advantage of the vector processing unit of our Stellar GS1000 computer for pipelined computations. Without the use of the vector processor the event-based code is faster than the history-based code because of numerical optimization performed during conversion to the event-based algorithm. When only the detection of unscattered photons is modeled, the event-based code executes 5.1 times faster with the use of the vector processor than without; when the detection of scattered and unscattered photons is modeled the speed increase is a factor of 2.9. Vectorization is a valuable way to increase the performance of Monte Carlo code for modeling photon transport in SPECT

  11. A n-vector model for charge transport in molecular semiconductors.

    Science.gov (United States)

    Jackson, Nicholas E; Kohlstedt, Kevin L; Chen, Lin X; Ratner, Mark A

    2016-11-28

    We develop a lattice model utilizing coarse-grained molecular sites to study charge transport in molecular semiconducting materials. The model bridges atomistic descriptions and structureless lattice models by mapping molecular structure onto sets of spatial vectors isomorphic with spin vectors in a classical n-vector Heisenberg model. Specifically, this model incorporates molecular topology-dependent orientational and intermolecular coupling preferences, including the direct inclusion of spatially correlated transfer integrals and site energy disorder. This model contains the essential physics required to explicitly simulate the interplay of molecular topology and correlated structural disorder, and their effect on charge transport. As a demonstration of its utility, we apply this model to analyze the effects of long-range orientational correlations, molecular topology, and intermolecular interaction strength on charge motion in bulk molecular semiconductors.

  12. Multifrequency spiral vector model for the brushless doubly-fed induction machine

    DEFF Research Database (Denmark)

    Han, Peng; Cheng, Ming; Zhu, Xinkai

    2017-01-01

    This paper presents a multifrequency spiral vector model for both steady-state and dynamic performance analysis of the brushless doubly-fed induction machine (BDFIM) with a nested-loop rotor. Winding function theory is first employed to give a full picture of the inductance characteristics...... analytically, revealing the underlying relationship between harmonic components of stator-rotor mutual inductances and the airgap magnetic field distribution. Different from existing vector models, which only model the fundamental components of mutual inductances, the proposed vector model takes...... into consideration the low-order space harmonic coupling by incorporating nonsinusoidal inductances into modeling process. A new model order reduction approach is then proposed to transform the nested-loop rotor into an equivalent single-loop one. The effectiveness of the proposed modelling method is verified by 2D...

  13. A Hierarchical Bayes Error Correction Model to Explain Dynamic Effects of Price Changes

    NARCIS (Netherlands)

    D. Fok (Dennis); R. Paap (Richard); C. Horváth (Csilla); Ph.H.B.F. Franses (Philip Hans)

    2005-01-01

    textabstractThe authors put forward a sales response model to explain the differences in immediate and dynamic effects of promotional prices and regular prices on sales. The model consists of a vector autoregression rewritten in error-correction format which allows to disentangle the immediate

  14. On the detection of effective marketing instruments and causality in VAR models

    NARCIS (Netherlands)

    Horváth, C.; Otter, P.W.

    2000-01-01

    Dynamic multivariate models become more and more popular in analyzing the behavior of competive marketing environments. Takada and Bass (1998), Dekimpe, Hanssens and Silva-Rosso (1999), and Dekimpe and Hanssens (1999) recommend to use Vector Autoregressive (VAR) models because they provide

  15. Identification of Civil Engineering Structures using Multivariate ARMAV and RARMAV Models

    DEFF Research Database (Denmark)

    Kirkegaard, Poul Henning; Andersen, P.; Brincker, Rune

    This paper presents how to make system identification of civil engineering structures using multivariate auto-regressive moving-average vector (ARMAV) models. Further, the ARMAV technique is extended to a recursive technique (RARMAV). The ARMAV model is used to identify measured stationary data....... The results show the usefulness of the approaches for identification of civil engineering structures excited by natural excitation...

  16. System Identification of Civil Engineering Structures using State Space and ARMAV Models

    DEFF Research Database (Denmark)

    Andersen, P.; Kirkegaard, Poul Henning; Brincker, Rune

    In this paper the relations between an ambient excited structural system, represented by an innovation state space system, and the Auto-Regressive Moving Average Vector (ARMAV) model are considered. It is shown how to obtain a multivariate estimate of the ARMAV model from output measurements, usi...

  17. Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies

    NARCIS (Netherlands)

    N. Basturk (Nalan); S. Grassi (Stefano); L.F. Hoogerheide (Lennart); H.K. van Dijk (Herman)

    2016-01-01

    markdownabstractA novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive

  18. Oscillatory regime in the multidimensional homogeneous cosmological models induced by a vector field

    International Nuclear Information System (INIS)

    Benini, R; Kirillov, A A; Montani, Giovanni

    2005-01-01

    We show that in multidimensional gravity, vector fields completely determine the structure and properties of singularity. It turns out that in the presence of a vector field the oscillatory regime exists in all spatial dimensions and for all homogeneous models. By analysing the Hamiltonian equations we derive the Poincare return map associated with the Kasner indexes and fix the rules according to which the Kasner vectors rotate. In correspondence to a four-dimensional spacetime, the oscillatory regime here constructed overlaps the usual Belinski-Khalatnikov-Liftshitz one

  19. A Wavelet Support Vector Machine Combination Model for Singapore Tourist Arrival to Malaysia

    Science.gov (United States)

    Rafidah, A.; Shabri, Ani; Nurulhuda, A.; Suhaila, Y.

    2017-08-01

    In this study, wavelet support vector machine model (WSVM) is proposed and applied for monthly data Singapore tourist time series prediction. The WSVM model is combination between wavelet analysis and support vector machine (SVM). In this study, we have two parts, first part we compare between the kernel function and second part we compare between the developed models with single model, SVM. The result showed that kernel function linear better than RBF while WSVM outperform with single model SVM to forecast monthly Singapore tourist arrival to Malaysia.

  20. Evaluation of the impacts of climate change on disease vectors through ecological niche modelling.

    Science.gov (United States)

    Carvalho, B M; Rangel, E F; Vale, M M

    2017-08-01

    Vector-borne diseases are exceptionally sensitive to climate change. Predicting vector occurrence in specific regions is a challenge that disease control programs must meet in order to plan and execute control interventions and climate change adaptation measures. Recently, an increasing number of scientific articles have applied ecological niche modelling (ENM) to study medically important insects and ticks. With a myriad of available methods, it is challenging to interpret their results. Here we review the future projections of disease vectors produced by ENM, and assess their trends and limitations. Tropical regions are currently occupied by many vector species; but future projections indicate poleward expansions of suitable climates for their occurrence and, therefore, entomological surveillance must be continuously done in areas projected to become suitable. The most commonly applied methods were the maximum entropy algorithm, generalized linear models, the genetic algorithm for rule set prediction, and discriminant analysis. Lack of consideration of the full-known current distribution of the target species on models with future projections has led to questionable predictions. We conclude that there is no ideal 'gold standard' method to model vector distributions; researchers are encouraged to test different methods for the same data. Such practice is becoming common in the field of ENM, but still lags behind in studies of disease vectors.

  1. Ghost instabilities of cosmological models with vector fields nonminimally coupled to the curvature

    International Nuclear Information System (INIS)

    Himmetoglu, Burak; Peloso, Marco; Contaldi, Carlo R.

    2009-01-01

    We prove that many cosmological models characterized by vectors nonminimally coupled to the curvature (such as the Turner-Widrow mechanism for the production of magnetic fields during inflation, and models of vector inflation or vector curvaton) contain ghosts. The ghosts are associated with the longitudinal vector polarization present in these models and are found from studying the sign of the eigenvalues of the kinetic matrix for the physical perturbations. Ghosts introduce two main problems: (1) they make the theories ill defined at the quantum level in the high energy/subhorizon regime (and create serious problems for finding a well-behaved UV completion), and (2) they create an instability already at the linearized level. This happens because the eigenvalue corresponding to the ghost crosses zero during the cosmological evolution. At this point the linearized equations for the perturbations become singular (we show that this happens for all the models mentioned above). We explicitly solve the equations in the simplest cases of a vector without a vacuum expectation value in a Friedmann-Robertson-Walker geometry, and of a vector with a vacuum expectation value plus a cosmological constant, and we show that indeed the solutions of the linearized equations diverge when these equations become singular.

  2. Experiments with a Regional Vector-Vorticity Model, and Comparison with Other Models

    Science.gov (United States)

    Konor, C. S.; Dazlich, D. A.; Jung, J.; Randall, D. A.

    2017-12-01

    The Vector-Vorticity Model (VVM) is an anelastic model with a unique dynamical core that predicts the three-dimensional vorticity instead of the three-dimensional momentum. The VVM is used in the CRMs of the Global Quasi-3D Multiscale Modeling Framework, which is discussed by Joon-Hee Jung and collaborators elsewhere in this session. We are updating the physics package of the VVM, replacing it with the physics package of the System for Atmosphere Modeling (SAM). The new physics package includes a double-moment microphysics, Mellor-Yamada turbulence, Monin-Obukov surface fluxes, and the RRTMG radiation parameterization. We briefly describe the VVM and show results from standard test cases, including TWP-ICE. We compare the results with those obtained using the earlier physics. We also show results from experiments on convection aggregation in radiative-convective equilibrium, and compare with those obtained using both SAM and the Regional Atmospheric Modeling System (RAMS).

  3. Baryon axial-vector couplings and SU(3)-symmetry breaking in chiral quark models

    International Nuclear Information System (INIS)

    Horvat, D.; Ilakovac, A.; Tadic, D.

    1986-01-01

    SU(3)-symmetry breaking is studied in the framework of the chiral bag models. Comparisons are also made with the MIT bag model and the harmonic-oscillator quark model. An important clue for the nature of the symmetry breaking comes from the isoscalar axial-vector coupling constant g/sub A//sup S/ which can be indirectly estimated from the Bjorken sum rules for deep-inelastic scattering. The chiral bag model with two radii reasonably well accounts for the empirical values of g/sub A//sup S/ and of the axial-vector coupling constants measured in hyperon semileptonic decays

  4. Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

    NARCIS (Netherlands)

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

    2008-01-01

    textabstractA Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is

  5. MODEL PERMINTAAN UANG DI INDONESIA DENGAN PENDEKATAN VECTOR ERROR CORRECTION MODEL

    Directory of Open Access Journals (Sweden)

    imam mukhlis

    2016-09-01

    Full Text Available This research aims to estimate the demand for money model in Indonesia for 2005.2-2015.12. The variables used in this research are ; demand for money, interest rate, inflation, and exchange rate (IDR/US$. The stationary test with ADF used to test unit root in the data. Cointegration test applied to estimate the long run relationship berween variables. This research employed the Vector Error Correction Model (VECM to estimate the money demand model in Indonesia. The results showed that all the data was stationer at the difference level (1%. There were long run relationship between interest rate, inflation and exchange rate to demand for money in Indonesia. The VECM model could not explaine interaction between explanatory variables to independent variables. In the short run, there were not relationship between interest rate, inflation and exchange rate to demand for money in Indonesia for 2005.2-2015.12

  6. A new class of Preisach-type isotropic vector model of hysteresis

    Energy Technology Data Exchange (ETDEWEB)

    Serpico, C.; D' Aquino, M.; Visone, C.; Davino, D

    2004-01-01

    A new class of scalar hysteresis operators is obtained from the classical Preisach scalar model of hysteresis by introducing a transformation of variables dependent on a suitable function g. The operators of this class are defined by means of a new type of Play operator and are characterized by the property of having the same scalar input-output relationship. These operators are then extended to the isotropic vector case by using the appropriate vector extension of the scalar Play operators. It is shown that the function g, which does not affect the scalar input-output relationship, does affect the vector hysteresis curves. The influence of the function g on vector hysteresis is illustrated by reporting numerically computed rotational hysteresis losses curves.

  7. Models for discrete-time self-similar vector processes with application to network traffic

    Science.gov (United States)

    Lee, Seungsin; Rao, Raghuveer M.; Narasimha, Rajesh

    2003-07-01

    The paper defines self-similarity for vector processes by employing the discrete-time continuous-dilation operation which has successfully been used previously by the authors to define 1-D discrete-time stochastic self-similar processes. To define self-similarity of vector processes, it is required to consider the cross-correlation functions between different 1-D processes as well as the autocorrelation function of each constituent 1-D process in it. System models to synthesize self-similar vector processes are constructed based on the definition. With these systems, it is possible to generate self-similar vector processes from white noise inputs. An important aspect of the proposed models is that they can be used to synthesize various types of self-similar vector processes by choosing proper parameters. Additionally, the paper presents evidence of vector self-similarity in two-channel wireless LAN data and applies the aforementioned systems to simulate the corresponding network traffic traces.

  8. Screw-vector bond graphs for kinetic-static modelling and analysis of mechanisms

    International Nuclear Information System (INIS)

    Bidard, Catherine

    1994-01-01

    This dissertation deals with the kinetic-static modelling and analysis of spatial mechanisms used in robotics systems. A framework is proposed, which embodies a geometrical and a network approach for kinetic-static modelling. For this purpose we use screw theory and bond graphs. A new form of bond graphs is introduced: the screw-vector bond graph, whose power variables are defined to be wrenches and twists expressed as intrinsic screw-vectors. The mechanism is then identified as a network, whose components are kinematic pairs and whose topology is described by a directed graph. A screw-vector Simple Junction Structure represents the topological constraints. Kinematic pairs are represented by one-port elements, defined by two reciprocal screw-vector spaces. Using dual bases of screw-vectors, a generic decomposition of kinematic pair elements is given. The reduction of kinetic-static models of series and parallel kinematic chains is used in order to derive kinetic-static functional models in geometric form. Thereupon, the computational causality assignment is adapted for the graphical analysis of the mobility and the functioning of spatial mechanisms, based on completely or incompletely specified models. (author) [fr

  9. A new vector radiative transfer model as a part of SCIATRAN 3.0 software package.

    Science.gov (United States)

    Rozanov, Alexei; Rozanov, Vladimir; Burrows, John P.

    The SCIATRAN 3.0 package is a result of further development of the SCIATRAN 2.x software family which, similar to previous versions, comprises a radiative transfer model and a retrieval block. A major improvement was achieved in comparison to previous software versions by adding the vector mode to the radiative transfer model. Thus, the well-established Discrete Ordinate solver can now be run in the vector mode to calculate the scattered solar radiation including polarization, i.e., to simulate all four components of the Stockes vector. Similar to the scalar version, the simulations can be performed for any viewing geometry typical for atmospheric observations in the UV-Vis-NIR spectral range (nadir, limb, off-axis, etc.) as well as for any observer position within or outside the Earth's atmosphere. Similar to the precursor version, the new model is freely available for non-commercial use via the web page of the University of Bremen. In this presentation a short description of the software package, especially of the new vector radiative transfer model will be given, including remarks on the availability for the scientific community. Furthermore, comparisons to other vector models will be shown and some example problems will be considered where the polarization of the observed radiation must be accounted for to obtain high quality results.

  10. 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

  11. 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.

  12. Using the gravity model to estimate the spatial spread of vector-borne diseases

    NARCIS (Netherlands)

    Barrios, J.M.; Verstraeten, W.W.; Maes, P.; Aerts, J.; Farifteh, J.; Coppin, P.

    2012-01-01

    The gravity models are commonly used spatial interaction models. They have been widely applied in a large set of domains dealing with interactions amongst spatial entities. The spread of vector-borne diseases is also related to the intensity of interaction between spatial entities, namely, the

  13. A direct derivation of the exact Fisther information matrix of Gaussian vector state space models

    NARCIS (Netherlands)

    Klein, A.A.B.; Neudecker, H.

    2000-01-01

    This paper deals with a direct derivation of Fisher's information matrix of vector state space models for the general case, by which is meant the establishment of the matrix as a whole and not element by element. The method to be used is matrix differentiation, see [4]. We assume the model to be

  14. A Model of Gravity Vector Measurement Noise for Estimating Accelerometer Bias in Gravity Disturbance Compensation

    Science.gov (United States)

    Cao, Juliang; Cai, Shaokun; Wu, Meiping; Lian, Junxiang

    2018-01-01

    Compensation of gravity disturbance can improve the precision of inertial navigation, but the effect of compensation will decrease due to the accelerometer bias, and estimation of the accelerometer bias is a crucial issue in gravity disturbance compensation. This paper first investigates the effect of accelerometer bias on gravity disturbance compensation, and the situation in which the accelerometer bias should be estimated is established. The accelerometer bias is estimated from the gravity vector measurement, and a model of measurement noise in gravity vector measurement is built. Based on this model, accelerometer bias is separated from the gravity vector measurement error by the method of least squares. Horizontal gravity disturbances are calculated through EGM2008 spherical harmonic model to build the simulation scene, and the simulation results indicate that precise estimations of the accelerometer bias can be obtained with the proposed method. PMID:29547552

  15. Large-x dependence of νW2 in the generalized vector-dominance model

    International Nuclear Information System (INIS)

    Argyres, E.N.; Lam, C.S.

    1977-01-01

    It is well known that the usual generalized vector-meson-dominance (GVMD) model gives too large a contribution to νW 2 for large x. Various heuristic modifications, for example making use of the t/sub min/ effect, have been proposed in order to achieve a reduction of this contribution. In this paper we examine within the GVMD context whether such reductions can rigorously be achieved. This is done utilizing a potential as well as a relativistic eikonal model. We find that whereas a reduction equivalent to that of t/sub min/ can be arranged in vector-meson photoproduction, the same is not true for virtual-photon Compton scattering in such diagonal models. The reason for this difference is discussed in detail. Finally we show that the desired reduction can be obtained if nondiagonal vector-meson scattering terms are properly taken into account

  16. A Model of Gravity Vector Measurement Noise for Estimating Accelerometer Bias in Gravity Disturbance Compensation.

    Science.gov (United States)

    Tie, Junbo; Cao, Juliang; Chang, Lubing; Cai, Shaokun; Wu, Meiping; Lian, Junxiang

    2018-03-16

    Compensation of gravity disturbance can improve the precision of inertial navigation, but the effect of compensation will decrease due to the accelerometer bias, and estimation of the accelerometer bias is a crucial issue in gravity disturbance compensation. This paper first investigates the effect of accelerometer bias on gravity disturbance compensation, and the situation in which the accelerometer bias should be estimated is established. The accelerometer bias is estimated from the gravity vector measurement, and a model of measurement noise in gravity vector measurement is built. Based on this model, accelerometer bias is separated from the gravity vector measurement error by the method of least squares. Horizontal gravity disturbances are calculated through EGM2008 spherical harmonic model to build the simulation scene, and the simulation results indicate that precise estimations of the accelerometer bias can be obtained with the proposed method.

  17. Soft-sensing model of temperature for aluminum reduction cell on improved twin support vector regression

    Science.gov (United States)

    Li, Tao

    2018-06-01

    The complexity of aluminum electrolysis process leads the temperature for aluminum reduction cells hard to measure directly. However, temperature is the control center of aluminum production. To solve this problem, combining some aluminum plant's practice data, this paper presents a Soft-sensing model of temperature for aluminum electrolysis process on Improved Twin Support Vector Regression (ITSVR). ITSVR eliminates the slow learning speed of Support Vector Regression (SVR) and the over-fit risk of Twin Support Vector Regression (TSVR) by introducing a regularization term into the objective function of TSVR, which ensures the structural risk minimization principle and lower computational complexity. Finally, the model with some other parameters as auxiliary variable, predicts the temperature by ITSVR. The simulation result shows Soft-sensing model based on ITSVR has short time-consuming and better generalization.

  18. IDENTIFYING BANK LENDING CHANNEL IN INDONESIA: A VECTOR ERROR CORRECTION APPROACH WITH STRUCTURAL BREAK

    Directory of Open Access Journals (Sweden)

    Akhsyim Afandi

    2017-03-01

    Full Text Available There was a question whether monetary policy works through bank lending channelrequired a monetary-induced change in bank loans originates from the supply side. Mostempirical studies that employed vector autoregressive (VAR models failed to fulfill thisrequirement. Aiming to offer a solution to this identification problem, this paper developed afive-variable vector error correction (VEC model of two separate bank credit markets inIndonesia. Departing from previous studies, the model of each market took account of onestructural break endogenously determined by implementing a unit root test. A cointegrationtest that took account of one structural break suggested two cointegrating vectors identifiedas bank lending supply and demand relations. The estimated VEC system for both marketssuggested that bank loans adjusted more strongly in the direction of the supply equation.

  19. Kronecker-ARX models in identifying (2D) spatial-temporal systems

    NARCIS (Netherlands)

    Sinquin, B.; Verhaegen, M.H.G.; Dochain, Denis; Henrion, Didier; Peaucelle, Dimitri

    2017-01-01

    In this paper we address the identification of (2D) spatial-temporal dynamical systems governed by the Vector Auto-Regressive (VAR) form. The coefficient-matrices of the VAR model are parametrized as sums of Kronecker products. When the number of terms in the sum is small compared to the size of

  20. Seven challenges for modelling indirect transmission: Vector-borne diseases, macroparasites and neglected tropical diseases

    Directory of Open Access Journals (Sweden)

    T. Déirdre Hollingsworth

    2015-03-01

    Full Text Available Many of the challenges which face modellers of directly transmitted pathogens also arise when modelling the epidemiology of pathogens with indirect transmission – whether through environmental stages, vectors, intermediate hosts or multiple hosts. In particular, understanding the roles of different hosts, how to measure contact and infection patterns, heterogeneities in contact rates, and the dynamics close to elimination are all relevant challenges, regardless of the mode of transmission. However, there remain a number of challenges that are specific and unique to modelling vector-borne diseases and macroparasites. Moreover, many of the neglected tropical diseases which are currently targeted for control and elimination are vector-borne, macroparasitic, or both, and so this article includes challenges which will assist in accelerating the control of these high-burden diseases. Here, we discuss the challenges of indirect measures of infection in humans, whether through vectors or transmission life stages and in estimating the contribution of different host groups to transmission. We also discuss the issues of “evolution-proof” interventions against vector-borne disease.

  1. Chiral and color-superconducting phase transitions with vector interaction in a simple model

    International Nuclear Information System (INIS)

    Kitazawa, Masakiyo; Koide, Tomoi; Kunihiro, Teiji; Nemoto, Yukio

    2002-01-01

    We investigate effects of the vector interaction on chiral and color superconducting (CSC) phase transitions at finite density and temperature in a simple Nambu-Jona-Lasinio model. It is shown that the repulsive density-density interaction coming from the vector term, which is present in the effective chiral models but has been omitted, enhances the competition between the chiral symmetry breaking (χSB) and CSC phase transition, and thereby makes the thermodynamic potential have a shallow minimum over a wide range of values of the correlated chiral and CSC order parameters. We find that when the vector coupling is increased, the first order transition between the χSB and CSC phases becomes weaker, and the coexisting phase in which both the chiral and color-gauge symmetry are dynamically broken comes to exist over a wider range of the density and temperature. We also show that there can exist two endpoints, which are tricritical points in the chiral limit, along the critical line of the first order transition in some range of values of the vector coupling. Although our analysis is based on a simple model, the nontrivial interplay between the χSB and CSC phases induced by the vector interaction is expected to be a universal phenomenon and might give a clue to understanding results obtained with two-color QCD on the lattice. (author)

  2. Instability of the Ackerman-Carroll-Wise model, and problems with massive vectors during inflation

    International Nuclear Information System (INIS)

    Himmetoglu, Burak; Peloso, Marco; Contaldi, Carlo R.

    2009-01-01

    We prove that the anisotropic inflationary background of the Ackerman-Carroll-Wise model, characterized by a fixed-norm vector field, is unstable. We found the instability by explicitly solving the linearized equations for the most general set of perturbations around this background, and by noticing that the solutions diverge close to horizon crossing. This happens because one perturbation becomes a ghost at that moment. A simplified computation, with only the perturbations of the vector field included, shows the same instability, clarifying the origin of the problem. We then discuss several other models, with a particular emphasis on the case of a nonminimal coupling to the curvature, in which vector fields are used either to support an anisotropic expansion, or to generate cosmological perturbations on an isotropic background. In many cases, the mass squared of the vector needs to be negative; we show that, as a consequence, the longitudinal vector mode is a ghost (a field with negative kinetic term, and negative energy, and not simply a tachyon). We comment on problems that arise at the quantum level. In particular, the presence of a ghost can be a serious difficulty for the UV completion that such models require in the subhorizon regime.

  3. A late time accelerated FRW model with scalar and vector fields via Noether symmetry

    Directory of Open Access Journals (Sweden)

    Babak Vakili

    2014-11-01

    Full Text Available We study the evolution of a three-dimensional minisuperspace cosmological model by the Noether symmetry approach. The phase space variables turn out to correspond to the scale factor of a flat Friedmann–Robertson–Walker (FRW model, a scalar field with potential function V(ϕ with which the gravity part of the action is minimally coupled and a vector field of its kinetic energy is coupled with the scalar field by a coupling function f(ϕ. Then, the Noether symmetry of such a cosmological model is investigated by utilizing the behavior of the corresponding Lagrangian under the infinitesimal generator of the desired symmetry. We explicitly calculate the form of the coupling function between the scalar and the vector fields and also the scalar field potential function for which such symmetry exists. Finally, by means of the corresponding Noether current, we integrate the equations of motion and obtain exact solutions for the scale factor, scalar and vector fields. It is shown that the resulting cosmology is an accelerated expansion universe for which its expansion is due to the presence of the vector field in the early times, while the scalar field is responsible of its late time expansion. Keywords: Noether symmetry, Scalar field cosmology, Vector field cosmology

  4. Seven challenges for modelling indirect transmission: vector-borne diseases, macroparasites and neglected tropical diseases.

    Science.gov (United States)

    Hollingsworth, T Déirdre; Pulliam, Juliet R C; Funk, Sebastian; Truscott, James E; Isham, Valerie; Lloyd, Alun L

    2015-03-01

    Many of the challenges which face modellers of directly transmitted pathogens also arise when modelling the epidemiology of pathogens with indirect transmission--whether through environmental stages, vectors, intermediate hosts or multiple hosts. In particular, understanding the roles of different hosts, how to measure contact and infection patterns, heterogeneities in contact rates, and the dynamics close to elimination are all relevant challenges, regardless of the mode of transmission. However, there remain a number of challenges that are specific and unique to modelling vector-borne diseases and macroparasites. Moreover, many of the neglected tropical diseases which are currently targeted for control and elimination are vector-borne, macroparasitic, or both, and so this article includes challenges which will assist in accelerating the control of these high-burden diseases. Here, we discuss the challenges of indirect measures of infection in humans, whether through vectors or transmission life stages and in estimating the contribution of different host groups to transmission. We also discuss the issues of "evolution-proof" interventions against vector-borne disease. Copyright © 2014 The Authors. Published by Elsevier B.V. All rights reserved.

  5. Model Predictive Engine Air-Ratio Control Using Online Sequential Relevance Vector Machine

    Directory of Open Access Journals (Sweden)

    Hang-cheong Wong

    2012-01-01

    Full Text Available Engine power, brake-specific fuel consumption, and emissions relate closely to air ratio (i.e., lambda among all the engine variables. An accurate and adaptive model for lambda prediction is essential to effective lambda control for long term. This paper utilizes an emerging technique, relevance vector machine (RVM, to build a reliable time-dependent lambda model which can be continually updated whenever a sample is added to, or removed from, the estimated lambda model. The paper also presents a new model predictive control (MPC algorithm for air-ratio regulation based on RVM. This study shows that the accuracy, training, and updating time of the RVM model are superior to the latest modelling methods, such as diagonal recurrent neural network (DRNN and decremental least-squares support vector machine (DLSSVM. Moreover, the control algorithm has been implemented on a real car to test. Experimental results reveal that the control performance of the proposed relevance vector machine model predictive controller (RVMMPC is also superior to DRNNMPC, support vector machine-based MPC, and conventional proportional-integral (PI controller in production cars. Therefore, the proposed RVMMPC is a promising scheme to replace conventional PI controller for engine air-ratio control.

  6. Equivalent magnetic vector potential model for low-frequency magnetic exposure assessment

    Science.gov (United States)

    Diao, Y. L.; Sun, W. N.; He, Y. Q.; Leung, S. W.; Siu, Y. M.

    2017-10-01

    In this paper, a novel source model based on a magnetic vector potential for the assessment of induced electric field strength in a human body exposed to the low-frequency (LF) magnetic field of an electrical appliance is presented. The construction of the vector potential model requires only a single-component magnetic field to be measured close to the appliance under test, hence relieving considerable practical measurement effort—the radial basis functions (RBFs) are adopted for the interpolation of discrete measurements; the magnetic vector potential model can then be directly constructed by summing a set of simple algebraic functions of RBF parameters. The vector potentials are then incorporated into numerical calculations as the equivalent source for evaluations of the induced electric field in the human body model. The accuracy and effectiveness of the proposed model are demonstrated by comparing the induced electric field in a human model to that of the full-wave simulation. This study presents a simple and effective approach for modelling the LF magnetic source. The result of this study could simplify the compliance test procedure for assessing an electrical appliance regarding LF magnetic exposure.

  7. Coupling hydrological modeling and support vector regression to model hydropeaking in alpine catchments.

    Science.gov (United States)

    Chiogna, Gabriele; Marcolini, Giorgia; Liu, Wanying; Pérez Ciria, Teresa; Tuo, Ye

    2018-08-15

    Water management in the alpine region has an important impact on streamflow. In particular, hydropower production is known to cause hydropeaking i.e., sudden fluctuations in river stage caused by the release or storage of water in artificial reservoirs. Modeling hydropeaking with hydrological models, such as the Soil Water Assessment Tool (SWAT), requires knowledge of reservoir management rules. These data are often not available since they are sensitive information belonging to hydropower production companies. In this short communication, we propose to couple the results of a calibrated hydrological model with a machine learning method to reproduce hydropeaking without requiring the knowledge of the actual reservoir management operation. We trained a support vector machine (SVM) with SWAT model outputs, the day of the week and the energy price. We tested the model for the Upper Adige river basin in North-East Italy. A wavelet analysis showed that energy price has a significant influence on river discharge, and a wavelet coherence analysis demonstrated the improved performance of the SVM model in comparison to the SWAT model alone. The SVM model was also able to capture the fluctuations in streamflow caused by hydropeaking when both energy price and river discharge displayed a complex temporal dynamic. Copyright © 2018 Elsevier B.V. All rights reserved.

  8. Modeling and prediction of Turkey's electricity consumption using Support Vector Regression

    International Nuclear Information System (INIS)

    Kavaklioglu, Kadir

    2011-01-01

    Support Vector Regression (SVR) methodology is used to model and predict Turkey's electricity consumption. Among various SVR formalisms, ε-SVR method was used since the training pattern set was relatively small. Electricity consumption is modeled as a function of socio-economic indicators such as population, Gross National Product, imports and exports. In order to facilitate future predictions of electricity consumption, a separate SVR model was created for each of the input variables using their current and past values; and these models were combined to yield consumption prediction values. A grid search for the model parameters was performed to find the best ε-SVR model for each variable based on Root Mean Square Error. Electricity consumption of Turkey is predicted until 2026 using data from 1975 to 2006. The results show that electricity consumption can be modeled using Support Vector Regression and the models can be used to predict future electricity consumption. (author)

  9. Deep inelastic lepton-hadron processes in gauge models with massive vector gluons

    International Nuclear Information System (INIS)

    Morozov, P.T.; Stamenov, D.B.

    1978-01-01

    Considered is a class of strong interaction models in which the interactions between coloured quarks are mediated by massive neutral vector gluons. All the vector gluons acquire masses by the Higgs mechanism. These models are not asymptotically free. The effective gauge coupling constant anti α vanishes asymptotically, and the effective quartic coupling constant anti h tends to a finite asymptotic value. The behaviour of the moments of the deep inelastic lepton-hadron structure functions is analyzed. It is shown that the Bjorken scaling is violated by powers of logarithms

  10. Higher spin currents in the critical O(N) vector model at 1/N2

    International Nuclear Information System (INIS)

    Manashov, A.N.; Strohmaier, M.

    2017-06-01

    We calculate the anomalous dimensions of higher spin singlet currents in the critical O(N) vector model at order 1/N 2 . The results are shown to be in agreement with the four-loop perturbative computation in φ 4 theory in 4-2ε dimensions. It is known that the order 1/N anomalous dimensions of higher-spin currents happen to be the same in the Gross-Neveu and the critical vector model. On the contrary, the order 1/N 2 corrections are different. The results can also be interpreted as a prediction for the two-loop computation in the dual higher-spin gravity.

  11. Epidemic spreading and global stability of an SIS model with an infective vector on complex networks

    Science.gov (United States)

    Kang, Huiyan; Fu, Xinchu

    2015-10-01

    In this paper, we present a new SIS model with delay on scale-free networks. The model is suitable to describe some epidemics which are not only transmitted by a vector but also spread between individuals by direct contacts. In view of the biological relevance and real spreading process, we introduce a delay to denote average incubation period of disease in a vector. By mathematical analysis, we obtain the epidemic threshold and prove the global stability of equilibria. The simulation shows the delay will effect the epidemic spreading. Finally, we investigate and compare two major immunization strategies, uniform immunization and targeted immunization.

  12. Massive mu pair production in a vector field theory model

    CERN Document Server

    Halliday, I G

    1976-01-01

    Massive electrodynamics is treated as a model for the production of massive mu pairs in high-energy hadronic collisions. The dominant diagrams in perturbation theory are identified and analyzed. These graphs have an eikonal structure which leads to enormous cancellations in the two-particle inclusive cross section but not in the n-particle production cross sections. Under the assumption that these cancellations are complete, a Drell-Yan structure appears in the inclusive cross section but the particles accompanying the mu pairs have a very different structure compared to the parton model. The pionization region is no longer empty of particles as in single parton models. (10 refs).

  13. Vector model for polarized second-harmonic generation microscopy under high numerical aperture

    International Nuclear Information System (INIS)

    Wang, Xiang-Hui; Chang, Sheng-Jiang; Lin, Lie; Wang, Lin-Rui; Huo, Bing-Zhong; Hao, Shu-Jian

    2010-01-01

    Based on the vector diffraction theory and the generalized Jones matrix formalism, a vector model for polarized second-harmonic generation (SHG) microscopy is developed, which includes the roles of the axial component P z , the weight factor and the cross-effect between the lateral components. The numerical results show that as the relative magnitude of P z increases, the polarization response of the second-harmonic signal will vary from linear polarization to elliptical polarization and the polarization orientation of the second-harmonic signal is different from that under the paraxial approximation. In addition, it is interesting that the polarization response of the detected second-harmonic signal can change with the value of the collimator lens NA. Therefore, it is more advantageous to adopt the vector model to investigate the property of polarized SHG microscopy for a variety of cases

  14. LINEAR KERNEL SUPPORT VECTOR MACHINES FOR MODELING PORE-WATER PRESSURE RESPONSES

    Directory of Open Access Journals (Sweden)

    KHAMARUZAMAN W. YUSOF

    2017-08-01

    Full Text Available Pore-water pressure responses are vital in many aspects of slope management, design and monitoring. Its measurement however, is difficult, expensive and time consuming. Studies on its predictions are lacking. Support vector machines with linear kernel was used here to predict the responses of pore-water pressure to rainfall. Pore-water pressure response data was collected from slope instrumentation program. Support vector machine meta-parameter calibration and model development was carried out using grid search and k-fold cross validation. The mean square error for the model on scaled test data is 0.0015 and the coefficient of determination is 0.9321. Although pore-water pressure response to rainfall is a complex nonlinear process, the use of linear kernel support vector machine can be employed where high accuracy can be sacrificed for computational ease and time.

  15. Modeling the spread of vector-borne diseases on bipartite networks.

    Directory of Open Access Journals (Sweden)

    Donal Bisanzio

    Full Text Available BACKGROUND: Vector-borne diseases for which transmission occurs exclusively between vectors and hosts can be modeled as spreading on a bipartite network. METHODOLOGY/PRINCIPAL FINDINGS: In such models the spreading of the disease strongly depends on the degree distribution of the two classes of nodes. It is sufficient for one of the classes to have a scale-free degree distribution with a slow enough decay for the network to have asymptotically vanishing epidemic threshold. Data on the distribution of Ixodes ricinus ticks on mice and lizards from two independent studies are well described by a scale-free distribution compatible with an asymptotically vanishing epidemic threshold. The commonly used negative binomial, instead, cannot describe the right tail of the empirical distribution. CONCLUSIONS/SIGNIFICANCE: The extreme aggregation of vectors on hosts, described by the power-law decay of the degree distribution, makes the epidemic threshold decrease with the size of the network and vanish asymptotically.

  16. A successive order of scattering model for solving vector radiative transfer in the atmosphere

    International Nuclear Information System (INIS)

    Min Qilong; Duan Minzheng

    2004-01-01

    A full vector radiative transfer model for vertically inhomogeneous plane-parallel media has been developed by using the successive order of scattering approach. In this model, a fast analytical expansion of Fourier decomposition is implemented and an exponent-linear assumption is used for vertical integration. An analytic angular interpolation method of post-processing source function is also implemented to accurately interpolate the Stokes vector at arbitrary angles for a given solution. It has been tested against the benchmarks for the case of randomly orientated oblate spheroids, illustrating a good agreement for each stokes vector (within 0.01%). Sensitivity tests have been conducted to illustrate the accuracy of vertical integration and angle interpolation approaches. The contribution of each scattering order for different optical depths and single scattering albedos are also analyzed

  17. An artificial vector model for generating abnormal electrocardiographic rhythms

    International Nuclear Information System (INIS)

    Clifford, Gari D; Nemati, Shamim; Sameni, Reza

    2010-01-01

    We present generalizations of our previously published artificial models for generating multi-channel ECG to provide simulations of abnormal cardiac rhythms. Using a three-dimensional vectorcardiogram (VCG) formulation, we generate the normal cardiac dipole for a patient using a sum of Gaussian kernels, fitted to real VCG recordings. Abnormal beats are specified either as perturbations to the normal dipole or as new dipole trajectories. Switching between normal and abnormal beat types is achieved using a first-order Markov chain. Probability transitions can be learned from real data or modeled by coupling to heart rate and sympathovagal balance. Natural morphology changes from beat-to-beat are incorporated by varying the angular frequency of the dipole as a function of the inter-beat (RR) interval. The RR interval time series is generated using our previously described model whereby time- and frequency-domain heart rate (HR) and heart rate variability characteristics can be specified. QT-HR hysteresis is simulated by coupling the Gaussian kernels associated with the T-wave in the model with a nonlinear factor related to the local HR (determined from the last n RR intervals). Morphology changes due to respiration are simulated by introducing a rotation matrix couple to the respiratory frequency. We demonstrate an example of the use of this model by simulating HR-dependent T-wave alternans (TWA) with and without phase-switching due to ectopy. Application of our model also reveals previously unreported effects of common TWA estimation methods

  18. Modeling Earth Albedo Currents on Sun Sensors for Improved Vector Observations

    DEFF Research Database (Denmark)

    Bhanderi, Dan

    2006-01-01

    Earth albedo influences vector measurements of the solar line of sight vector, due to the induced current on in the photo voltaics of Sun sensors. Although advanced digital Sun sensors exist, these are typically expensive and may not be suited for satellites in the nano or pico-class. Previously...... an Earth albedo model, based on reflectivity data from NASA's Total Ozone Mapping Spectrometer project, has been published. In this paper the proposed model is presented, and the model is sought validated by comparing simulated data with telemetry from the Danish Ørsted satellite. A novel method...... for modeling Sun sensor output by incorporating the Earth albedo model is presented. This model utilizes the directional information of in the Earth albedo model, which is achieved by Earth surface partitioning. This allows accurate simulation of the Sun sensor output and the results are consistent with Ørsted...

  19. 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.

  20. A survey of basic reproductive ratios in vector-borne disease transmission modeling

    Science.gov (United States)

    Soewono, E.; Aldila, D.

    2015-03-01

    Vector-borne diseases are commonly known in tropical and subtropical countries. These diseases have contributed to more than 10% of world infectious disease cases. Among the vectors responsible for transmitting the diseases are mosquitoes, ticks, fleas, flies, bugs and worms. Several of the diseases are known to contribute to the increasing threat to human health such as malaria, dengue, filariasis, chikungunya, west nile fever, yellow fever, encephalistis, and anthrax. It is necessary to understand the real process of infection, factors which contribute to the complication of the transmission in order to come up with a good and sound mathematical model. Although it is not easy to simulate the real transmission process of the infection, we could say that almost all models have been developed from the already long known Host-Vector model. It constitutes the main transmission processes i.e. birth, death, infection and recovery. From this simple model, the basic concepts of Disease Free and Endemic Equilibria and Basic Reproductive Ratio can be well explained and understood. Theoretical, modeling, control and treatment aspects of disease transmission problems have then been developed for various related diseases. General construction as well as specific forms of basic reproductive ratios for vector-borne diseases are discusses here.

  1. Winner of the vector-model look-alike contest

    International Nuclear Information System (INIS)

    Georgi, H.

    1977-01-01

    A class of models is discussed as a possible resolution of the problem of how to incorporate the V + A coupling of the b quark to the u quark in a unified model of weak and electromagnetic interactions, since the b quark was previously discussed as a possible explanation of the high-y anomaly. The experiments considered are of three kinds: neutral-current neutrino scattering on electron and nuclear targets, high energy charged-current neutrino scattering, and the search for parity-violating interactions between electrons and nuclei. 45 references

  2. New gorilla adenovirus vaccine vectors induce potent immune responses and protection in a mouse malaria model.

    Science.gov (United States)

    Limbach, Keith; Stefaniak, Maureen; Chen, Ping; Patterson, Noelle B; Liao, Grant; Weng, Shaojie; Krepkiy, Svetlana; Ekberg, Greg; Torano, Holly; Ettyreddy, Damodar; Gowda, Kalpana; Sonawane, Sharvari; Belmonte, Arnel; Abot, Esteban; Sedegah, Martha; Hollingdale, Michael R; Moormann, Ann; Vulule, John; Villasante, Eileen; Richie, Thomas L; Brough, Douglas E; Bruder, Joseph T

    2017-07-03

    A DNA-human Ad5 (HuAd5) prime-boost malaria vaccine has been shown to protect volunteers against a controlled human malaria infection. The potency of this vaccine, however, appeared to be affected by the presence of pre-existing immunity against the HuAd5 vector. Since HuAd5 seroprevalence is very high in malaria-endemic areas of the world, HuAd5 may not be the most appropriate malaria vaccine vector. This report describes the evaluation of the seroprevalence, immunogenicity and efficacy of three newly identified gorilla adenoviruses, GC44, GC45 and GC46, as potential malaria vaccine vectors. The seroprevalence of GC44, GC45 and GC46 is very low, and the three vectors are not efficiently neutralized by human sera from Kenya and Ghana, two countries where malaria is endemic. In mice, a single administration of GC44, GC45 and GC46 vectors expressing a murine malaria gene, Plasmodium yoelii circumsporozoite protein (PyCSP), induced robust PyCSP-specific T cell and antibody responses that were at least as high as a comparable HuAd5-PyCSP vector. Efficacy studies in a murine malaria model indicated that a prime-boost regimen with DNA-PyCSP and GC-PyCSP vectors can protect mice against a malaria challenge. Moreover, these studies indicated that a DNA-GC46-PyCSP vaccine regimen was significantly more efficacious than a DNA-HuAd5-PyCSP regimen. These data suggest that these gorilla-based adenovectors have key performance characteristics for an effective malaria vaccine. The superior performance of GC46 over HuAd5 highlights its potential for clinical development.

  3. 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

  4. Monte Carlo simulation of Ising models by multispin coding on a vector computer

    Science.gov (United States)

    Wansleben, Stephan; Zabolitzky, John G.; Kalle, Claus

    1984-11-01

    Rebbi's efficient multispin coding algorithm for Ising models is combined with the use of the vector computer CDC Cyber 205. A speed of 21.2 million updates per second is reached. This is comparable to that obtained by special- purpose computers.

  5. Performance modeling and optimization of sparse matrix-vector multiplication on NVIDIA CUDA platform

    NARCIS (Netherlands)

    Xu, S.; Xue, W.; Lin, H.X.

    2011-01-01

    In this article, we discuss the performance modeling and optimization of Sparse Matrix-Vector Multiplication (SpMV) on NVIDIA GPUs using CUDA. SpMV has a very low computation-data ratio and its performance is mainly bound by the memory bandwidth. We propose optimization of SpMV based on ELLPACK from

  6. Theoretical modeling of mechanical homeostasis of a mammalian cell under gravity-directed vector.

    Science.gov (United States)

    Zhou, Lüwen; Zhang, Chen; Zhang, Fan; Lü, Shouqin; Sun, Shujin; Lü, Dongyuan; Long, Mian

    2018-02-01

    Translocation of dense nucleus along gravity vector initiates mechanical remodeling of a eukaryotic cell. In our previous experiments, we quantified the impact of gravity vector on cell remodeling by placing an MC3T3-E1 cell onto upward (U)-, downward (D)-, or edge-on (E)- orientated substrate. Our experimental data demonstrate that orientation dependence of nucleus longitudinal translocation is positively correlated with cytoskeletal (CSK) remodeling of their expressions and structures and also is associated with rearrangement of focal adhesion complex (FAC). However, the underlying mechanism how CSK network and FACs are reorganized in a mammalian cell remains unclear. In this paper, we developed a theoretical biomechanical model to integrate the mechanosensing of nucleus translocation with CSK remodeling and FAC reorganization induced by a gravity vector. The cell was simplified as a nucleated tensegrity structure in the model. The cell and CSK filaments were considered to be symmetrical. All elements of CSK filaments and cytomembrane that support the nucleus were simplified as springs. FACs were simplified as an adhesion cluster of parallel bonds with shared force. Our model proposed that gravity vector-directed translocation of the cell nucleus is mechanically balanced by CSK remodeling and FAC reorganization induced by a gravitational force. Under gravity, dense nucleus tends to translocate and exert additional compressive or stretching force on the cytoskeleton. Finally, changes of the tension force acting on talin by microfilament alter the size of FACs. Results from our model are in qualitative agreement with those from experiments.

  7. Flavor-singlet axial-vector current in quark model within background field

    International Nuclear Information System (INIS)

    Chen Kun; Yan Mulin

    1993-01-01

    The flavor-singlet axial-vector current is calculated in a quark model within pseudoscalar background-field through the Seeley-DeWitt coefficients. This current is responsible for the quark spin content of proton and is of O(1) in the large-N e expansion

  8. Using the Gravity Model to Estimate the Spatial Spread of Vector-Borne Diseases

    Directory of Open Access Journals (Sweden)

    Jean-Marie Aerts

    2012-11-01

    Full Text Available The gravity models are commonly used spatial interaction models. They have been widely applied in a large set of domains dealing with interactions amongst spatial entities. The spread of vector-borne diseases is also related to the intensity of interaction between spatial entities, namely, the physical habitat of pathogens’ vectors and/or hosts, and urban areas, thus humans. This study implements the concept behind gravity models in the spatial spread of two vector-borne diseases, nephropathia epidemica and Lyme borreliosis, based on current knowledge on the transmission mechanism of these diseases. Two sources of information on vegetated systems were tested: the CORINE land cover map and MODIS NDVI. The size of vegetated areas near urban centers and a local indicator of occupation-related exposure were found significant predictors of disease risk. Both the land cover map and the space-borne dataset were suited yet not equivalent input sources to locate and measure vegetated areas of importance for disease spread. The overall results point at the compatibility of the gravity model concept and the spatial spread of vector-borne diseases.

  9. A final size relation for epidemic models of vector-transmitted diseases

    OpenAIRE

    Fred Brauer

    2017-01-01

    We formulate and analyze an age of infection model for epidemics of diseases transmitted by a vector, including the possibility of direct transmission as well. We show how to determine a basic reproduction number. While there is no explicit final size relation as for diseases transmitted directly, we are able to obtain estimates for the final size of the epidemic.

  10. A comparison study of support vector machines and hidden Markov models in machinery condition monitoring

    International Nuclear Information System (INIS)

    Miao, Qiang; Huang, Hong Zhong; Fan, Xianfeng

    2007-01-01

    Condition classification is an important step in machinery fault detection, which is a problem of pattern recognition. Currently, there are a lot of techniques in this area and the purpose of this paper is to investigate two popular recognition techniques, namely hidden Markov model and support vector machine. At the beginning, we briefly introduced the procedure of feature extraction and the theoretical background of this paper. The comparison experiment was conducted for gearbox fault detection and the analysis results from this work showed that support vector machine has better classification performance in this area

  11. Lentiviral vectors in neurodegenrative disorders - Aspects in gene therapy and disease models

    DEFF Research Database (Denmark)

    Nielsen, Troels Tolstrup

    2009-01-01

    Neurodegenerative disorders remain a complex group of diseases (i.e. Huntington's disease, HD) that are characterized by progressive loss of neurons resulting in movement disorders, cognitive decline, dementia and death. There is no cure for these diseases and treatment relies on symptomatic relief...... expression and escape transgene silencing during differentiation of neural stem cell lines. However, insulator vectors appeared to be impaired in functionality, which has importance for the future use of insulators in viral vectors. Finally, cell based models of HD was constructed to elucidate...

  12. Episomal Nonviral Gene Therapy Vectors Slow Progression of Atherosclerosis in a Model of Familial Hypercholesterolemia

    Directory of Open Access Journals (Sweden)

    Alastair G Kerr

    2016-01-01

    Full Text Available Familial hypercholesterolemia (FH is a life-threatening genetic disorder characterized by elevated levels of plasma low-density lipoprotein cholesterol (LDL-cholesterol. Current attempts at gene therapy for FH have been limited by the use of strong heterologous promoters which lack genomic DNA elements essential for regulated expression. Here, we have combined a minigene vector expressing the human LDLR cDNA from a 10 kb native human LDLR locus genomic DNA promoter element, with an efficient miRNA targeting 3-hydroxy-3-methylgutaryl-coenzyme A reductase (Hmgcr, to further enhance LDLR expression. We show that the combined vector suppresses endogenous Hmgcr transcripts in vivo, leading to an increase in LDLR transgene expression. In a diet-induced Ldlr-/- mouse model of FH, we show that administration of the combined vector reduces atherogenic plasma lipids by ≃32%. Finally, we demonstrate that our episomal nonviral vectors are able to reduce atherosclerosis by ≃40% after 12 weeks in vivo. Taken together, the vector system we describe exploits the normal cellular regulation of the LDLR to provide prolonged expression of LDLR through targeted knockdown of Hmgcr. This novel gene therapy system could act alone, or in synergy with current therapies that modulate intracellular cholesterol, such as statins, greatly enhancing its therapeutic application for FH.

  13. Vector-model-supported optimization in volumetric-modulated arc stereotactic radiotherapy planning for brain metastasis

    International Nuclear Information System (INIS)

    Liu, Eva Sau Fan; Wu, Vincent Wing Cheung; Harris, Benjamin; Foote, Matthew; Lehman, Margot; Chan, Lawrence Wing Chi

    2017-01-01

    Long planning time in volumetric-modulated arc stereotactic radiotherapy (VMA-SRT) cases can limit its clinical efficiency and use. A vector model could retrieve previously successful radiotherapy cases that share various common anatomic features with the current case. The prsent study aimed to develop a vector model that could reduce planning time by applying the optimization parameters from those retrieved reference cases. Thirty-six VMA-SRT cases of brain metastasis (gender, male [n = 23], female [n = 13]; age range, 32 to 81 years old) were collected and used as a reference database. Another 10 VMA-SRT cases were planned with both conventional optimization and vector-model-supported optimization, following the oncologists' clinical dose prescriptions. Planning time and plan quality measures were compared using the 2-sided paired Wilcoxon signed rank test with a significance level of 0.05, with positive false discovery rate (pFDR) of less than 0.05. With vector-model-supported optimization, there was a significant reduction in the median planning time, a 40% reduction from 3.7 to 2.2 hours (p = 0.002, pFDR = 0.032), and for the number of iterations, a 30% reduction from 8.5 to 6.0 (p = 0.006, pFDR = 0.047). The quality of plans from both approaches was comparable. From these preliminary results, vector-model-supported optimization can expedite the optimization of VMA-SRT for brain metastasis while maintaining plan quality.

  14. Vector-model-supported optimization in volumetric-modulated arc stereotactic radiotherapy planning for brain metastasis

    Energy Technology Data Exchange (ETDEWEB)

    Liu, Eva Sau Fan [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong); Wu, Vincent Wing Cheung [Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong); Harris, Benjamin [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); Foote, Matthew; Lehman, Margot [Department of Radiation Oncology, Princess Alexandra Hospital, Brisbane (Australia); School of Medicine, University of Queensland (Australia); Chan, Lawrence Wing Chi, E-mail: wing.chi.chan@polyu.edu.hk [Department of Health Technology and Informatics, The Hong Kong Polytechnic University (Hong Kong)

    2017-07-01

    Long planning time in volumetric-modulated arc stereotactic radiotherapy (VMA-SRT) cases can limit its clinical efficiency and use. A vector model could retrieve previously successful radiotherapy cases that share various common anatomic features with the current case. The prsent study aimed to develop a vector model that could reduce planning time by applying the optimization parameters from those retrieved reference cases. Thirty-six VMA-SRT cases of brain metastasis (gender, male [n = 23], female [n = 13]; age range, 32 to 81 years old) were collected and used as a reference database. Another 10 VMA-SRT cases were planned with both conventional optimization and vector-model-supported optimization, following the oncologists' clinical dose prescriptions. Planning time and plan quality measures were compared using the 2-sided paired Wilcoxon signed rank test with a significance level of 0.05, with positive false discovery rate (pFDR) of less than 0.05. With vector-model-supported optimization, there was a significant reduction in the median planning time, a 40% reduction from 3.7 to 2.2 hours (p = 0.002, pFDR = 0.032), and for the number of iterations, a 30% reduction from 8.5 to 6.0 (p = 0.006, pFDR = 0.047). The quality of plans from both approaches was comparable. From these preliminary results, vector-model-supported optimization can expedite the optimization of VMA-SRT for brain metastasis while maintaining plan quality.

  15. A passive and active microwave-vector radiative transfer (PAM-VRT) model

    International Nuclear Information System (INIS)

    Yang, Jun; Min, Qilong

    2015-01-01

    A passive and active microwave vector radiative transfer (PAM-VRT) package has been developed. This fast and accurate forward microwave model, with flexible and versatile input and output components, self-consistently and realistically simulates measurements/radiation of passive and active microwave sensors. The core PAM-VRT, microwave radiative transfer model, consists of five modules: gas absorption (two line-by-line databases and four fast models); hydrometeor property of water droplets and ice (spherical and nonspherical) particles; surface emissivity (from Community Radiative Transfer Model (CRTM)); vector radiative transfer of successive order of scattering (VSOS); and passive and active microwave simulation. The PAM-VRT package has been validated against other existing models, demonstrating good accuracy. The PAM-VRT not only can be used to simulate or assimilate measurements of existing microwave sensors, but also can be used to simulate observation results at some new microwave sensors. - Highlights: • A novel microwave vector radiative transfer model is developed. • It can simulate passive and active microwave radiative transfer simultaneously. • It can be applied to simulate measurements for different types of viewing geometry. • The accuracy of this model has been validated against other existing models

  16. MODELING OF DYNAMIC SYSTEMS WITH MODULATION BY MEANS OF KRONECKER VECTOR-MATRIX REPRESENTATION

    Directory of Open Access Journals (Sweden)

    A. S. Vasilyev

    2015-09-01

    Full Text Available The paper deals with modeling of dynamic systems with modulation by the possibilities of state-space method. This method, being the basis of modern control theory, is based on the possibilities of vector-matrix formalism of linear algebra and helps to solve various problems of technical control of continuous and discrete nature invariant with respect to the dimension of their “input-output” objects. Unfortunately, it turned its back on the wide group of control systems, which hardware environment modulates signals. The marked system deficiency is partially offset by this paper, which proposes Kronecker vector-matrix representations for purposes of system representation of processes with signal modulation. The main result is vector-matrix representation of processes with modulation with no formal difference from continuous systems. It has been found that abilities of these representations could be effectively used in research of systems with modulation. Obtained model representations of processes with modulation are best adapted to the state-space method. These approaches for counting eigenvalues of Kronecker matrix summaries, that are matrix basis of model representations of processes described by Kronecker vector products, give the possibility to use modal direction in research of dynamics for systems with modulation. It is shown that the use of controllability for eigenvalues of general matrixes applied to Kronecker structures enabled to divide successfully eigenvalue spectrum into directed and not directed components. Obtained findings including design problems for models of dynamic processes with modulation based on the features of Kronecker vector and matrix structures, invariant with respect to the dimension of input-output relations, are applicable in the development of alternate current servo drives.

  17. A Novel Medical Freehand Sketch 3D Model Retrieval Method by Dimensionality Reduction and Feature Vector Transformation

    Directory of Open Access Journals (Sweden)

    Zhang Jing

    2016-01-01

    Full Text Available To assist physicians to quickly find the required 3D model from the mass medical model, we propose a novel retrieval method, called DRFVT, which combines the characteristics of dimensionality reduction (DR and feature vector transformation (FVT method. The DR method reduces the dimensionality of feature vector; only the top M low frequency Discrete Fourier Transform coefficients are retained. The FVT method does the transformation of the original feature vector and generates a new feature vector to solve the problem of noise sensitivity. The experiment results demonstrate that the DRFVT method achieves more effective and efficient retrieval results than other proposed methods.

  18. 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.

  19. Antiferromagnetic Ising model decorated with D-vector spins: Transversal and longitudinal local fields effects

    International Nuclear Information System (INIS)

    Vasconcelos Dos Santos, R.J.; Coutinho, S.

    1995-01-01

    The effect of a local field acting on decorating classical D-vector bond spins of an antiferromagnetic Ising model on the square lattice is studied for both the annealed isotropic and the axial decorated cases. In both models the effect on the phase diagrams of the transversal and the longitudinal components of the local field acting on the decorating spins are fully analyzed and discussed

  20. Inter-model comparison of the landscape determinants of vector-borne disease: implications for epidemiological and entomological risk modeling.

    Science.gov (United States)

    Lorenz, Alyson; Dhingra, Radhika; Chang, Howard H; Bisanzio, Donal; Liu, Yang; Remais, Justin V

    2014-01-01

    Extrapolating landscape regression models for use in assessing vector-borne disease risk and other applications requires thoughtful evaluation of fundamental model choice issues. To examine implications of such choices, an analysis was conducted to explore the extent to which disparate landscape models agree in their epidemiological and entomological risk predictions when extrapolated to new regions. Agreement between six literature-drawn landscape models was examined by comparing predicted county-level distributions of either Lyme disease or Ixodes scapularis vector using Spearman ranked correlation. AUC analyses and multinomial logistic regression were used to assess the ability of these extrapolated landscape models to predict observed national data. Three models based on measures of vegetation, habitat patch characteristics, and herbaceous landcover emerged as effective predictors of observed disease and vector distribution. An ensemble model containing these three models improved precision and predictive ability over individual models. A priori assessment of qualitative model characteristics effectively identified models that subsequently emerged as better predictors in quantitative analysis. Both a methodology for quantitative model comparison and a checklist for qualitative assessment of candidate models for extrapolation are provided; both tools aim to improve collaboration between those producing models and those interested in applying them to new areas and research questions.

  1. Inter-model comparison of the landscape determinants of vector-borne disease: implications for epidemiological and entomological risk modeling.

    Directory of Open Access Journals (Sweden)

    Alyson Lorenz

    Full Text Available Extrapolating landscape regression models for use in assessing vector-borne disease risk and other applications requires thoughtful evaluation of fundamental model choice issues. To examine implications of such choices, an analysis was conducted to explore the extent to which disparate landscape models agree in their epidemiological and entomological risk predictions when extrapolated to new regions. Agreement between six literature-drawn landscape models was examined by comparing predicted county-level distributions of either Lyme disease or Ixodes scapularis vector using Spearman ranked correlation. AUC analyses and multinomial logistic regression were used to assess the ability of these extrapolated landscape models to predict observed national data. Three models based on measures of vegetation, habitat patch characteristics, and herbaceous landcover emerged as effective predictors of observed disease and vector distribution. An ensemble model containing these three models improved precision and predictive ability over individual models. A priori assessment of qualitative model characteristics effectively identified models that subsequently emerged as better predictors in quantitative analysis. Both a methodology for quantitative model comparison and a checklist for qualitative assessment of candidate models for extrapolation are provided; both tools aim to improve collaboration between those producing models and those interested in applying them to new areas and research questions.

  2. The impact of global environmental change on vector-borne disease risk: a modelling study

    Directory of Open Access Journals (Sweden)

    Rachel Lowe, PhD

    2018-05-01

    Full Text Available Background: Vector-borne diseases, such as dengue virus, Zika virus, and malaria, are highly sensitive to environmental changes, including variations in climate and land-surface characteristics. The emergence and spread of vector-borne diseases is also exacerbated by anthropogenic activities, such as deforestation, mining, urbanisation, and human mobility, which alter the natural habitats of vectors and increase vector–host interactions. Innovative epidemiological modelling tools can help to understand how environmental conditions interact with socioeconomic risk factors to predict the risk of disease transmission. In recent years, climate-health modelling has benefited from computational advances in fitting complex mathematical models; increasing availability of environmental, socioeconomic, and disease surveillance datasets; and improved ability to understand and model the climate system. Climate forecasts at seasonal time scales tend to improve in quality during El Niño-Southern Oscillation events in certain regions of the tropics. Thus, climate forecasts provide an opportunity to anticipate potential outbreaks of vector-borne diseases from several months to a year in advance. The aim of this study was to develop a framework to incorporate seasonal climate forecasts in predictive disease models to understand the future risk of vector-borne diseases, with a focus on dengue fever in Latin America. Methods: A Bayesian spatiotemporal model framework that quantifies the extent to which environmental and socioeconomic indicators can explain variations in disease risk was designed to disentangle the effects of climate from other risk factors using multi-source data and random effects, which account for unknown and unmeasured sources of spatial, seasonal, and inter-annual variation. The model was used to provide probabilistic predictions of monthly dengue incidence and the probability of exceeding outbreak thresholds, which were established in

  3. Lefschetz thimbles in fermionic effective models with repulsive vector-field

    Science.gov (United States)

    Mori, Yuto; Kashiwa, Kouji; Ohnishi, Akira

    2018-06-01

    We discuss two problems in complexified auxiliary fields in fermionic effective models, the auxiliary sign problem associated with the repulsive vector-field and the choice of the cut for the scalar field appearing from the logarithmic function. In the fermionic effective models with attractive scalar and repulsive vector-type interaction, the auxiliary scalar and vector fields appear in the path integral after the bosonization of fermion bilinears. When we make the path integral well-defined by the Wick rotation of the vector field, the oscillating Boltzmann weight appears in the partition function. This "auxiliary" sign problem can be solved by using the Lefschetz-thimble path-integral method, where the integration path is constructed in the complex plane. Another serious obstacle in the numerical construction of Lefschetz thimbles is caused by singular points and cuts induced by multivalued functions of the complexified scalar field in the momentum integration. We propose a new prescription which fixes gradient flow trajectories on the same Riemann sheet in the flow evolution by performing the momentum integration in the complex domain.

  4. Dynamical behavior of an epidemic model for a vector-borne disease with direct transmission

    International Nuclear Information System (INIS)

    Cai Liming; Li Xuezhi; Li Zhaoqiang

    2013-01-01

    An epidemic model of a vector-borne disease with direct transmission is investigated. The reproduction number (R 0 ) of the model is obtained. Rigorous qualitative analysis of the model reveals the presence of the phenomenon of backward bifurcation (where the stable disease-free equilibrium (DFE) coexists with a stable endemic equilibrium when the reproduction number of the disease is less than unity) in the standard incidence model. The phenomenon shows that the classical epidemiological requirement of having the reproduction number less than unity is no longer sufficient, although necessary, for effectively controlling the spread of some vector-borne diseases in a community. The backward bifurcation phenomenon can be removed by substituting the standard incidence with a bilinear mass action incidence. By using Lyapunov function theory and LaSalle invariance principle, it is shown that the unique endemic equilibrium for the model with a mass action incidence is globally stable if the reproduction number R mass is greater than one in feasible region. This suggests that the use of standard incidence in modelling some vector-borne diseases with direct transmission results in the presence of backward bifurcation. Numerical simulations analyze the effect of the direct transmission and the disease-induced death rate on dynamics of the disease transmission, and also verify our analyzed results.

  5. Support vector regression model based predictive control of water level of U-tube steam generators

    Energy Technology Data Exchange (ETDEWEB)

    Kavaklioglu, Kadir, E-mail: kadir.kavaklioglu@pau.edu.tr

    2014-10-15

    Highlights: • Water level of U-tube steam generators was controlled in a model predictive fashion. • Models for steam generator water level were built using support vector regression. • Cost function minimization for future optimal controls was performed by using the steepest descent method. • The results indicated the feasibility of the proposed method. - Abstract: A predictive control algorithm using support vector regression based models was proposed for controlling the water level of U-tube steam generators of pressurized water reactors. Steam generator data were obtained using a transfer function model of U-tube steam generators. Support vector regression based models were built using a time series type model structure for five different operating powers. Feedwater flow controls were calculated by minimizing a cost function that includes the level error, the feedwater change and the mismatch between feedwater and steam flow rates. Proposed algorithm was applied for a scenario consisting of a level setpoint change and a steam flow disturbance. The results showed that steam generator level can be controlled at all powers effectively by the proposed method.

  6. The spherical limit of the n-vector model and correlation inequaljties

    International Nuclear Information System (INIS)

    Angelescu, N.; Bundaru, M.; Costache, G.

    1978-08-01

    The asymptotics of the state of the n-vector model with a finite number of spins in the spherical limit is studied. Besides rederiving the limit free energy, corresponding to a generalized spherical model (with ''spherical constraint'' at every site), we obtain also the limit of the correlation functions, which allow a precise definition of the state of the latter model. Correlation inequalities are proved for ferromagnetic interactions in the asymptotic regime. In particular, it is shown that the generalized spherical model fulfills the expected Griffiths' type inequalities, differing in this respect from the spherical model with overall constraint. (author)

  7. The Creation of Space Vector Models of Buildings From RPAS Photogrammetry Data

    Directory of Open Access Journals (Sweden)

    Trhan Ondrej

    2017-06-01

    Full Text Available The results of Remote Piloted Aircraft System (RPAS photogrammetry are digital surface models and orthophotos. The main problem of the digital surface models obtained is that buildings are not perpendicular and the shape of roofs is deformed. The task of this paper is to obtain a more accurate digital surface model using building reconstructions. The paper discusses the problem of obtaining and approximating building footprints, reconstructing the final spatial vector digital building model, and modifying the buildings on the digital surface model.

  8. Species distribution models and ecological suitability analysis for potential tick vectors of lyme disease in Mexico.

    Science.gov (United States)

    Illoldi-Rangel, Patricia; Rivaldi, Chissa-Louise; Sissel, Blake; Trout Fryxell, Rebecca; Gordillo-Pérez, Guadalupe; Rodríguez-Moreno, Angel; Williamson, Phillip; Montiel-Parra, Griselda; Sánchez-Cordero, Víctor; Sarkar, Sahotra

    2012-01-01

    Species distribution models were constructed for ten Ixodes species and Amblyomma cajennense for a region including Mexico and Texas. The model was based on a maximum entropy algorithm that used environmental layers to predict the relative probability of presence for each taxon. For Mexico, species geographic ranges were predicted by restricting the models to cells which have a higher probability than the lowest probability of the cells in which a presence record was located. There was spatial nonconcordance between the distributions of Amblyomma cajennense and the Ixodes group with the former restricted to lowlands and mainly the eastern coast of Mexico and the latter to montane regions with lower temperature. The risk of Lyme disease is, therefore, mainly present in the highlands where some Ixodes species are known vectors; if Amblyomma cajennense turns out to be a competent vector, the area of risk also extends to the lowlands and the east coast.

  9. Species Distribution Models and Ecological Suitability Analysis for Potential Tick Vectors of Lyme Disease in Mexico

    Directory of Open Access Journals (Sweden)

    Patricia Illoldi-Rangel

    2012-01-01

    Full Text Available Species distribution models were constructed for ten Ixodes species and Amblyomma cajennense for a region including Mexico and Texas. The model was based on a maximum entropy algorithm that used environmental layers to predict the relative probability of presence for each taxon. For Mexico, species geographic ranges were predicted by restricting the models to cells which have a higher probability than the lowest probability of the cells in which a presence record was located. There was spatial nonconcordance between the distributions of Amblyomma cajennense and the Ixodes group with the former restricted to lowlands and mainly the eastern coast of Mexico and the latter to montane regions with lower temperature. The risk of Lyme disease is, therefore, mainly present in the highlands where some Ixodes species are known vectors; if Amblyomma cajennense turns out to be a competent vector, the area of risk also extends to the lowlands and the east coast.

  10. Prediction of Machine Tool Condition Using Support Vector Machine

    International Nuclear Information System (INIS)

    Wang Peigong; Meng Qingfeng; Zhao Jian; Li Junjie; Wang Xiufeng

    2011-01-01

    Condition monitoring and predicting of CNC machine tools are investigated in this paper. Considering the CNC machine tools are often small numbers of samples, a condition predicting method for CNC machine tools based on support vector machines (SVMs) is proposed, then one-step and multi-step condition prediction models are constructed. The support vector machines prediction models are used to predict the trends of working condition of a certain type of CNC worm wheel and gear grinding machine by applying sequence data of vibration signal, which is collected during machine processing. And the relationship between different eigenvalue in CNC vibration signal and machining quality is discussed. The test result shows that the trend of vibration signal Peak-to-peak value in surface normal direction is most relevant to the trend of surface roughness value. In trends prediction of working condition, support vector machine has higher prediction accuracy both in the short term ('One-step') and long term (multi-step) prediction compared to autoregressive (AR) model and the RBF neural network. Experimental results show that it is feasible to apply support vector machine to CNC machine tool condition prediction.

  11. Quasiperiodicity in time evolution of the Bloch vector under the thermal Jaynes-Cummings model

    Science.gov (United States)

    Azuma, Hiroo; Ban, Masashi

    2014-07-01

    We study a quasiperiodic structure in the time evolution of the Bloch vector, whose dynamics is governed by the thermal Jaynes-Cummings model (JCM). Putting the two-level atom into a certain pure state and the cavity field into a mixed state in thermal equilibrium at initial time, we let the whole system evolve according to the JCM Hamiltonian. During this time evolution, motion of the Bloch vector seems to be in disorder. Because of the thermal photon distribution, both a norm and a direction of the Bloch vector change hard at random. In this paper, taking a different viewpoint compared with ones that we have been used to, we investigate quasiperiodicity of the Bloch vector’s trajectories. Introducing the concept of the quasiperiodic motion, we can explain the confused behaviour of the system as an intermediate state between periodic and chaotic motions. More specifically, we discuss the following two facts: (1) If we adjust the time interval Δt properly, figures consisting of plotted dots at the constant time interval acquire scale invariance under replacement of Δt by sΔt, where s(>1) is an arbitrary real but not transcendental number. (2) We can compute values of the time variable t, which let |Sz(t)| (the absolute value of the z-component of the Bloch vector) be very small, with the Diophantine approximation (a rational approximation of an irrational number).

  12. Predictability of a Coupled Model of ENSO Using Singular Vector Analysis: Optimal Growth and Forecast Skill.

    Science.gov (United States)

    Xue, Yan

    The optimal growth and its relationship with the forecast skill of the Zebiak and Cane model are studied using a simple statistical model best fit to the original nonlinear model and local linear tangent models about idealized climatic states (the mean background and ENSO cycles in a long model run), and the actual forecast states, including two sets of runs using two different initialization procedures. The seasonally varying Markov model best fit to a suite of 3-year forecasts in a reduced EOF space (18 EOFs) fits the original nonlinear model reasonably well and has comparable or better forecast skill. The initial error growth in a linear evolution operator A is governed by the eigenvalues of A^{T}A, and the square roots of eigenvalues and eigenvectors of A^{T}A are named singular values and singular vectors. One dominant growing singular vector is found, and the optimal 6 month growth rate is largest for a (boreal) spring start and smallest for a fall start. Most of the variation in the optimal growth rate of the two forecasts is seasonal, attributable to the seasonal variations in the mean background, except that in the cold events it is substantially suppressed. It is found that the mean background (zero anomaly) is the most unstable state, and the "forecast IC states" are more unstable than the "coupled model states". One dominant growing singular vector is found, characterized by north-south and east -west dipoles, convergent winds on the equator in the eastern Pacific and a deepened thermocline in the whole equatorial belt. This singular vector is insensitive to initial time and optimization time, but its final pattern is a strong function of initial states. The ENSO system is inherently unpredictable for the dominant singular vector can amplify 5-fold to 24-fold in 6 months and evolve into the large scales characteristic of ENSO. However, the inherent ENSO predictability is only a secondary factor, while the mismatches between the model and data is a

  13. Efficient Model Order Reduction for the Dynamics of Nonlinear Multilayer Sheet Structures with Trial Vector Derivatives

    Directory of Open Access Journals (Sweden)

    Wolfgang Witteveen

    2014-01-01

    Full Text Available The mechanical response of multilayer sheet structures, such as leaf springs or car bodies, is largely determined by the nonlinear contact and friction forces between the sheets involved. Conventional computational approaches based on classical reduction techniques or the direct finite element approach have an inefficient balance between computational time and accuracy. In the present contribution, the method of trial vector derivatives is applied and extended in order to obtain a-priori trial vectors for the model reduction which are suitable for determining the nonlinearities in the joints of the reduced system. Findings show that the result quality in terms of displacements and contact forces is comparable to the direct finite element method but the computational effort is extremely low due to the model order reduction. Two numerical studies are presented to underline the method’s accuracy and efficiency. In conclusion, this approach is discussed with respect to the existing body of literature.

  14. Leptonic decay of light vector mesons in an independent quark model

    International Nuclear Information System (INIS)

    Barik, N.; Dash, P.C.; Panda, A.R.

    1993-01-01

    Leptonic decay widths of light vector mesons are calculated in a framework based on the independent quark model with a scalar-vector harmonic potential. Assuming a strong correlation to exist between the quark-antiquark momenta inside the meson, so as to make their total momentum identically zero in the center-of-mass frame of the meson, we extract the quark and antiquark momentum distribution amplitudes from the bound quark eigenmode. Using the model parameters determined from earlier studies, we arrive at the leptonic decay widths of (ρ,ω,φ) as (6.26 keV, 0.67 keV, 1.58 keV) which are in very good agreement with the respective experimental data (6.77±0.32 keV, 0.6±0.02 keV, 1.37±0.05 keV)

  15. Electromagnetic properties and sizes of new vector mesons within the three-triplet model

    International Nuclear Information System (INIS)

    Govorkov, A.B.

    1976-01-01

    The new vector mesons psi(3095) and psi'(3684) are treated by analogy with the ω- and PHI-mesons, respectively, within the scheme of three triplets of the integer charge quarks-sakations. Their decay into the lepton pairs is calculated in the model of nonrelativistic harmonic oscillator. It appears that sizes of the new mesons decrease, and the effective mass of constituent quarks increases as compared with the corresponding quantities of the usual mesons. Within the vector meson dominence model the relation between the width of the transition psi → ν+γ and photoproduction cross section on nucleons is established and the estimate for the former is 3 keV

  16. Time-specific ecological niche modeling predicts spatial dynamics of vector insects and human dengue cases.

    Science.gov (United States)

    Peterson, A Townsend; Martínez-Campos, Carmen; Nakazawa, Yoshinori; Martínez-Meyer, Enrique

    2005-09-01

    Numerous human diseases-malaria, dengue, yellow fever and leishmaniasis, to name a few-are transmitted by insect vectors with brief life cycles and biting activity that varies in both space and time. Although the general geographic distributions of these epidemiologically important species are known, the spatiotemporal variation in their emergence and activity remains poorly understood. We used ecological niche modeling via a genetic algorithm to produce time-specific predictive models of monthly distributions of Aedes aegypti in Mexico in 1995. Significant predictions of monthly mosquito activity and distributions indicate that predicting spatiotemporal dynamics of disease vector species is feasible; significant coincidence with human cases of dengue indicate that these dynamics probably translate directly into transmission of dengue virus to humans. This approach provides new potential for optimizing use of resources for disease prevention and remediation via automated forecasting of disease transmission risk.

  17. LEARNING VECTOR QUANTIZATION FOR ADAPTED GAUSSIAN MIXTURE MODELS IN AUTOMATIC SPEAKER IDENTIFICATION

    Directory of Open Access Journals (Sweden)

    IMEN TRABELSI

    2017-05-01

    Full Text Available Speaker Identification (SI aims at automatically identifying an individual by extracting and processing information from his/her voice. Speaker voice is a robust a biometric modality that has a strong impact in several application areas. In this study, a new combination learning scheme has been proposed based on Gaussian mixture model-universal background model (GMM-UBM and Learning vector quantization (LVQ for automatic text-independent speaker identification. Features vectors, constituted by the Mel Frequency Cepstral Coefficients (MFCC extracted from the speech signal are used to train the New England subset of the TIMIT database. The best results obtained (90% for gender- independent speaker identification, 97 % for male speakers and 93% for female speakers for test data using 36 MFCC features.

  18. Vector model for mapping of visual space to subjective 4-D sphere

    International Nuclear Information System (INIS)

    Matuzevicius, Dalius; Vaitkevicius, Henrikas

    2014-01-01

    Here we present a mathematical model of binocular vision that maps a visible physical world to a subjective perception of it. The subjective space is a set of 4-D vectors whose components are outputs of four monocular neurons from each of the two eyes. Monocular neurons have one of the four types of concentric receptive fields with Gabor-like weighting coefficients. Next this vector representation of binocular vision is implemented as a pool of neurons where each of them is selective to the object's particular location in a 3-D visual space. Formally each point of the visual space is being projected onto a 4-D sphere. Proposed model allows determination of subjective distances in depth and direction, provides computational means for determination of Panum's area and explains diplopia and allelotropia

  19. Space vector-based modeling and control of a modular multilevel converter in HVDC applications

    DEFF Research Database (Denmark)

    Bonavoglia, M.; Casadei, G.; Zarri, L.

    2013-01-01

    Modular multilevel converter (MMC) is an emerging multilevel topology for high-voltage applications that has been developed in recent years. In this paper, the modeling and the control of MMCs are restated in terms of space vectors, which may allow a deeper understanding of the converter behavior....... As a result, a control scheme for three-phase MMCs based on the previous theoretical analysis is presented. Numerical simulations are used to test its feasibility.......Modular multilevel converter (MMC) is an emerging multilevel topology for high-voltage applications that has been developed in recent years. In this paper, the modeling and the control of MMCs are restated in terms of space vectors, which may allow a deeper understanding of the converter behavior...

  20. Models for dependent time series

    CERN Document Server

    Tunnicliffe Wilson, Granville; Haywood, John

    2015-01-01

    Models for Dependent Time Series addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. Whether you work in the economic, physical, or life sciences, the book shows you how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vector) time series data.The first four chapters discuss the two main pillars of the subject that have been developed over the last 60 years: vector autoregressive modeling and multivariate spectral analysis. These chapters provide the foundational mater