Robust Semi-Active Ride Control under Stochastic Excitation

DTIC Science & Technology

2014-01-01

broad classes of time-series models which are of practical importance; the Auto-Regressive (AR) models, the Integrated (I) models, and the Moving...Average (MA) models [12]. Combinations of these models result in autoregressive moving average (ARMA) and autoregressive integrated moving average...Down Up 4) Down Down These four cases can be written in compact form as: (20) Where is the Heaviside

Explanation of power law behavior of autoregressive conditional duration processes based on the random multiplicative process

NASA Astrophysics Data System (ADS)

Sato, Aki-Hiro

2004-04-01

Autoregressive conditional duration (ACD) processes, which have the potential to be applied to power law distributions of complex systems found in natural science, life science, and social science, are analyzed both numerically and theoretically. An ACD(1) process exhibits the singular second order moment, which suggests that its probability density function (PDF) has a power law tail. It is verified that the PDF of the ACD(1) has a power law tail with an arbitrary exponent depending on a model parameter. On the basis of theory of the random multiplicative process a relation between the model parameter and the power law exponent is theoretically derived. It is confirmed that the relation is valid from numerical simulations. An application of the ACD(1) to intervals between two successive transactions in a foreign currency market is shown.

Explanation of power law behavior of autoregressive conditional duration processes based on the random multiplicative process.

PubMed

Sato, Aki-Hiro

2004-04-01

Autoregressive conditional duration (ACD) processes, which have the potential to be applied to power law distributions of complex systems found in natural science, life science, and social science, are analyzed both numerically and theoretically. An ACD(1) process exhibits the singular second order moment, which suggests that its probability density function (PDF) has a power law tail. It is verified that the PDF of the ACD(1) has a power law tail with an arbitrary exponent depending on a model parameter. On the basis of theory of the random multiplicative process a relation between the model parameter and the power law exponent is theoretically derived. It is confirmed that the relation is valid from numerical simulations. An application of the ACD(1) to intervals between two successive transactions in a foreign currency market is shown.

Estimating time-varying conditional correlations between stock and foreign exchange markets

NASA Astrophysics Data System (ADS)

Tastan, Hüseyin

2006-02-01

This study explores the dynamic interaction between stock market returns and changes in nominal exchange rates. Many financial variables are known to exhibit fat tails and autoregressive variance structure. It is well-known that unconditional covariance and correlation coefficients also vary significantly over time and multivariate generalized autoregressive model (MGARCH) is able to capture the time-varying variance-covariance matrix for stock market returns and changes in exchange rates. The model is applied to daily Euro-Dollar exchange rates and two stock market indexes from the US economy: Dow-Jones Industrial Average Index and S&P500 Index. The news impact surfaces are also drawn based on the model estimates to see the effects of idiosyncratic shocks in respective markets.

Incorporating measurement error in n = 1 psychological autoregressive modeling

PubMed Central

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

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Biyanto, Totok R.

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 aremore » 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.« less

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

PubMed Central

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 < 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. PMID:24384778

Circular Conditional Autoregressive Modeling of Vector Fields.

PubMed

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.

Circular Conditional Autoregressive Modeling of Vector Fields*

PubMed Central

Modlin, Danny; Fuentes, Montse; Reich, Brian

2013-01-01

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. PMID:24353452

Wavelet regression model in forecasting crude oil price

NASA Astrophysics Data System (ADS)

Hamid, Mohd Helmie; Shabri, Ani

2017-05-01

This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.

Nonlinear Autoregressive Exogenous modeling of a large anaerobic digester producing biogas from cattle waste.

PubMed

Dhussa, Anil K; Sambi, Surinder S; Kumar, Shashi; Kumar, Sandeep; Kumar, Surendra

2014-10-01

In waste-to-energy plants, there is every likelihood of variations in the quantity and characteristics of the feed. Although intermediate storage tanks are used, but many times these are of inadequate capacity to dampen the variations. In such situations an anaerobic digester treating waste slurry operates under dynamic conditions. In this work a special type of dynamic Artificial Neural Network model, called Nonlinear Autoregressive Exogenous model, is used to model the dynamics of anaerobic digesters by using about one year data collected on the operating digesters. The developed model consists of two hidden layers each having 10 neurons, and uses 18days delay. There are five neurons in input layer and one neuron in output layer for a day. Model predictions of biogas production rate are close to plant performance within ±8% deviation. Copyright © 2014 Elsevier Ltd. All rights reserved.

Two dynamic regimes in the human gut microbiome

PubMed Central

Smillie, Chris S.; Alm, Eric J.

2017-01-01

The gut microbiome is a dynamic system that changes with host development, health, behavior, diet, and microbe-microbe interactions. Prior work on gut microbial time series has largely focused on autoregressive models (e.g. Lotka-Volterra). However, we show that most of the variance in microbial time series is non-autoregressive. In addition, we show how community state-clustering is flawed when it comes to characterizing within-host dynamics and that more continuous methods are required. Most organisms exhibited stable, mean-reverting behavior suggestive of fixed carrying capacities and abundant taxa were largely shared across individuals. This mean-reverting behavior allowed us to apply sparse vector autoregression (sVAR)—a multivariate method developed for econometrics—to model the autoregressive component of gut community dynamics. We find a strong phylogenetic signal in the non-autoregressive co-variance from our sVAR model residuals, which suggests niche filtering. We show how changes in diet are also non-autoregressive and that Operational Taxonomic Units strongly correlated with dietary variables have much less of an autoregressive component to their variance, which suggests that diet is a major driver of microbial dynamics. Autoregressive variance appears to be driven by multi-day recovery from frequent facultative anaerobe blooms, which may be driven by fluctuations in luminal redox. Overall, we identify two dynamic regimes within the human gut microbiota: one likely driven by external environmental fluctuations, and the other by internal processes. PMID:28222117

Two dynamic regimes in the human gut microbiome.

PubMed

Gibbons, Sean M; Kearney, Sean M; Smillie, Chris S; Alm, Eric J

2017-02-01

The gut microbiome is a dynamic system that changes with host development, health, behavior, diet, and microbe-microbe interactions. Prior work on gut microbial time series has largely focused on autoregressive models (e.g. Lotka-Volterra). However, we show that most of the variance in microbial time series is non-autoregressive. In addition, we show how community state-clustering is flawed when it comes to characterizing within-host dynamics and that more continuous methods are required. Most organisms exhibited stable, mean-reverting behavior suggestive of fixed carrying capacities and abundant taxa were largely shared across individuals. This mean-reverting behavior allowed us to apply sparse vector autoregression (sVAR)-a multivariate method developed for econometrics-to model the autoregressive component of gut community dynamics. We find a strong phylogenetic signal in the non-autoregressive co-variance from our sVAR model residuals, which suggests niche filtering. We show how changes in diet are also non-autoregressive and that Operational Taxonomic Units strongly correlated with dietary variables have much less of an autoregressive component to their variance, which suggests that diet is a major driver of microbial dynamics. Autoregressive variance appears to be driven by multi-day recovery from frequent facultative anaerobe blooms, which may be driven by fluctuations in luminal redox. Overall, we identify two dynamic regimes within the human gut microbiota: one likely driven by external environmental fluctuations, and the other by internal processes.

Directionality volatility in electroencephalogram time series

NASA Astrophysics Data System (ADS)

Mansor, Mahayaudin M.; Green, David A.; Metcalfe, Andrew V.

2016-06-01

We compare time series of electroencephalograms (EEGs) from healthy volunteers with EEGs from subjects diagnosed with epilepsy. The EEG time series from the healthy group are recorded during awake state with their eyes open and eyes closed, and the records from subjects with epilepsy are taken from three different recording regions of pre-surgical diagnosis: hippocampal, epileptogenic and seizure zone. The comparisons for these 5 categories are in terms of deviations from linear time series models with constant variance Gaussian white noise error inputs. One feature investigated is directionality, and how this can be modelled by either non-linear threshold autoregressive models or non-Gaussian errors. A second feature is volatility, which is modelled by Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) processes. Other features include the proportion of variability accounted for by time series models, and the skewness and the kurtosis of the residuals. The results suggest these comparisons may have diagnostic potential for epilepsy and provide early warning of seizures.

Comparison of six methods for the detection of causality in a bivariate time series

NASA Astrophysics Data System (ADS)

Krakovská, Anna; Jakubík, Jozef; Chvosteková, Martina; Coufal, David; Jajcay, Nikola; Paluš, Milan

2018-04-01

In this comparative study, six causality detection methods were compared, namely, the Granger vector autoregressive test, the extended Granger test, the kernel version of the Granger test, the conditional mutual information (transfer entropy), the evaluation of cross mappings between state spaces, and an assessment of predictability improvement due to the use of mixed predictions. Seven test data sets were analyzed: linear coupling of autoregressive models, a unidirectional connection of two Hénon systems, a unidirectional connection of chaotic systems of Rössler and Lorenz type and of two different Rössler systems, an example of bidirectionally connected two-species systems, a fishery model as an example of two correlated observables without a causal relationship, and an example of mediated causality. We tested not only 20 000 points long clean time series but also noisy and short variants of the data. The standard and the extended Granger tests worked only for the autoregressive models. The remaining methods were more successful with the more complex test examples, although they differed considerably in their capability to reveal the presence and the direction of coupling and to distinguish causality from mere correlation.

Large signal-to-noise ratio quantification in MLE for ARARMAX models

NASA Astrophysics Data System (ADS)

Zou, Yiqun; Tang, Xiafei

2014-06-01

It has been shown that closed-loop linear system identification by indirect method can be generally transferred to open-loop ARARMAX (AutoRegressive AutoRegressive Moving Average with eXogenous input) estimation. For such models, the gradient-related optimisation with large enough signal-to-noise ratio (SNR) can avoid the potential local convergence in maximum likelihood estimation. To ease the application of this condition, the threshold SNR needs to be quantified. In this paper, we build the amplitude coefficient which is an equivalence to the SNR and prove the finiteness of the threshold amplitude coefficient within the stability region. The quantification of threshold is achieved by the minimisation of an elaborately designed multi-variable cost function which unifies all the restrictions on the amplitude coefficient. The corresponding algorithm based on two sets of physically realisable system input-output data details the minimisation and also points out how to use the gradient-related method to estimate ARARMAX parameters when local minimum is present as the SNR is small. Then, the algorithm is tested on a theoretical AutoRegressive Moving Average with eXogenous input model for the derivation of the threshold and a gas turbine engine real system for model identification, respectively. Finally, the graphical validation of threshold on a two-dimensional plot is discussed.

Optimization of autoregressive, exogenous inputs-based typhoon inundation forecasting models using a multi-objective genetic algorithm

NASA Astrophysics Data System (ADS)

Ouyang, Huei-Tau

2017-07-01

Three types of model for forecasting inundation levels during typhoons were optimized: the linear autoregressive model with exogenous inputs (LARX), the nonlinear autoregressive model with exogenous inputs with wavelet function (NLARX-W) and the nonlinear autoregressive model with exogenous inputs with sigmoid function (NLARX-S). The forecast performance was evaluated by three indices: coefficient of efficiency, error in peak water level and relative time shift. Historical typhoon data were used to establish water-level forecasting models that satisfy all three objectives. A multi-objective genetic algorithm was employed to search for the Pareto-optimal model set that satisfies all three objectives and select the ideal models for the three indices. Findings showed that the optimized nonlinear models (NLARX-W and NLARX-S) outperformed the linear model (LARX). Among the nonlinear models, the optimized NLARX-W model achieved a more balanced performance on the three indices than the NLARX-S models and is recommended for inundation forecasting during typhoons.

Order-Constrained Reference Priors with Implications for Bayesian Isotonic Regression, Analysis of Covariance and Spatial Models

NASA Astrophysics Data System (ADS)

Gong, Maozhen

Selecting an appropriate prior distribution is a fundamental issue in Bayesian Statistics. In this dissertation, under the framework provided by Berger and Bernardo, I derive the reference priors for several models which include: Analysis of Variance (ANOVA)/Analysis of Covariance (ANCOVA) models with a categorical variable under common ordering constraints, the conditionally autoregressive (CAR) models and the simultaneous autoregressive (SAR) models with a spatial autoregression parameter rho considered. The performances of reference priors for ANOVA/ANCOVA models are evaluated by simulation studies with comparisons to Jeffreys' prior and Least Squares Estimation (LSE). The priors are then illustrated in a Bayesian model of the "Risk of Type 2 Diabetes in New Mexico" data, where the relationship between the type 2 diabetes risk (through Hemoglobin A1c) and different smoking levels is investigated. In both simulation studies and real data set modeling, the reference priors that incorporate internal order information show good performances and can be used as default priors. The reference priors for the CAR and SAR models are also illustrated in the "1999 SAT State Average Verbal Scores" data with a comparison to a Uniform prior distribution. Due to the complexity of the reference priors for both CAR and SAR models, only a portion (12 states in the Midwest) of the original data set is considered. The reference priors can give a different marginal posterior distribution compared to a Uniform prior, which provides an alternative for prior specifications for areal data in Spatial statistics.

Modeling of Engine Parameters for Condition-Based Maintenance of the MTU Series 2000 Diesel Engine

DTIC Science & Technology

2016-09-01

are suitable. To model the behavior of the engine, an autoregressive distributed lag (ARDL) time series model of engine speed and exhaust gas... time series model of engine speed and exhaust gas temperature is derived. The lag length for ARDL is determined by whitening of residuals using the...15 B. REGRESSION ANALYSIS ....................................................................15 1. Time Series Analysis

Methodology for the AutoRegressive Planet Search (ARPS) Project

NASA Astrophysics Data System (ADS)

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.

An adaptive ARX model to estimate the RUL of aluminum plates based on its crack growth

NASA Astrophysics Data System (ADS)

Barraza-Barraza, Diana; Tercero-Gómez, Víctor G.; Beruvides, Mario G.; Limón-Robles, Jorge

2017-01-01

A wide variety of Condition-Based Maintenance (CBM) techniques deal with the problem of predicting the time for an asset fault. Most statistical approaches rely on historical failure data that might not be available in several practical situations. To address this issue, practitioners might require the use of self-starting approaches that consider only the available knowledge about the current degradation process and the asset operating context to update the prognostic model. Some authors use Autoregressive (AR) models for this purpose that are adequate when the asset operating context is constant, however, if it is variable, the accuracy of the models can be affected. In this paper, three autoregressive models with exogenous variables (ARX) were constructed, and their capability to estimate the remaining useful life (RUL) of a process was evaluated following the case of the aluminum crack growth problem. An existing stochastic model of aluminum crack growth was implemented and used to assess RUL estimation performance of the proposed ARX models through extensive Monte Carlo simulations. Point and interval estimations were made based only on individual history, behavior, operating conditions and failure thresholds. Both analytic and bootstrapping techniques were used in the estimation process. Finally, by including recursive parameter estimation and a forgetting factor, the ARX methodology adapts to changing operating conditions and maintain the focus on the current degradation level of an asset.

Random Process Simulation for stochastic fatigue analysis. Ph.D. Thesis - Rice Univ., Houston, Tex.

NASA Technical Reports Server (NTRS)

Larsen, Curtis E.

1988-01-01

A simulation technique is described which directly synthesizes the extrema of a random process and is more efficient than the Gaussian simulation method. Such a technique is particularly useful in stochastic fatigue analysis because the required stress range moment E(R sup m), is a function only of the extrema of the random stress process. The family of autoregressive moving average (ARMA) models is reviewed and an autoregressive model is presented for modeling the extrema of any random process which has a unimodal power spectral density (psd). The proposed autoregressive technique is found to produce rainflow stress range moments which compare favorably with those computed by the Gaussian technique and to average 11.7 times faster than the Gaussian technique. The autoregressive technique is also adapted for processes having bimodal psd's. The adaptation involves using two autoregressive processes to simulate the extrema due to each mode and the superposition of these two extrema sequences. The proposed autoregressive superposition technique is 9 to 13 times faster than the Gaussian technique and produces comparable values for E(R sup m) for bimodal psd's having the frequency of one mode at least 2.5 times that of the other mode.

Forecasting coconut production in the Philippines with ARIMA model

NASA Astrophysics Data System (ADS)

Lim, Cristina Teresa

2015-02-01

The study aimed to depict the situation of the coconut industry in the Philippines for the future years applying Autoregressive Integrated Moving Average (ARIMA) method. Data on coconut production, one of the major industrial crops of the country, for the period of 1990 to 2012 were analyzed using time-series methods. Autocorrelation (ACF) and partial autocorrelation functions (PACF) were calculated for the data. Appropriate Box-Jenkins autoregressive moving average model was fitted. Validity of the model was tested using standard statistical techniques. The forecasting power of autoregressive moving average (ARMA) model was used to forecast coconut production for the eight leading years.

The comparison study among several data transformations in autoregressive modeling

NASA Astrophysics Data System (ADS)

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.

Equivalent Dynamic Models.

PubMed

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.

Vector Autoregression, Structural Equation Modeling, and Their Synthesis in Neuroimaging Data Analysis

PubMed Central

Chen, Gang; Glen, Daniel R.; Saad, Ziad S.; Hamilton, J. Paul; Thomason, Moriah E.; Gotlib, Ian H.; Cox, Robert W.

2011-01-01

Vector autoregression (VAR) and structural equation modeling (SEM) are two popular brain-network modeling tools. VAR, which is a data-driven approach, assumes that connected regions exert time-lagged influences on one another. In contrast, the hypothesis-driven SEM is used to validate an existing connectivity model where connected regions have contemporaneous interactions among them. We present the two models in detail and discuss their applicability to FMRI data, and interpretational limits. We also propose a unified approach that models both lagged and contemporaneous effects. The unifying model, structural vector autoregression (SVAR), may improve statistical and explanatory power, and avoids some prevalent pitfalls that can occur when VAR and SEM are utilized separately. PMID:21975109

How to compare cross-lagged associations in a multilevel autoregressive model.

PubMed

Schuurman, Noémi K; Ferrer, Emilio; de Boer-Sonnenschein, Mieke; Hamaker, Ellen L

2016-06-01

By modeling variables over time it is possible to investigate the Granger-causal cross-lagged associations between variables. By comparing the standardized cross-lagged coefficients, the relative strength of these associations can be evaluated in order to determine important driving forces in the dynamic system. The aim of this study was twofold: first, to illustrate the added value of a multilevel multivariate autoregressive modeling approach for investigating these associations over more traditional techniques; and second, to discuss how the coefficients of the multilevel autoregressive model should be standardized for comparing the strength of the cross-lagged associations. The hierarchical structure of multilevel multivariate autoregressive models complicates standardization, because subject-based statistics or group-based statistics can be used to standardize the coefficients, and each method may result in different conclusions. We argue that in order to make a meaningful comparison of the strength of the cross-lagged associations, the coefficients should be standardized within persons. We further illustrate the bivariate multilevel autoregressive model and the standardization of the coefficients, and we show that disregarding individual differences in dynamics can prove misleading, by means of an empirical example on experienced competence and exhaustion in persons diagnosed with burnout. (PsycINFO Database Record (c) 2016 APA, all rights reserved).

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

PubMed

Hamaker, Ellen L; Grasman, Raoul P P P

2014-01-01

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.

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

PubMed Central

Hamaker, Ellen L.; Grasman, Raoul P. P. P.

2015-01-01

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. PMID:25688215

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

NASA Astrophysics Data System (ADS)

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.

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

PubMed Central

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

2014-01-01

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. PMID:25189200

Evaluating the performance of infectious disease forecasts: A comparison of climate-driven and seasonal dengue forecasts for Mexico.

PubMed

Johansson, Michael A; Reich, Nicholas G; Hota, Aditi; Brownstein, John S; Santillana, Mauricio

2016-09-26

Dengue viruses, which infect millions of people per year worldwide, cause large epidemics that strain healthcare systems. Despite diverse efforts to develop forecasting tools including autoregressive time series, climate-driven statistical, and mechanistic biological models, little work has been done to understand the contribution of different components to improved prediction. We developed a framework to assess and compare dengue forecasts produced from different types of models and evaluated the performance of seasonal autoregressive models with and without climate variables for forecasting dengue incidence in Mexico. Climate data did not significantly improve the predictive power of seasonal autoregressive models. Short-term and seasonal autocorrelation were key to improving short-term and long-term forecasts, respectively. Seasonal autoregressive models captured a substantial amount of dengue variability, but better models are needed to improve dengue forecasting. This framework contributes to the sparse literature of infectious disease prediction model evaluation, using state-of-the-art validation techniques such as out-of-sample testing and comparison to an appropriate reference model.

Evaluating the performance of infectious disease forecasts: A comparison of climate-driven and seasonal dengue forecasts for Mexico

PubMed Central

Johansson, Michael A.; Reich, Nicholas G.; Hota, Aditi; Brownstein, John S.; Santillana, Mauricio

2016-01-01

Dengue viruses, which infect millions of people per year worldwide, cause large epidemics that strain healthcare systems. Despite diverse efforts to develop forecasting tools including autoregressive time series, climate-driven statistical, and mechanistic biological models, little work has been done to understand the contribution of different components to improved prediction. We developed a framework to assess and compare dengue forecasts produced from different types of models and evaluated the performance of seasonal autoregressive models with and without climate variables for forecasting dengue incidence in Mexico. Climate data did not significantly improve the predictive power of seasonal autoregressive models. Short-term and seasonal autocorrelation were key to improving short-term and long-term forecasts, respectively. Seasonal autoregressive models captured a substantial amount of dengue variability, but better models are needed to improve dengue forecasting. This framework contributes to the sparse literature of infectious disease prediction model evaluation, using state-of-the-art validation techniques such as out-of-sample testing and comparison to an appropriate reference model. PMID:27665707

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

NASA Astrophysics Data System (ADS)

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 in MATLAB an Eviews programmes. Because of the seasonality of PM10 data SARIMA model was also used. The order of autoregression model was determined according to AIC and BIC criteria. The model performances were evaluated from Fractional Bias, Normalized Mean Square Error (NMSE) and Mean Absolute Percentage Error (MAPE). As expected, the results were encouraging. Keywords: PM10, Autoregression, Forecast Acknowledgement The authors would like to acknowledge the financial support by the Scientific and Technological Research Council of Turkey (TUBITAK, project no:112Y319).

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

DOE Office of Scientific and Technical Information (OSTI.GOV)

Xu, J.; Yoo, S.; Heiser, J.

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 duemore » 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.« less

Estimating long-run equilibrium real exchange rates: short-lived shocks with long-lived impacts on Pakistan.

PubMed

Zardad, Asma; Mohsin, Asma; Zaman, Khalid

2013-12-01

The purpose of this study is to investigate the factors that affect real exchange rate volatility for Pakistan through the co-integration and error correction model over a 30-year time period, i.e. between 1980 and 2010. The study employed the autoregressive conditional heteroskedasticity (ARCH), generalized autoregressive conditional heteroskedasticity (GARCH) and Vector Error Correction model (VECM) to estimate the changes in the volatility of real exchange rate series, while an error correction model was used to determine the short-run dynamics of the system. The study is limited to a few variables i.e., productivity differential (i.e., real GDP per capita relative to main trading partner); terms of trade; trade openness and government expenditures in order to manage robust data. The result indicates that real effective exchange rate (REER) has been volatile around its equilibrium level; while, the speed of adjustment is relatively slow. VECM results confirm long run convergence of real exchange rate towards its equilibrium level. Results from ARCH and GARCH estimation shows that real shocks volatility persists, so that shocks die out rather slowly, and lasting misalignment seems to have occurred.

Mean-variance portfolio optimization by using time series approaches based on logarithmic utility function

NASA Astrophysics Data System (ADS)

Soeryana, E.; Fadhlina, N.; Sukono; Rusyaman, E.; Supian, S.

2017-01-01

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant based on logarithmic utility function. Non constant mean analysed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analysed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyse some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analysed.

Mean-Variance portfolio optimization by using non constant mean and volatility based on the negative exponential utility function

NASA Astrophysics Data System (ADS)

Soeryana, Endang; Halim, Nurfadhlina Bt Abdul; Sukono, Rusyaman, Endang; Supian, Sudradjat

2017-03-01

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant based on the Negative Exponential Utility Function. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyze some stocks in Indonesia. The expected result is to get the proportion of investment in each stock analyzed

Relative risk for HIV in India - An estimate using conditional auto-regressive models with Bayesian approach.

PubMed

Kandhasamy, Chandrasekaran; Ghosh, Kaushik

2017-02-01

Indian states are currently classified into HIV-risk categories based on the observed prevalence counts, percentage of infected attendees in antenatal clinics, and percentage of infected high-risk individuals. This method, however, does not account for the spatial dependence among the states nor does it provide any measure of statistical uncertainty. We provide an alternative model-based approach to address these issues. Our method uses Poisson log-normal models having various conditional autoregressive structures with neighborhood-based and distance-based weight matrices and incorporates all available covariate information. We use R and WinBugs software to fit these models to the 2011 HIV data. Based on the Deviance Information Criterion, the convolution model using distance-based weight matrix and covariate information on female sex workers, literacy rate and intravenous drug users is found to have the best fit. The relative risk of HIV for the various states is estimated using the best model and the states are then classified into the risk categories based on these estimated values. An HIV risk map of India is constructed based on these results. The choice of the final model suggests that an HIV control strategy which focuses on the female sex workers, intravenous drug users and literacy rate would be most effective. Copyright © 2017 Elsevier Ltd. All rights reserved.

Evaluation Of Statistical Models For Forecast Errors From The HBV-Model

NASA Astrophysics Data System (ADS)

Engeland, K.; Kolberg, S.; Renard, B.; Stensland, I.

2009-04-01

Three statistical models for the forecast errors for inflow to the Langvatn reservoir in Northern Norway have been constructed and tested according to how well the distribution and median values of the forecasts errors fit to the observations. For the first model observed and forecasted inflows were transformed by the Box-Cox transformation before a first order autoregressive model was constructed for the forecast errors. The parameters were conditioned on climatic conditions. In the second model the Normal Quantile Transformation (NQT) was applied on observed and forecasted inflows before a similar first order autoregressive model was constructed for the forecast errors. For the last model positive and negative errors were modeled separately. The errors were first NQT-transformed before a model where the mean values were conditioned on climate, forecasted inflow and yesterday's error. To test the three models we applied three criterions: We wanted a) the median values to be close to the observed values; b) the forecast intervals to be narrow; c) the distribution to be correct. The results showed that it is difficult to obtain a correct model for the forecast errors, and that the main challenge is to account for the auto-correlation in the errors. Model 1 and 2 gave similar results, and the main drawback is that the distributions are not correct. The 95% forecast intervals were well identified, but smaller forecast intervals were over-estimated, and larger intervals were under-estimated. Model 3 gave a distribution that fits better, but the median values do not fit well since the auto-correlation is not properly accounted for. If the 95% forecast interval is of interest, Model 2 is recommended. If the whole distribution is of interest, Model 3 is recommended.

Time to burn: Modeling wildland arson as an autoregressive crime function

Treesearch

Jeffrey P. Prestemon; David T. Butry

2005-01-01

Six Poisson autoregressive models of order p [PAR(p)] of daily wildland arson ignition counts are estimated for five locations in Florida (1994-2001). In addition, a fixed effects time-series Poisson model of annual arson counts is estimated for all Florida counties (1995-2001). PAR(p) model estimates reveal highly significant arson ignition autocorrelation, lasting up...

Exploring the Specifications of Spatial Adjacencies and Weights in Bayesian Spatial Modeling with Intrinsic Conditional Autoregressive Priors in a Small-area Study of Fall Injuries

PubMed Central

Law, Jane

2016-01-01

Intrinsic conditional autoregressive modeling in a Bayeisan hierarchical framework has been increasingly applied in small-area ecological studies. This study explores the specifications of spatial structure in this Bayesian framework in two aspects: adjacency, i.e., the set of neighbor(s) for each area; and (spatial) weight for each pair of neighbors. Our analysis was based on a small-area study of falling injuries among people age 65 and older in Ontario, Canada, that was aimed to estimate risks and identify risk factors of such falls. In the case study, we observed incorrect adjacencies information caused by deficiencies in the digital map itself. Further, when equal weights was replaced by weights based on a variable of expected count, the range of estimated risks increased, the number of areas with probability of estimated risk greater than one at different probability thresholds increased, and model fit improved. More importantly, significance of a risk factor diminished. Further research to thoroughly investigate different methods of variable weights; quantify the influence of specifications of spatial weights; and develop strategies for better defining spatial structure of a map in small-area analysis in Bayesian hierarchical spatial modeling is recommended. PMID:29546147

Modelling of cayenne production in Central Java using ARIMA-GARCH

NASA Astrophysics Data System (ADS)

Tarno; Sudarno; Ispriyanti, Dwi; Suparti

2018-05-01

Some regencies/cities in Central Java Province are known as producers of horticultural crops in Indonesia, for example, Brebes which is the largest area of shallot producer in Central Java, while the others, such as Cilacap and Wonosobo are the areas of cayenne commodities production. Currently, cayenne is a strategic commodity and it has broad impact to Indonesian economic development. Modelling the cayenne production is necessary to predict about the commodity to meet the need for society. The needs fulfillment of society will affect stability of the concerned commodity price. Based on the reality, the decreasing of cayenne production will cause the increasing of society’s basic needs price, and finally it will affect the inflation level at that area. This research focused on autoregressive integrated moving average (ARIMA) modelling by considering the effect of autoregressive conditional heteroscedasticity (ARCH) to study about cayenne production in Central Java. The result of empirical study of ARIMA-GARCH modelling for cayenne production in Central Java from January 2003 to November 2015 is ARIMA([1,3],0,0)-GARCH(1,0) as the best model.

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

NASA Astrophysics Data System (ADS)

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.

Performance of the Prognocean Plus system during the El Niño 2015/2016: predictions of sea level anomalies as tools for forecasting El Niño

NASA Astrophysics Data System (ADS)

Świerczyńska-Chlaściak, Małgorzata; Niedzielski, Tomasz; Miziński, Bartłomiej

2017-04-01

The aim of this paper is to present the performance of the Prognocean Plus system, which produces long-term predictions of sea level anomalies, during the El Niño 2015/2016. The main objective of work is to identify such ocean areas in which long-term forecasts of sea level anomalies during El Niño 2015/2016 reveal a considerable accuracy. At present, the system produces prognoses using four data-based models and their combinations: polynomial-harmonic model, autoregressive model, threshold autoregressive model and multivariate autoregressive model. The system offers weekly forecasts, with lead time up to 12 weeks. Several statistics that describe the efficiency of the available prediction models in four seasons used for estimating Oceanic Niño index (ONI) are calculated. The accuracies/skills of the predicting models were computed in the specific locations in the equatorial Pacific, namely the geometrically-determined central points of all Niño regions. For the said locations, we focused on the forecasts which targeted at the local maximum of sea level, driven by the El Niño 2015/2016. As a result, a series of the "spaghetti" graphs (for each point, season and model) as well as plots presenting the prognostic performance of every model - for all lead times, seasons and locations - were created. It is found that the Prognocean Plus system has a potential to become a new solution which may enhance the diagnostic discussions on the El Niño development. The forecasts produced by the threshold autoregressive model, for lead times of 5-6 weeks and 9 weeks, within the Niño1+2 region for the November-to-January (NDJ) season anticipated the culmination of the El Niño 2015/2016. The longest forecasts (8-12 weeks) were found to be the most accurate in the phase of transition from El Niño to normal conditions (the multivariate autoregressive model, central point of Niño1+2 region, the December-to-February season). The study was conducted to verify the ability and usefulness of sea level anomaly forecasts in predicting phenomena that are controlled by the ocean-atmosphere processes, such as El Niño Southern Oscillation or North Atlantic Oscillation. The results may support further investigations into long-term forecasting of the quantitative indices of these oscillations, solely based on prognoses of sea level change. In particular, comparing the accuracies of prognoses of the North Atlantic Oscillation index remains one of the tasks of the research project no. 2016/21/N/ST10/03231, financed by the National Science Center of Poland.

Spatial Dynamics and Determinants of County-Level Education Expenditure in China

ERIC Educational Resources Information Center

Gu, Jiafeng

2012-01-01

In this paper, a multivariate spatial autoregressive model of local public education expenditure determination with autoregressive disturbance is developed and estimated. The existence of spatial interdependence is tested using Moran's I statistic and Lagrange multiplier test statistics for both the spatial error and spatial lag models. The full…

Spatial Autocorrelation And Autoregressive Models In Ecology

Treesearch

Jeremy W. Lichstein; Theodore R. Simons; Susan A. Shriner; Kathleen E. Franzreb

2003-01-01

Abstract. Recognition and analysis of spatial autocorrelation has defined a new paradigm in ecology. Attention to spatial pattern can lead to insights that would have been otherwise overlooked, while ignoring space may lead to false conclusions about ecological relationships. We used Gaussian spatial autoregressive models, fit with widely available...

Modeling climate effects on hip fracture rate by the multivariate GARCH model in Montreal region, Canada.

PubMed

Modarres, Reza; Ouarda, Taha B M J; Vanasse, Alain; Orzanco, Maria Gabriela; Gosselin, Pierre

2014-07-01

Changes in extreme meteorological variables and the demographic shift towards an older population have made it important to investigate the association of climate variables and hip fracture by advanced methods in order to determine the climate variables that most affect hip fracture incidence. The nonlinear autoregressive moving average with exogenous variable-generalized autoregressive conditional heteroscedasticity (ARMAX-GARCH) and multivariate GARCH (MGARCH) time series approaches were applied to investigate the nonlinear association between hip fracture rate in female and male patients aged 40-74 and 75+ years and climate variables in the period of 1993-2004, in Montreal, Canada. The models describe 50-56% of daily variation in hip fracture rate and identify snow depth, air temperature, day length and air pressure as the influencing variables on the time-varying mean and variance of the hip fracture rate. The conditional covariance between climate variables and hip fracture rate is increasing exponentially, showing that the effect of climate variables on hip fracture rate is most acute when rates are high and climate conditions are at their worst. In Montreal, climate variables, particularly snow depth and air temperature, appear to be important predictors of hip fracture incidence. The association of climate variables and hip fracture does not seem to change linearly with time, but increases exponentially under harsh climate conditions. The results of this study can be used to provide an adaptive climate-related public health program and ti guide allocation of services for avoiding hip fracture risk.

Modeling climate effects on hip fracture rate by the multivariate GARCH model in Montreal region, Canada

NASA Astrophysics Data System (ADS)

Modarres, Reza; Ouarda, Taha B. M. J.; Vanasse, Alain; Orzanco, Maria Gabriela; Gosselin, Pierre

2014-07-01

Changes in extreme meteorological variables and the demographic shift towards an older population have made it important to investigate the association of climate variables and hip fracture by advanced methods in order to determine the climate variables that most affect hip fracture incidence. The nonlinear autoregressive moving average with exogenous variable-generalized autoregressive conditional heteroscedasticity (ARMA X-GARCH) and multivariate GARCH (MGARCH) time series approaches were applied to investigate the nonlinear association between hip fracture rate in female and male patients aged 40-74 and 75+ years and climate variables in the period of 1993-2004, in Montreal, Canada. The models describe 50-56 % of daily variation in hip fracture rate and identify snow depth, air temperature, day length and air pressure as the influencing variables on the time-varying mean and variance of the hip fracture rate. The conditional covariance between climate variables and hip fracture rate is increasing exponentially, showing that the effect of climate variables on hip fracture rate is most acute when rates are high and climate conditions are at their worst. In Montreal, climate variables, particularly snow depth and air temperature, appear to be important predictors of hip fracture incidence. The association of climate variables and hip fracture does not seem to change linearly with time, but increases exponentially under harsh climate conditions. The results of this study can be used to provide an adaptive climate-related public health program and ti guide allocation of services for avoiding hip fracture risk.

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

NASA Astrophysics Data System (ADS)

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.

Reconstruction of late Holocene climate based on tree growth and mechanistic hierarchical models

USGS Publications Warehouse

Tipton, John; Hooten, Mevin B.; Pederson, Neil; Tingley, Martin; Bishop, Daniel

2016-01-01

Reconstruction of pre-instrumental, late Holocene climate is important for understanding how climate has changed in the past and how climate might change in the future. Statistical prediction of paleoclimate from tree ring widths is challenging because tree ring widths are a one-dimensional summary of annual growth that represents a multi-dimensional set of climatic and biotic influences. We develop a Bayesian hierarchical framework using a nonlinear, biologically motivated tree ring growth model to jointly reconstruct temperature and precipitation in the Hudson Valley, New York. Using a common growth function to describe the response of a tree to climate, we allow for species-specific parameterizations of the growth response. To enable predictive backcasts, we model the climate variables with a vector autoregressive process on an annual timescale coupled with a multivariate conditional autoregressive process that accounts for temporal correlation and cross-correlation between temperature and precipitation on a monthly scale. Our multi-scale temporal model allows for flexibility in the climate response through time at different temporal scales and predicts reasonable climate scenarios given tree ring width data.

Estimation of Value-at-Risk for Energy Commodities via CAViaR Model

NASA Astrophysics Data System (ADS)

Xiliang, Zhao; Xi, Zhu

This paper uses the Conditional Autoregressive Value at Risk model (CAViaR) proposed by Engle and Manganelli (2004) to evaluate the value-at-risk for daily spot prices of Brent crude oil and West Texas Intermediate crude oil covering the period May 21th, 1987 to Novermber 18th, 2008. Then the accuracy of the estimates of CAViaR model, Normal-GARCH, and GED-GARCH was compared. The results show that all the methods do good job for the low confidence level (95%), and GED-GARCH is the best for spot WTI price, Normal-GARCH and Adaptive-CAViaR are the best for spot Brent price. However, for the high confidence level (99%), Normal-GARCH do a good job for spot WTI, GED-GARCH and four kind of CAViaR specifications do well for spot Brent price. Normal-GARCH does badly for spot Brent price. The result seems suggest that CAViaR do well as well as GED-GARCH since CAViaR directly model the quantile autoregression, but it does not outperform GED-GARCH although it does outperform Normal-GARCH.

Functional MRI and Multivariate Autoregressive Models

PubMed Central

Rogers, Baxter P.; Katwal, Santosh B.; Morgan, Victoria L.; Asplund, Christopher L.; Gore, John C.

2010-01-01

Connectivity refers to the relationships that exist between different regions of the brain. In the context of functional magnetic resonance imaging (fMRI), it implies a quantifiable relationship between hemodynamic signals from different regions. One aspect of this relationship is the existence of small timing differences in the signals in different regions. Delays of 100 ms or less may be measured with fMRI, and these may reflect important aspects of the manner in which brain circuits respond as well as the overall functional organization of the brain. The multivariate autoregressive time series model has features to recommend it for measuring these delays, and is straightforward to apply to hemodynamic data. In this review, we describe the current usage of the multivariate autoregressive model for fMRI, discuss the issues that arise when it is applied to hemodynamic time series, and consider several extensions. Connectivity measures like Granger causality that are based on the autoregressive model do not always reflect true neuronal connectivity; however, we conclude that careful experimental design could make this methodology quite useful in extending the information obtainable using fMRI. PMID:20444566

Assessment of variability in the hydrological cycle of the Loess Plateau, China: examining dependence structures of hydrological processes

NASA Astrophysics Data System (ADS)

Guo, A.; Wang, Y.

2017-12-01

Investigating variability in dependence structures of hydrological processes is of critical importance for developing an understanding of mechanisms of hydrological cycles in changing environments. In focusing on this topic, present work involves the following: (1) identifying and eliminating serial correlation and conditional heteroscedasticity in monthly streamflow (Q), precipitation (P) and potential evapotranspiration (PE) series using the ARMA-GARCH model (ARMA: autoregressive moving average; GARCH: generalized autoregressive conditional heteroscedasticity); (2) describing dependence structures of hydrological processes using partial copula coupled with the ARMA-GARCH model and identifying their variability via copula-based likelihood-ratio test method; and (3) determining conditional probability of annual Q under different climate scenarios on account of above results. This framework enables us to depict hydrological variables in the presence of conditional heteroscedasticity and to examine dependence structures of hydrological processes while excluding the influence of covariates by using partial copula-based ARMA-GARCH model. Eight major catchments across the Loess Plateau (LP) are used as study regions. Results indicate that (1) The occurrence of change points in dependence structures of Q and P (PE) varies across the LP. Change points of P-PE dependence structures in all regions almost fully correspond to the initiation of global warming, i.e., the early 1980s. (3) Conditional probabilities of annual Q under various P and PE scenarios are estimated from the 3-dimensional joint distribution of (Q, P and PE) based on the above change points. These findings shed light on mechanisms of the hydrological cycle and can guide water supply planning and management, particularly in changing environments.

Fuzzy neural network technique for system state forecasting.

PubMed

Li, Dezhi; Wang, Wilson; Ismail, Fathy

2013-10-01

In many system state forecasting applications, the prediction is performed based on multiple datasets, each corresponding to a distinct system condition. The traditional methods dealing with multiple datasets (e.g., vector autoregressive moving average models and neural networks) have some shortcomings, such as limited modeling capability and opaque reasoning operations. To tackle these problems, a novel fuzzy neural network (FNN) is proposed in this paper to effectively extract information from multiple datasets, so as to improve forecasting accuracy. The proposed predictor consists of both autoregressive (AR) nodes modeling and nonlinear nodes modeling; AR models/nodes are used to capture the linear correlation of the datasets, and the nonlinear correlation of the datasets are modeled with nonlinear neuron nodes. A novel particle swarm technique [i.e., Laplace particle swarm (LPS) method] is proposed to facilitate parameters estimation of the predictor and improve modeling accuracy. The effectiveness of the developed FNN predictor and the associated LPS method is verified by a series of tests related to Mackey-Glass data forecast, exchange rate data prediction, and gear system prognosis. Test results show that the developed FNN predictor and the LPS method can capture the dynamics of multiple datasets effectively and track system characteristics accurately.

Hedonic price models with omitted variables and measurement errors: a constrained autoregression-structural equation modeling approach with application to urban Indonesia

NASA Astrophysics Data System (ADS)

Suparman, Yusep; Folmer, Henk; Oud, Johan H. L.

2014-01-01

Omitted variables and measurement errors in explanatory variables frequently occur in hedonic price models. Ignoring these problems leads to biased estimators. In this paper, we develop a constrained autoregression-structural equation model (ASEM) to handle both types of problems. Standard panel data models to handle omitted variables bias are based on the assumption that the omitted variables are time-invariant. ASEM allows handling of both time-varying and time-invariant omitted variables by constrained autoregression. In the case of measurement error, standard approaches require additional external information which is usually difficult to obtain. ASEM exploits the fact that panel data are repeatedly measured which allows decomposing the variance of a variable into the true variance and the variance due to measurement error. We apply ASEM to estimate a hedonic housing model for urban Indonesia. To get insight into the consequences of measurement error and omitted variables, we compare the ASEM estimates with the outcomes of (1) a standard SEM, which does not account for omitted variables, (2) a constrained autoregression model, which does not account for measurement error, and (3) a fixed effects hedonic model, which ignores measurement error and time-varying omitted variables. The differences between the ASEM estimates and the outcomes of the three alternative approaches are substantial.

Sinusoidal synthesis based adaptive tracking for rotating machinery fault detection

NASA Astrophysics Data System (ADS)

Li, Gang; McDonald, Geoff L.; Zhao, Qing

2017-01-01

This paper presents a novel Sinusoidal Synthesis Based Adaptive Tracking (SSBAT) technique for vibration-based rotating machinery fault detection. The proposed SSBAT algorithm is an adaptive time series technique that makes use of both frequency and time domain information of vibration signals. Such information is incorporated in a time varying dynamic model. Signal tracking is then realized by applying adaptive sinusoidal synthesis to the vibration signal. A modified Least-Squares (LS) method is adopted to estimate the model parameters. In addition to tracking, the proposed vibration synthesis model is mainly used as a linear time-varying predictor. The health condition of the rotating machine is monitored by checking the residual between the predicted and measured signal. The SSBAT method takes advantage of the sinusoidal nature of vibration signals and transfers the nonlinear problem into a linear adaptive problem in the time domain based on a state-space realization. It has low computation burden and does not need a priori knowledge of the machine under the no-fault condition which makes the algorithm ideal for on-line fault detection. The method is validated using both numerical simulation and practical application data. Meanwhile, the fault detection results are compared with the commonly adopted autoregressive (AR) and autoregressive Minimum Entropy Deconvolution (ARMED) method to verify the feasibility and performance of the SSBAT method.

Non-linear models for the detection of impaired cerebral blood flow autoregulation.

PubMed

Chacón, Max; Jara, José Luis; Miranda, Rodrigo; Katsogridakis, Emmanuel; Panerai, Ronney B

2018-01-01

The ability to discriminate between normal and impaired dynamic cerebral autoregulation (CA), based on measurements of spontaneous fluctuations in arterial blood pressure (BP) and cerebral blood flow (CBF), has considerable clinical relevance. We studied 45 normal subjects at rest and under hypercapnia induced by breathing a mixture of carbon dioxide and air. Non-linear models with BP as input and CBF velocity (CBFV) as output, were implemented with support vector machines (SVM) using separate recordings for learning and validation. Dynamic SVM implementations used either moving average or autoregressive structures. The efficiency of dynamic CA was estimated from the model's derived CBFV response to a step change in BP as an autoregulation index for both linear and non-linear models. Non-linear models with recurrences (autoregressive) showed the best results, with CA indexes of 5.9 ± 1.5 in normocapnia, and 2.5 ± 1.2 for hypercapnia with an area under the receiver-operator curve of 0.955. The high performance achieved by non-linear SVM models to detect deterioration of dynamic CA should encourage further assessment of its applicability to clinical conditions where CA might be impaired.

Forecasting Instability Indicators in the Horn of Africa

DTIC Science & Technology

2008-03-01

further than 2 (Makridakis, et al, 1983, 359). 2-32 Autoregressive Integrated Moving Average ( ARIMA ) Model . Similar to the ARMA model except for...stationary process. ARIMA models are described as ARIMA (p,d,q), where p is the order of the autoregressive process, d is the degree of the...differential process, and q is the order of the moving average process. The ARMA (1,1) model shown above is equivalent to an ARIMA (1,0,1) model . An ARIMA

Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks

PubMed Central

2015-01-01

Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency. PMID:26539722

Forecasting Natural Gas Prices Using Wavelets, Time Series, and Artificial Neural Networks.

PubMed

Jin, Junghwan; Kim, Jinsoo

2015-01-01

Following the unconventional gas revolution, the forecasting of natural gas prices has become increasingly important because the association of these prices with those of crude oil has weakened. With this as motivation, we propose some modified hybrid models in which various combinations of the wavelet approximation, detail components, autoregressive integrated moving average, generalized autoregressive conditional heteroskedasticity, and artificial neural network models are employed to predict natural gas prices. We also emphasize the boundary problem in wavelet decomposition, and compare results that consider the boundary problem case with those that do not. The empirical results show that our suggested approach can handle the boundary problem, such that it facilitates the extraction of the appropriate forecasting results. The performance of the wavelet-hybrid approach was superior in all cases, whereas the application of detail components in the forecasting was only able to yield a small improvement in forecasting performance. Therefore, forecasting with only an approximation component would be acceptable, in consideration of forecasting efficiency.

Three essays on price dynamics and causations among energy markets and macroeconomic information

NASA Astrophysics Data System (ADS)

Hong, Sung Wook

This dissertation examines three important issues in energy markets: price dynamics, information flow, and structural change. We discuss each issue in detail, building empirical time series models, analyzing the results, and interpreting the findings. First, we examine the contemporaneous interdependencies and information flows among crude oil, natural gas, and electricity prices in the United States (US) through the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model, Directed Acyclic Graph (DAG) for contemporaneous causal structures and Bernanke factorization for price dynamic processes. Test results show that the DAG from residuals of out-of-sample-forecast is consistent with the DAG from residuals of within-sample-fit. The result supports innovation accounting analysis based on DAGs using residuals of out-of-sample-forecast. Second, we look at the effects of the federal fund rate and/or WTI crude oil price shock on US macroeconomic and financial indicators by using a Factor Augmented Vector Autoregression (FAVAR) model and a graphical model without any deductive assumption. The results show that, in contemporaneous time, the federal fund rate shock is exogenous as the identifying assumption in the Vector Autoregression (VAR) framework of the monetary shock transmission mechanism, whereas the WTI crude oil price return is not exogenous. Third, we examine price dynamics and contemporaneous causality among the price returns of WTI crude oil, gasoline, corn, and the S&P 500. We look for structural break points and then build an econometric model to find the consistent sub-periods having stable parameters in a given VAR framework and to explain recent movements and interdependency among returns. We found strong evidence of two structural breaks and contemporaneous causal relationships among the residuals, but also significant differences between contemporaneous causal structures for each sub-period.

Non-linear models for the detection of impaired cerebral blood flow autoregulation

PubMed Central

Miranda, Rodrigo; Katsogridakis, Emmanuel

2018-01-01

The ability to discriminate between normal and impaired dynamic cerebral autoregulation (CA), based on measurements of spontaneous fluctuations in arterial blood pressure (BP) and cerebral blood flow (CBF), has considerable clinical relevance. We studied 45 normal subjects at rest and under hypercapnia induced by breathing a mixture of carbon dioxide and air. Non-linear models with BP as input and CBF velocity (CBFV) as output, were implemented with support vector machines (SVM) using separate recordings for learning and validation. Dynamic SVM implementations used either moving average or autoregressive structures. The efficiency of dynamic CA was estimated from the model’s derived CBFV response to a step change in BP as an autoregulation index for both linear and non-linear models. Non-linear models with recurrences (autoregressive) showed the best results, with CA indexes of 5.9 ± 1.5 in normocapnia, and 2.5 ± 1.2 for hypercapnia with an area under the receiver-operator curve of 0.955. The high performance achieved by non-linear SVM models to detect deterioration of dynamic CA should encourage further assessment of its applicability to clinical conditions where CA might be impaired. PMID:29381724

Fractal and chaotic laws on seismic dissipated energy in an energy system of engineering structures

NASA Astrophysics Data System (ADS)

Cui, Yu-Hong; Nie, Yong-An; Yan, Zong-Da; Wu, Guo-You

1998-09-01

Fractal and chaotic laws of engineering structures are discussed in this paper, it means that the intrinsic essences and laws on dynamic systems which are made from seismic dissipated energy intensity E d and intensity of seismic dissipated energy moment I e are analyzed. Based on the intrinsic characters of chaotic and fractal dynamic system of E d and I e, three kinds of approximate dynamic models are rebuilt one by one: index autoregressive model, threshold autoregressive model and local-approximate autoregressive model. The innate laws, essences and systematic error of evolutional behavior I e are explained over all, the short-term behavior predictability and long-term behavior probability of which are analyzed in the end. That may be valuable for earthquake-resistant theory and analysis method in practical engineering structures.

The Performance of Multilevel Growth Curve Models under an Autoregressive Moving Average Process

ERIC Educational Resources Information Center

Murphy, Daniel L.; Pituch, Keenan A.

2009-01-01

The authors examined the robustness of multilevel linear growth curve modeling to misspecification of an autoregressive moving average process. As previous research has shown (J. Ferron, R. Dailey, & Q. Yi, 2002; O. Kwok, S. G. West, & S. B. Green, 2007; S. Sivo, X. Fan, & L. Witta, 2005), estimates of the fixed effects were unbiased, and Type I…

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

ERIC Educational Resources Information Center

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.…

Processing on weak electric signals by the autoregressive model

NASA Astrophysics Data System (ADS)

Ding, Jinli; Zhao, Jiayin; Wang, Lanzhou; Li, Qiao

2008-10-01

A model of the autoregressive model of weak electric signals in two plants was set up for the first time. The result of the AR model to forecast 10 values of the weak electric signals is well. It will construct a standard set of the AR model coefficient of the plant electric signal and the environmental factor, and can be used as the preferences for the intelligent autocontrol system based on the adaptive characteristic of plants to achieve the energy saving on agricultural productions.

Trans-dimensional joint inversion of seabed scattering and reflection data.

PubMed

Steininger, Gavin; Dettmer, Jan; Dosso, Stan E; Holland, Charles W

2013-03-01

This paper examines joint inversion of acoustic scattering and reflection data to resolve seabed interface roughness parameters (spectral strength, exponent, and cutoff) and geoacoustic profiles. Trans-dimensional (trans-D) Bayesian sampling is applied with both the number of sediment layers and the order (zeroth or first) of auto-regressive parameters in the error model treated as unknowns. A prior distribution that allows fluid sediment layers over an elastic basement in a trans-D inversion is derived and implemented. Three cases are considered: Scattering-only inversion, joint scattering and reflection inversion, and joint inversion with the trans-D auto-regressive error model. Including reflection data improves the resolution of scattering and geoacoustic parameters. The trans-D auto-regressive model further improves scattering resolution and correctly differentiates between strongly and weakly correlated residual errors.

Hierarchical Bayesian spatial models for multispecies conservation planning and monitoring.

PubMed

Carroll, Carlos; Johnson, Devin S; Dunk, Jeffrey R; Zielinski, William J

2010-12-01

Biologists who develop and apply habitat models are often familiar with the statistical challenges posed by their data's spatial structure but are unsure of whether the use of complex spatial models will increase the utility of model results in planning. We compared the relative performance of nonspatial and hierarchical Bayesian spatial models for three vertebrate and invertebrate taxa of conservation concern (Church's sideband snails [Monadenia churchi], red tree voles [Arborimus longicaudus], and Pacific fishers [Martes pennanti pacifica]) that provide examples of a range of distributional extents and dispersal abilities. We used presence-absence data derived from regional monitoring programs to develop models with both landscape and site-level environmental covariates. We used Markov chain Monte Carlo algorithms and a conditional autoregressive or intrinsic conditional autoregressive model framework to fit spatial models. The fit of Bayesian spatial models was between 35 and 55% better than the fit of nonspatial analogue models. Bayesian spatial models outperformed analogous models developed with maximum entropy (Maxent) methods. Although the best spatial and nonspatial models included similar environmental variables, spatial models provided estimates of residual spatial effects that suggested how ecological processes might structure distribution patterns. Spatial models built from presence-absence data improved fit most for localized endemic species with ranges constrained by poorly known biogeographic factors and for widely distributed species suspected to be strongly affected by unmeasured environmental variables or population processes. By treating spatial effects as a variable of interest rather than a nuisance, hierarchical Bayesian spatial models, especially when they are based on a common broad-scale spatial lattice (here the national Forest Inventory and Analysis grid of 24 km(2) hexagons), can increase the relevance of habitat models to multispecies conservation planning. Journal compilation © 2010 Society for Conservation Biology. No claim to original US government works.

Time series models on analysing mortality rates and acute childhood lymphoid leukaemia.

PubMed

Kis, Maria

2005-01-01

In this paper we demonstrate applying time series models on medical research. The Hungarian mortality rates were analysed by autoregressive integrated moving average models and seasonal time series models examined the data of acute childhood lymphoid leukaemia.The mortality data may be analysed by time series methods such as autoregressive integrated moving average (ARIMA) modelling. This method is demonstrated by two examples: analysis of the mortality rates of ischemic heart diseases and analysis of the mortality rates of cancer of digestive system. Mathematical expressions are given for the results of analysis. The relationships between time series of mortality rates were studied with ARIMA models. Calculations of confidence intervals for autoregressive parameters by tree methods: standard normal distribution as estimation and estimation of the White's theory and the continuous time case estimation. Analysing the confidence intervals of the first order autoregressive parameters we may conclude that the confidence intervals were much smaller than other estimations by applying the continuous time estimation model.We present a new approach to analysing the occurrence of acute childhood lymphoid leukaemia. We decompose time series into components. The periodicity of acute childhood lymphoid leukaemia in Hungary was examined using seasonal decomposition time series method. The cyclic trend of the dates of diagnosis revealed that a higher percent of the peaks fell within the winter months than in the other seasons. This proves the seasonal occurrence of the childhood leukaemia in Hungary.

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

NASA Astrophysics Data System (ADS)

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.

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

PubMed

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.

Autoregressive model in the Lp norm space for EEG analysis.

PubMed

Li, Peiyang; Wang, Xurui; Li, Fali; Zhang, Rui; Ma, Teng; Peng, Yueheng; Lei, Xu; Tian, Yin; Guo, Daqing; Liu, Tiejun; Yao, Dezhong; Xu, Peng

2015-01-30

The autoregressive (AR) model is widely used in electroencephalogram (EEG) analyses such as waveform fitting, spectrum estimation, and system identification. In real applications, EEGs are inevitably contaminated with unexpected outlier artifacts, and this must be overcome. However, most of the current AR models are based on the L2 norm structure, which exaggerates the outlier effect due to the square property of the L2 norm. In this paper, a novel AR object function is constructed in the Lp (p≤1) norm space with the aim to compress the outlier effects on EEG analysis, and a fast iteration procedure is developed to solve this new AR model. The quantitative evaluation using simulated EEGs with outliers proves that the proposed Lp (p≤1) AR can estimate the AR parameters more robustly than the Yule-Walker, Burg and LS methods, under various simulated outlier conditions. The actual application to the resting EEG recording with ocular artifacts also demonstrates that Lp (p≤1) AR can effectively address the outliers and recover a resting EEG power spectrum that is more consistent with its physiological basis. Copyright © 2014 Elsevier B.V. All rights reserved.

A Power-Law Growth and Decay Model with Autocorrelation for Posting Data to Social Networking Services.

PubMed

Fujiyama, Toshifumi; Matsui, Chihiro; Takemura, Akimichi

2016-01-01

We propose a power-law growth and decay model for posting data to social networking services before and after social events. We model the time series structure of deviations from the power-law growth and decay with a conditional Poisson autoregressive (AR) model. Online postings related to social events are described by five parameters in the power-law growth and decay model, each of which characterizes different aspects of interest in the event. We assess the validity of parameter estimates in terms of confidence intervals, and compare various submodels based on likelihoods and information criteria.

Equilibrium Policy Proposals with Abstentions.

DTIC Science & Technology

1981-05-01

David M. Kreps. 262. ’Autoregressive Modelling and Money Income (ajusality Detection." by (heng lisiao. 263. "Measurement IError in a Dynamiic...34Autoregressive Modeling of"Canadian Money and Income Data," by Cheng Ilsjao. 277. "We Can’t Disagree IForever," by John 1). Geanakoplos and Heraklis...34*Optimal & Voluntary Income Distribution," by K. J. Arrow. 289. "’Asymptotic Values mif Mixed Gaime,.," by Abraham Neymnan. 290. "Tinie Series Modelling

Disease Mapping of Zero-excessive Mesothelioma Data in Flanders

PubMed Central

Neyens, Thomas; Lawson, Andrew B.; Kirby, Russell S.; Nuyts, Valerie; Watjou, Kevin; Aregay, Mehreteab; Carroll, Rachel; Nawrot, Tim S.; Faes, Christel

2016-01-01

Purpose To investigate the distribution of mesothelioma in Flanders using Bayesian disease mapping models that account for both an excess of zeros and overdispersion. Methods The numbers of newly diagnosed mesothelioma cases within all Flemish municipalities between 1999 and 2008 were obtained from the Belgian Cancer Registry. To deal with overdispersion, zero-inflation and geographical association, the hurdle combined model was proposed, which has three components: a Bernoulli zero-inflation mixture component to account for excess zeros, a gamma random effect to adjust for overdispersion and a normal conditional autoregressive random effect to attribute spatial association. This model was compared with other existing methods in literature. Results The results indicate that hurdle models with a random effects term accounting for extra-variance in the Bernoulli zero-inflation component fit the data better than hurdle models that do not take overdispersion in the occurrence of zeros into account. Furthermore, traditional models that do not take into account excessive zeros but contain at least one random effects term that models extra-variance in the counts have better fits compared to their hurdle counterparts. In other words, the extra-variability, due to an excess of zeros, can be accommodated by spatially structured and/or unstructured random effects in a Poisson model such that the hurdle mixture model is not necessary. Conclusions Models taking into account zero-inflation do not always provide better fits to data with excessive zeros than less complex models. In this study, a simple conditional autoregressive model identified a cluster in mesothelioma cases near a former asbestos processing plant (Kapelle-op-den-Bos). This observation is likely linked with historical local asbestos exposures. Future research will clarify this. PMID:27908590

Spatial analysis of macro-level bicycle crashes using the class of conditional autoregressive models.

PubMed

Saha, Dibakar; Alluri, Priyanka; Gan, Albert; Wu, Wanyang

2018-02-21

The objective of this study was to investigate the relationship between bicycle crash frequency and their contributing factors at the census block group level in Florida, USA. Crashes aggregated over the census block groups tend to be clustered (i.e., spatially dependent) rather than randomly distributed. To account for the effect of spatial dependence across the census block groups, the class of conditional autoregressive (CAR) models were employed within the hierarchical Bayesian framework. Based on four years (2011-2014) of crash data, total and fatal-and-severe injury bicycle crash frequencies were modeled as a function of a large number of variables representing demographic and socio-economic characteristics, roadway infrastructure and traffic characteristics, and bicycle activity characteristics. This study explored and compared the performance of two CAR models, namely the Besag's model and the Leroux's model, in crash prediction. The Besag's models, which differ from the Leroux's models by the structure of how spatial autocorrelation are specified in the models, were found to fit the data better. A 95% Bayesian credible interval was selected to identify the variables that had credible impact on bicycle crashes. A total of 21 variables were found to be credible in the total crash model, while 18 variables were found to be credible in the fatal-and-severe injury crash model. Population, daily vehicle miles traveled, age cohorts, household automobile ownership, density of urban roads by functional class, bicycle trip miles, and bicycle trip intensity had positive effects in both the total and fatal-and-severe crash models. Educational attainment variables, truck percentage, and density of rural roads by functional class were found to be negatively associated with both total and fatal-and-severe bicycle crash frequencies. Published by Elsevier Ltd.

Disease mapping of zero-excessive mesothelioma data in Flanders.

PubMed

Neyens, Thomas; Lawson, Andrew B; Kirby, Russell S; Nuyts, Valerie; Watjou, Kevin; Aregay, Mehreteab; Carroll, Rachel; Nawrot, Tim S; Faes, Christel

2017-01-01

To investigate the distribution of mesothelioma in Flanders using Bayesian disease mapping models that account for both an excess of zeros and overdispersion. The numbers of newly diagnosed mesothelioma cases within all Flemish municipalities between 1999 and 2008 were obtained from the Belgian Cancer Registry. To deal with overdispersion, zero inflation, and geographical association, the hurdle combined model was proposed, which has three components: a Bernoulli zero-inflation mixture component to account for excess zeros, a gamma random effect to adjust for overdispersion, and a normal conditional autoregressive random effect to attribute spatial association. This model was compared with other existing methods in literature. The results indicate that hurdle models with a random effects term accounting for extra variance in the Bernoulli zero-inflation component fit the data better than hurdle models that do not take overdispersion in the occurrence of zeros into account. Furthermore, traditional models that do not take into account excessive zeros but contain at least one random effects term that models extra variance in the counts have better fits compared to their hurdle counterparts. In other words, the extra variability, due to an excess of zeros, can be accommodated by spatially structured and/or unstructured random effects in a Poisson model such that the hurdle mixture model is not necessary. Models taking into account zero inflation do not always provide better fits to data with excessive zeros than less complex models. In this study, a simple conditional autoregressive model identified a cluster in mesothelioma cases near a former asbestos processing plant (Kapelle-op-den-Bos). This observation is likely linked with historical local asbestos exposures. Future research will clarify this. Copyright © 2016 Elsevier Inc. All rights reserved.

Studying the effect of weather conditions on daily crash counts using a discrete time-series model.

PubMed

Brijs, Tom; Karlis, Dimitris; Wets, Geert

2008-05-01

In previous research, significant effects of weather conditions on car crashes have been found. However, most studies use monthly or yearly data and only few studies are available analyzing the impact of weather conditions on daily car crash counts. Furthermore, the studies that are available on a daily level do not explicitly model the data in a time-series context, hereby ignoring the temporal serial correlation that may be present in the data. In this paper, we introduce an integer autoregressive model for modelling count data with time interdependencies. The model is applied to daily car crash data, metereological data and traffic exposure data from the Netherlands aiming at examining the risk impact of weather conditions on the observed counts. The results show that several assumptions related to the effect of weather conditions on crash counts are found to be significant in the data and that if serial temporal correlation is not accounted for in the model, this may produce biased results.

The Disparate Labor Market Impacts of Monetary Policy

ERIC Educational Resources Information Center

Carpenter, Seth B.; Rodgers, William M., III

2004-01-01

Employing two widely used approaches to identify the effects of monetary policy, this paper explores the differential impact of policy on the labor market outcomes of teenagers, minorities, out-of-school youth, and less-skilled individuals. Evidence from recursive vector autoregressions and autoregressive distributed lag models that use…

A novel framework to simulating non-stationary, non-linear, non-Normal hydrological time series using Markov Switching Autoregressive Models

NASA Astrophysics Data System (ADS)

Birkel, C.; Paroli, R.; Spezia, L.; Tetzlaff, D.; Soulsby, C.

2012-12-01

In this paper we present a novel model framework using the class of Markov Switching Autoregressive Models (MSARMs) to examine catchments as complex stochastic systems that exhibit non-stationary, non-linear and non-Normal rainfall-runoff and solute dynamics. Hereby, MSARMs are pairs of stochastic processes, one observed and one unobserved, or hidden. We model the unobserved process as a finite state Markov chain and assume that the observed process, given the hidden Markov chain, is conditionally autoregressive, which means that the current observation depends on its recent past (system memory). The model is fully embedded in a Bayesian analysis based on Markov Chain Monte Carlo (MCMC) algorithms for model selection and uncertainty assessment. Hereby, the autoregressive order and the dimension of the hidden Markov chain state-space are essentially self-selected. The hidden states of the Markov chain represent unobserved levels of variability in the observed process that may result from complex interactions of hydroclimatic variability on the one hand and catchment characteristics affecting water and solute storage on the other. To deal with non-stationarity, additional meteorological and hydrological time series along with a periodic component can be included in the MSARMs as covariates. This extension allows identification of potential underlying drivers of temporal rainfall-runoff and solute dynamics. We applied the MSAR model framework to streamflow and conservative tracer (deuterium and oxygen-18) time series from an intensively monitored 2.3 km2 experimental catchment in eastern Scotland. Statistical time series analysis, in the form of MSARMs, suggested that the streamflow and isotope tracer time series are not controlled by simple linear rules. MSARMs showed that the dependence of current observations on past inputs observed by transport models often in form of the long-tailing of travel time and residence time distributions can be efficiently explained by non-stationarity either of the system input (climatic variability) and/or the complexity of catchment storage characteristics. The statistical model is also capable of reproducing short (event) and longer-term (inter-event) and wet and dry dynamical "hydrological states". These reflect the non-linear transport mechanisms of flow pathways induced by transient climatic and hydrological variables and modified by catchment characteristics. We conclude that MSARMs are a powerful tool to analyze the temporal dynamics of hydrological data, allowing for explicit integration of non-stationary, non-linear and non-Normal characteristics.

Prediction of global ionospheric VTEC maps using an adaptive autoregressive model

NASA Astrophysics Data System (ADS)

Wang, Cheng; Xin, Shaoming; Liu, Xiaolu; Shi, Chuang; Fan, Lei

2018-02-01

In this contribution, an adaptive autoregressive model is proposed and developed to predict global ionospheric vertical total electron content maps (VTEC). Specifically, the spherical harmonic (SH) coefficients are predicted based on the autoregressive model, and the order of the autoregressive model is determined adaptively using the F-test method. To test our method, final CODE and IGS global ionospheric map (GIM) products, as well as altimeter TEC data during low and mid-to-high solar activity period collected by JASON, are used to evaluate the precision of our forecasting products. Results indicate that the predicted products derived from the model proposed in this paper have good consistency with the final GIMs in low solar activity, where the annual mean of the root-mean-square value is approximately 1.5 TECU. However, the performance of predicted vertical TEC in periods of mid-to-high solar activity has less accuracy than that during low solar activity periods, especially in the equatorial ionization anomaly region and the Southern Hemisphere. Additionally, in comparison with forecasting products, the final IGS GIMs have the best consistency with altimeter TEC data. Future work is needed to investigate the performance of forecasting products using the proposed method in an operational environment, rather than using the SH coefficients from the final CODE products, to understand the real-time applicability of the method.

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

NASA Astrophysics Data System (ADS)

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.

A conditional Granger causality model approach for group analysis in functional MRI

PubMed Central

Zhou, Zhenyu; Wang, Xunheng; Klahr, Nelson J.; Liu, Wei; Arias, Diana; Liu, Hongzhi; von Deneen, Karen M.; Wen, Ying; Lu, Zuhong; Xu, Dongrong; Liu, Yijun

2011-01-01

Granger causality model (GCM) derived from multivariate vector autoregressive models of data has been employed for identifying effective connectivity in the human brain with functional MR imaging (fMRI) and to reveal complex temporal and spatial dynamics underlying a variety of cognitive processes. In the most recent fMRI effective connectivity measures, pairwise GCM has commonly been applied based on single voxel values or average values from special brain areas at the group level. Although a few novel conditional GCM methods have been proposed to quantify the connections between brain areas, our study is the first to propose a viable standardized approach for group analysis of an fMRI data with GCM. To compare the effectiveness of our approach with traditional pairwise GCM models, we applied a well-established conditional GCM to pre-selected time series of brain regions resulting from general linear model (GLM) and group spatial kernel independent component analysis (ICA) of an fMRI dataset in the temporal domain. Datasets consisting of one task-related and one resting-state fMRI were used to investigate connections among brain areas with the conditional GCM method. With the GLM detected brain activation regions in the emotion related cortex during the block design paradigm, the conditional GCM method was proposed to study the causality of the habituation between the left amygdala and pregenual cingulate cortex during emotion processing. For the resting-state dataset, it is possible to calculate not only the effective connectivity between networks but also the heterogeneity within a single network. Our results have further shown a particular interacting pattern of default mode network (DMN) that can be characterized as both afferent and efferent influences on the medial prefrontal cortex (mPFC) and posterior cingulate cortex (PCC). These results suggest that the conditional GCM approach based on a linear multivariate vector autoregressive (MVAR) model can achieve greater accuracy in detecting network connectivity than the widely used pairwise GCM, and this group analysis methodology can be quite useful to extend the information obtainable in fMRI. PMID:21232892

Increased performance in the short-term water demand forecasting through the use of a parallel adaptive weighting strategy

NASA Astrophysics Data System (ADS)

Sardinha-Lourenço, A.; Andrade-Campos, A.; Antunes, A.; Oliveira, M. S.

2018-03-01

Recent research on water demand short-term forecasting has shown that models using univariate time series based on historical data are useful and can be combined with other prediction methods to reduce errors. The behavior of water demands in drinking water distribution networks focuses on their repetitive nature and, under meteorological conditions and similar consumers, allows the development of a heuristic forecast model that, in turn, combined with other autoregressive models, can provide reliable forecasts. In this study, a parallel adaptive weighting strategy of water consumption forecast for the next 24-48 h, using univariate time series of potable water consumption, is proposed. Two Portuguese potable water distribution networks are used as case studies where the only input data are the consumption of water and the national calendar. For the development of the strategy, the Autoregressive Integrated Moving Average (ARIMA) method and a short-term forecast heuristic algorithm are used. Simulations with the model showed that, when using a parallel adaptive weighting strategy, the prediction error can be reduced by 15.96% and the average error by 9.20%. This reduction is important in the control and management of water supply systems. The proposed methodology can be extended to other forecast methods, especially when it comes to the availability of multiple forecast models.

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

NASA Astrophysics Data System (ADS)

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.

An algebraic method for constructing stable and consistent autoregressive filters

DOE Office of Scientific and Technical Information (OSTI.GOV)

Harlim, John, E-mail: jharlim@psu.edu; Department of Meteorology, the Pennsylvania State University, University Park, PA 16802; Hong, Hoon, E-mail: hong@ncsu.edu

2015-02-15

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 amore » 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.« less

Failure monitoring in dynamic systems: Model construction without fault training data

NASA Technical Reports Server (NTRS)

Smyth, P.; Mellstrom, J.

1993-01-01

Advances in the use of autoregressive models, pattern recognition methods, and hidden Markov models for on-line health monitoring of dynamic systems (such as DSN antennas) have recently been reported. However, the algorithms described in previous work have the significant drawback that data acquired under fault conditions are assumed to be available in order to train the model used for monitoring the system under observation. This article reports that this assumption can be relaxed and that hidden Markov monitoring models can be constructed using only data acquired under normal conditions and prior knowledge of the system characteristics being measured. The method is described and evaluated on data from the DSS 13 34-m beam wave guide antenna. The primary conclusion from the experimental results is that the method is indeed practical and holds considerable promise for application at the 70-m antenna sites where acquisition of fault data under controlled conditions is not realistic.

Damage localization of marine risers using time series of vibration signals

NASA Astrophysics Data System (ADS)

Liu, Hao; Yang, Hezhen; Liu, Fushun

2014-10-01

Based on dynamic response signals a damage detection algorithm is developed for marine risers. Damage detection methods based on numerous modal properties have encountered issues in the researches in offshore oil community. For example, significant increase in structure mass due to marine plant/animal growth and changes in modal properties by equipment noise are not the result of damage for riser structures. In an attempt to eliminate the need to determine modal parameters, a data-based method is developed. The implementation of the method requires that vibration data are first standardized to remove the influence of different loading conditions and the autoregressive moving average (ARMA) model is used to fit vibration response signals. In addition, a damage feature factor is introduced based on the autoregressive (AR) parameters. After that, the Euclidean distance between ARMA models is subtracted as a damage indicator for damage detection and localization and a top tensioned riser simulation model with different damage scenarios is analyzed using the proposed method with dynamic acceleration responses of a marine riser as sensor data. Finally, the influence of measured noise is analyzed. According to the damage localization results, the proposed method provides accurate damage locations of risers and is robust to overcome noise effect.

Predation and fragmentation portrayed in the statistical structure of prey time series

PubMed Central

Hendrichsen, Ditte K; Topping, Chris J; Forchhammer, Mads C

2009-01-01

Background Statistical autoregressive analyses of direct and delayed density dependence are widespread in ecological research. The models suggest that changes in ecological factors affecting density dependence, like predation and landscape heterogeneity are directly portrayed in the first and second order autoregressive parameters, and the models are therefore used to decipher complex biological patterns. However, independent tests of model predictions are complicated by the inherent variability of natural populations, where differences in landscape structure, climate or species composition prevent controlled repeated analyses. To circumvent this problem, we applied second-order autoregressive time series analyses to data generated by a realistic agent-based computer model. The model simulated life history decisions of individual field voles under controlled variations in predator pressure and landscape fragmentation. Analyses were made on three levels: comparisons between predated and non-predated populations, between populations exposed to different types of predators and between populations experiencing different degrees of habitat fragmentation. Results The results are unambiguous: Changes in landscape fragmentation and the numerical response of predators are clearly portrayed in the statistical time series structure as predicted by the autoregressive model. Populations without predators displayed significantly stronger negative direct density dependence than did those exposed to predators, where direct density dependence was only moderately negative. The effects of predation versus no predation had an even stronger effect on the delayed density dependence of the simulated prey populations. In non-predated prey populations, the coefficients of delayed density dependence were distinctly positive, whereas they were negative in predated populations. Similarly, increasing the degree of fragmentation of optimal habitat available to the prey was accompanied with a shift in the delayed density dependence, from strongly negative to gradually becoming less negative. Conclusion We conclude that statistical second-order autoregressive time series analyses are capable of deciphering interactions within and across trophic levels and their effect on direct and delayed density dependence. PMID:19419539

Computational problems in autoregressive moving average (ARMA) models

NASA Technical Reports Server (NTRS)

Agarwal, G. C.; Goodarzi, S. M.; Oneill, W. D.; Gottlieb, G. L.

1981-01-01

The choice of the sampling interval and the selection of the order of the model in time series analysis are considered. Band limited (up to 15 Hz) random torque perturbations are applied to the human ankle joint. The applied torque input, the angular rotation output, and the electromyographic activity using surface electrodes from the extensor and flexor muscles of the ankle joint are recorded. Autoregressive moving average models are developed. A parameter constraining technique is applied to develop more reliable models. The asymptotic behavior of the system must be taken into account during parameter optimization to develop predictive models.

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

NASA Astrophysics Data System (ADS)

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.

Acceleration and Velocity Sensing from Measured Strain

NASA Technical Reports Server (NTRS)

Pak, Chan-Gi; Truax, Roger

2015-01-01

A simple approach for computing acceleration and velocity of a structure from the strain is proposed in this study. First, deflection and slope of the structure are computed from the strain using a two-step theory. Frequencies of the structure are computed from the time histories of strain using a parameter estimation technique together with an autoregressive moving average model. From deflection, slope, and frequencies of the structure, acceleration and velocity of the structure can be obtained using the proposed approach. Simple harmonic motion is assumed for the acceleration computations, and the central difference equation with a linear autoregressive model is used for the computations of velocity. A cantilevered rectangular wing model is used to validate the simple approach. Quality of the computed deflection, acceleration, and velocity values are independent of the number of fibers. The central difference equation with a linear autoregressive model proposed in this study follows the target response with reasonable accuracy. Therefore, the handicap of the backward difference equation, phase shift, is successfully overcome.

A Power-Law Growth and Decay Model with Autocorrelation for Posting Data to Social Networking Services

PubMed Central

Fujiyama, Toshifumi; Matsui, Chihiro; Takemura, Akimichi

2016-01-01

We propose a power-law growth and decay model for posting data to social networking services before and after social events. We model the time series structure of deviations from the power-law growth and decay with a conditional Poisson autoregressive (AR) model. Online postings related to social events are described by five parameters in the power-law growth and decay model, each of which characterizes different aspects of interest in the event. We assess the validity of parameter estimates in terms of confidence intervals, and compare various submodels based on likelihoods and information criteria. PMID:27505155

Monthly streamflow forecasting with auto-regressive integrated moving average

NASA Astrophysics Data System (ADS)

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.

Anomalous Fluctuations in Autoregressive Models with Long-Term Memory

NASA Astrophysics Data System (ADS)

Sakaguchi, Hidetsugu; Honjo, Haruo

2015-10-01

An autoregressive model with a power-law type memory kernel is studied as a stochastic process that exhibits a self-affine-fractal-like behavior for a small time scale. We find numerically that the root-mean-square displacement Δ(m) for the time interval m increases with a power law as mα with α < 1/2 for small m but saturates at sufficiently large m. The exponent α changes with the power exponent of the memory kernel.

EEG data reduction by means of autoregressive representation and discriminant analysis procedures.

PubMed

Blinowska, K J; Czerwosz, L T; Drabik, W; Franaszczuk, P J; Ekiert, H

1981-06-01

A program for automatic evaluation of EEG spectra, providing considerable reduction of data, was devised. Artefacts were eliminated in two steps: first, the longer duration eye movement artefacts were removed by a fast and simple 'moving integral' methods, then occasional spikes were identified by means of a detection function defined in the formalism of the autoregressive (AR) model. The evaluation of power spectra was performed by means of an FFT and autoregressive representation, which made possible the comparison of both methods. The spectra obtained by means of the AR model had much smaller statistical fluctuations and better resolution, enabling us to follow the time changes of the EEG pattern. Another advantage of the autoregressive approach was the parametric description of the signal. This last property appeared to be essential in distinguishing the changes in the EEG pattern. In a drug study the application of the coefficients of the AR model as input parameters in the discriminant analysis, instead of arbitrary chosen frequency bands, brought a significant improvement in distinguishing the effects of the medication. The favourable properties of the AR model are connected with the fact that the above approach fulfils the maximum entropy principle. This means that the method describes in a maximally consistent way the available information and is free from additional assumptions, which is not the case for the FFT estimate.

AR(p) -based detrended fluctuation analysis

NASA Astrophysics Data System (ADS)

Alvarez-Ramirez, J.; Rodriguez, E.

2018-07-01

Autoregressive models are commonly used for modeling time-series from nature, economics and finance. This work explored simple autoregressive AR(p) models to remove long-term trends in detrended fluctuation analysis (DFA). Crude oil prices and bitcoin exchange rate were considered, with the former corresponding to a mature market and the latter to an emergent market. Results showed that AR(p) -based DFA performs similar to traditional DFA. However, the former DFA provides information on stability of long-term trends, which is valuable for understanding and quantifying the dynamics of complex time series from financial systems.

Simulation-based power calculation for designing interrupted time series analyses of health policy interventions.

PubMed

Zhang, Fang; Wagner, Anita K; Ross-Degnan, Dennis

2011-11-01

Interrupted time series is a strong quasi-experimental research design to evaluate the impacts of health policy interventions. Using simulation methods, we estimated the power requirements for interrupted time series studies under various scenarios. Simulations were conducted to estimate the power of segmented autoregressive (AR) error models when autocorrelation ranged from -0.9 to 0.9 and effect size was 0.5, 1.0, and 2.0, investigating balanced and unbalanced numbers of time periods before and after an intervention. Simple scenarios of autoregressive conditional heteroskedasticity (ARCH) models were also explored. For AR models, power increased when sample size or effect size increased, and tended to decrease when autocorrelation increased. Compared with a balanced number of study periods before and after an intervention, designs with unbalanced numbers of periods had less power, although that was not the case for ARCH models. The power to detect effect size 1.0 appeared to be reasonable for many practical applications with a moderate or large number of time points in the study equally divided around the intervention. Investigators should be cautious when the expected effect size is small or the number of time points is small. We recommend conducting various simulations before investigation. Copyright © 2011 Elsevier Inc. All rights reserved.

The dynamic conditional relationship between stock market returns and implied volatility

NASA Astrophysics Data System (ADS)

Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

2017-09-01

Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

Time series modelling of increased soil temperature anomalies during long period

NASA Astrophysics Data System (ADS)

Shirvani, Amin; Moradi, Farzad; Moosavi, Ali Akbar

2015-10-01

Soil temperature just beneath the soil surface is highly dynamic and has a direct impact on plant seed germination and is probably the most distinct and recognisable factor governing emergence. Autoregressive integrated moving average as a stochastic model was developed to predict the weekly soil temperature anomalies at 10 cm depth, one of the most important soil parameters. The weekly soil temperature anomalies for the periods of January1986-December 2011 and January 2012-December 2013 were taken into consideration to construct and test autoregressive integrated moving average models. The proposed model autoregressive integrated moving average (2,1,1) had a minimum value of Akaike information criterion and its estimated coefficients were different from zero at 5% significance level. The prediction of the weekly soil temperature anomalies during the test period using this proposed model indicated a high correlation coefficient between the observed and predicted data - that was 0.99 for lead time 1 week. Linear trend analysis indicated that the soil temperature anomalies warmed up significantly by 1.8°C during the period of 1986-2011.

Granger causality for state-space models

NASA Astrophysics Data System (ADS)

Barnett, Lionel; Seth, Anil K.

2015-04-01

Granger causality has long been a prominent method for inferring causal interactions between stochastic variables for a broad range of complex physical systems. However, it has been recognized that a moving average (MA) component in the data presents a serious confound to Granger causal analysis, as routinely performed via autoregressive (AR) modeling. We solve this problem by demonstrating that Granger causality may be calculated simply and efficiently from the parameters of a state-space (SS) model. Since SS models are equivalent to autoregressive moving average models, Granger causality estimated in this fashion is not degraded by the presence of a MA component. This is of particular significance when the data has been filtered, downsampled, observed with noise, or is a subprocess of a higher dimensional process, since all of these operations—commonplace in application domains as diverse as climate science, econometrics, and the neurosciences—induce a MA component. We show how Granger causality, conditional and unconditional, in both time and frequency domains, may be calculated directly from SS model parameters via solution of a discrete algebraic Riccati equation. Numerical simulations demonstrate that Granger causality estimators thus derived have greater statistical power and smaller bias than AR estimators. We also discuss how the SS approach facilitates relaxation of the assumptions of linearity, stationarity, and homoscedasticity underlying current AR methods, thus opening up potentially significant new areas of research in Granger causal analysis.

Assessing the effects of pharmacological agents on respiratory dynamics using time-series modeling.

PubMed

Wong, Kin Foon Kevin; Gong, Jen J; Cotten, Joseph F; Solt, Ken; Brown, Emery N

2013-04-01

Developing quantitative descriptions of how stimulant and depressant drugs affect the respiratory system is an important focus in medical research. Respiratory variables-respiratory rate, tidal volume, and end tidal carbon dioxide-have prominent temporal dynamics that make it inappropriate to use standard hypothesis-testing methods that assume independent observations to assess the effects of these pharmacological agents. We present a polynomial signal plus autoregressive noise model for analysis of continuously recorded respiratory variables. We use a cyclic descent algorithm to maximize the conditional log likelihood of the parameters and the corrected Akaike's information criterion to choose simultaneously the orders of the polynomial and the autoregressive models. In an analysis of respiratory rates recorded from anesthetized rats before and after administration of the respiratory stimulant methylphenidate, we use the model to construct within-animal z-tests of the drug effect that take account of the time-varying nature of the mean respiratory rate and the serial dependence in rate measurements. We correct for the effect of model lack-of-fit on our inferences by also computing bootstrap confidence intervals for the average difference in respiratory rate pre- and postmethylphenidate treatment. Our time-series modeling quantifies within each animal the substantial increase in mean respiratory rate and respiratory dynamics following methylphenidate administration. This paradigm can be readily adapted to analyze the dynamics of other respiratory variables before and after pharmacologic treatments.

Conditional parametric models for storm sewer runoff

NASA Astrophysics Data System (ADS)

Jonsdottir, H.; Nielsen, H. Aa; Madsen, H.; Eliasson, J.; Palsson, O. P.; Nielsen, M. K.

2007-05-01

The method of conditional parametric modeling is introduced for flow prediction in a sewage system. It is a well-known fact that in hydrological modeling the response (runoff) to input (precipitation) varies depending on soil moisture and several other factors. Consequently, nonlinear input-output models are needed. The model formulation described in this paper is similar to the traditional linear models like final impulse response (FIR) and autoregressive exogenous (ARX) except that the parameters vary as a function of some external variables. The parameter variation is modeled by local lines, using kernels for local linear regression. As such, the method might be referred to as a nearest neighbor method. The results achieved in this study were compared to results from the conventional linear methods, FIR and ARX. The increase in the coefficient of determination is substantial. Furthermore, the new approach conserves the mass balance better. Hence this new approach looks promising for various hydrological models and analysis.

Maximum likelihood estimation for periodic autoregressive moving average models

USGS Publications Warehouse

Vecchia, A.V.

1985-01-01

A useful class of models for seasonal time series that cannot be filtered or standardized to achieve second-order stationarity is that of periodic autoregressive moving average (PARMA) models, which are extensions of ARMA models that allow periodic (seasonal) parameters. An approximation to the exact likelihood for Gaussian PARMA processes is developed, and a straightforward algorithm for its maximization is presented. The algorithm is tested on several periodic ARMA(1, 1) models through simulation studies and is compared to moment estimation via the seasonal Yule-Walker equations. Applicability of the technique is demonstrated through an analysis of a seasonal stream-flow series from the Rio Caroni River in Venezuela.

Application of a new hybrid model with seasonal auto-regressive integrated moving average (ARIMA) and nonlinear auto-regressive neural network (NARNN) in forecasting incidence cases of HFMD in Shenzhen, China.

PubMed

Yu, Lijing; Zhou, Lingling; Tan, Li; Jiang, Hongbo; Wang, Ying; Wei, Sheng; Nie, Shaofa

2014-01-01

Outbreaks of hand-foot-mouth disease (HFMD) have been reported for many times in Asia during the last decades. This emerging disease has drawn worldwide attention and vigilance. Nowadays, the prevention and control of HFMD has become an imperative issue in China. Early detection and response will be helpful before it happening, using modern information technology during the epidemic. In this paper, a hybrid model combining seasonal auto-regressive integrated moving average (ARIMA) model and nonlinear auto-regressive neural network (NARNN) is proposed to predict the expected incidence cases from December 2012 to May 2013, using the retrospective observations obtained from China Information System for Disease Control and Prevention from January 2008 to November 2012. The best-fitted hybrid model was combined with seasonal ARIMA [Formula: see text] and NARNN with 15 hidden units and 5 delays. The hybrid model makes the good forecasting performance and estimates the expected incidence cases from December 2012 to May 2013, which are respectively -965.03, -1879.58, 4138.26, 1858.17, 4061.86 and 6163.16 with an obviously increasing trend. The model proposed in this paper can predict the incidence trend of HFMD effectively, which could be helpful to policy makers. The usefulness of expected cases of HFMD perform not only in detecting outbreaks or providing probability statements, but also in providing decision makers with a probable trend of the variability of future observations that contains both historical and recent information.

Evaluation of statistical models for forecast errors from the HBV model

NASA Astrophysics Data System (ADS)

Engeland, Kolbjørn; Renard, Benjamin; Steinsland, Ingelin; Kolberg, Sjur

2010-04-01

SummaryThree statistical models for the forecast errors for inflow into the Langvatn reservoir in Northern Norway have been constructed and tested according to the agreement between (i) the forecast distribution and the observations and (ii) median values of the forecast distribution and the observations. For the first model observed and forecasted inflows were transformed by the Box-Cox transformation before a first order auto-regressive model was constructed for the forecast errors. The parameters were conditioned on weather classes. In the second model the Normal Quantile Transformation (NQT) was applied on observed and forecasted inflows before a similar first order auto-regressive model was constructed for the forecast errors. For the third model positive and negative errors were modeled separately. The errors were first NQT-transformed before conditioning the mean error values on climate, forecasted inflow and yesterday's error. To test the three models we applied three criterions: we wanted (a) the forecast distribution to be reliable; (b) the forecast intervals to be narrow; (c) the median values of the forecast distribution to be close to the observed values. Models 1 and 2 gave almost identical results. The median values improved the forecast with Nash-Sutcliffe R eff increasing from 0.77 for the original forecast to 0.87 for the corrected forecasts. Models 1 and 2 over-estimated the forecast intervals but gave the narrowest intervals. Their main drawback was that the distributions are less reliable than Model 3. For Model 3 the median values did not fit well since the auto-correlation was not accounted for. Since Model 3 did not benefit from the potential variance reduction that lies in bias estimation and removal it gave on average wider forecasts intervals than the two other models. At the same time Model 3 on average slightly under-estimated the forecast intervals, probably explained by the use of average measures to evaluate the fit.

A short-term ensemble wind speed forecasting system for wind power applications

NASA Astrophysics Data System (ADS)

Baidya Roy, S.; Traiteur, J. J.; Callicutt, D.; Smith, M.

2011-12-01

This study develops an adaptive, blended forecasting system to provide accurate wind speed forecasts 1 hour ahead of time for wind power applications. The system consists of an ensemble of 21 forecasts with different configurations of the Weather Research and Forecasting Single Column Model (WRFSCM) and a persistence model. The ensemble is calibrated against observations for a 2 month period (June-July, 2008) at a potential wind farm site in Illinois using the Bayesian Model Averaging (BMA) technique. The forecasting system is evaluated against observations for August 2008 at the same site. The calibrated ensemble forecasts significantly outperform the forecasts from the uncalibrated ensemble while significantly reducing forecast uncertainty under all environmental stability conditions. The system also generates significantly better forecasts than persistence, autoregressive (AR) and autoregressive moving average (ARMA) models during the morning transition and the diurnal convective regimes. This forecasting system is computationally more efficient than traditional numerical weather prediction models and can generate a calibrated forecast, including model runs and calibration, in approximately 1 minute. Currently, hour-ahead wind speed forecasts are almost exclusively produced using statistical models. However, numerical models have several distinct advantages over statistical models including the potential to provide turbulence forecasts. Hence, there is an urgent need to explore the role of numerical models in short-term wind speed forecasting. This work is a step in that direction and is likely to trigger a debate within the wind speed forecasting community.

Sleep analysis for wearable devices applying autoregressive parametric models.

PubMed

Mendez, M O; Villantieri, O; Bianchi, A; Cerutti, S

2005-01-01

We applied time-variant and time-invariant parametric models in both healthy subjects and patients with sleep disorder recordings in order to assess the skills of those approaches to sleep disorders diagnosis in wearable devices. The recordings present the Obstructive Sleep Apnea (OSA) pathology which is characterized by fluctuations in the heart rate, bradycardia in apneonic phase and tachycardia at the recovery of ventilation. Data come from a web database in www.physionet.org. During OSA the spectral indexes obtained by time-variant lattice filters presented oscillations that correspond to the changes brady-tachycardia of the RR intervals and greater values than healthy ones. Multivariate autoregressive models showed an increment in very low frequency component (PVLF) at each apneic event. Also a rise in high frequency component (PHF) occurred over the breathing restore in the spectrum of both quadratic coherence and cross-spectrum in OSA. These autoregressive parametric approaches could help in the diagnosis of Sleep Disorder inside of the wearable devices.

[A novel method of multi-channel feature extraction combining multivariate autoregression and multiple-linear principal component analysis].

PubMed

Wang, Jinjia; Zhang, Yanna

2015-02-01

Brain-computer interface (BCI) systems identify brain signals through extracting features from them. In view of the limitations of the autoregressive model feature extraction method and the traditional principal component analysis to deal with the multichannel signals, this paper presents a multichannel feature extraction method that multivariate autoregressive (MVAR) model combined with the multiple-linear principal component analysis (MPCA), and used for magnetoencephalography (MEG) signals and electroencephalograph (EEG) signals recognition. Firstly, we calculated the MVAR model coefficient matrix of the MEG/EEG signals using this method, and then reduced the dimensions to a lower one, using MPCA. Finally, we recognized brain signals by Bayes Classifier. The key innovation we introduced in our investigation showed that we extended the traditional single-channel feature extraction method to the case of multi-channel one. We then carried out the experiments using the data groups of IV-III and IV - I. The experimental results proved that the method proposed in this paper was feasible.

Forecast Model Analysis for the Morbidity of Tuberculosis in Xinjiang, China

PubMed Central

Zheng, Yan-Ling; Zhang, Li-Ping; Zhang, Xue-Liang; Wang, Kai; Zheng, Yu-Jian

2015-01-01

Tuberculosis is a major global public health problem, which also affects economic and social development. China has the second largest burden of tuberculosis in the world. The tuberculosis morbidity in Xinjiang is much higher than the national situation; therefore, there is an urgent need for monitoring and predicting tuberculosis morbidity so as to make the control of tuberculosis more effective. Recently, the Box-Jenkins approach, specifically the autoregressive integrated moving average (ARIMA) model, is typically applied to predict the morbidity of infectious diseases; it can take into account changing trends, periodic changes, and random disturbances in time series. Autoregressive conditional heteroscedasticity (ARCH) models are the prevalent tools used to deal with time series heteroscedasticity. In this study, based on the data of the tuberculosis morbidity from January 2004 to June 2014 in Xinjiang, we establish the single ARIMA (1, 1, 2) (1, 1, 1)12 model and the combined ARIMA (1, 1, 2) (1, 1, 1)12-ARCH (1) model, which can be used to predict the tuberculosis morbidity successfully in Xinjiang. Comparative analyses show that the combined model is more effective. To the best of our knowledge, this is the first study to establish the ARIMA model and ARIMA-ARCH model for prediction and monitoring the monthly morbidity of tuberculosis in Xinjiang. Based on the results of this study, the ARIMA (1, 1, 2) (1, 1, 1)12-ARCH (1) model is suggested to give tuberculosis surveillance by providing estimates on tuberculosis morbidity trends in Xinjiang, China. PMID:25760345

Application of multivariate autoregressive spectrum estimation to ULF waves

NASA Technical Reports Server (NTRS)

Ioannidis, G. A.

1975-01-01

The estimation of the power spectrum of a time series by fitting a finite autoregressive model to the data has recently found widespread application in the physical sciences. The extension of this method to the analysis of vector time series is presented here through its application to ULF waves observed in the magnetosphere by the ATS 6 synchronous satellite. Autoregressive spectral estimates of the power and cross-power spectra of these waves are computed with computer programs developed by the author and are compared with the corresponding Blackman-Tukey spectral estimates. The resulting spectral density matrices are then analyzed to determine the direction of propagation and polarization of the observed waves.

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

PubMed

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.

Principal dynamic mode analysis of neural mass model for the identification of epileptic states

NASA Astrophysics Data System (ADS)

Cao, Yuzhen; Jin, Liu; Su, Fei; Wang, Jiang; Deng, Bin

2016-11-01

The detection of epileptic seizures in Electroencephalography (EEG) signals is significant for the diagnosis and treatment of epilepsy. In this paper, in order to obtain characteristics of various epileptiform EEGs that may differentiate different states of epilepsy, the concept of Principal Dynamic Modes (PDMs) was incorporated to an autoregressive model framework. First, the neural mass model was used to simulate the required intracerebral EEG signals of various epileptiform activities. Then, the PDMs estimated from the nonlinear autoregressive Volterra models, as well as the corresponding Associated Nonlinear Functions (ANFs), were used for the modeling of epileptic EEGs. The efficient PDM modeling approach provided physiological interpretation of the system. Results revealed that the ANFs of the 1st and 2nd PDMs for the auto-regressive input exhibited evident differences among different states of epilepsy, where the ANFs of the sustained spikes' activity encountered at seizure onset or during a seizure were the most differentiable from that of the normal state. Therefore, the ANFs may be characteristics for the classification of normal and seizure states in the clinical detection of seizures and thus provide assistance for the diagnosis of epilepsy.

Nonlinear GARCH model and 1 / f noise

NASA Astrophysics Data System (ADS)

Kononovicius, A.; Ruseckas, J.

2015-06-01

Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications, reminiscent of NGARCH model. We investigate the possibility to reproduce power law statistics, probability density function and power spectral density, using ARCH family models. For this purpose we derive stochastic differential equations from the GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its power spectral density is Brownian noise-like. However, the nonlinear modifications exhibit both power law distribution and power spectral density of the 1 /fβ form, including 1 / f noise.

Texture classification using autoregressive filtering

NASA Technical Reports Server (NTRS)

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.

Invariance in the recurrence of large returns and the validation of models of price dynamics

NASA Astrophysics Data System (ADS)

Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey

2013-08-01

Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.

The dynamic correlation between policy uncertainty and stock market returns in China

NASA Astrophysics Data System (ADS)

Yang, Miao; Jiang, Zhi-Qiang

2016-11-01

The dynamic correlation is examined between government's policy uncertainty and Chinese stock market returns in the period from January 1995 to December 2014. We find that the stock market is significantly correlated to policy uncertainty based on the results of the Vector Auto Regression (VAR) and Structural Vector Auto Regression (SVAR) models. In contrast, the results of the Dynamic Conditional Correlation Generalized Multivariate Autoregressive Conditional Heteroscedasticity (DCC-MGARCH) model surprisingly show a low dynamic correlation coefficient between policy uncertainty and market returns, suggesting that the fluctuations of each variable are greatly influenced by their values in the preceding period. Our analysis highlights the understanding of the dynamical relationship between stock market and fiscal and monetary policy.

Trans-dimensional inversion of microtremor array dispersion data with hierarchical autoregressive error models

NASA Astrophysics Data System (ADS)

Dettmer, Jan; Molnar, Sheri; Steininger, Gavin; Dosso, Stan E.; Cassidy, John F.

2012-02-01

This paper applies a general trans-dimensional Bayesian inference methodology and hierarchical autoregressive data-error models to the inversion of microtremor array dispersion data for shear wave velocity (vs) structure. This approach accounts for the limited knowledge of the optimal earth model parametrization (e.g. the number of layers in the vs profile) and of the data-error statistics in the resulting vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the indexing parameter) are considered in the results. The earth model is parametrized in terms of a partition model with interfaces given over a depth-range of interest. In this work, the number of interfaces (layers) in the partition model represents the trans-dimensional model indexing. In addition, serial data-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate data-error statistics, and have no requirement for computing the inverse or determinant of a data-error covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the state space that spans multiple subspaces of different dimensionalities. The order of the autoregressive process required to fit the data is determined here by posterior residual-sample examination and statistical tests. Inference for earth model parameters is carried out on the trans-dimensional posterior probability distribution by considering ensembles of parameter vectors. In particular, vs uncertainty estimates are obtained by marginalizing the trans-dimensional posterior distribution in terms of vs-profile marginal distributions. The methodology is applied to microtremor array dispersion data collected at two sites with significantly different geology in British Columbia, Canada. At both sites, results show excellent agreement with estimates from invasive measurements.

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

PubMed

Porto, Markus; Roman, H Eduardo

2002-04-01

We consider autoregressive conditional heteroskedasticity (ARCH) processes in which the variance sigma(2)(y) depends linearly on the absolute value of the random variable y as sigma(2)(y) = a+b absolute value of y. While for the standard model, where sigma(2)(y) = a + b y(2), the corresponding probability distribution function (PDF) P(y) decays as a power law for absolute value of y-->infinity, in the linear case it decays exponentially as P(y) approximately exp(-alpha absolute value of y), with alpha = 2/b. We extend these results to the more general case sigma(2)(y) = a+b absolute value of y(q), with 0 < q < 2. We find stretched exponential decay for 1 < q < 2 and stretched Gaussian behavior for 0 < q < 1. As an application, we consider the case q=1 as our starting scheme for modeling the PDF of daily (logarithmic) variations in the Dow Jones stock market index. When the history of the ARCH process is taken into account, the resulting PDF becomes a stretched exponential even for q = 1, with a stretched exponent beta = 2/3, in a much better agreement with the empirical data.

Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach

NASA Astrophysics Data System (ADS)

Gu, Huaying; Liu, Zhixue; Weng, Yingliang

2017-04-01

The present study applies the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) with spatial effects approach for the analysis of the time-varying conditional correlations and contagion effects among global real estate markets. A distinguishing feature of the proposed model is that it can simultaneously capture the spatial interactions and the dynamic conditional correlations compared with the traditional MGARCH models. Results reveal that the estimated dynamic conditional correlations have exhibited significant increases during the global financial crisis from 2007 to 2009, thereby suggesting contagion effects among global real estate markets. The analysis further indicates that the returns of the regional real estate markets that are in close geographic and economic proximities exhibit strong co-movement. In addition, evidence of significantly positive leverage effects in global real estate markets is also determined. The findings have significant implications on global portfolio diversification opportunities and risk management practices.

TaiWan Ionospheric Model (TWIM) prediction based on time series autoregressive analysis

NASA Astrophysics Data System (ADS)

Tsai, L. C.; Macalalad, Ernest P.; Liu, C. H.

2014-10-01

As described in a previous paper, a three-dimensional ionospheric electron density (Ne) model has been constructed from vertical Ne profiles retrieved from the FormoSat3/Constellation Observing System for Meteorology, Ionosphere, and Climate GPS radio occultation measurements and worldwide ionosonde foF2 and foE data and named the TaiWan Ionospheric Model (TWIM). The TWIM exhibits vertically fitted α-Chapman-type layers with distinct F2, F1, E, and D layers, and surface spherical harmonic approaches for the fitted layer parameters including peak density, peak density height, and scale height. To improve the TWIM into a real-time model, we have developed a time series autoregressive model to forecast short-term TWIM coefficients. The time series of TWIM coefficients are considered as realizations of stationary stochastic processes within a processing window of 30 days. These autocorrelation coefficients are used to derive the autoregressive parameters and then forecast the TWIM coefficients, based on the least squares method and Lagrange multiplier technique. The forecast root-mean-square relative TWIM coefficient errors are generally <30% for 1 day predictions. The forecast TWIM values of foE and foF2 values are also compared and evaluated using worldwide ionosonde data.

Markov Switching Autoregressive Conditional Heteroscedasticity (SWARCH) Model to Detect Financial Crisis in Indonesia Based on Import and Export Indicators

NASA Astrophysics Data System (ADS)

Sugiyanto; Zukhronah, Etik; Susanti, Yuliana; Rahma Dwi, Sisca

2017-06-01

A country is said to be a crisis when the financial system is experiencing a disruption that affects systems that can not function efficiently. The performance efficiency of macroeconomic indicators especially in imports and exports can be used to detect the financial crisis in Indonesia. Based on the import and export indicators from 1987 to 2015, the movement of these indicators can be modelled using SWARCH three states. The results showed that SWARCH (3,1) model was able to detect the crisis that occurred in Indonesia in 1997 and 2008. Using this model, it can be concluded that Indonesia is prone to financial crisis in 2016.

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

NASA Astrophysics Data System (ADS)

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 %.

A statistical approach for generating synthetic tip stress data from limited CPT soundings

DOE Office of Scientific and Technical Information (OSTI.GOV)

Basalams, M.K.

CPT tip stress data obtained from a Uranium mill tailings impoundment are treated as time series. A statistical class of models that was developed to model time series is explored to investigate its applicability in modeling the tip stress series. These models were developed by Box and Jenkins (1970) and are known as Autoregressive Moving Average (ARMA) models. This research demonstrates how to apply the ARMA models to tip stress series. Generation of synthetic tip stress series that preserve the main statistical characteristics of the measured series is also investigated. Multiple regression analysis is used to model the regional variationmore » of the ARMA model parameters as well as the regional variation of the mean and the standard deviation of the measured tip stress series. The reliability of the generated series is investigated from a geotechnical point of view as well as from a statistical point of view. Estimation of the total settlement using the measured and the generated series subjected to the same loading condition are performed. The variation of friction angle with depth of the impoundment materials is also investigated. This research shows that these series can be modeled by the Box and Jenkins ARMA models. A third degree Autoregressive model AR(3) is selected to represent these series. A theoretical double exponential density function is fitted to the AR(3) model residuals. Synthetic tip stress series are generated at nearby locations. The generated series are shown to be reliable in estimating the total settlement and the friction angle variation with depth for this particular site.« less

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

NASA Astrophysics Data System (ADS)

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.

Comparative analysis of neural network and regression based condition monitoring approaches for wind turbine fault detection

NASA Astrophysics Data System (ADS)

Schlechtingen, Meik; Ferreira Santos, Ilmar

2011-07-01

This paper presents the research results of a comparison of three different model based approaches for wind turbine fault detection in online SCADA data, by applying developed models to five real measured faults and anomalies. The regression based model as the simplest approach to build a normal behavior model is compared to two artificial neural network based approaches, which are a full signal reconstruction and an autoregressive normal behavior model. Based on a real time series containing two generator bearing damages the capabilities of identifying the incipient fault prior to the actual failure are investigated. The period after the first bearing damage is used to develop the three normal behavior models. The developed or trained models are used to investigate how the second damage manifests in the prediction error. Furthermore the full signal reconstruction and the autoregressive approach are applied to further real time series containing gearbox bearing damages and stator temperature anomalies. The comparison revealed all three models being capable of detecting incipient faults. However, they differ in the effort required for model development and the remaining operational time after first indication of damage. The general nonlinear neural network approaches outperform the regression model. The remaining seasonality in the regression model prediction error makes it difficult to detect abnormality and leads to increased alarm levels and thus a shorter remaining operational period. For the bearing damages and the stator anomalies under investigation the full signal reconstruction neural network gave the best fault visibility and thus led to the highest confidence level.

Black-box modeling to estimate tissue temperature during radiofrequency catheter cardiac ablation: Feasibility study on an agar phantom model.

PubMed

Blasco-Gimenez, Ramón; Lequerica, Juan L; Herrero, Maria; Hornero, Fernando; Berjano, Enrique J

2010-04-01

The aim of this work was to study linear deterministic models to predict tissue temperature during radiofrequency cardiac ablation (RFCA) by measuring magnitudes such as electrode temperature, power and impedance between active and dispersive electrodes. The concept involves autoregressive models with exogenous input (ARX), which is a particular case of the autoregressive moving average model with exogenous input (ARMAX). The values of the mode parameters were determined from a least-squares fit of experimental data. The data were obtained from radiofrequency ablations conducted on agar models with different contact pressure conditions between electrode and agar (0 and 20 g) and different flow rates around the electrode (1, 1.5 and 2 L min(-1)). Half of all the ablations were chosen randomly to be used for identification (i.e. determination of model parameters) and the other half were used for model validation. The results suggest that (1) a linear model can be developed to predict tissue temperature at a depth of 4.5 mm during RF cardiac ablation by using the variables applied power, impedance and electrode temperature; (2) the best model provides a reasonably accurate estimate of tissue temperature with a 60% probability of achieving average errors better than 5 degrees C; (3) substantial errors (larger than 15 degrees C) were found only in 6.6% of cases and were associated with abnormal experiments (e.g. those involving the displacement of the ablation electrode) and (4) the impact of measuring impedance on the overall estimate is negligible (around 1 degrees C).

Applying the LANL Statistical Pattern Recognition Paradigm for Structural Health Monitoring to Data from a Surface-Effect Fast Patrol Boat

DOE Office of Scientific and Technical Information (OSTI.GOV)

Hoon Sohn; Charles Farrar; Norman Hunter

2001-01-01

This report summarizes the analysis of fiber-optic strain gauge data obtained from a surface-effect fast patrol boat being studied by the staff at the Norwegian Defense Research Establishment (NDRE) in Norway and the Naval Research Laboratory (NRL) in Washington D.C. Data from two different structural conditions were provided to the staff at Los Alamos National Laboratory. The problem was then approached from a statistical pattern recognition paradigm. This paradigm can be described as a four-part process: (1) operational evaluation, (2) data acquisition & cleansing, (3) feature extraction and data reduction, and (4) statistical model development for feature discrimination. Given thatmore » the first two portions of this paradigm were mostly completed by the NDRE and NRL staff, this study focused on data normalization, feature extraction, and statistical modeling for feature discrimination. The feature extraction process began by looking at relatively simple statistics of the signals and progressed to using the residual errors from auto-regressive (AR) models fit to the measured data as the damage-sensitive features. Data normalization proved to be the most challenging portion of this investigation. A novel approach to data normalization, where the residual errors in the AR model are considered to be an unmeasured input and an auto-regressive model with exogenous inputs (ARX) is then fit to portions of the data exhibiting similar waveforms, was successfully applied to this problem. With this normalization procedure, a clear distinction between the two different structural conditions was obtained. A false-positive study was also run, and the procedure developed herein did not yield any false-positive indications of damage. Finally, the results must be qualified by the fact that this procedure has only been applied to very limited data samples. A more complete analysis of additional data taken under various operational and environmental conditions as well as other structural conditions is necessary before one can definitively state that the procedure is robust enough to be used in practice.« less

Utilization of Model Predictive Control to Balance Power Absorption Against Load Accumulation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Abbas, Nikhar; Tom, Nathan M

2017-06-03

Wave energy converter (WEC) control strategies have been primarily focused on maximizing power absorption. The use of model predictive control strategies allows for a finite-horizon, multiterm objective function to be solved. This work utilizes a multiterm objective function to maximize power absorption while minimizing the structural loads on the WEC system. Furthermore, a Kalman filter and autoregressive model were used to estimate and forecast the wave exciting force and predict the future dynamics of the WEC. The WEC's power-take-off time-averaged power and structural loads under a perfect forecast assumption in irregular waves were compared against results obtained from the Kalmanmore » filter and autoregressive model to evaluate model predictive control performance.« less

Utilization of Model Predictive Control to Balance Power Absorption Against Load Accumulation: Preprint

DOE Office of Scientific and Technical Information (OSTI.GOV)

Abbas, Nikhar; Tom, Nathan

Wave energy converter (WEC) control strategies have been primarily focused on maximizing power absorption. The use of model predictive control strategies allows for a finite-horizon, multiterm objective function to be solved. This work utilizes a multiterm objective function to maximize power absorption while minimizing the structural loads on the WEC system. Furthermore, a Kalman filter and autoregressive model were used to estimate and forecast the wave exciting force and predict the future dynamics of the WEC. The WEC's power-take-off time-averaged power and structural loads under a perfect forecast assumption in irregular waves were compared against results obtained from the Kalmanmore » filter and autoregressive model to evaluate model predictive control performance.« less

On-line algorithms for forecasting hourly loads of an electric utility

DOE Office of Scientific and Technical Information (OSTI.GOV)

Vemuri, S.; Huang, W.L.; Nelson, D.J.

A method that lends itself to on-line forecasting of hourly electric loads is presented, and the results of its use are compared to models developed using the Box-Jenkins method. The method consits of processing the historical hourly loads with a sequential least-squares estimator to identify a finite-order autoregressive model which, in turn, is used to obtain a parsimonious autoregressive-moving average model. The method presented has several advantages in comparison with the Box-Jenkins method including much-less human intervention, improved model identification, and better results. The method is also more robust in that greater confidence can be placed in the accuracy ofmore » models based upon the various measures available at the identification stage.« less

Autoregressive modelling of species richness in the Brazilian Cerrado.

PubMed

Vieira, C M; Blamires, D; Diniz-Filho, J A F; Bini, L M; Rangel, T F L V B

2008-05-01

Spatial autocorrelation is the lack of independence between pairs of observations at given distances within a geographical space, a phenomenon commonly found in ecological data. Taking into account spatial autocorrelation when evaluating problems in geographical ecology, including gradients in species richness, is important to describe both the spatial structure in data and to correct the bias in Type I errors of standard statistical analyses. However, to effectively solve these problems it is necessary to establish the best way to incorporate the spatial structure to be used in the models. In this paper, we applied autoregressive models based on different types of connections and distances between 181 cells covering the Cerrado region of Central Brazil to study the spatial variation in mammal and bird species richness across the biome. Spatial structure was stronger for birds than for mammals, with R(2) values ranging from 0.77 to 0.94 for mammals and from 0.77 to 0.97 for birds, for models based on different definitions of spatial structures. According to the Akaike Information Criterion (AIC), the best autoregressive model was obtained by using the rook connection. In general, these results furnish guidelines for future modelling of species richness patterns in relation to environmental predictors and other variables expressing human occupation in the biome.

[Prediction of schistosomiasis infection rates of population based on ARIMA-NARNN model].

PubMed

Ke-Wei, Wang; Yu, Wu; Jin-Ping, Li; Yu-Yu, Jiang

2016-07-12

To explore the effect of the autoregressive integrated moving average model-nonlinear auto-regressive neural network (ARIMA-NARNN) model on predicting schistosomiasis infection rates of population. The ARIMA model, NARNN model and ARIMA-NARNN model were established based on monthly schistosomiasis infection rates from January 2005 to February 2015 in Jiangsu Province, China. The fitting and prediction performances of the three models were compared. Compared to the ARIMA model and NARNN model, the mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) of the ARIMA-NARNN model were the least with the values of 0.011 1, 0.090 0 and 0.282 4, respectively. The ARIMA-NARNN model could effectively fit and predict schistosomiasis infection rates of population, which might have a great application value for the prevention and control of schistosomiasis.

Calibrating the pixel-level Kepler imaging data with a causal data-driven model

NASA Astrophysics Data System (ADS)

Wang, Dun; Foreman-Mackey, Daniel; Hogg, David W.; Schölkopf, Bernhard

2015-01-01

In general, astronomical observations are affected by several kinds of noise, each with it's own causal source; there is photon noise, stochastic source variability, and residuals coming from imperfect calibration of the detector or telescope. In particular, the precision of NASA Kepler photometry for exoplanet science—the most precise photometric measurements of stars ever made—appears to be limited by unknown or untracked variations in spacecraft pointing and temperature, and unmodeled stellar variability. Here we present the Causal Pixel Model (CPM) for Kepler data, a data-driven model intended to capture variability but preserve transit signals. The CPM works at the pixel level (not the photometric measurement level); it can capture more fine-grained information about the variation of the spacecraft than is available in the pixel-summed aperture photometry. The basic idea is that CPM predicts each target pixel value from a large number of pixels of other stars sharing the instrument variabilities while not containing any information on possible transits at the target star. In addition, we use the target star's future and past (auto-regression). By appropriately separating the data into training and test sets, we ensure that information about any transit will be perfectly isolated from the fitting of the model. The method has four hyper-parameters (the number of predictor stars, the auto-regressive window size, and two L2-regularization amplitudes for model components), which we set by cross-validation. We determine a generic set of hyper-parameters that works well on most of the stars with 11≤V≤12 mag and apply the method to a corresponding set of target stars with known planet transits. We find that we can consistently outperform (for the purposes of exoplanet detection) the Kepler Pre-search Data Conditioning (PDC) method for exoplanet discovery, often improving the SNR by a factor of two. While we have not yet exhaustively tested the method at other magnitudes, we expect that it should be generally applicable, with positive consequences for subsequent exoplanet detection or stellar variability (in which case we must exclude the autoregressive part to preserve intrinsic variability).

Forecasting vegetation greenness with satellite and climate data

USGS Publications Warehouse

Ji, Lei; Peters, Albert J.

2004-01-01

A new and unique vegetation greenness forecast (VGF) model was designed to predict future vegetation conditions to three months through the use of current and historical climate data and satellite imagery. The VGF model is implemented through a seasonality-adjusted autoregressive distributed-lag function, based on our finding that the normalized difference vegetation index is highly correlated with lagged precipitation and temperature. Accurate forecasts were obtained from the VGF model in Nebraska grassland and cropland. The regression R2 values range from 0.97-0.80 for 2-12 week forecasts, with higher R2 associated with a shorter prediction. An important application would be to produce real-time forecasts of greenness images.

Self-esteem Is Mostly Stable Across Young Adulthood: Evidence from Latent STARTS Models.

PubMed

Wagner, Jenny; Lüdtke, Oliver; Trautwein, Ulrich

2016-08-01

How stable is self-esteem? This long-standing debate has led to different conclusions across different areas of psychology. Longitudinal data and up-to-date statistical models have recently indicated that self-esteem has stable and autoregressive trait-like components and state-like components. We applied latent STARTS models with the goal of replicating previous findings in a longitudinal sample of young adults (N = 4,532; Mage  = 19.60, SD = 0.85; 55% female). In addition, we applied multigroup models to extend previous findings on different patterns of stability for men versus women and for people with high versus low levels of depressive symptoms. We found evidence for the general pattern of a major proportion of stable and autoregressive trait variance and a smaller yet substantial amount of state variance in self-esteem across 10 years. Furthermore, multigroup models suggested substantial differences in the variance components: Females showed more state variability than males. Individuals with higher levels of depressive symptoms showed more state and less autoregressive trait variance in self-esteem. Results are discussed with respect to the ongoing trait-state debate and possible implications of the group differences that we found in the stability of self-esteem. © 2015 Wiley Periodicals, Inc.

A MISO-ARX-Based Method for Single-Trial Evoked Potential Extraction.

PubMed

Yu, Nannan; Wu, Lingling; Zou, Dexuan; Chen, Ying; Lu, Hanbing

2017-01-01

In this paper, we propose a novel method for solving the single-trial evoked potential (EP) estimation problem. In this method, the single-trial EP is considered as a complex containing many components, which may originate from different functional brain sites; these components can be distinguished according to their respective latencies and amplitudes and are extracted simultaneously by multiple-input single-output autoregressive modeling with exogenous input (MISO-ARX). The extraction process is performed in three stages: first, we use a reference EP as a template and decompose it into a set of components, which serve as subtemplates for the remaining steps. Then, a dictionary is constructed with these subtemplates, and EPs are preliminarily extracted by sparse coding in order to roughly estimate the latency of each component. Finally, the single-trial measurement is parametrically modeled by MISO-ARX while characterizing spontaneous electroencephalographic activity as an autoregression model driven by white noise and with each component of the EP modeled by autoregressive-moving-average filtering of the subtemplates. Once optimized, all components of the EP can be extracted. Compared with ARX, our method has greater tracking capabilities of specific components of the EP complex as each component is modeled individually in MISO-ARX. We provide exhaustive experimental results to show the effectiveness and feasibility of our method.

Modeling and roles of meteorological factors in outbreaks of highly pathogenic avian influenza H5N1.

PubMed

Biswas, Paritosh K; Islam, Md Zohorul; Debnath, Nitish C; Yamage, Mat

2014-01-01

The highly pathogenic avian influenza A virus subtype H5N1 (HPAI H5N1) is a deadly zoonotic pathogen. Its persistence in poultry in several countries is a potential threat: a mutant or genetically reassorted progenitor might cause a human pandemic. Its world-wide eradication from poultry is important to protect public health. The global trend of outbreaks of influenza attributable to HPAI H5N1 shows a clear seasonality. Meteorological factors might be associated with such trend but have not been studied. For the first time, we analyze the role of meteorological factors in the occurrences of HPAI outbreaks in Bangladesh. We employed autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to assess the roles of different meteorological factors in outbreaks of HPAI. Outbreaks were modeled best when multiplicative seasonality was incorporated. Incorporation of any meteorological variable(s) as inputs did not improve the performance of any multivariable models, but relative humidity (RH) was a significant covariate in several ARIMA and SARIMA models with different autoregressive and moving average orders. The variable cloud cover was also a significant covariate in two SARIMA models, but air temperature along with RH might be a predictor when moving average (MA) order at lag 1 month is considered.

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

NASA Astrophysics Data System (ADS)

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.

A nonlinear autoregressive Volterra model of the Hodgkin-Huxley equations.

PubMed

Eikenberry, Steffen E; Marmarelis, Vasilis Z

2013-02-01

We propose a new variant of Volterra-type model with a nonlinear auto-regressive (NAR) component that is a suitable framework for describing the process of AP generation by the neuron membrane potential, and we apply it to input-output data generated by the Hodgkin-Huxley (H-H) equations. Volterra models use a functional series expansion to describe the input-output relation for most nonlinear dynamic systems, and are applicable to a wide range of physiologic systems. It is difficult, however, to apply the Volterra methodology to the H-H model because is characterized by distinct subthreshold and suprathreshold dynamics. When threshold is crossed, an autonomous action potential (AP) is generated, the output becomes temporarily decoupled from the input, and the standard Volterra model fails. Therefore, in our framework, whenever membrane potential exceeds some threshold, it is taken as a second input to a dual-input Volterra model. This model correctly predicts membrane voltage deflection both within the subthreshold region and during APs. Moreover, the model naturally generates a post-AP afterpotential and refractory period. It is known that the H-H model converges to a limit cycle in response to a constant current injection. This behavior is correctly predicted by the proposed model, while the standard Volterra model is incapable of generating such limit cycle behavior. The inclusion of cross-kernels, which describe the nonlinear interactions between the exogenous and autoregressive inputs, is found to be absolutely necessary. The proposed model is general, non-parametric, and data-derived.

On the Stationarity of Multiple Autoregressive Approximants: Theory and Algorithms

DTIC Science & Technology

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

Nonlinear System Identification for Aeroelastic Systems with Application to Experimental Data

NASA Technical Reports Server (NTRS)

Kukreja, Sunil L.

2008-01-01

Representation and identification of a nonlinear aeroelastic pitch-plunge system as a model of the Nonlinear AutoRegressive, Moving Average eXogenous (NARMAX) class is considered. A nonlinear difference equation describing this aircraft model is derived theoretically and shown to be of the NARMAX form. Identification methods for NARMAX models are applied to aeroelastic dynamics and its properties demonstrated via continuous-time simulations of experimental conditions. Simulation results show that (1) the outputs of the NARMAX model closely match those generated using continuous-time methods, and (2) NARMAX identification methods applied to aeroelastic dynamics provide accurate discrete-time parameter estimates. Application of NARMAX identification to experimental pitch-plunge dynamics data gives a high percent fit for cross-validated data.

Modeling Bivariate Change in Individual Differences: Prospective Associations Between Personality and Life Satisfaction.

PubMed

Hounkpatin, Hilda Osafo; Boyce, Christopher J; Dunn, Graham; Wood, Alex M

2017-09-18

A number of structural equation models have been developed to examine change in 1 variable or the longitudinal association between 2 variables. The most common of these are the latent growth model, the autoregressive cross-lagged model, the autoregressive latent trajectory model, and the latent change score model. The authors first overview each of these models through evaluating their different assumptions surrounding the nature of change and how these assumptions may result in different data interpretations. They then, to elucidate these issues in an empirical example, examine the longitudinal association between personality traits and life satisfaction. In a representative Dutch sample (N = 8,320), with participants providing data on both personality and life satisfaction measures every 2 years over an 8-year period, the authors reproduce findings from previous research. However, some of the structural equation models overviewed have not previously been applied to the personality-life satisfaction relation. The extended empirical examination suggests intraindividual changes in life satisfaction predict subsequent intraindividual changes in personality traits. The availability of data sets with 3 or more assessment waves allows the application of more advanced structural equation models such as the autoregressive latent trajectory or the extended latent change score model, which accounts for the complex dynamic nature of change processes and allows stronger inferences on the nature of the association between variables. However, the choice of model should be determined by theories of change processes in the variables being studied. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

Simulation of high-energy radiation belt electron fluxes using NARMAX-VERB coupled codes

PubMed Central

Pakhotin, I P; Drozdov, A Y; Shprits, Y Y; Boynton, R J; Subbotin, D A; Balikhin, M A

2014-01-01

This study presents a fusion of data-driven and physics-driven methodologies of energetic electron flux forecasting in the outer radiation belt. Data-driven NARMAX (Nonlinear AutoRegressive Moving Averages with eXogenous inputs) model predictions for geosynchronous orbit fluxes have been used as an outer boundary condition to drive the physics-based Versatile Electron Radiation Belt (VERB) code, to simulate energetic electron fluxes in the outer radiation belt environment. The coupled system has been tested for three extended time periods totalling several weeks of observations. The time periods involved periods of quiet, moderate, and strong geomagnetic activity and captured a range of dynamics typical of the radiation belts. The model has successfully simulated energetic electron fluxes for various magnetospheric conditions. Physical mechanisms that may be responsible for the discrepancies between the model results and observations are discussed. PMID:26167432

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

PubMed

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

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

PubMed

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.

Modelling malaria incidence by an autoregressive distributed lag model with spatial component.

PubMed

Laguna, Francisco; Grillet, María Eugenia; León, José R; Ludeña, Carenne

2017-08-01

The influence of climatic variables on the dynamics of human malaria has been widely highlighted. Also, it is known that this mosquito-borne infection varies in space and time. However, when the data is spatially incomplete most popular spatio-temporal methods of analysis cannot be applied directly. In this paper, we develop a two step methodology to model the spatio-temporal dependence of malaria incidence on local rainfall, temperature, and humidity as well as the regional sea surface temperatures (SST) in the northern coast of Venezuela. First, we fit an autoregressive distributed lag model (ARDL) to the weekly data, and then, we adjust a linear separable spacial vectorial autoregressive model (VAR) to the residuals of the ARDL. Finally, the model parameters are tuned using a Markov Chain Monte Carlo (MCMC) procedure derived from the Metropolis-Hastings algorithm. Our results show that the best model to account for the variations of malaria incidence from 2001 to 2008 in 10 endemic Municipalities in North-Eastern Venezuela is a logit model that included the accumulated local precipitation in combination with the local maximum temperature of the preceding month as positive regressors. Additionally, we show that although malaria dynamics is highly heterogeneous in space, a detailed analysis of the estimated spatial parameters in our model yield important insights regarding the joint behavior of the disease incidence across the different counties in our study. Copyright © 2017 Elsevier Ltd. All rights reserved.

Modeling rainfall-runoff relationship using multivariate GARCH model

NASA Astrophysics Data System (ADS)

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

2013-08-01

The traditional hydrologic time series approaches are used for modeling, simulating and forecasting conditional mean of hydrologic variables but neglect their time varying variance or the second order moment. This paper introduces the multivariate Generalized Autoregressive Conditional Heteroscedasticity (MGARCH) modeling approach to show how the variance-covariance relationship between hydrologic variables varies in time. These approaches are also useful to estimate the dynamic conditional correlation between hydrologic variables. To illustrate the novelty and usefulness of MGARCH models in hydrology, two major types of MGARCH models, the bivariate diagonal VECH and constant conditional correlation (CCC) models are applied to show the variance-covariance structure and cdynamic correlation in a rainfall-runoff process. The bivariate diagonal VECH-GARCH(1,1) and CCC-GARCH(1,1) models indicated both short-run and long-run persistency in the conditional variance-covariance matrix of the rainfall-runoff process. The conditional variance of rainfall appears to have a stronger persistency, especially long-run persistency, than the conditional variance of streamflow which shows a short-lived drastic increasing pattern and a stronger short-run persistency. The conditional covariance and conditional correlation coefficients have different features for each bivariate rainfall-runoff process with different degrees of stationarity and dynamic nonlinearity. The spatial and temporal pattern of variance-covariance features may reflect the signature of different physical and hydrological variables such as drainage area, topography, soil moisture and ground water fluctuations on the strength, stationarity and nonlinearity of the conditional variance-covariance for a rainfall-runoff process.

Measuring Treasury Bond Portfolio Risk and Portfolio Optimization with a Non-Gaussian Multivariate Model

NASA Astrophysics Data System (ADS)

Dong, Yijun

The research about measuring the risk of a bond portfolio and the portfolio optimization was relatively rare previously, because the risk factors of bond portfolios are not very volatile. However, this condition has changed recently. The 2008 financial crisis brought high volatility to the risk factors and the related bond securities, even if the highly rated U.S. treasury bonds. Moreover, the risk factors of bond portfolios show properties of fat-tailness and asymmetry like risk factors of equity portfolios. Therefore, we need to use advanced techniques to measure and manage risk of bond portfolios. In our paper, we first apply autoregressive moving average generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model with multivariate normal tempered stable (MNTS) distribution innovations to predict risk factors of U.S. treasury bonds and statistically demonstrate that MNTS distribution has the ability to capture the properties of risk factors based on the goodness-of-fit tests. Then based on empirical evidence, we find that the VaR and AVaR estimated by assuming normal tempered stable distribution are more realistic and reliable than those estimated by assuming normal distribution, especially for the financial crisis period. Finally, we use the mean-risk portfolio optimization to minimize portfolios' potential risks. The empirical study indicates that the optimized bond portfolios have better risk-adjusted performances than the benchmark portfolios for some periods. Moreover, the optimized bond portfolios obtained by assuming normal tempered stable distribution have improved performances in comparison to the optimized bond portfolios obtained by assuming normal distribution.

Assessment of cardio-respiratory interactions in preterm infants by bivariate autoregressive modeling and surrogate data analysis.

PubMed

Indic, Premananda; Bloch-Salisbury, Elisabeth; Bednarek, Frank; Brown, Emery N; Paydarfar, David; Barbieri, Riccardo

2011-07-01

Cardio-respiratory interactions are weak at the earliest stages of human development, suggesting that assessment of their presence and integrity may be an important indicator of development in infants. Despite the valuable research devoted to infant development, there is still a need for specifically targeted standards and methods to assess cardiopulmonary functions in the early stages of life. We present a new methodological framework for the analysis of cardiovascular variables in preterm infants. Our approach is based on a set of mathematical tools that have been successful in quantifying important cardiovascular control mechanisms in adult humans, here specifically adapted to reflect the physiology of the developing cardiovascular system. We applied our methodology in a study of cardio-respiratory responses for 11 preterm infants. We quantified cardio-respiratory interactions using specifically tailored multivariate autoregressive analysis and calculated the coherence as well as gain using causal approaches. The significance of the interactions in each subject was determined by surrogate data analysis. The method was tested in control conditions as well as in two different experimental conditions; with and without use of mild mechanosensory intervention. Our multivariate analysis revealed a significantly higher coherence, as confirmed by surrogate data analysis, in the frequency range associated with eupneic breathing compared to the other ranges. Our analysis validates the models behind our new approaches, and our results confirm the presence of cardio-respiratory coupling in early stages of development, particularly during periods of mild mechanosensory intervention, thus encouraging further application of our approach. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

At the Frontiers of Modeling Intensive Longitudinal Data: Dynamic Structural Equation Models for the Affective Measurements from the COGITO Study.

PubMed

Hamaker, E L; Asparouhov, T; Brose, A; Schmiedek, F; Muthén, B

2018-04-06

With the growing popularity of intensive longitudinal research, the modeling techniques and software options for such data are also expanding rapidly. Here we use dynamic multilevel modeling, as it is incorporated in the new dynamic structural equation modeling (DSEM) toolbox in Mplus, to analyze the affective data from the COGITO study. These data consist of two samples of over 100 individuals each who were measured for about 100 days. We use composite scores of positive and negative affect and apply a multilevel vector autoregressive model to allow for individual differences in means, autoregressions, and cross-lagged effects. Then we extend the model to include random residual variances and covariance, and finally we investigate whether prior depression affects later depression scores through the random effects of the daily diary measures. We end with discussing several urgent-but mostly unresolved-issues in the area of dynamic multilevel modeling.

Software sensors for biomass concentration in a SSC process using artificial neural networks and support vector machine.

PubMed

Acuña, Gonzalo; Ramirez, Cristian; Curilem, Millaray

2014-01-01

The lack of sensors for some relevant state variables in fermentation processes can be coped by developing appropriate software sensors. In this work, NARX-ANN, NARMAX-ANN, NARX-SVM and NARMAX-SVM models are compared when acting as software sensors of biomass concentration for a solid substrate cultivation (SSC) process. Results show that NARMAX-SVM outperforms the other models with an SMAPE index under 9 for a 20 % amplitude noise. In addition, NARMAX models perform better than NARX models under the same noise conditions because of their better predictive capabilities as they include prediction errors as inputs. In the case of perturbation of initial conditions of the autoregressive variable, NARX models exhibited better convergence capabilities. This work also confirms that a difficult to measure variable, like biomass concentration, can be estimated on-line from easy to measure variables like CO₂ and O₂ using an adequate software sensor based on computational intelligence techniques.

Autoregressive models for estimating phylogenetic and environmental effects: accounting for within-species variations.

PubMed

Cornillon, P A; Pontier, D; Rochet, M J

2000-02-21

Comparative methods are used to investigate the attributes of present species or higher taxa. Difficulties arise from the phylogenetic heritage: taxa are not independent and neglecting phylogenetic inertia can lead to inaccurate results. Within-species variations in life-history traits are also not negligible, but most comparative methods are not designed to take them into account. Taxa are generally described by a single value for each trait. We have developed a new model which permits the incorporation of both the phylogenetic relationships among populations and within-species variations. This is an extension of classical autoregressive models. This family of models was used to study the effect of fishing on six demographic traits measured on 77 populations of teleost fishes. Copyright 2000 Academic Press.

Generalized seasonal autoregressive integrated moving average models for count data with application to malaria time series with low case numbers.

PubMed

Briët, Olivier J T; Amerasinghe, Priyanie H; Vounatsou, Penelope

2013-01-01

With the renewed drive towards malaria elimination, there is a need for improved surveillance tools. While time series analysis is an important tool for surveillance, prediction and for measuring interventions' impact, approximations by commonly used Gaussian methods are prone to inaccuracies when case counts are low. Therefore, statistical methods appropriate for count data are required, especially during "consolidation" and "pre-elimination" phases. Generalized autoregressive moving average (GARMA) models were extended to generalized seasonal autoregressive integrated moving average (GSARIMA) models for parsimonious observation-driven modelling of non Gaussian, non stationary and/or seasonal time series of count data. The models were applied to monthly malaria case time series in a district in Sri Lanka, where malaria has decreased dramatically in recent years. The malaria series showed long-term changes in the mean, unstable variance and seasonality. After fitting negative-binomial Bayesian models, both a GSARIMA and a GARIMA deterministic seasonality model were selected based on different criteria. Posterior predictive distributions indicated that negative-binomial models provided better predictions than Gaussian models, especially when counts were low. The G(S)ARIMA models were able to capture the autocorrelation in the series. G(S)ARIMA models may be particularly useful in the drive towards malaria elimination, since episode count series are often seasonal and non-stationary, especially when control is increased. Although building and fitting GSARIMA models is laborious, they may provide more realistic prediction distributions than do Gaussian methods and may be more suitable when counts are low.

Generalized Seasonal Autoregressive Integrated Moving Average Models for Count Data with Application to Malaria Time Series with Low Case Numbers

PubMed Central

Briët, Olivier J. T.; Amerasinghe, Priyanie H.; Vounatsou, Penelope

2013-01-01

Introduction With the renewed drive towards malaria elimination, there is a need for improved surveillance tools. While time series analysis is an important tool for surveillance, prediction and for measuring interventions’ impact, approximations by commonly used Gaussian methods are prone to inaccuracies when case counts are low. Therefore, statistical methods appropriate for count data are required, especially during “consolidation” and “pre-elimination” phases. Methods Generalized autoregressive moving average (GARMA) models were extended to generalized seasonal autoregressive integrated moving average (GSARIMA) models for parsimonious observation-driven modelling of non Gaussian, non stationary and/or seasonal time series of count data. The models were applied to monthly malaria case time series in a district in Sri Lanka, where malaria has decreased dramatically in recent years. Results The malaria series showed long-term changes in the mean, unstable variance and seasonality. After fitting negative-binomial Bayesian models, both a GSARIMA and a GARIMA deterministic seasonality model were selected based on different criteria. Posterior predictive distributions indicated that negative-binomial models provided better predictions than Gaussian models, especially when counts were low. The G(S)ARIMA models were able to capture the autocorrelation in the series. Conclusions G(S)ARIMA models may be particularly useful in the drive towards malaria elimination, since episode count series are often seasonal and non-stationary, especially when control is increased. Although building and fitting GSARIMA models is laborious, they may provide more realistic prediction distributions than do Gaussian methods and may be more suitable when counts are low. PMID:23785448

Principal Dynamic Mode Analysis of the Hodgkin–Huxley Equations

PubMed Central

Eikenberry, Steffen E.; Marmarelis, Vasilis Z.

2015-01-01

We develop an autoregressive model framework based on the concept of Principal Dynamic Modes (PDMs) for the process of action potential (AP) generation in the excitable neuronal membrane described by the Hodgkin–Huxley (H–H) equations. The model's exogenous input is injected current, and whenever the membrane potential output exceeds a specified threshold, it is fed back as a second input. The PDMs are estimated from the previously developed Nonlinear Autoregressive Volterra (NARV) model, and represent an efficient functional basis for Volterra kernel expansion. The PDM-based model admits a modular representation, consisting of the forward and feedback PDM bases as linear filterbanks for the exogenous and autoregressive inputs, respectively, whose outputs are then fed to a static nonlinearity composed of polynomials operating on the PDM outputs and cross-terms of pair-products of PDM outputs. A two-step procedure for model reduction is performed: first, influential subsets of the forward and feedback PDM bases are identified and selected as the reduced PDM bases. Second, the terms of the static nonlinearity are pruned. The first step reduces model complexity from a total of 65 coefficients to 27, while the second further reduces the model coefficients to only eight. It is demonstrated that the performance cost of model reduction in terms of out-of-sample prediction accuracy is minimal. Unlike the full model, the eight coefficient pruned model can be easily visualized to reveal the essential system components, and thus the data-derived PDM model can yield insight into the underlying system structure and function. PMID:25630480

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model

PubMed Central

Li, Xiaoqing; Wang, Yu

2018-01-01

Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing technology. PMID:29351254

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model.

PubMed

Xin, Jingzhou; Zhou, Jianting; Yang, Simon X; Li, Xiaoqing; Wang, Yu

2018-01-19

Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing technology.

The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya; Chen, Ting Ting

2016-08-01

We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.

A generalized conditional heteroscedastic model for temperature downscaling

NASA Astrophysics Data System (ADS)

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

2014-11-01

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

Asymptotically stable phase synchronization revealed by autoregressive circle maps

NASA Astrophysics Data System (ADS)

Drepper, F. R.

2000-11-01

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

Is a matrix exponential specification suitable for the modeling of spatial correlation structures?

PubMed Central

Strauß, Magdalena E.; Mezzetti, Maura; Leorato, Samantha

2018-01-01

This paper investigates the adequacy of the matrix exponential spatial specifications (MESS) as an alternative to the widely used spatial autoregressive models (SAR). To provide as complete a picture as possible, we extend the analysis to all the main spatial models governed by matrix exponentials comparing them with their spatial autoregressive counterparts. We propose a new implementation of Bayesian parameter estimation for the MESS model with vague prior distributions, which is shown to be precise and computationally efficient. Our implementations also account for spatially lagged regressors. We further allow for location-specific heterogeneity, which we model by including spatial splines. We conclude by comparing the performances of the different model specifications in applications to a real data set and by running simulations. Both the applications and the simulations suggest that the spatial splines are a flexible and efficient way to account for spatial heterogeneities governed by unknown mechanisms. PMID:29492375

Clustering of financial time series

NASA Astrophysics Data System (ADS)

D'Urso, Pierpaolo; Cappelli, Carmela; Di Lallo, Dario; Massari, Riccardo

2013-05-01

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.

Analysis Monthly Import of Palm Oil Products Using Box-Jenkins Model

NASA Astrophysics Data System (ADS)

Ahmad, Nurul F. Y.; Khalid, Kamil; Saifullah Rusiman, Mohd; Ghazali Kamardan, M.; Roslan, Rozaini; Che-Him, Norziha

2018-04-01

The palm oil industry has been an important component of the national economy especially the agriculture sector. The aim of this study is to identify the pattern of import of palm oil products, to model the time series using Box-Jenkins model and to forecast the monthly import of palm oil products. The method approach is included in the statistical test for verifying the equivalence model and statistical measurement of three models, namely Autoregressive (AR) model, Moving Average (MA) model and Autoregressive Moving Average (ARMA) model. The model identification of all product import palm oil is different in which the AR(1) was found to be the best model for product import palm oil while MA(3) was found to be the best model for products import palm kernel oil. For the palm kernel, MA(4) was found to be the best model. The results forecast for the next four months for products import palm oil, palm kernel oil and palm kernel showed the most significant decrease compared to the actual data.

Corrected goodness-of-fit test in covariance structure analysis.

PubMed

Hayakawa, Kazuhiko

2018-05-17

Many previous studies report simulation evidence that the goodness-of-fit test in covariance structure analysis or structural equation modeling suffers from the overrejection problem when the number of manifest variables is large compared with the sample size. In this study, we demonstrate that one of the tests considered in Browne (1974) can address this long-standing problem. We also propose a simple modification of Satorra and Bentler's mean and variance adjusted test for non-normal data. A Monte Carlo simulation is carried out to investigate the performance of the corrected tests in the context of a confirmatory factor model, a panel autoregressive model, and a cross-lagged panel (panel vector autoregressive) model. The simulation results reveal that the corrected tests overcome the overrejection problem and outperform existing tests in most cases. (PsycINFO Database Record (c) 2018 APA, all rights reserved).

What's in a Day? A Guide to Decomposing the Variance in Intensive Longitudinal Data

PubMed Central

de Haan-Rietdijk, Silvia; Kuppens, Peter; Hamaker, Ellen L.

2016-01-01

In recent years there has been a growing interest in the use of intensive longitudinal research designs to study within-person processes. Examples are studies that use experience sampling data and autoregressive modeling to investigate emotion dynamics and between-person differences therein. Such designs often involve multiple measurements per day and multiple days per person, and it is not clear how this nesting of the data should be accounted for: That is, should such data be considered as two-level data (which is common practice at this point), with occasions nested in persons, or as three-level data with beeps nested in days which are nested in persons. We show that a significance test of the day-level variance in an empty three-level model is not reliable when there is autocorrelation. Furthermore, we show that misspecifying the number of levels can lead to spurious or misleading findings, such as inflated variance or autoregression estimates. Throughout the paper we present instructions and R code for the implementation of the proposed models, which includes a novel three-level AR(1) model that estimates moment-to-moment inertia and day-to-day inertia. Based on our simulations we recommend model selection using autoregressive multilevel models in combination with the AIC. We illustrate this method using empirical emotion data from two independent samples, and discuss the implications and the relevance of the existence of a day level for the field. PMID:27378986

What's in a Day? A Guide to Decomposing the Variance in Intensive Longitudinal Data.

PubMed

de Haan-Rietdijk, Silvia; Kuppens, Peter; Hamaker, Ellen L

2016-01-01

In recent years there has been a growing interest in the use of intensive longitudinal research designs to study within-person processes. Examples are studies that use experience sampling data and autoregressive modeling to investigate emotion dynamics and between-person differences therein. Such designs often involve multiple measurements per day and multiple days per person, and it is not clear how this nesting of the data should be accounted for: That is, should such data be considered as two-level data (which is common practice at this point), with occasions nested in persons, or as three-level data with beeps nested in days which are nested in persons. We show that a significance test of the day-level variance in an empty three-level model is not reliable when there is autocorrelation. Furthermore, we show that misspecifying the number of levels can lead to spurious or misleading findings, such as inflated variance or autoregression estimates. Throughout the paper we present instructions and R code for the implementation of the proposed models, which includes a novel three-level AR(1) model that estimates moment-to-moment inertia and day-to-day inertia. Based on our simulations we recommend model selection using autoregressive multilevel models in combination with the AIC. We illustrate this method using empirical emotion data from two independent samples, and discuss the implications and the relevance of the existence of a day level for the field.

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

NASA Astrophysics Data System (ADS)

Pipień, M.

2008-09-01

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

Statistical Modeling and Prediction for Tourism Economy Using Dendritic Neural Network

PubMed Central

Yu, Ying; Wang, Yirui; Tang, Zheng

2017-01-01

With the impact of global internationalization, tourism economy has also been a rapid development. The increasing interest aroused by more advanced forecasting methods leads us to innovate forecasting methods. In this paper, the seasonal trend autoregressive integrated moving averages with dendritic neural network model (SA-D model) is proposed to perform the tourism demand forecasting. First, we use the seasonal trend autoregressive integrated moving averages model (SARIMA model) to exclude the long-term linear trend and then train the residual data by the dendritic neural network model and make a short-term prediction. As the result showed in this paper, the SA-D model can achieve considerably better predictive performances. In order to demonstrate the effectiveness of the SA-D model, we also use the data that other authors used in the other models and compare the results. It also proved that the SA-D model achieved good predictive performances in terms of the normalized mean square error, absolute percentage of error, and correlation coefficient. PMID:28246527

Statistical Modeling and Prediction for Tourism Economy Using Dendritic Neural Network.

PubMed

Yu, Ying; Wang, Yirui; Gao, Shangce; Tang, Zheng

2017-01-01

With the impact of global internationalization, tourism economy has also been a rapid development. The increasing interest aroused by more advanced forecasting methods leads us to innovate forecasting methods. In this paper, the seasonal trend autoregressive integrated moving averages with dendritic neural network model (SA-D model) is proposed to perform the tourism demand forecasting. First, we use the seasonal trend autoregressive integrated moving averages model (SARIMA model) to exclude the long-term linear trend and then train the residual data by the dendritic neural network model and make a short-term prediction. As the result showed in this paper, the SA-D model can achieve considerably better predictive performances. In order to demonstrate the effectiveness of the SA-D model, we also use the data that other authors used in the other models and compare the results. It also proved that the SA-D model achieved good predictive performances in terms of the normalized mean square error, absolute percentage of error, and correlation coefficient.

Statistical process control of mortality series in the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database: implications of the data generating process.

PubMed

Moran, John L; Solomon, Patricia J

2013-05-24

Statistical process control (SPC), an industrial sphere initiative, has recently been applied in health care and public health surveillance. SPC methods assume independent observations and process autocorrelation has been associated with increase in false alarm frequency. Monthly mean raw mortality (at hospital discharge) time series, 1995-2009, at the individual Intensive Care unit (ICU) level, were generated from the Australia and New Zealand Intensive Care Society adult patient database. Evidence for series (i) autocorrelation and seasonality was demonstrated using (partial)-autocorrelation ((P)ACF) function displays and classical series decomposition and (ii) "in-control" status was sought using risk-adjusted (RA) exponentially weighted moving average (EWMA) control limits (3 sigma). Risk adjustment was achieved using a random coefficient (intercept as ICU site and slope as APACHE III score) logistic regression model, generating an expected mortality series. Application of time-series to an exemplar complete ICU series (1995-(end)2009) was via Box-Jenkins methodology: autoregressive moving average (ARMA) and (G)ARCH ((Generalised) Autoregressive Conditional Heteroscedasticity) models, the latter addressing volatility of the series variance. The overall data set, 1995-2009, consisted of 491324 records from 137 ICU sites; average raw mortality was 14.07%; average(SD) raw and expected mortalities ranged from 0.012(0.113) and 0.013(0.045) to 0.296(0.457) and 0.278(0.247) respectively. For the raw mortality series: 71 sites had continuous data for assessment up to or beyond lag40 and 35% had autocorrelation through to lag40; and of 36 sites with continuous data for ≥ 72 months, all demonstrated marked seasonality. Similar numbers and percentages were seen with the expected series. Out-of-control signalling was evident for the raw mortality series with respect to RA-EWMA control limits; a seasonal ARMA model, with GARCH effects, displayed white-noise residuals which were in-control with respect to EWMA control limits and one-step prediction error limits (3SE). The expected series was modelled with a multiplicative seasonal autoregressive model. The data generating process of monthly raw mortality series at the ICU level displayed autocorrelation, seasonality and volatility. False-positive signalling of the raw mortality series was evident with respect to RA-EWMA control limits. A time series approach using residual control charts resolved these issues.

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

PubMed

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.

A test-retest assessment of the effects of mental load on ratings of affect, arousal and perceived exertion during submaximal cycling.

PubMed

Vera, Jesús; Perales, José C; Jiménez, Raimundo; Cárdenas, David

2018-04-24

This study aimed to test the effects of mental (i.e. executive) load during a dual physical-mental task on ratings of perceived exertion (RPE), affective valence, and arousal. The protocol included two dual tasks with matched physical demands but different executive demands (2-back and oddball), carried out on different days. The procedure was run twice to assess the sensitivity and stability of RPE, valence and arousal across the two trials. Linear mixed-effects analyses showed less positive valence (-0.44 points on average in a 1-9 scale; R β 2  = 0.074 [CI90%, 0.052-0.098]), and heightened arousal (+0.13 points on average in a 1-9 scale; R β 2  = 0.006 [CI90%, 0.001-0.015]), for the high executive load condition, but showed no effect of mental load on RPE. Separated analyses for the two task trials yielded best-fitting models that were identical across trials for RPE and valence, but not for arousal. Model fitting was improved by assuming a 1-level autoregressive covariance structure for all analyses. In conclusion, executive load during a dual physical-mental task modulates the emotional response to effort, but not RPE. The autoregressive covariance suggests that people tend to anchor estimates on prior ones, which imposes certain limits on scales' usability.

Forecasting conditional climate-change using a hybrid approach

USGS Publications Warehouse

Esfahani, Akbar Akbari; Friedel, Michael J.

2014-01-01

A novel approach is proposed to forecast the likelihood of climate-change across spatial landscape gradients. This hybrid approach involves reconstructing past precipitation and temperature using the self-organizing map technique; determining quantile trends in the climate-change variables by quantile regression modeling; and computing conditional forecasts of climate-change variables based on self-similarity in quantile trends using the fractionally differenced auto-regressive integrated moving average technique. The proposed modeling approach is applied to states (Arizona, California, Colorado, Nevada, New Mexico, and Utah) in the southwestern U.S., where conditional forecasts of climate-change variables are evaluated against recent (2012) observations, evaluated at a future time period (2030), and evaluated as future trends (2009–2059). These results have broad economic, political, and social implications because they quantify uncertainty in climate-change forecasts affecting various sectors of society. Another benefit of the proposed hybrid approach is that it can be extended to any spatiotemporal scale providing self-similarity exists.

Forecast of Frost Days Based on Monthly Temperatures

NASA Astrophysics Data System (ADS)

Castellanos, M. T.; Tarquis, A. M.; Morató, M. C.; Saa-Requejo, A.

2009-04-01

Although frost can cause considerable crop damage and mitigation practices against forecasted frost exist, frost forecasting technologies have not changed for many years. The paper reports a new method to forecast the monthly number of frost days (FD) for several meteorological stations at Community of Madrid (Spain) based on successive application of two models. The first one is a stochastic model, autoregressive integrated moving average (ARIMA), that forecasts monthly minimum absolute temperature (tmin) and monthly average of minimum temperature (tminav) following Box-Jenkins methodology. The second model relates these monthly temperatures to minimum daily temperature distribution during one month. Three ARIMA models were identified for the time series analyzed with a stational period correspondent to one year. They present the same stational behavior (moving average differenced model) and different non-stational part: autoregressive model (Model 1), moving average differenced model (Model 2) and autoregressive and moving average model (Model 3). At the same time, the results point out that minimum daily temperature (tdmin), for the meteorological stations studied, followed a normal distribution each month with a very similar standard deviation through years. This standard deviation obtained for each station and each month could be used as a risk index for cold months. The application of Model 1 to predict minimum monthly temperatures showed the best FD forecast. This procedure provides a tool for crop managers and crop insurance companies to asses the risk of frost frequency and intensity, so that they can take steps to mitigate against frost damage and estimated the damage that frost would cost. This research was supported by Comunidad de Madrid Research Project 076/92. The cooperation of the Spanish National Meteorological Institute and the Spanish Ministerio de Agricultura, Pesca y Alimentation (MAPA) is gratefully acknowledged.

Spatial Models for Prediction and Early Warning of Aedes aegypti Proliferation from Data on Climate Change and Variability in Cuba.

PubMed

Ortiz, Paulo L; Rivero, Alina; Linares, Yzenia; Pérez, Alina; Vázquez, Juan R

2015-04-01

Climate variability, the primary expression of climate change, is one of the most important environmental problems affecting human health, particularly vector-borne diseases. Despite research efforts worldwide, there are few studies addressing the use of information on climate variability for prevention and early warning of vector-borne infectious diseases. Show the utility of climate information for vector surveillance by developing spatial models using an entomological indicator and information on predicted climate variability in Cuba to provide early warning of danger of increased risk of dengue transmission. An ecological study was carried out using retrospective and prospective analyses of time series combined with spatial statistics. Several entomological and climatic indicators were considered using complex Bultó indices -1 and -2. Moran's I spatial autocorrelation coefficient specified for a matrix of neighbors with a radius of 20 km, was used to identify the spatial structure. Spatial structure simulation was based on simultaneous autoregressive and conditional autoregressive models; agreement between predicted and observed values for number of Aedes aegypti foci was determined by the concordance index Di and skill factor Bi. Spatial and temporal distributions of populations of Aedes aegypti were obtained. Models for describing, simulating and predicting spatial patterns of Aedes aegypti populations associated with climate variability patterns were put forward. The ranges of climate variability affecting Aedes aegypti populations were identified. Forecast maps were generated for the municipal level. Using the Bultó indices of climate variability, it is possible to construct spatial models for predicting increased Aedes aegypti populations in Cuba. At 20 x 20 km resolution, the models are able to provide warning of potential changes in vector populations in rainy and dry seasons and by month, thus demonstrating the usefulness of climate information for epidemiological surveillance.

Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

PubMed Central

Smith, Jason F.; Chen, Kewei; Pillai, Ajay S.; Horwitz, Barry

2013-01-01

The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define “effective connectivity” using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons. PMID:23717258

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

PubMed

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.

Functional CAR models for large spatially correlated functional datasets.

PubMed

Zhang, Lin; Baladandayuthapani, Veerabhadran; Zhu, Hongxiao; Baggerly, Keith A; Majewski, Tadeusz; Czerniak, Bogdan A; Morris, Jeffrey S

2016-01-01

We develop a functional conditional autoregressive (CAR) model for spatially correlated data for which functions are collected on areal units of a lattice. Our model performs functional response regression while accounting for spatial correlations with potentially nonseparable and nonstationary covariance structure, in both the space and functional domains. We show theoretically that our construction leads to a CAR model at each functional location, with spatial covariance parameters varying and borrowing strength across the functional domain. Using basis transformation strategies, the nonseparable spatial-functional model is computationally scalable to enormous functional datasets, generalizable to different basis functions, and can be used on functions defined on higher dimensional domains such as images. Through simulation studies, we demonstrate that accounting for the spatial correlation in our modeling leads to improved functional regression performance. Applied to a high-throughput spatially correlated copy number dataset, the model identifies genetic markers not identified by comparable methods that ignore spatial correlations.

Kepler AutoRegressive Planet Search

NASA Astrophysics Data System (ADS)

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-data tests of the KARPS methodology will be discussed including confirmation of some Kepler Team `candidate' planets. We also present cases of new possible planetary signals.

Integrating geographic information systems and remote sensing with spatial econometric and mixed logit models for environmental valuation

NASA Astrophysics Data System (ADS)

Wells, Aaron Raymond

This research focuses on the Emory and Obed Watersheds in the Cumberland Plateau in Central Tennessee and the Lower Hatchie River Watershed in West Tennessee. A framework based on market and nonmarket valuation techniques was used to empirically estimate economic values for environmental amenities and negative externalities in these areas. The specific techniques employed include a variation of hedonic pricing and discrete choice conjoint analysis (i.e., choice modeling), in addition to geographic information systems (GIS) and remote sensing. Microeconomic models of agent behavior, including random utility theory and profit maximization, provide the principal theoretical foundation linking valuation techniques and econometric models. The generalized method of moments estimator for a first-order spatial autoregressive function and mixed logit models are the principal econometric methods applied within the framework. The dissertation is subdivided into three separate chapters written in a manuscript format. The first chapter provides the necessary theoretical and mathematical conditions that must be satisfied in order for a forest amenity enhancement program to be implemented. These conditions include utility, value, and profit maximization. The second chapter evaluates the effect of forest land cover and information about future land use change on respondent preferences and willingness to pay for alternative hypothetical forest amenity enhancement options. Land use change information and the amount of forest land cover significantly influenced respondent preferences, choices, and stated willingness to pay. Hicksian welfare estimates for proposed enhancement options ranged from 57.42 to 25.53, depending on the policy specification, information level, and econometric model. The third chapter presents economic values for negative externalities associated with channelization that affect the productivity and overall market value of forested wetlands. Results of robust, generalized moments estimation of a double logarithmic first-order spatial autoregressive error model (inverse distance weights with spatial dependence up to 1500m) indicate that the implicit cost of damages to forested wetlands caused by channelization equaled -$5,438 ha-1. Collectively, the results of this dissertation provide economic measures of the damages to and benefits of environmental assets, help private landowners and policy makers identify the amenity attributes preferred by the public, and improve the management of natural resources.

Asymmetric impact of rainfall on India's food grain production: evidence from quantile autoregressive distributed lag model

NASA Astrophysics Data System (ADS)

Pal, Debdatta; Mitra, Subrata Kumar

2018-01-01

This study used a quantile autoregressive distributed lag (QARDL) model to capture asymmetric impact of rainfall on food production in India. It was found that the coefficient corresponding to the rainfall in the QARDL increased till the 75th quantile and started decreasing thereafter, though it remained in the positive territory. Another interesting finding is that at the 90th quantile and above the coefficients of rainfall though remained positive was not statistically significant and therefore, the benefit of high rainfall on crop production was not conclusive. However, the impact of other determinants, such as fertilizer and pesticide consumption, is quite uniform over the whole range of the distribution of food grain production.

Asymmetric statistical features of the Chinese domestic and international gold price fluctuation

NASA Astrophysics Data System (ADS)

Cao, Guangxi; Zhao, Yingchao; Han, Yan

2015-05-01

Analyzing the statistical features of fluctuation is remarkably significant for financial risk identification and measurement. In this study, the asymmetric detrended fluctuation analysis (A-DFA) method was applied to evaluate asymmetric multifractal scaling behaviors in the Shanghai and New York gold markets. Our findings showed that the multifractal features of the Chinese and international gold spot markets were asymmetric. The gold return series persisted longer in an increasing trend than in a decreasing trend. Moreover, the asymmetric degree of multifractals in the Chinese and international gold markets decreased with the increase in fluctuation range. In addition, the empirical analysis using sliding window technology indicated that multifractal asymmetry in the Chinese and international gold markets was characterized by its time-varying feature. However, the Shanghai and international gold markets basically shared a similar asymmetric degree evolution pattern. The American subprime mortgage crisis (2008) and the European debt crisis (2010) enhanced the asymmetric degree of the multifractal features of the Chinese and international gold markets. Furthermore, we also make statistical tests for the results of multifractatity and asymmetry, and discuss the origin of them. Finally, results of the empirical analysis using the threshold autoregressive conditional heteroskedasticity (TARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models exhibited that good news had a more significant effect on the cyclical fluctuation of the gold market than bad news. Moreover, good news exerted a more significant effect on the Chinese gold market than on the international gold market.

Real Time Data Management for Estimating Probabilities of Incidents and Near Misses

NASA Astrophysics Data System (ADS)

Stanitsas, P. D.; Stephanedes, Y. J.

2011-08-01

Advances in real-time data collection, data storage and computational systems have led to development of algorithms for transport administrators and engineers that improve traffic safety and reduce cost of road operations. Despite these advances, problems in effectively integrating real-time data acquisition, processing, modelling and road-use strategies at complex intersections and motorways remain. These are related to increasing system performance in identification, analysis, detection and prediction of traffic state in real time. This research develops dynamic models to estimate the probability of road incidents, such as crashes and conflicts, and incident-prone conditions based on real-time data. The models support integration of anticipatory information and fee-based road use strategies in traveller information and management. Development includes macroscopic/microscopic probabilistic models, neural networks, and vector autoregressions tested via machine vision at EU and US sites.

Multivariate Autoregressive Modeling and Granger Causality Analysis of Multiple Spike Trains

PubMed Central

Krumin, Michael; Shoham, Shy

2010-01-01

Recent years have seen the emergence of microelectrode arrays and optical methods allowing simultaneous recording of spiking activity from populations of neurons in various parts of the nervous system. The analysis of multiple neural spike train data could benefit significantly from existing methods for multivariate time-series analysis which have proven to be very powerful in the modeling and analysis of continuous neural signals like EEG signals. However, those methods have not generally been well adapted to point processes. Here, we use our recent results on correlation distortions in multivariate Linear-Nonlinear-Poisson spiking neuron models to derive generalized Yule-Walker-type equations for fitting ‘‘hidden” Multivariate Autoregressive models. We use this new framework to perform Granger causality analysis in order to extract the directed information flow pattern in networks of simulated spiking neurons. We discuss the relative merits and limitations of the new method. PMID:20454705

The Multigroup Multilevel Categorical Latent Growth Curve Models

ERIC Educational Resources Information Center

Hung, Lai-Fa

2010-01-01

Longitudinal data describe developmental patterns and enable predictions of individual changes beyond sampled time points. Major methodological issues in longitudinal data include modeling random effects, subject effects, growth curve parameters, and autoregressive residuals. This study embedded the longitudinal model within a multigroup…

Estimation des paramètres d'un modèle hydrologique mixte appliqué à la région du haut plateau Bolivien

NASA Astrophysics Data System (ADS)

Gárfias, Jaime; Verrette, Jean-Louis; Antigüedad, Iñaki; André, Cécile

1996-03-01

This paper discusses the development and application of a technique which permits the analysis and improvement of hydrological models for the management of water resources of complex systems. Considering that such models are intended for practical application, the model was applied to the conditions of the Bolivian highlands. The model consisted of a deterministic part (HEC-1 model) linked to a stochastic component. The experience acquired indicated the possibility of adapting a more general procedure to compensate for the lack of rigour in the homoscedastic and independence hypothesis of the residuals. Use of this concept improved the estimation accuracy of the parameters and provided independent residuals with constant variance. A Box-Cox transformation was used to stabilize error variance and an autoregressive model was used to remove autocorrelation in the residuals.

The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

NASA Astrophysics Data System (ADS)

Gazola, L.; Fernandes, C.; Pizzinga, A.; Riera, R.

2008-02-01

This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model of price movements, which has been largely used to forecast financial crashes. In order to accomplish reliable statistical inference for unknown parameters, we incorporate an autoregressive dynamic and a conditional heteroskedasticity structure in the error term of the original model, yielding the log-periodic-AR(1)-GARCH(1,1) model. Both the original and the extended models are fitted to financial indices of U. S. market, namely S&P500 and NASDAQ. Our analysis reveal two main points: (i) the log-periodic-AR(1)-GARCH(1,1) model has residuals with better statistical properties and (ii) the estimation of the parameter concerning the time of the financial crash has been improved.

The Use of an Autoregressive Integrated Moving Average Model for Prediction of the Incidence of Dysentery in Jiangsu, China.

PubMed

Wang, Kewei; Song, Wentao; Li, Jinping; Lu, Wu; Yu, Jiangang; Han, Xiaofeng

2016-05-01

The aim of this study is to forecast the incidence of bacillary dysentery with a prediction model. We collected the annual and monthly laboratory data of confirmed cases from January 2004 to December 2014. In this study, we applied an autoregressive integrated moving average (ARIMA) model to forecast bacillary dysentery incidence in Jiangsu, China. The ARIMA (1, 1, 1) × (1, 1, 2)12 model fitted exactly with the number of cases during January 2004 to December 2014. The fitted model was then used to predict bacillary dysentery incidence during the period January to August 2015, and the number of cases fell within the model's CI for the predicted number of cases during January-August 2015. This study shows that the ARIMA model fits the fluctuations in bacillary dysentery frequency, and it can be used for future forecasting when applied to bacillary dysentery prevention and control. © 2016 APJPH.

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

NASA Astrophysics Data System (ADS)

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.

Forecasting Daily Patient Outflow From a Ward Having No Real-Time Clinical Data

PubMed Central

Tran, Truyen; Luo, Wei; Phung, Dinh; Venkatesh, Svetha

2016-01-01

Background: Modeling patient flow is crucial in understanding resource demand and prioritization. We study patient outflow from an open ward in an Australian hospital, where currently bed allocation is carried out by a manager relying on past experiences and looking at demand. Automatic methods that provide a reasonable estimate of total next-day discharges can aid in efficient bed management. The challenges in building such methods lie in dealing with large amounts of discharge noise introduced by the nonlinear nature of hospital procedures, and the nonavailability of real-time clinical information in wards. Objective Our study investigates different models to forecast the total number of next-day discharges from an open ward having no real-time clinical data. Methods We compared 5 popular regression algorithms to model total next-day discharges: (1) autoregressive integrated moving average (ARIMA), (2) the autoregressive moving average with exogenous variables (ARMAX), (3) k-nearest neighbor regression, (4) random forest regression, and (5) support vector regression. Although the autoregressive integrated moving average model relied on past 3-month discharges, nearest neighbor forecasting used median of similar discharges in the past in estimating next-day discharge. In addition, the ARMAX model used the day of the week and number of patients currently in ward as exogenous variables. For the random forest and support vector regression models, we designed a predictor set of 20 patient features and 88 ward-level features. Results Our data consisted of 12,141 patient visits over 1826 days. Forecasting quality was measured using mean forecast error, mean absolute error, symmetric mean absolute percentage error, and root mean square error. When compared with a moving average prediction model, all 5 models demonstrated superior performance with the random forests achieving 22.7% improvement in mean absolute error, for all days in the year 2014. Conclusions In the absence of clinical information, our study recommends using patient-level and ward-level data in predicting next-day discharges. Random forest and support vector regression models are able to use all available features from such data, resulting in superior performance over traditional autoregressive methods. An intelligent estimate of available beds in wards plays a crucial role in relieving access block in emergency departments. PMID:27444059

Impact of global financial crisis on precious metals returns: An application of ARCH and GARCH methods

NASA Astrophysics Data System (ADS)

Ismail, Mohd Tahir; Abdullah, Nurul Ain; Abdul Karim, Samsul Ariffin

2013-04-01

This paper is focusing on seeing the resilient of precious metals returns in facing the global financial crisis and provides a new guide for the investors before making investment decisions on precious metals. Four types of precious metals returns which are the variables selected in this study. The precious metals are gold, silver, bronze and platinum. All the variables are transferred to natural logarithm (ln). Daily data over the period 2 January 1995 to 30 December 2011 is used. Unit root tests that involve Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests have been employed in determining the stationarity of the variables. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methods have been applied in measuring the impact of global financial crisis on precious metals returns. The result shows that investing in platinum is less risky compared to the other precious metals because it is not influence by the crisis period.

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

PubMed

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.

Modeling feeding behavior of swine to detect illness

USDA-ARS?s Scientific Manuscript database

Animal well-being may be improved by detecting disruptions in feeding behavior indicative of challenged animals. The objectives of this study were to 1) develop and optimize an autoregressive model by adjusting sensitivity of the model to detect disruptions in feeding time; 2) test the model on dail...

Evaluating simulations of daily discharge from large watersheds using autoregression and an index of flashiness

USDA-ARS?s Scientific Manuscript database

Watershed models are calibrated to simulate stream discharge as accurately as possible. Modelers will often calculate model validation statistics on aggregate (often monthly) time periods, rather than the daily step at which models typically operate. This is because daily hydrologic data exhibit lar...

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

NASA Astrophysics Data System (ADS)

Wei, Yu; Chen, Wang; Lin, Yu

2013-05-01

Recent studies in the econophysics literature reveal that price variability has fractal and multifractal characteristics not only in developed financial markets, but also in emerging markets. Taking high-frequency intraday quotes of the Shanghai Stock Exchange Component (SSEC) Index as example, this paper proposes a new method to measure daily Value-at-Risk (VaR) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR backtesting techniques are then employed to compare the performance of the model with that of a group of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) models. The empirical results show the multifractal nature of price volatility in Chinese stock market. VaR measures based on the multifractal volatility model and EVT method outperform many GARCH-type models at high-risk levels.

Spatiotemporal and random parameter panel data models of traffic crash fatalities in Vietnam.

PubMed

Truong, Long T; Kieu, Le-Minh; Vu, Tuan A

2016-09-01

This paper investigates factors associated with traffic crash fatalities in 63 provinces of Vietnam during the period from 2012 to 2014. Random effect negative binomial (RENB) and random parameter negative binomial (RPNB) panel data models are adopted to consider spatial heterogeneity across provinces. In addition, a spatiotemporal model with conditional autoregressive priors (ST-CAR) is utilised to account for spatiotemporal autocorrelation in the data. The statistical comparison indicates the ST-CAR model outperforms the RENB and RPNB models. Estimation results provide several significant findings. For example, traffic crash fatalities tend to be higher in provinces with greater numbers of level crossings. Passenger distance travelled and road lengths are also positively associated with fatalities. However, hospital densities are negatively associated with fatalities. The safety impact of the national highway 1A, the main transport corridor of the country, is also highlighted. Copyright © 2016 Elsevier Ltd. All rights reserved.

Vector autoregressive model approach for forecasting outflow cash in Central Java

NASA Astrophysics Data System (ADS)

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.

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

PubMed

Chan, Jennifer S K

2016-05-01

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

Comparisons of Four Methods for Estimating a Dynamic Factor Model

ERIC Educational Resources Information Center

Zhang, Zhiyong; Hamaker, Ellen L.; Nesselroade, John R.

2008-01-01

Four methods for estimating a dynamic factor model, the direct autoregressive factor score (DAFS) model, are evaluated and compared. The first method estimates the DAFS model using a Kalman filter algorithm based on its state space model representation. The second one employs the maximum likelihood estimation method based on the construction of a…

Kepler AutoRegressive Planet Search

NASA Astrophysics Data System (ADS)

Feigelson, Eric

NASA's Kepler mission is the source of more exoplanets than any other instrument, but the discovery depends on complex statistical analysis procedures embedded in the Kepler pipeline. A particular challenge is mitigating irregular stellar variability without loss of sensitivity to faint periodic planetary transits. This proposal presents a two-stage alternative analysis procedure. First, parametric autoregressive ARFIMA models, commonly used in econometrics, remove most of the stellar variations. Second, a novel matched filter is used to create a periodogram from which transit-like periodicities are identified. This analysis procedure, the Kepler AutoRegressive Planet Search (KARPS), is confirming most of the Kepler Objects of Interest and is expected to identify additional planetary candidates. The proposed research will complete application of the KARPS methodology to the prime Kepler mission light curves of 200,000: stars, and compare the results with Kepler Objects of Interest obtained with the Kepler pipeline. We will then conduct a variety of astronomical studies based on the KARPS results. Important subsamples will be extracted including Habitable Zone planets, hot super-Earths, grazing-transit hot Jupiters, and multi-planet systems. Groundbased spectroscopy of poorly studied candidates will be performed to better characterize the host stars. Studies of stellar variability will then be pursued based on KARPS analysis. The autocorrelation function and nonstationarity measures will be used to identify spotted stars at different stages of autoregressive modeling. Periodic variables with folded light curves inconsistent with planetary transits will be identified; they may be eclipsing or mutually-illuminating binary star systems. Classification of stellar variables with KARPS-derived statistical properties will be attempted. KARPS procedures will then be applied to archived K2 data to identify planetary transits and characterize stellar variability.

Nonrandom variability in respiratory cycle parameters of humans during stage 2 sleep.

PubMed

Modarreszadeh, M; Bruce, E N; Gothe, B

1990-08-01

We analyzed breath-to-breath inspiratory time (TI), expiratory time (TE), inspiratory volume (VI), and minute ventilation (Vm) from 11 normal subjects during stage 2 sleep. The analysis consisted of 1) fitting first- and second-order autoregressive models (AR1 and AR2) and 2) obtaining the power spectra of the data by fast-Fourier transform. For the AR2 model, the only coefficients that were statistically different from zero were the average alpha 1 (a1) for TI, VI, and Vm (a1 = 0.19, 0.29, and 0.15, respectively). However, the power spectra of all parameters often exhibited peaks at low frequency (less than 0.2 cycles/breath) and/or at high frequency (greater than 0.2 cycles/breath), indicative of periodic oscillations. After accounting for the corrupting effects of added oscillations on the a1 estimates, we conclude that 1) breath-to-breath fluctuations of VI, and to a lesser extent TI and Vm, exhibit a first-order autoregressive structure such that fluctuations of each breath are positively correlated with those of immediately preceding breaths and 2) the correlated components of variability in TE are mostly due to discrete high- and/or low-frequency oscillations with no underlying autoregressive structure. We propose that the autoregressive structure of VI, TI, and Vm during spontaneous breathing in stage 2 sleep may reflect either a central neural mechanism or the effects of noise in respiratory chemical feedback loops; the presence of low-frequency oscillations, seen more often in Vm, suggests possible instability in the chemical feedback loops. Mechanisms of high-frequency periodicities, seen more often in TE, are unknown.

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

PubMed

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.

Stock price forecasting based on time series analysis

NASA Astrophysics Data System (ADS)

Chi, Wan Le

2018-05-01

Using the historical stock price data to set up a sequence model to explain the intrinsic relationship of data, the future stock price can forecasted. The used models are auto-regressive model, moving-average model and autoregressive-movingaverage model. The original data sequence of unit root test was used to judge whether the original data sequence was stationary. The non-stationary original sequence as a first order difference needed further processing. Then the stability of the sequence difference was re-inspected. If it is still non-stationary, the second order differential processing of the sequence is carried out. Autocorrelation diagram and partial correlation diagram were used to evaluate the parameters of the identified ARMA model, including coefficients of the model and model order. Finally, the model was used to forecast the fitting of the shanghai composite index daily closing price with precision. Results showed that the non-stationary original data series was stationary after the second order difference. The forecast value of shanghai composite index daily closing price was closer to actual value, indicating that the ARMA model in the paper was a certain accuracy.

Are U.S. Military Interventions Contagious over Time? Intervention Timing and Its Implications for Force Planning

DTIC Science & Technology

2013-01-01

29 3.5. ARIMA Models , Temporal Clustering of Conflicts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 3.6...39 3.9. ARIMA Models ...variance across a distribution. Autoregressive integrated moving average ( ARIMA ) models are used with time-series data sets and are designed to capture

The role of sleep disturbances in the longitudinal relationship between psychosocial working conditions, measured by work demands and support, and depression.

PubMed

Magnusson Hanson, Linda L; Chungkham, Holendro Singh; Åkerstedt, Torbjörn; Westerlund, Hugo

2014-12-01

Because work demands and lack of social support seem to be prospectively linked to sleep problems, and sleep problems are linked to depression, sleep problems may play a role in the relationship between these work characteristics and depressive symptoms. In order to shed more light on this relationship, the current study investigated whether disturbed sleep is a mediator in the longitudinal relationships between work demands, social support, and depression. Longitudinal cohort study with repeated survey measures on four occasions. Swedish workforce. 2,017 working participants from the Swedish Longitudinal Occupational Survey of Health in 2006, 2008, 2010, and 2012. Work demands (four items) and social support (six items) were assessed with the Demand Control Questionnaire, disturbed sleep (four items) with the Karolinska Sleep Questionnaire, and depressive symptoms with a brief subscale (six items) from the Symptom Checklist. Autoregressive longitudinal mediation models using structural equation modeling were tested. The work characteristics, and disturbed sleep, were found to be separately associated with depressive symptoms in subsequent waves. However, only demands were found to be longitudinally related to subsequent disturbed sleep. The longitudinal autoregressive models supported a weak mediating role of disturbed sleep in the relationship between demands and depressive symptoms (standardized beta 0.008, P < 0.001), but not between support and depressive symptoms. These results indicate that higher demands at work might cause an increase in depressive symptoms, in part, by increasing disturbed sleep, although the mediated effect was relatively small compared to the total effect. © 2014 Associated Professional Sleep Societies, LLC.

A Unified Estimation Framework for State-Related Changes in Effective Brain Connectivity.

PubMed

Samdin, S Balqis; Ting, Chee-Ming; Ombao, Hernando; Salleh, Sh-Hussain

2017-04-01

This paper addresses the critical problem of estimating time-evolving effective brain connectivity. Current approaches based on sliding window analysis or time-varying coefficient models do not simultaneously capture both slow and abrupt changes in causal interactions between different brain regions. To overcome these limitations, we develop a unified framework based on a switching vector autoregressive (SVAR) model. Here, the dynamic connectivity regimes are uniquely characterized by distinct vector autoregressive (VAR) processes and allowed to switch between quasi-stationary brain states. The state evolution and the associated directed dependencies are defined by a Markov process and the SVAR parameters. We develop a three-stage estimation algorithm for the SVAR model: 1) feature extraction using time-varying VAR (TV-VAR) coefficients, 2) preliminary regime identification via clustering of the TV-VAR coefficients, 3) refined regime segmentation by Kalman smoothing and parameter estimation via expectation-maximization algorithm under a state-space formulation, using initial estimates from the previous two stages. The proposed framework is adaptive to state-related changes and gives reliable estimates of effective connectivity. Simulation results show that our method provides accurate regime change-point detection and connectivity estimates. In real applications to brain signals, the approach was able to capture directed connectivity state changes in functional magnetic resonance imaging data linked with changes in stimulus conditions, and in epileptic electroencephalograms, differentiating ictal from nonictal periods. The proposed framework accurately identifies state-dependent changes in brain network and provides estimates of connectivity strength and directionality. The proposed approach is useful in neuroscience studies that investigate the dynamics of underlying brain states.

A High Precision Prediction Model Using Hybrid Grey Dynamic Model

ERIC Educational Resources Information Center

Li, Guo-Dong; Yamaguchi, Daisuke; Nagai, Masatake; Masuda, Shiro

2008-01-01

In this paper, we propose a new prediction analysis model which combines the first order one variable Grey differential equation Model (abbreviated as GM(1,1) model) from grey system theory and time series Autoregressive Integrated Moving Average (ARIMA) model from statistics theory. We abbreviate the combined GM(1,1) ARIMA model as ARGM(1,1)…

Relating Factor Models for Longitudinal Data to Quasi-Simplex and NARMA Models

ERIC Educational Resources Information Center

Rovine, Michael J.; Molenaar, Peter C. M.

2005-01-01

In this article we show the one-factor model can be rewritten as a quasi-simplex model. Using this result along with addition theorems from time series analysis, we describe a common general model, the nonstationary autoregressive moving average (NARMA) model, that includes as a special case, any latent variable model with continuous indicators…

Getting It Right Matters: Climate Spectra and Their Estimation

NASA Astrophysics Data System (ADS)

Privalsky, Victor; Yushkov, Vladislav

2018-06-01

In many recent publications, climate spectra estimated with different methods from observed, GCM-simulated, and reconstructed time series contain many peaks at time scales from a few years to many decades and even centuries. However, respective spectral estimates obtained with the autoregressive (AR) and multitapering (MTM) methods showed that spectra of climate time series are smooth and contain no evidence of periodic or quasi-periodic behavior. Four order selection criteria for the autoregressive models were studied and proven sufficiently reliable for 25 time series of climate observations at individual locations or spatially averaged at local-to-global scales. As time series of climate observations are short, an alternative reliable nonparametric approach is Thomson's MTM. These results agree with both the earlier climate spectral analyses and the Markovian stochastic model of climate.

On the maximum-entropy/autoregressive modeling of time series

NASA Technical Reports Server (NTRS)

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.

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

NASA Astrophysics Data System (ADS)

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

2014-09-01

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

Automatic load forecasting. Final report

DOE Office of Scientific and Technical Information (OSTI.GOV)

Nelson, D.J.; Vemuri, S.

A method which lends itself to on-line forecasting of hourly electric loads is presented and the results of its use are compared to models developed using the Box-Jenkins method. The method consists of processing the historical hourly loads with a sequential least-squares estimator to identify a finite order autoregressive model which in turn is used to obtain a parsimonious autoregressive-moving average model. A procedure is also defined for incorporating temperature as a variable to improve forecasts where loads are temperature dependent. The method presented has several advantages in comparison to the Box-Jenkins method including much less human intervention and improvedmore » model identification. The method has been tested using three-hourly data from the Lincoln Electric System, Lincoln, Nebraska. In the exhaustive analyses performed on this data base this method produced significantly better results than the Box-Jenkins method. The method also proved to be more robust in that greater confidence could be placed in the accuracy of models based upon the various measures available at the identification stage.« less

Trans-dimensional matched-field geoacoustic inversion with hierarchical error models and interacting Markov chains.

PubMed

Dettmer, Jan; Dosso, Stan E

2012-10-01

This paper develops a trans-dimensional approach to matched-field geoacoustic inversion, including interacting Markov chains to improve efficiency and an autoregressive model to account for correlated errors. The trans-dimensional approach and hierarchical seabed model allows inversion without assuming any particular parametrization by relaxing model specification to a range of plausible seabed models (e.g., in this case, the number of sediment layers is an unknown parameter). Data errors are addressed by sampling statistical error-distribution parameters, including correlated errors (covariance), by applying a hierarchical autoregressive error model. The well-known difficulty of low acceptance rates for trans-dimensional jumps is addressed with interacting Markov chains, resulting in a substantial increase in efficiency. The trans-dimensional seabed model and the hierarchical error model relax the degree of prior assumptions required in the inversion, resulting in substantially improved (more realistic) uncertainty estimates and a more automated algorithm. In particular, the approach gives seabed parameter uncertainty estimates that account for uncertainty due to prior model choice (layering and data error statistics). The approach is applied to data measured on a vertical array in the Mediterranean Sea.

Seasonality and Trend Forecasting of Tuberculosis Prevalence Data in Eastern Cape, South Africa, Using a Hybrid Model.

PubMed

Azeez, Adeboye; Obaromi, Davies; Odeyemi, Akinwumi; Ndege, James; Muntabayi, Ruffin

2016-07-26

Tuberculosis (TB) is a deadly infectious disease caused by Mycobacteria tuberculosis. Tuberculosis as a chronic and highly infectious disease is prevalent in almost every part of the globe. More than 95% of TB mortality occurs in low/middle income countries. In 2014, approximately 10 million people were diagnosed with active TB and two million died from the disease. In this study, our aim is to compare the predictive powers of the seasonal autoregressive integrated moving average (SARIMA) and neural network auto-regression (SARIMA-NNAR) models of TB incidence and analyse its seasonality in South Africa. TB incidence cases data from January 2010 to December 2015 were extracted from the Eastern Cape Health facility report of the electronic Tuberculosis Register (ERT.Net). A SARIMA model and a combined model of SARIMA model and a neural network auto-regression (SARIMA-NNAR) model were used in analysing and predicting the TB data from 2010 to 2015. Simulation performance parameters of mean square error (MSE), root mean square error (RMSE), mean absolute error (MAE), mean percent error (MPE), mean absolute scaled error (MASE) and mean absolute percentage error (MAPE) were applied to assess the better performance of prediction between the models. Though practically, both models could predict TB incidence, the combined model displayed better performance. For the combined model, the Akaike information criterion (AIC), second-order AIC (AICc) and Bayesian information criterion (BIC) are 288.56, 308.31 and 299.09 respectively, which were lower than the SARIMA model with corresponding values of 329.02, 327.20 and 341.99, respectively. The seasonality trend of TB incidence was forecast to have a slightly increased seasonal TB incidence trend from the SARIMA-NNAR model compared to the single model. The combined model indicated a better TB incidence forecasting with a lower AICc. The model also indicates the need for resolute intervention to reduce infectious disease transmission with co-infection with HIV and other concomitant diseases, and also at festival peak periods.

Tire-road friction coefficient estimation based on the resonance frequency of in-wheel motor drive system

NASA Astrophysics Data System (ADS)

Chen, Long; Bian, Mingyuan; Luo, Yugong; Qin, Zhaobo; Li, Keqiang

2016-01-01

In this paper, a resonance frequency-based tire-road friction coefficient (TRFC) estimation method is proposed by considering the dynamics performance of the in-wheel motor drive system under small slip ratio conditions. A frequency response function (FRF) is deduced for the drive system that is composed of a dynamic tire model and a simplified motor model. A linear relationship between the squared system resonance frequency and the TFRC is described with the FRF. Furthermore, the resonance frequency is identified by the Auto-Regressive eXogenous model using the information of the motor torque and the wheel speed, and the TRFC is estimated thereafter by a recursive least squares filter with the identified resonance frequency. Finally, the effectiveness of the proposed approach is demonstrated through simulations and experimental tests on different road surfaces.

Autoregressive statistical pattern recognition algorithms for damage detection in civil structures

NASA Astrophysics Data System (ADS)

Yao, Ruigen; Pakzad, Shamim N.

2012-08-01

Statistical pattern recognition has recently emerged as a promising set of complementary methods to system identification for automatic structural damage assessment. Its essence is to use well-known concepts in statistics for boundary definition of different pattern classes, such as those for damaged and undamaged structures. In this paper, several statistical pattern recognition algorithms using autoregressive models, including statistical control charts and hypothesis testing, are reviewed as potentially competitive damage detection techniques. To enhance the performance of statistical methods, new feature extraction techniques using model spectra and residual autocorrelation, together with resampling-based threshold construction methods, are proposed. Subsequently, simulated acceleration data from a multi degree-of-freedom system is generated to test and compare the efficiency of the existing and proposed algorithms. Data from laboratory experiments conducted on a truss and a large-scale bridge slab model are then used to further validate the damage detection methods and demonstrate the superior performance of proposed algorithms.

Comparison of two non-convex mixed-integer nonlinear programming algorithms applied to autoregressive moving average model structure and parameter estimation

NASA Astrophysics Data System (ADS)

Uilhoorn, F. E.

2016-10-01

In this article, the stochastic modelling approach proposed by Box and Jenkins is treated as a mixed-integer nonlinear programming (MINLP) problem solved with a mesh adaptive direct search and a real-coded genetic class of algorithms. The aim is to estimate the real-valued parameters and non-negative integer, correlated structure of stationary autoregressive moving average (ARMA) processes. The maximum likelihood function of the stationary ARMA process is embedded in Akaike's information criterion and the Bayesian information criterion, whereas the estimation procedure is based on Kalman filter recursions. The constraints imposed on the objective function enforce stability and invertibility. The best ARMA model is regarded as the global minimum of the non-convex MINLP problem. The robustness and computational performance of the MINLP solvers are compared with brute-force enumeration. Numerical experiments are done for existing time series and one new data set.

Model-Based Clustering of Regression Time Series Data via APECM -- An AECM Algorithm Sung to an Even Faster Beat

DOE Office of Scientific and Technical Information (OSTI.GOV)

Chen, Wei-Chen; Maitra, Ranjan

2011-01-01

We propose a model-based approach for clustering time series regression data in an unsupervised machine learning framework to identify groups under the assumption that each mixture component follows a Gaussian autoregressive regression model of order p. Given the number of groups, the traditional maximum likelihood approach of estimating the parameters using the expectation-maximization (EM) algorithm can be employed, although it is computationally demanding. The somewhat fast tune to the EM folk song provided by the Alternating Expectation Conditional Maximization (AECM) algorithm can alleviate the problem to some extent. In this article, we develop an alternative partial expectation conditional maximization algorithmmore » (APECM) that uses an additional data augmentation storage step to efficiently implement AECM for finite mixture models. Results on our simulation experiments show improved performance in both fewer numbers of iterations and computation time. The methodology is applied to the problem of clustering mutual funds data on the basis of their average annual per cent returns and in the presence of economic indicators.« less

Nonlinear and Quasi-Simplex Patterns in Latent Growth Models

ERIC Educational Resources Information Center

Bianconcini, Silvia

2012-01-01

In the SEM literature, simplex and latent growth models have always been considered competing approaches for the analysis of longitudinal data, even if they are strongly connected and both of specific importance. General dynamic models, which simultaneously estimate autoregressive structures and latent curves, have been recently proposed in the…

An Integrated Enrollment Forecast Model. IR Applications, Volume 15, January 18, 2008

ERIC Educational Resources Information Center

Chen, Chau-Kuang

2008-01-01

Enrollment forecasting is the central component of effective budget and program planning. The integrated enrollment forecast model is developed to achieve a better understanding of the variables affecting student enrollment and, ultimately, to perform accurate forecasts. The transfer function model of the autoregressive integrated moving average…

Time Series ARIMA Models of Undergraduate Grade Point Average.

ERIC Educational Resources Information Center

Rogers, Bruce G.

The Auto-Regressive Integrated Moving Average (ARIMA) Models, often referred to as Box-Jenkins models, are regression methods for analyzing sequential dependent observations with large amounts of data. The Box-Jenkins approach, a three-stage procedure consisting of identification, estimation and diagnosis, was used to select the most appropriate…

A probabilistic framework to infer brain functional connectivity from anatomical connections.

PubMed

Deligianni, Fani; Varoquaux, Gael; Thirion, Bertrand; Robinson, Emma; Sharp, David J; Edwards, A David; Rueckert, Daniel

2011-01-01

We present a novel probabilistic framework to learn across several subjects a mapping from brain anatomical connectivity to functional connectivity, i.e. the covariance structure of brain activity. This prediction problem must be formulated as a structured-output learning task, as the predicted parameters are strongly correlated. We introduce a model selection framework based on cross-validation with a parametrization-independent loss function suitable to the manifold of covariance matrices. Our model is based on constraining the conditional independence structure of functional activity by the anatomical connectivity. Subsequently, we learn a linear predictor of a stationary multivariate autoregressive model. This natural parameterization of functional connectivity also enforces the positive-definiteness of the predicted covariance and thus matches the structure of the output space. Our results show that functional connectivity can be explained by anatomical connectivity on a rigorous statistical basis, and that a proper model of functional connectivity is essential to assess this link.

Intercept Centering and Time Coding in Latent Difference Score Models

ERIC Educational Resources Information Center

Grimm, Kevin J.

2012-01-01

Latent difference score (LDS) models combine benefits derived from autoregressive and latent growth curve models allowing for time-dependent influences and systematic change. The specification and descriptions of LDS models include an initial level of ability or trait plus an accumulation of changes. A limitation of this specification is that the…

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

NASA Astrophysics Data System (ADS)

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.

An Intelligent Decision Support System for Workforce Forecast

DTIC Science & Technology

2011-01-01

ARIMA ) model to forecast the demand for construction skills in Hong Kong. This model was based...Decision Trees ARIMA Rule Based Forecasting Segmentation Forecasting Regression Analysis Simulation Modeling Input-Output Models LP and NLP Markovian...data • When results are needed as a set of easily interpretable rules 4.1.4 ARIMA Auto-regressive, integrated, moving-average ( ARIMA ) models

Statistical process control of mortality series in the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database: implications of the data generating process

PubMed Central

2013-01-01

Background Statistical process control (SPC), an industrial sphere initiative, has recently been applied in health care and public health surveillance. SPC methods assume independent observations and process autocorrelation has been associated with increase in false alarm frequency. Methods Monthly mean raw mortality (at hospital discharge) time series, 1995–2009, at the individual Intensive Care unit (ICU) level, were generated from the Australia and New Zealand Intensive Care Society adult patient database. Evidence for series (i) autocorrelation and seasonality was demonstrated using (partial)-autocorrelation ((P)ACF) function displays and classical series decomposition and (ii) “in-control” status was sought using risk-adjusted (RA) exponentially weighted moving average (EWMA) control limits (3 sigma). Risk adjustment was achieved using a random coefficient (intercept as ICU site and slope as APACHE III score) logistic regression model, generating an expected mortality series. Application of time-series to an exemplar complete ICU series (1995-(end)2009) was via Box-Jenkins methodology: autoregressive moving average (ARMA) and (G)ARCH ((Generalised) Autoregressive Conditional Heteroscedasticity) models, the latter addressing volatility of the series variance. Results The overall data set, 1995-2009, consisted of 491324 records from 137 ICU sites; average raw mortality was 14.07%; average(SD) raw and expected mortalities ranged from 0.012(0.113) and 0.013(0.045) to 0.296(0.457) and 0.278(0.247) respectively. For the raw mortality series: 71 sites had continuous data for assessment up to or beyond lag40 and 35% had autocorrelation through to lag40; and of 36 sites with continuous data for ≥ 72 months, all demonstrated marked seasonality. Similar numbers and percentages were seen with the expected series. Out-of-control signalling was evident for the raw mortality series with respect to RA-EWMA control limits; a seasonal ARMA model, with GARCH effects, displayed white-noise residuals which were in-control with respect to EWMA control limits and one-step prediction error limits (3SE). The expected series was modelled with a multiplicative seasonal autoregressive model. Conclusions The data generating process of monthly raw mortality series at the ICU level displayed autocorrelation, seasonality and volatility. False-positive signalling of the raw mortality series was evident with respect to RA-EWMA control limits. A time series approach using residual control charts resolved these issues. PMID:23705957

Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market

NASA Astrophysics Data System (ADS)

Gong, Pu; Weng, Yingliang

2016-01-01

This paper generalizes a recently proposed spatial autoregressive model and introduces a spatiotemporal model for forecasting stock returns. We support the view that stock returns are affected not only by the absolute values of factors such as firm size, book-to-market ratio and momentum but also by the relative values of factors like trading volume ranking and market capitalization ranking in each period. This article studies a new method for constructing stocks' reference groups; the method is called quartile method. Applying the method empirically to the Shanghai Stock Exchange 50 Index, we compare the daily volatility forecasting performance and the out-of-sample forecasting performance of Value-at-Risk (VaR) estimated by different models. The empirical results show that the spatiotemporal model performs surprisingly well in terms of capturing spatial dependences among individual stocks, and it produces more accurate VaR forecasts than the other three models introduced in the previous literature. Moreover, the findings indicate that both allowing for serial correlation in the disturbances and using time-varying spatial weight matrices can greatly improve the predictive accuracy of a spatial autoregressive model.

A Multilevel AR(1) Model: Allowing for Inter-Individual Differences in Trait-Scores, Inertia, and Innovation Variance.

PubMed

Jongerling, Joran; Laurenceau, Jean-Philippe; Hamaker, Ellen L

2015-01-01

In this article we consider a multilevel first-order autoregressive [AR(1)] model with random intercepts, random autoregression, and random innovation variance (i.e., the level 1 residual variance). Including random innovation variance is an important extension of the multilevel AR(1) model for two reasons. First, between-person differences in innovation variance are important from a substantive point of view, in that they capture differences in sensitivity and/or exposure to unmeasured internal and external factors that influence the process. Second, using simulation methods we show that modeling the innovation variance as fixed across individuals, when it should be modeled as a random effect, leads to biased parameter estimates. Additionally, we use simulation methods to compare maximum likelihood estimation to Bayesian estimation of the multilevel AR(1) model and investigate the trade-off between the number of individuals and the number of time points. We provide an empirical illustration by applying the extended multilevel AR(1) model to daily positive affect ratings from 89 married women over the course of 42 consecutive days.

A spatial analysis of social and economic determinants of tuberculosis in Brazil.

PubMed

Harling, Guy; Castro, Marcia C

2014-01-01

We investigated the spatial distribution, and social and economic correlates, of tuberculosis in Brazil between 2002 and 2009 using municipality-level age/sex-standardized tuberculosis notification data. Rates were very strongly spatially autocorrelated, being notably high in urban areas on the eastern seaboard and in the west of the country. Non-spatial ecological regression analyses found higher rates associated with urbanicity, population density, poor economic conditions, household crowding, non-white population and worse health and healthcare indicators. These associations remained in spatial conditional autoregressive models, although the effect of poverty appeared partially confounded by urbanicity, race and spatial autocorrelation, and partially mediated by household crowding. Our analysis highlights both the multiple relationships between socioeconomic factors and tuberculosis in Brazil, and the importance of accounting for spatial factors in analysing socioeconomic determinants of tuberculosis. © 2013 Published by Elsevier Ltd.

Model Identification of Integrated ARMA Processes

ERIC Educational Resources Information Center

Stadnytska, Tetiana; Braun, Simone; Werner, Joachim

2008-01-01

This article evaluates the Smallest Canonical Correlation Method (SCAN) and the Extended Sample Autocorrelation Function (ESACF), automated methods for the Autoregressive Integrated Moving-Average (ARIMA) model selection commonly available in current versions of SAS for Windows, as identification tools for integrated processes. SCAN and ESACF can…

Image interpolation by adaptive 2-D autoregressive modeling and soft-decision estimation.

PubMed

Zhang, Xiangjun; Wu, Xiaolin

2008-06-01

The challenge of image interpolation is to preserve spatial details. We propose a soft-decision interpolation technique that estimates missing pixels in groups rather than one at a time. The new technique learns and adapts to varying scene structures using a 2-D piecewise autoregressive model. The model parameters are estimated in a moving window in the input low-resolution image. The pixel structure dictated by the learnt model is enforced by the soft-decision estimation process onto a block of pixels, including both observed and estimated. The result is equivalent to that of a high-order adaptive nonseparable 2-D interpolation filter. This new image interpolation approach preserves spatial coherence of interpolated images better than the existing methods, and it produces the best results so far over a wide range of scenes in both PSNR measure and subjective visual quality. Edges and textures are well preserved, and common interpolation artifacts (blurring, ringing, jaggies, zippering, etc.) are greatly reduced.

Noise source and reactor stability estimation in a boiling water reactor using a multivariate autoregressive model

DOE Office of Scientific and Technical Information (OSTI.GOV)

Kanemoto, S.; Andoh, Y.; Sandoz, S.A.

1984-10-01

A method for evaluating reactor stability in boiling water reactors has been developed. The method is based on multivariate autoregressive (M-AR) modeling of steady-state neutron and process noise signals. In this method, two kinds of power spectral densities (PSDs) for the measured neutron signal and the corresponding noise source signal are separately identified by the M-AR modeling. The closed- and open-loop stability parameters are evaluated from these PSDs. The method is applied to actual plant noise data that were measured together with artificial perturbation test data. Stability parameters identified from noise data are compared to those from perturbation test data,more » and it is shown that both results are in good agreement. In addition to these stability estimations, driving noise sources for the neutron signal are evaluated by the M-AR modeling. Contributions from void, core flow, and pressure noise sources are quantitatively evaluated, and the void noise source is shown to be the most dominant.« less

Gas Chromatography Data Classification Based on Complex Coefficients of an Autoregressive Model

DOE PAGES

Zhao, Weixiang; Morgan, Joshua T.; Davis, Cristina E.

2008-01-01

This paper introduces autoregressive (AR) modeling as a novel method to classify outputs from gas chromatography (GC). The inverse Fourier transformation was applied to the original sensor data, and then an AR model was applied to transform data to generate AR model complex coefficients. This series of coefficients effectively contains a compressed version of all of the information in the original GC signal output. We applied this method to chromatograms resulting from proliferating bacteria species grown in culture. Three types of neural networks were used to classify the AR coefficients: backward propagating neural network (BPNN), radial basis function-principal component analysismore » (RBF-PCA) approach, and radial basis function-partial least squares regression (RBF-PLSR) approach. This exploratory study demonstrates the feasibility of using complex root coefficient patterns to distinguish various classes of experimental data, such as those from the different bacteria species. This cognition approach also proved to be robust and potentially useful for freeing us from time alignment of GC signals.« less

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

PubMed

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.

Autocorrelated residuals in inverse modelling of soil hydrological processes: a reason for concern or something that can safely be ignored?

NASA Astrophysics Data System (ADS)

Scharnagl, Benedikt; Durner, Wolfgang

2013-04-01

Models are inherently imperfect because they simplify processes that are themselves imperfectly known and understood. Moreover, the input variables and parameters needed to run a model are typically subject to various sources of error. As a consequence of these imperfections, model predictions will always deviate from corresponding observations. In most applications in soil hydrology, these deviations are clearly not random but rather show a systematic structure. From a statistical point of view, this systematic mismatch may be a reason for concern because it violates one of the basic assumptions made in inverse parameter estimation: the assumption of independence of the residuals. But what are the consequences of simply ignoring the autocorrelation in the residuals, as it is current practice in soil hydrology? Are the parameter estimates still valid even though the statistical foundation they are based on is partially collapsed? Theory and practical experience from other fields of science have shown that violation of the independence assumption will result in overconfident uncertainty bounds and that in some cases it may lead to significantly different optimal parameter values. In our contribution, we present three soil hydrological case studies, in which the effect of autocorrelated residuals on the estimated parameters was investigated in detail. We explicitly accounted for autocorrelated residuals using a formal likelihood function that incorporates an autoregressive model. The inverse problem was posed in a Bayesian framework, and the posterior probability density function of the parameters was estimated using Markov chain Monte Carlo simulation. In contrast to many other studies in related fields of science, and quite surprisingly, we found that the first-order autoregressive model, often abbreviated as AR(1), did not work well in the soil hydrological setting. We showed that a second-order autoregressive, or AR(2), model performs much better in these applications, leading to parameter and uncertainty estimates that satisfy all the underlying statistical assumptions. For theoretical reasons, these estimates are deemed more reliable than those estimates based on the neglect of autocorrelation in the residuals. In compliance with theory and results reported in the literature, our results showed that parameter uncertainty bounds were substantially wider if autocorrelation in the residuals was explicitly accounted for, and also the optimal parameter vales were slightly different in this case. We argue that the autoregressive model presented here should be used as a matter of routine in inverse modeling of soil hydrological processes.

Using a Hybrid Model to Forecast the Prevalence of Schistosomiasis in Humans.

PubMed

Zhou, Lingling; Xia, Jing; Yu, Lijing; Wang, Ying; Shi, Yun; Cai, Shunxiang; Nie, Shaofa

2016-03-23

We previously proposed a hybrid model combining both the autoregressive integrated moving average (ARIMA) and the nonlinear autoregressive neural network (NARNN) models in forecasting schistosomiasis. Our purpose in the current study was to forecast the annual prevalence of human schistosomiasis in Yangxin County, using our ARIMA-NARNN model, thereby further certifying the reliability of our hybrid model. We used the ARIMA, NARNN and ARIMA-NARNN models to fit and forecast the annual prevalence of schistosomiasis. The modeling time range included was the annual prevalence from 1956 to 2008 while the testing time range included was from 2009 to 2012. The mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) were used to measure the model performance. We reconstructed the hybrid model to forecast the annual prevalence from 2013 to 2016. The modeling and testing errors generated by the ARIMA-NARNN model were lower than those obtained from either the single ARIMA or NARNN models. The predicted annual prevalence from 2013 to 2016 demonstrated an initial decreasing trend, followed by an increase. The ARIMA-NARNN model can be well applied to analyze surveillance data for early warning systems for the control and elimination of schistosomiasis.

Drought Patterns Forecasting using an Auto-Regressive Logistic Model

NASA Astrophysics Data System (ADS)

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.

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

PubMed

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.

Neonatal heart rate prediction.

PubMed

Abdel-Rahman, Yumna; Jeremic, Aleksander; Tan, Kenneth

2009-01-01

Technological advances have caused a decrease in the number of infant deaths. Pre-term infants now have a substantially increased chance of survival. One of the mechanisms that is vital to saving the lives of these infants is continuous monitoring and early diagnosis. With continuous monitoring huge amounts of data are collected with so much information embedded in them. By using statistical analysis this information can be extracted and used to aid diagnosis and to understand development. In this study we have a large dataset containing over 180 pre-term infants whose heart rates were recorded over the length of their stay in the Neonatal Intensive Care Unit (NICU). We test two types of models, empirical bayesian and autoregressive moving average. We then attempt to predict future values. The autoregressive moving average model showed better results but required more computation.

Development of a Robust Identifier for NPPs Transients Combining ARIMA Model and EBP Algorithm

NASA Astrophysics Data System (ADS)

Moshkbar-Bakhshayesh, Khalil; Ghofrani, Mohammad B.

2014-08-01

This study introduces a novel identification method for recognition of nuclear power plants (NPPs) transients by combining the autoregressive integrated moving-average (ARIMA) model and the neural network with error backpropagation (EBP) learning algorithm. The proposed method consists of three steps. First, an EBP based identifier is adopted to distinguish the plant normal states from the faulty ones. In the second step, ARIMA models use integrated (I) process to convert non-stationary data of the selected variables into stationary ones. Subsequently, ARIMA processes, including autoregressive (AR), moving-average (MA), or autoregressive moving-average (ARMA) are used to forecast time series of the selected plant variables. In the third step, for identification the type of transients, the forecasted time series are fed to the modular identifier which has been developed using the latest advances of EBP learning algorithm. Bushehr nuclear power plant (BNPP) transients are probed to analyze the ability of the proposed identifier. Recognition of transient is based on similarity of its statistical properties to the reference one, rather than the values of input patterns. More robustness against noisy data and improvement balance between memorization and generalization are salient advantages of the proposed identifier. Reduction of false identification, sole dependency of identification on the sign of each output signal, selection of the plant variables for transients training independent of each other, and extendibility for identification of more transients without unfavorable effects are other merits of the proposed identifier.

Spectral Analysis of Ultrasound Radiofrequency Backscatter for the Detection of Intercostal Blood Vessels.

PubMed

Klingensmith, Jon D; Haggard, Asher; Fedewa, Russell J; Qiang, Beidi; Cummings, Kenneth; DeGrande, Sean; Vince, D Geoffrey; Elsharkawy, Hesham

2018-04-19

Spectral analysis of ultrasound radiofrequency backscatter has the potential to identify intercostal blood vessels during ultrasound-guided placement of paravertebral nerve blocks and intercostal nerve blocks. Autoregressive models were used for spectral estimation, and bandwidth, autoregressive order and region-of-interest size were evaluated. Eight spectral parameters were calculated and used to create random forests. An autoregressive order of 10, bandwidth of 6 dB and region-of-interest size of 1.0 mm resulted in the minimum out-of-bag error. An additional random forest, using these chosen values, was created from 70% of the data and evaluated independently from the remaining 30% of data. The random forest achieved a predictive accuracy of 92% and Youden's index of 0.85. These results suggest that spectral analysis of ultrasound radiofrequency backscatter has the potential to identify intercostal blood vessels. (jokling@siue.edu) © 2018 World Federation for Ultrasound in Medicine and Biology. Copyright © 2018 World Federation for Ultrasound in Medicine and Biology. Published by Elsevier Inc. All rights reserved.

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

NASA Astrophysics Data System (ADS)

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.

Kepler AutoRegressive Planet Search (KARPS)

NASA Astrophysics Data System (ADS)

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.

A two-model hydrologic ensemble prediction of hydrograph: case study from the upper Nysa Klodzka river basin (SW Poland)

NASA Astrophysics Data System (ADS)

Niedzielski, Tomasz; Mizinski, Bartlomiej

2016-04-01

The HydroProg system has been elaborated in frame of the research project no. 2011/01/D/ST10/04171 of the National Science Centre of Poland and is steadily producing multimodel ensemble predictions of hydrograph in real time. Although there are six ensemble members available at present, the longest record of predictions and their statistics is available for two data-based models (uni- and multivariate autoregressive models). Thus, we consider 3-hour predictions of water levels, with lead times ranging from 15 to 180 minutes, computed every 15 minutes since August 2013 for the Nysa Klodzka basin (SW Poland) using the two approaches and their two-model ensemble. Since the launch of the HydroProg system there have been 12 high flow episodes, and the objective of this work is to present the performance of the two-model ensemble in the process of forecasting these events. For a sake of brevity, we limit our investigation to a single gauge located at the Nysa Klodzka river in the town of Klodzko, which is centrally located in the studied basin. We identified certain regular scenarios of how the models perform in predicting the high flows in Klodzko. At the initial phase of the high flow, well before the rising limb of hydrograph, the two-model ensemble is found to provide the most skilful prognoses of water levels. However, while forecasting the rising limb of hydrograph, either the two-model solution or the vector autoregressive model offers the best predictive performance. In addition, it is hypothesized that along with the development of the rising limb phase, the vector autoregression becomes the most skilful approach amongst the scrutinized ones. Our simple two-model exercise confirms that multimodel hydrologic ensemble predictions cannot be treated as universal solutions suitable for forecasting the entire high flow event, but their superior performance may hold only for certain phases of a high flow.

The Effects of Autocorrelation on the Curve-of-Factors Growth Model

ERIC Educational Resources Information Center

Murphy, Daniel L.; Beretvas, S. Natasha; Pituch, Keenan A.

2011-01-01

This simulation study examined the performance of the curve-of-factors model (COFM) when autocorrelation and growth processes were present in the first-level factor structure. In addition to the standard curve-of factors growth model, 2 new models were examined: one COFM that included a first-order autoregressive autocorrelation parameter, and a…

Maximum Likelihood Dynamic Factor Modeling for Arbitrary "N" and "T" Using SEM

ERIC Educational Resources Information Center

Voelkle, Manuel C.; Oud, Johan H. L.; von Oertzen, Timo; Lindenberger, Ulman

2012-01-01

This article has 3 objectives that build on each other. First, we demonstrate how to obtain maximum likelihood estimates for dynamic factor models (the direct autoregressive factor score model) with arbitrary "T" and "N" by means of structural equation modeling (SEM) and compare the approach to existing methods. Second, we go beyond standard time…

Short-term forecasts gain in accuracy. [Regression technique using ''Box-Jenkins'' analysis

DOE Office of Scientific and Technical Information (OSTI.GOV)

Not Available

Box-Jenkins time-series models offer accuracy for short-term forecasts that compare with large-scale macroeconomic forecasts. Utilities need to be able to forecast peak demand in order to plan their generating, transmitting, and distribution systems. This new method differs from conventional models by not assuming specific data patterns, but by fitting available data into a tentative pattern on the basis of auto-correlations. Three types of models (autoregressive, moving average, or mixed autoregressive/moving average) can be used according to which provides the most appropriate combination of autocorrelations and related derivatives. Major steps in choosing a model are identifying potential models, estimating the parametersmore » of the problem, and running a diagnostic check to see if the model fits the parameters. The Box-Jenkins technique is well suited for seasonal patterns, which makes it possible to have as short as hourly forecasts of load demand. With accuracy up to two years, the method will allow electricity price-elasticity forecasting that can be applied to facility planning and rate design. (DCK)« less

A frequency domain global parameter estimation method for multiple reference frequency response measurements

NASA Astrophysics Data System (ADS)

Shih, C. Y.; Tsuei, Y. G.; Allemang, R. J.; Brown, D. L.

1988-10-01

A method of using the matrix Auto-Regressive Moving Average (ARMA) model in the Laplace domain for multiple-reference global parameter identification is presented. This method is particularly applicable to the area of modal analysis where high modal density exists. The method is also applicable when multiple reference frequency response functions are used to characterise linear systems. In order to facilitate the mathematical solution, the Forsythe orthogonal polynomial is used to reduce the ill-conditioning of the formulated equations and to decouple the normal matrix into two reduced matrix blocks. A Complex Mode Indicator Function (CMIF) is introduced, which can be used to determine the proper order of the rational polynomials.

Hybrid wavelet-support vector machine approach for modelling rainfall-runoff process.

PubMed

Komasi, Mehdi; Sharghi, Soroush

2016-01-01

Because of the importance of water resources management, the need for accurate modeling of the rainfall-runoff process has rapidly grown in the past decades. Recently, the support vector machine (SVM) approach has been used by hydrologists for rainfall-runoff modeling and the other fields of hydrology. Similar to the other artificial intelligence models, such as artificial neural network (ANN) and adaptive neural fuzzy inference system, the SVM model is based on the autoregressive properties. In this paper, the wavelet analysis was linked to the SVM model concept for modeling the rainfall-runoff process of Aghchai and Eel River watersheds. In this way, the main time series of two variables, rainfall and runoff, were decomposed to multiple frequent time series by wavelet theory; then, these time series were imposed as input data on the SVM model in order to predict the runoff discharge one day ahead. The obtained results show that the wavelet SVM model can predict both short- and long-term runoff discharges by considering the seasonality effects. Also, the proposed hybrid model is relatively more appropriate than classical autoregressive ones such as ANN and SVM because it uses the multi-scale time series of rainfall and runoff data in the modeling process.

The Autoregressive Method: A Method of Approximating and Estimating Positive Functions

DTIC Science & Technology

1976-08-01

in drawing the curves, thanks to computer graphics. A few people ha’ very imaginatively pro- posed - td developed new ways of visualizing the data...k= -= it turns out that , , 0ki < 0 is a sufficient condition for all our k= -cc ( operations to be valid. Ii_ _ _ _ _ _ __ __ _ _ _ _ -106- We will

Structural Equation Modeling of Multivariate Time Series

ERIC Educational Resources Information Center

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…

ARMA-Based SEM When the Number of Time Points T Exceeds the Number of Cases N: Raw Data Maximum Likelihood.

ERIC Educational Resources Information Center

Hamaker, Ellen L.; Dolan, Conor V.; Molenaar, Peter C. M.

2003-01-01

Demonstrated, through simulation, that stationary autoregressive moving average (ARMA) models may be fitted readily when T>N, using normal theory raw maximum likelihood structural equation modeling. Also provides some illustrations based on real data. (SLD)

The relationship between carbon dioxide and agriculture in Ghana: a comparison of VECM and ARDL model.

PubMed

Asumadu-Sarkodie, Samuel; Owusu, Phebe Asantewaa

2016-06-01

In this paper, the relationship between carbon dioxide and agriculture in Ghana was investigated by comparing a Vector Error Correction Model (VECM) and Autoregressive Distributed Lag (ARDL) Model. Ten study variables spanning from 1961 to 2012 were employed from the Food Agricultural Organization. Results from the study show that carbon dioxide emissions affect the percentage annual change of agricultural area, coarse grain production, cocoa bean production, fruit production, vegetable production, and the total livestock per hectare of the agricultural area. The vector error correction model and the autoregressive distributed lag model show evidence of a causal relationship between carbon dioxide emissions and agriculture; however, the relationship decreases periodically which may die over-time. All the endogenous variables except total primary vegetable production lead to carbon dioxide emissions, which may be due to poor agricultural practices to meet the growing food demand in Ghana. The autoregressive distributed lag bounds test shows evidence of a long-run equilibrium relationship between the percentage annual change of agricultural area, cocoa bean production, total livestock per hectare of agricultural area, total pulses production, total primary vegetable production, and carbon dioxide emissions. It is important to end hunger and ensure people have access to safe and nutritious food, especially the poor, orphans, pregnant women, and children under-5 years in order to reduce maternal and infant mortalities. Nevertheless, it is also important that the Government of Ghana institutes agricultural policies that focus on promoting a sustainable agriculture using environmental friendly agricultural practices. The study recommends an integration of climate change measures into Ghana's national strategies, policies and planning in order to strengthen the country's effort to achieving a sustainable environment.

Environmental filtering and land-use history drive patterns in biomass accumulation in a mediterranean-type landscape.

PubMed

Dahlin, Kyla M; Asner, Gregory P; Field, Christopher B

2012-01-01

Aboveground biomass (AGB) reflects multiple and often undetermined ecological and land-use processes, yet detailed landscape-level studies of AGB are uncommon due to the difficulty in making consistent measurements at ecologically relevant scales. Working in a protected mediterranean-type landscape (Jasper Ridge Biological Preserve, California, USA), we combined field measurements with remotely sensed data from the Carnegie Airborne Observatory's light detection and ranging (lidar) system to create a detailed AGB map. We then developed a predictive model using a maximum of 56 explanatory variables derived from geologic and historic-ownership maps, a digital elevation model, and geographic coordinates to evaluate possible controls over currently observed AGB patterns. We tested both ordinary least-squares regression (OLS) and autoregressive approaches. OLS explained 44% of the variation in AGB, and simultaneous autoregression with a 100-m neighborhood improved the fit to an r2 = 0.72, while reducing the number of significant predictor variables from 27 variables in the OLS model to 11 variables in the autoregressive model. We also compared the results from these approaches to a more typical field-derived data set; we randomly sampled 5% of the data 1000 times and used the same OLS approach each time. Environmental filters including incident solar radiation, substrate type, and topographic position were significant predictors of AGB in all models. Past ownership was a minor but significant predictor, despite the long history of conservation at the site. The weak predictive power of these environmental variables, and the significant improvement when spatial autocorrelation was incorporated, highlight the importance of land-use history, disturbance regime, and population dynamics as controllers of AGB.

Reciprocal Associations between Negative Affect, Binge Eating, and Purging in the Natural Environment in Women with Bulimia Nervosa

PubMed Central

Lavender, Jason M.; Utzinger, Linsey M.; Cao, Li; Wonderlich, Stephen A.; Engel, Scott G.; Mitchell, James E.; Crosby, Ross D.

2016-01-01

Although negative affect (NA) has been identified as a common trigger for bulimic behaviors, findings regarding NA following such behaviors have been mixed. This study examined reciprocal associations between NA and bulimic behaviors using real-time, naturalistic data. Participants were 133 women with DSM-IV bulimia nervosa (BN) who completed a two-week ecological momentary assessment (EMA) protocol in which they recorded bulimic behaviors and provided multiple daily ratings of NA. A multilevel autoregressive cross-lagged analysis was conducted to examine concurrent, first-order autoregressive, and prospective associations between NA, binge eating, and purging across the day. Results revealed positive concurrent associations between all variables across all time points, as well as numerous autoregressive associations. For prospective associations, higher NA predicted subsequent bulimic symptoms at multiple time points; conversely, binge eating predicted lower NA at multiple time points, and purging predicted higher NA at one time point. Several autoregressive and prospective associations were also found between binge eating and purging. This study used a novel approach to examine NA in relation to bulimic symptoms, contributing to the existing literature by directly examining the magnitude of the associations, examining differences in the associations across the day, and controlling for other associations in testing each effect in the model. These findings may have relevance for understanding the etiology and/or maintenance of bulimic symptoms, as well as potentially informing psychological interventions for BN. PMID:26692122

Exploring the inequality-mortality relationship in the US with Bayesian spatial modeling

PubMed Central

Yang, Tse-Chuan; Jensen, Leif

2014-01-01

While there is evidence to suggest that socioeconomic inequality within places is associated with mortality rates among people living within them, the empirical connection between the two remains unsettled as potential confounders associated with racial and social structure are overlooked. This study seeks to test this relationship, to determine whether it is due to differential levels of deprivation and social capital, and does so with intrinsically conditional autoregressive Bayesian spatial modeling that effectively addresses the bias introduced by spatial dependence. We find that deprivation and social capital partly but not completely account for why inequality is positively associated with mortality and that spatial modeling generates more accurate predictions than does the traditional approach. We advance the literature by unveiling the intervening roles of social capital and deprivation in the inequality-mortality relationship and offering new evidence that inequality matters in US county mortality rates. PMID:26166920

Spatial modeling of cutaneous leishmaniasis in the Andean region of Colombia.

PubMed

Pérez-Flórez, Mauricio; Ocampo, Clara Beatriz; Valderrama-Ardila, Carlos; Alexander, Neal

2016-06-27

The objective of this research was to identify environmental risk factors for cutaneous leishmaniasis (CL) in Colombia and map high-risk municipalities. The study area was the Colombian Andean region, comprising 715 rural and urban municipalities. We used 10 years of CL surveillance: 2000-2009. We used spatial-temporal analysis - conditional autoregressive Poisson random effects modelling - in a Bayesian framework to model the dependence of municipality-level incidence on land use, climate, elevation and population density. Bivariable spatial analysis identified rainforests, forests and secondary vegetation, temperature, and annual precipitation as positively associated with CL incidence. By contrast, livestock agroecosystems and temperature seasonality were negatively associated. Multivariable analysis identified land use - rainforests and agro-livestock - and climate - temperature, rainfall and temperature seasonality - as best predictors of CL. We conclude that climate and land use can be used to identify areas at high risk of CL and that this approach is potentially applicable elsewhere in Latin America.

KARMA4

DOE Office of Scientific and Technical Information (OSTI.GOV)

Khalil, Mohammad; Salloum, Maher; Lee, Jina

2017-07-10

KARMA4 is a C++ library for autoregressive moving average (ARMA) modeling and forecasting of time-series data while incorporating both process and observation error. KARMA4 is designed for fitting and forecasting of time-series data for predictive purposes.

Estimating linear temporal trends from aggregated environmental monitoring data

USGS Publications Warehouse

Erickson, Richard A.; Gray, Brian R.; Eager, Eric A.

2017-01-01

Trend estimates are often used as part of environmental monitoring programs. These trends inform managers (e.g., are desired species increasing or undesired species decreasing?). Data collected from environmental monitoring programs is often aggregated (i.e., averaged), which confounds sampling and process variation. State-space models allow sampling variation and process variations to be separated. We used simulated time-series to compare linear trend estimations from three state-space models, a simple linear regression model, and an auto-regressive model. We also compared the performance of these five models to estimate trends from a long term monitoring program. We specifically estimated trends for two species of fish and four species of aquatic vegetation from the Upper Mississippi River system. We found that the simple linear regression had the best performance of all the given models because it was best able to recover parameters and had consistent numerical convergence. Conversely, the simple linear regression did the worst job estimating populations in a given year. The state-space models did not estimate trends well, but estimated population sizes best when the models converged. We found that a simple linear regression performed better than more complex autoregression and state-space models when used to analyze aggregated environmental monitoring data.

Climate variations and salmonellosis transmission in Adelaide, South Australia: a comparison between regression models

NASA Astrophysics Data System (ADS)

Zhang, Ying; Bi, Peng; Hiller, Janet

2008-01-01

This is the first study to identify appropriate regression models for the association between climate variation and salmonellosis transmission. A comparison between different regression models was conducted using surveillance data in Adelaide, South Australia. By using notified salmonellosis cases and climatic variables from the Adelaide metropolitan area over the period 1990-2003, four regression methods were examined: standard Poisson regression, autoregressive adjusted Poisson regression, multiple linear regression, and a seasonal autoregressive integrated moving average (SARIMA) model. Notified salmonellosis cases in 2004 were used to test the forecasting ability of the four models. Parameter estimation, goodness-of-fit and forecasting ability of the four regression models were compared. Temperatures occurring 2 weeks prior to cases were positively associated with cases of salmonellosis. Rainfall was also inversely related to the number of cases. The comparison of the goodness-of-fit and forecasting ability suggest that the SARIMA model is better than the other three regression models. Temperature and rainfall may be used as climatic predictors of salmonellosis cases in regions with climatic characteristics similar to those of Adelaide. The SARIMA model could, thus, be adopted to quantify the relationship between climate variations and salmonellosis transmission.

Hybrid methodology for tuberculosis incidence time-series forecasting based on ARIMA and a NAR neural network.

PubMed

Wang, K W; Deng, C; Li, J P; Zhang, Y Y; Li, X Y; Wu, M C

2017-04-01

Tuberculosis (TB) affects people globally and is being reconsidered as a serious public health problem in China. Reliable forecasting is useful for the prevention and control of TB. This study proposes a hybrid model combining autoregressive integrated moving average (ARIMA) with a nonlinear autoregressive (NAR) neural network for forecasting the incidence of TB from January 2007 to March 2016. Prediction performance was compared between the hybrid model and the ARIMA model. The best-fit hybrid model was combined with an ARIMA (3,1,0) × (0,1,1)12 and NAR neural network with four delays and 12 neurons in the hidden layer. The ARIMA-NAR hybrid model, which exhibited lower mean square error, mean absolute error, and mean absolute percentage error of 0·2209, 0·1373, and 0·0406, respectively, in the modelling performance, could produce more accurate forecasting of TB incidence compared to the ARIMA model. This study shows that developing and applying the ARIMA-NAR hybrid model is an effective method to fit the linear and nonlinear patterns of time-series data, and this model could be helpful in the prevention and control of TB.

Spatio-temporal wildland arson crime functions

Treesearch

David T. Butry; Jeffrey P. Prestemon

2005-01-01

Wildland arson creates damages to structures and timber and affects the health and safety of people living in rural and wildland urban interface areas. We develop a model that incorporates temporal autocorrelations and spatial correlations in wildland arson ignitions in Florida. A Poisson autoregressive model of order p, or PAR(p)...

On the Nature of SEM Estimates of ARMA Parameters.

ERIC Educational Resources Information Center

Hamaker, Ellen L.; Dolan, Conor V.; Molenaar, Peter C. M.

2002-01-01

Reexamined the nature of structural equation modeling (SEM) estimates of autoregressive moving average (ARMA) models, replicated the simulation experiments of P. Molenaar, and examined the behavior of the log-likelihood ratio test. Simulation studies indicate that estimates of ARMA parameters observed with SEM software are identical to those…

The Mathematical Analysis of Style: A Correlation-Based Approach.

ERIC Educational Resources Information Center

Oppenheim, Rosa

1988-01-01

Examines mathematical models of style analysis, focusing on the pattern in which literary characteristics occur. Describes an autoregressive integrated moving average model (ARIMA) for predicting sentence length in different works by the same author and comparable works by different authors. This technique is valuable in characterizing stylistic…

Male and female development of delinquency during adolescence and early adulthood: a differential autoregressive model of delinquency using an overlapping cohort design.

PubMed

Landsheer, Johannes A; Oud, Johan H L; van Dijkum, Cor

2008-01-01

Although it is well known that during adolescence the delinquent involvement of females is consistently less when compared to male involvement, it remains an important question whether the development of delinquency has a similar trajectory for both sexes. The main hypothesis tested is whether sex differences in delinquency, specifically growth, peak age, and decline, are constant. An autoregression model in continuous time, implemented as a structural equation model, is used for the description of the development of delinquency in males and females. The data are collected in an overlapping cohort design, and both within-person and between-persons data are integrated into a single model. The result shows that the involvement with delinquency over time is different for males and females. The main difference increases up to the age of 16, and decreases thereafter. The model indicates that both sexes reach the maximum in delinquency at the same age. It is concluded that males and females differ both in their start level at age 12 and in the amount of change with age.

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

PubMed

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%.

Predicting Rehabilitation Success Rate Trends among Ethnic Minorities Served by State Vocational Rehabilitation Agencies: A National Time Series Forecast Model Demonstration Study

ERIC Educational Resources Information Center

Moore, Corey L.; Wang, Ningning; Washington, Janique Tynez

2017-01-01

Purpose: This study assessed and demonstrated the efficacy of two select empirical forecast models (i.e., autoregressive integrated moving average [ARIMA] model vs. grey model [GM]) in accurately predicting state vocational rehabilitation agency (SVRA) rehabilitation success rate trends across six different racial and ethnic population cohorts…

On the Trajectories of the Predetermined ALT Model: What Are We Really Modeling?

ERIC Educational Resources Information Center

Jongerling, Joran; Hamaker, Ellen L.

2011-01-01

This article shows that the mean and covariance structure of the predetermined autoregressive latent trajectory (ALT) model are very flexible. As a result, the shape of the modeled growth curve can be quite different from what one might expect at first glance. This is illustrated with several numerical examples that show that, for example, a…

Nonlinear information fusion algorithms for data-efficient multi-fidelity modelling.

PubMed

Perdikaris, P; Raissi, M; Damianou, A; Lawrence, N D; Karniadakis, G E

2017-02-01

Multi-fidelity modelling enables accurate inference of quantities of interest by synergistically combining realizations of low-cost/low-fidelity models with a small set of high-fidelity observations. This is particularly effective when the low- and high-fidelity models exhibit strong correlations, and can lead to significant computational gains over approaches that solely rely on high-fidelity models. However, in many cases of practical interest, low-fidelity models can only be well correlated to their high-fidelity counterparts for a specific range of input parameters, and potentially return wrong trends and erroneous predictions if probed outside of their validity regime. Here we put forth a probabilistic framework based on Gaussian process regression and nonlinear autoregressive schemes that is capable of learning complex nonlinear and space-dependent cross-correlations between models of variable fidelity, and can effectively safeguard against low-fidelity models that provide wrong trends. This introduces a new class of multi-fidelity information fusion algorithms that provide a fundamental extension to the existing linear autoregressive methodologies, while still maintaining the same algorithmic complexity and overall computational cost. The performance of the proposed methods is tested in several benchmark problems involving both synthetic and real multi-fidelity datasets from computational fluid dynamics simulations.

Modeling time-series count data: the unique challenges facing political communication studies.

PubMed

Fogarty, Brian J; Monogan, James E

2014-05-01

This paper demonstrates the importance of proper model specification when analyzing time-series count data in political communication studies. It is common for scholars of media and politics to investigate counts of coverage of an issue as it evolves over time. Many scholars rightly consider the issues of time dependence and dynamic causality to be the most important when crafting a model. However, to ignore the count features of the outcome variable overlooks an important feature of the data. This is particularly the case when modeling data with a low number of counts. In this paper, we argue that the Poisson autoregressive model (Brandt and Williams, 2001) accurately meets the needs of many media studies. We replicate the analyses of Flemming et al. (1997), Peake and Eshbaugh-Soha (2008), and Ura (2009) and demonstrate that models missing some of the assumptions of the Poisson autoregressive model often yield invalid inferences. We also demonstrate that the effect of any of these models can be illustrated dynamically with estimates of uncertainty through a simulation procedure. The paper concludes with implications of these findings for the practical researcher. Copyright © 2013 Elsevier Inc. All rights reserved.

A univariate model of river water nitrate time series

NASA Astrophysics Data System (ADS)

Worrall, F.; Burt, T. P.

1999-01-01

Four time series were taken from three catchments in the North and South of England. The sites chosen included two in predominantly agricultural catchments, one at the tidal limit and one downstream of a sewage treatment works. A time series model was constructed for each of these series as a means of decomposing the elements controlling river water nitrate concentrations and to assess whether this approach could provide a simple management tool for protecting water abstractions. Autoregressive (AR) modelling of the detrended and deseasoned time series showed a "memory effect". This memory effect expressed itself as an increase in the winter-summer difference in nitrate levels that was dependent upon the nitrate concentration 12 or 6 months previously. Autoregressive moving average (ARMA) modelling showed that one of the series contained seasonal, non-stationary elements that appeared as an increasing trend in the winter-summer difference. The ARMA model was used to predict nitrate levels and predictions were tested against data held back from the model construction process - predictions gave average percentage errors of less than 10%. Empirical modelling can therefore provide a simple, efficient method for constructing management models for downstream water abstraction.

Forecasting Daily Volume and Acuity of Patients in the Emergency Department.

PubMed

Calegari, Rafael; Fogliatto, Flavio S; Lucini, Filipe R; Neyeloff, Jeruza; Kuchenbecker, Ricardo S; Schaan, Beatriz D

2016-01-01

This study aimed at analyzing the performance of four forecasting models in predicting the demand for medical care in terms of daily visits in an emergency department (ED) that handles high complexity cases, testing the influence of climatic and calendrical factors on demand behavior. We tested different mathematical models to forecast ED daily visits at Hospital de Clínicas de Porto Alegre (HCPA), which is a tertiary care teaching hospital located in Southern Brazil. Model accuracy was evaluated using mean absolute percentage error (MAPE), considering forecasting horizons of 1, 7, 14, 21, and 30 days. The demand time series was stratified according to patient classification using the Manchester Triage System's (MTS) criteria. Models tested were the simple seasonal exponential smoothing (SS), seasonal multiplicative Holt-Winters (SMHW), seasonal autoregressive integrated moving average (SARIMA), and multivariate autoregressive integrated moving average (MSARIMA). Performance of models varied according to patient classification, such that SS was the best choice when all types of patients were jointly considered, and SARIMA was the most accurate for modeling demands of very urgent (VU) and urgent (U) patients. The MSARIMA models taking into account climatic factors did not improve the performance of the SARIMA models, independent of patient classification.

Forecasting Daily Volume and Acuity of Patients in the Emergency Department

PubMed Central

Fogliatto, Flavio S.; Neyeloff, Jeruza; Kuchenbecker, Ricardo S.; Schaan, Beatriz D.

2016-01-01

This study aimed at analyzing the performance of four forecasting models in predicting the demand for medical care in terms of daily visits in an emergency department (ED) that handles high complexity cases, testing the influence of climatic and calendrical factors on demand behavior. We tested different mathematical models to forecast ED daily visits at Hospital de Clínicas de Porto Alegre (HCPA), which is a tertiary care teaching hospital located in Southern Brazil. Model accuracy was evaluated using mean absolute percentage error (MAPE), considering forecasting horizons of 1, 7, 14, 21, and 30 days. The demand time series was stratified according to patient classification using the Manchester Triage System's (MTS) criteria. Models tested were the simple seasonal exponential smoothing (SS), seasonal multiplicative Holt-Winters (SMHW), seasonal autoregressive integrated moving average (SARIMA), and multivariate autoregressive integrated moving average (MSARIMA). Performance of models varied according to patient classification, such that SS was the best choice when all types of patients were jointly considered, and SARIMA was the most accurate for modeling demands of very urgent (VU) and urgent (U) patients. The MSARIMA models taking into account climatic factors did not improve the performance of the SARIMA models, independent of patient classification. PMID:27725842

Stochastic Price Models and Optimal Tree Cutting: Results for Loblolly Pine

Treesearch

Robert G. Haight; Thomas P. Holmes

1991-01-01

An empirical investigation of stumpage price models and optimal harvest policies is conducted for loblolly pine plantations in the southeastern United States. The stationarity of monthly and quarterly series of sawtimber prices is analyzed using a unit root test. The statistical evidence supports stationary autoregressive models for the monthly series and for the...

Latent Transition Analysis of Pre-Service Teachers' Efficacy in Mathematics and Science

ERIC Educational Resources Information Center

Ward, Elizabeth Kennedy

2009-01-01

This study modeled changes in pre-service teacher efficacy in mathematics and science over the course of the final year of teacher preparation using latent transition analysis (LTA), a longitudinal form of analysis that builds on two modeling traditions (latent class analysis (LCA) and auto-regressive modeling). Data were collected using the…

Intra- and Interseasonal Autoregressive Prediction of Dengue Outbreaks Using Local Weather and Regional Climate for a Tropical Environment in Colombia

PubMed Central

Eastin, Matthew D.; Delmelle, Eric; Casas, Irene; Wexler, Joshua; Self, Cameron

2014-01-01

Dengue fever transmission results from complex interactions between the virus, human hosts, and mosquito vectors—all of which are influenced by environmental factors. Predictive models of dengue incidence rate, based on local weather and regional climate parameters, could benefit disease mitigation efforts. Time series of epidemiological and meteorological data for the urban environment of Cali, Colombia are analyzed from January of 2000 to December of 2011. Significant dengue outbreaks generally occur during warm-dry periods with extreme daily temperatures confined between 18°C and 32°C—the optimal range for mosquito survival and viral transmission. Two environment-based, multivariate, autoregressive forecast models are developed that allow dengue outbreaks to be anticipated from 2 weeks to 6 months in advance. These models have the potential to enhance existing dengue early warning systems, ultimately supporting public health decisions on the timing and scale of vector control efforts. PMID:24957546

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

NASA Astrophysics Data System (ADS)

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.

Multifractal detrended cross-correlations between crude oil market and Chinese ten sector stock markets

NASA Astrophysics Data System (ADS)

Yang, Liansheng; Zhu, Yingming; Wang, Yudong; Wang, Yiqi

2016-11-01

Based on the daily price data of spot prices of West Texas Intermediate (WTI) crude oil and ten CSI300 sector indices in China, we apply multifractal detrended cross-correlation analysis (MF-DCCA) method to investigate the cross-correlations between crude oil and Chinese sector stock markets. We find that the strength of multifractality between WTI crude oil and energy sector stock market is the highest, followed by the strength of multifractality between WTI crude oil and financial sector market, which reflects a close connection between energy and financial market. Then we do vector autoregression (VAR) analysis to capture the interdependencies among the multiple time series. By comparing the strength of multifractality for original data and residual errors of VAR model, we get a conclusion that vector auto-regression (VAR) model could not be used to describe the dynamics of the cross-correlations between WTI crude oil and the ten sector stock markets.

Marital satisfaction and maternal depressive symptoms among Korean mothers transitioning to parenthood.

PubMed

Choi, Eunsil

2016-06-01

Although many empirical findings support associations between marital satisfaction and depressive symptoms, gaps remain in our understanding of the magnitude and direction of the associations between marital satisfaction and depressive symptoms as well as the associations in a collectivistic culture. The present study examined autoregressive cross-lagged associations between marital satisfaction and maternal depressive symptoms across a 3-year investigation in a sample of Korean mothers transitioning to parenthood. The sample consisted of 2,078 mothers in the Panel Study of Korean Children. The mothers reported marital satisfaction and maternal depressive symptoms annually for 3 years. The results of an autoregressive cross-lagged model revealed bidirectional associations between marital satisfaction and maternal depressive symptoms. The findings provide evidence of an interactional model of depression in a sample of Korean mothers. (PsycINFO Database Record (c) 2016 APA, all rights reserved).

A multimodel approach to interannual and seasonal prediction of Danube discharge anomalies

NASA Astrophysics Data System (ADS)

Rimbu, Norel; Ionita, Monica; Patrut, Simona; Dima, Mihai

2010-05-01

Interannual and seasonal predictability of Danube river discharge is investigated using three model types: 1) time series models 2) linear regression models of discharge with large-scale climate mode indices and 3) models based on stable teleconnections. All models are calibrated using discharge and climatic data for the period 1901-1977 and validated for the period 1978-2008 . Various time series models, like autoregressive (AR), moving average (MA), autoregressive and moving average (ARMA) or singular spectrum analysis and autoregressive moving average (SSA+ARMA) models have been calibrated and their skills evaluated. The best results were obtained using SSA+ARMA models. SSA+ARMA models proved to have the highest forecast skill also for other European rivers (Gamiz-Fortis et al. 2008). Multiple linear regression models using large-scale climatic mode indices as predictors have a higher forecast skill than the time series models. The best predictors for Danube discharge are the North Atlantic Oscillation (NAO) and the East Atlantic/Western Russia patterns during winter and spring. Other patterns, like Polar/Eurasian or Tropical Northern Hemisphere (TNH) are good predictors for summer and autumn discharge. Based on stable teleconnection approach (Ionita et al. 2008) we construct prediction models through a combination of sea surface temperature (SST), temperature (T) and precipitation (PP) from the regions where discharge and SST, T and PP variations are stable correlated. Forecast skills of these models are higher than forecast skills of the time series and multiple regression models. The models calibrated and validated in our study can be used for operational prediction of interannual and seasonal Danube discharge anomalies. References Gamiz-Fortis, S., D. Pozo-Vazquez, R.M. Trigo, and Y. Castro-Diez, Quantifying the predictability of winter river flow in Iberia. Part I: intearannual predictability. J. Climate, 2484-2501, 2008. Gamiz-Fortis, S., D. Pozo-Vazquez, R.M. Trigo, and Y. Castro-Diez, Quantifying the predictability of winter river flow in Iberia. Part II: seasonal predictability. J. Climate, 2503-2518, 2008. Ionita, M., G. Lohmann, and N. Rimbu, Prediction of spring Elbe river discharge based on stable teleconnections with global temperature and precipitation. J. Climate. 6215-6226, 2008.

The Longitudinal Interplay of Adolescents' Self-Esteem and Body Image: A Conditional Autoregressive Latent Trajectory Analysis

ERIC Educational Resources Information Center

Morin, Alexandre J. S.; Maiano, Christophe; Marsh, Herbert W.; Janosz, Michel; Nagengast, Benjamin

2011-01-01

Self-esteem and body image are central to coping successfully with the developmental challenges of adolescence. However, the current knowledge surrounding self-esteem and body image is fraught with controversy. This study attempts to clarify some of them by addressing three questions: (1) Are the intraindividual developmental trajectories of…

Gaussian Process Autoregression for Simultaneous Proportional Multi-Modal Prosthetic Control With Natural Hand Kinematics.

PubMed

Xiloyannis, Michele; Gavriel, Constantinos; Thomik, Andreas A C; Faisal, A Aldo

2017-10-01

Matching the dexterity, versatility, and robustness of the human hand is still an unachieved goal in bionics, robotics, and neural engineering. A major limitation for hand prosthetics lies in the challenges of reliably decoding user intention from muscle signals when controlling complex robotic hands. Most of the commercially available prosthetic hands use muscle-related signals to decode a finite number of predefined motions and some offer proportional control of open/close movements of the whole hand. Here, in contrast, we aim to offer users flexible control of individual joints of their artificial hand. We propose a novel framework for decoding neural information that enables a user to independently control 11 joints of the hand in a continuous manner-much like we control our natural hands. Toward this end, we instructed six able-bodied subjects to perform everyday object manipulation tasks combining both dynamic, free movements (e.g., grasping) and isometric force tasks (e.g., squeezing). We recorded the electromyographic and mechanomyographic activities of five extrinsic muscles of the hand in the forearm, while simultaneously monitoring 11 joints of hand and fingers using a sensorized data glove that tracked the joints of the hand. Instead of learning just a direct mapping from current muscle activity to intended hand movement, we formulated a novel autoregressive approach that combines the context of previous hand movements with instantaneous muscle activity to predict future hand movements. Specifically, we evaluated a linear vector autoregressive moving average model with exogenous inputs and a novel Gaussian process ( ) autoregressive framework to learn the continuous mapping from hand joint dynamics and muscle activity to decode intended hand movement. Our approach achieves high levels of performance (RMSE of 8°/s and ). Crucially, we use a small set of sensors that allows us to control a larger set of independently actuated degrees of freedom of a hand. This novel undersensored control is enabled through the combination of nonlinear autoregressive continuous mapping between muscle activity and joint angles. The system evaluates the muscle signals in the context of previous natural hand movements. This enables us to resolve ambiguities in situations, where muscle signals alone cannot determine the correct action as we evaluate the muscle signals in their context of natural hand movements. autoregression is a particularly powerful approach which makes not only a prediction based on the context but also represents the associated uncertainty of its predictions, thus enabling the novel notion of risk-based control in neuroprosthetics. Our results suggest that autoregressive approaches with exogenous inputs lend themselves for natural, intuitive, and continuous control in neurotechnology, with the particular focus on prosthetic restoration of natural limb function, where high dexterity is required for complex movements.

Real-time processing of radar return on a parallel computer

NASA Technical Reports Server (NTRS)

Aalfs, David D.

1992-01-01

NASA is working with the FAA to demonstrate the feasibility of pulse Doppler radar as a candidate airborne sensor to detect low altitude windshears. The need to provide the pilot with timely information about possible hazards has motivated a demand for real-time processing of a radar return. Investigated here is parallel processing as a means of accommodating the high data rates required. A PC based parallel computer, called the transputer, is used to investigate issues in real time concurrent processing of radar signals. A transputer network is made up of an array of single instruction stream processors that can be networked in a variety of ways. They are easily reconfigured and software development is largely independent of the particular network topology. The performance of the transputer is evaluated in light of the computational requirements. A number of algorithms have been implemented on the transputers in OCCAM, a language specially designed for parallel processing. These include signal processing algorithms such as the Fast Fourier Transform (FFT), pulse-pair, and autoregressive modelling, as well as routing software to support concurrency. The most computationally intensive task is estimating the spectrum. Two approaches have been taken on this problem, the first and most conventional of which is to use the FFT. By using table look-ups for the basis function and other optimizing techniques, an algorithm has been developed that is sufficient for real time. The other approach is to model the signal as an autoregressive process and estimate the spectrum based on the model coefficients. This technique is attractive because it does not suffer from the spectral leakage problem inherent in the FFT. Benchmark tests indicate that autoregressive modeling is feasible in real time.

Using a Hybrid Model to Forecast the Prevalence of Schistosomiasis in Humans

PubMed Central

Zhou, Lingling; Xia, Jing; Yu, Lijing; Wang, Ying; Shi, Yun; Cai, Shunxiang; Nie, Shaofa

2016-01-01

Background: We previously proposed a hybrid model combining both the autoregressive integrated moving average (ARIMA) and the nonlinear autoregressive neural network (NARNN) models in forecasting schistosomiasis. Our purpose in the current study was to forecast the annual prevalence of human schistosomiasis in Yangxin County, using our ARIMA-NARNN model, thereby further certifying the reliability of our hybrid model. Methods: We used the ARIMA, NARNN and ARIMA-NARNN models to fit and forecast the annual prevalence of schistosomiasis. The modeling time range included was the annual prevalence from 1956 to 2008 while the testing time range included was from 2009 to 2012. The mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) were used to measure the model performance. We reconstructed the hybrid model to forecast the annual prevalence from 2013 to 2016. Results: The modeling and testing errors generated by the ARIMA-NARNN model were lower than those obtained from either the single ARIMA or NARNN models. The predicted annual prevalence from 2013 to 2016 demonstrated an initial decreasing trend, followed by an increase. Conclusions: The ARIMA-NARNN model can be well applied to analyze surveillance data for early warning systems for the control and elimination of schistosomiasis. PMID:27023573

Reconstruction of Complex Directional Networks with Group Lasso Nonlinear Conditional Granger Causality.

PubMed

Yang, Guanxue; Wang, Lin; Wang, Xiaofan

2017-06-07

Reconstruction of networks underlying complex systems is one of the most crucial problems in many areas of engineering and science. In this paper, rather than identifying parameters of complex systems governed by pre-defined models or taking some polynomial and rational functions as a prior information for subsequent model selection, we put forward a general framework for nonlinear causal network reconstruction from time-series with limited observations. With obtaining multi-source datasets based on the data-fusion strategy, we propose a novel method to handle nonlinearity and directionality of complex networked systems, namely group lasso nonlinear conditional granger causality. Specially, our method can exploit different sets of radial basis functions to approximate the nonlinear interactions between each pair of nodes and integrate sparsity into grouped variables selection. The performance characteristic of our approach is firstly assessed with two types of simulated datasets from nonlinear vector autoregressive model and nonlinear dynamic models, and then verified based on the benchmark datasets from DREAM3 Challenge4. Effects of data size and noise intensity are also discussed. All of the results demonstrate that the proposed method performs better in terms of higher area under precision-recall curve.

A multivariate spatial mixture model for areal data: examining regional differences in standardized test scores

PubMed Central

Neelon, Brian; Gelfand, Alan E.; Miranda, Marie Lynn

2013-01-01

Summary Researchers in the health and social sciences often wish to examine joint spatial patterns for two or more related outcomes. Examples include infant birth weight and gestational length, psychosocial and behavioral indices, and educational test scores from different cognitive domains. We propose a multivariate spatial mixture model for the joint analysis of continuous individual-level outcomes that are referenced to areal units. The responses are modeled as a finite mixture of multivariate normals, which accommodates a wide range of marginal response distributions and allows investigators to examine covariate effects within subpopulations of interest. The model has a hierarchical structure built at the individual level (i.e., individuals are nested within areal units), and thus incorporates both individual- and areal-level predictors as well as spatial random effects for each mixture component. Conditional autoregressive (CAR) priors on the random effects provide spatial smoothing and allow the shape of the multivariate distribution to vary flexibly across geographic regions. We adopt a Bayesian modeling approach and develop an efficient Markov chain Monte Carlo model fitting algorithm that relies primarily on closed-form full conditionals. We use the model to explore geographic patterns in end-of-grade math and reading test scores among school-age children in North Carolina. PMID:26401059

Reciprocal associations between negative affect, binge eating, and purging in the natural environment in women with bulimia nervosa.

PubMed

Lavender, Jason M; Utzinger, Linsey M; Cao, Li; Wonderlich, Stephen A; Engel, Scott G; Mitchell, James E; Crosby, Ross D

2016-04-01

Although negative affect (NA) has been identified as a common trigger for bulimic behaviors, findings regarding NA following such behaviors have been mixed. This study examined reciprocal associations between NA and bulimic behaviors using real-time, naturalistic data. Participants were 133 women with bulimia nervosa (BN) according to the 4th edition of the Diagnostic and Statistical Manual of Mental Disorders who completed a 2-week ecological momentary assessment protocol in which they recorded bulimic behaviors and provided multiple daily ratings of NA. A multilevel autoregressive cross-lagged analysis was conducted to examine concurrent, first-order autoregressive, and prospective associations between NA, binge eating, and purging across the day. Results revealed positive concurrent associations between all variables across all time points, as well as numerous autoregressive associations. For prospective associations, higher NA predicted subsequent bulimic symptoms at multiple time points; conversely, binge eating predicted lower NA at multiple time points, and purging predicted higher NA at 1 time point. Several autoregressive and prospective associations were also found between binge eating and purging. This study used a novel approach to examine NA in relation to bulimic symptoms, contributing to the existing literature by directly examining the magnitude of the associations, examining differences in the associations across the day, and controlling for other associations in testing each effect in the model. These findings may have relevance for understanding the etiology and/or maintenance of bulimic symptoms, as well as potentially informing psychological interventions for BN. (c) 2016 APA, all rights reserved).

An INAR(1) Negative Multinomial Regression Model for Longitudinal Count Data.

ERIC Educational Resources Information Center

Bockenholt, Ulf

1999-01-01

Discusses a regression model for the analysis of longitudinal count data in a panel study by adapting an integer-valued first-order autoregressive (INAR(1)) Poisson process to represent time-dependent correlation between counts. Derives a new negative multinomial distribution by combining INAR(1) representation with a random effects approach.…

Robust Spatial Autoregressive Modeling for Hardwood Log Inspection

Treesearch

Dongping Zhu; A.A. Beex

1994-01-01

We explore the application of a stochastic texture modeling method toward a machine vision system for log inspection in the forest products industry. This machine vision system uses computerized tomography (CT) imaging to locate and identify internal defects in hardwood logs. The application of CT to such industrial vision problems requires efficient and robust image...

On the Feed-back Mechanism of Chinese Stock Markets

NASA Astrophysics Data System (ADS)

Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

Feed-back models in the stock markets research imply an adjustment process toward investors' expectation for current information and past experiences. Error-correction and cointegration are often used to evaluate the long-run relation. The Efficient Capital Market Hypothesis, which had ignored the effect of the accumulation of information, cannot explain some anomalies such as bubbles and partial predictability in the stock markets. In order to investigate the feed-back mechanism and to determine an effective model, we use daily data of the stock index of two Chinese stock markets with the expectational model, which is one kind of geometric lag models. Tests and estimations of error-correction show that long-run equilibrium seems to be seldom achieved in Chinese stock markets. Our result clearly shows the common coefficient of expectations and fourth-order autoregressive disturbance exist in the two Chinese stock markets. Furthermore, we find the same coefficient of expectations has an autoregressive effect on disturbances in the two Chinese stock markets. Therefore the presence of such feed-back is also supported in Chinese stock markets.

Identification of multivariable nonlinear systems in the presence of colored noises using iterative hierarchical least squares algorithm.

PubMed

Jafari, Masoumeh; Salimifard, Maryam; Dehghani, Maryam

2014-07-01

This paper presents an efficient method for identification of nonlinear Multi-Input Multi-Output (MIMO) systems in the presence of colored noises. The method studies the multivariable nonlinear Hammerstein and Wiener models, in which, the nonlinear memory-less block is approximated based on arbitrary vector-based basis functions. The linear time-invariant (LTI) block is modeled by an autoregressive moving average with exogenous (ARMAX) model which can effectively describe the moving average noises as well as the autoregressive and the exogenous dynamics. According to the multivariable nature of the system, a pseudo-linear-in-the-parameter model is obtained which includes two different kinds of unknown parameters, a vector and a matrix. Therefore, the standard least squares algorithm cannot be applied directly. To overcome this problem, a Hierarchical Least Squares Iterative (HLSI) algorithm is used to simultaneously estimate the vector and the matrix of unknown parameters as well as the noises. The efficiency of the proposed identification approaches are investigated through three nonlinear MIMO case studies. Copyright © 2014 ISA. Published by Elsevier Ltd. All rights reserved.

A Novel Multilevel-SVD Method to Improve Multistep Ahead Forecasting in Traffic Accidents Domain.

PubMed

Barba, Lida; Rodríguez, Nibaldo

2017-01-01

Here is proposed a novel method for decomposing a nonstationary time series in components of low and high frequency. The method is based on Multilevel Singular Value Decomposition (MSVD) of a Hankel matrix. The decomposition is used to improve the forecasting accuracy of Multiple Input Multiple Output (MIMO) linear and nonlinear models. Three time series coming from traffic accidents domain are used. They represent the number of persons with injuries in traffic accidents of Santiago, Chile. The data were continuously collected by the Chilean Police and were weekly sampled from 2000:1 to 2014:12. The performance of MSVD is compared with the decomposition in components of low and high frequency of a commonly accepted method based on Stationary Wavelet Transform (SWT). SWT in conjunction with the Autoregressive model (SWT + MIMO-AR) and SWT in conjunction with an Autoregressive Neural Network (SWT + MIMO-ANN) were evaluated. The empirical results have shown that the best accuracy was achieved by the forecasting model based on the proposed decomposition method MSVD, in comparison with the forecasting models based on SWT.

A Novel Multilevel-SVD Method to Improve Multistep Ahead Forecasting in Traffic Accidents Domain

PubMed Central

Rodríguez, Nibaldo

2017-01-01

Here is proposed a novel method for decomposing a nonstationary time series in components of low and high frequency. The method is based on Multilevel Singular Value Decomposition (MSVD) of a Hankel matrix. The decomposition is used to improve the forecasting accuracy of Multiple Input Multiple Output (MIMO) linear and nonlinear models. Three time series coming from traffic accidents domain are used. They represent the number of persons with injuries in traffic accidents of Santiago, Chile. The data were continuously collected by the Chilean Police and were weekly sampled from 2000:1 to 2014:12. The performance of MSVD is compared with the decomposition in components of low and high frequency of a commonly accepted method based on Stationary Wavelet Transform (SWT). SWT in conjunction with the Autoregressive model (SWT + MIMO-AR) and SWT in conjunction with an Autoregressive Neural Network (SWT + MIMO-ANN) were evaluated. The empirical results have shown that the best accuracy was achieved by the forecasting model based on the proposed decomposition method MSVD, in comparison with the forecasting models based on SWT. PMID:28261267

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

PubMed Central

Alwee, Razana; Hj Shamsuddin, Siti Mariyam; 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. PMID:23766729

A Deep and Autoregressive Approach for Topic Modeling of Multimodal Data.

PubMed

Zheng, Yin; Zhang, Yu-Jin; Larochelle, Hugo

2016-06-01

Topic modeling based on latent Dirichlet allocation (LDA) has been a framework of choice to deal with multimodal data, such as in image annotation tasks. Another popular approach to model the multimodal data is through deep neural networks, such as the deep Boltzmann machine (DBM). Recently, a new type of topic model called the Document Neural Autoregressive Distribution Estimator (DocNADE) was proposed and demonstrated state-of-the-art performance for text document modeling. In this work, we show how to successfully apply and extend this model to multimodal data, such as simultaneous image classification and annotation. First, we propose SupDocNADE, a supervised extension of DocNADE, that increases the discriminative power of the learned hidden topic features and show how to employ it to learn a joint representation from image visual words, annotation words and class label information. We test our model on the LabelMe and UIUC-Sports data sets and show that it compares favorably to other topic models. Second, we propose a deep extension of our model and provide an efficient way of training the deep model. Experimental results show that our deep model outperforms its shallow version and reaches state-of-the-art performance on the Multimedia Information Retrieval (MIR) Flickr data set.

Nonlinear autoregressive neural networks with external inputs for forecasting of typhoon inundation level.

PubMed

Ouyang, Huei-Tau

2017-08-01

Accurate inundation level forecasting during typhoon invasion is crucial for organizing response actions such as the evacuation of people from areas that could potentially flood. This paper explores the ability of nonlinear autoregressive neural networks with exogenous inputs (NARX) to predict inundation levels induced by typhoons. Two types of NARX architecture were employed: series-parallel (NARX-S) and parallel (NARX-P). Based on cross-correlation analysis of rainfall and water-level data from historical typhoon records, 10 NARX models (five of each architecture type) were constructed. The forecasting ability of each model was assessed by considering coefficient of efficiency (CE), relative time shift error (RTS), and peak water-level error (PE). The results revealed that high CE performance could be achieved by employing more model input variables. Comparisons of the two types of model demonstrated that the NARX-S models outperformed the NARX-P models in terms of CE and RTS, whereas both performed exceptionally in terms of PE and without significant difference. The NARX-S and NARX-P models with the highest overall performance were identified and their predictions were compared with those of traditional ARX-based models. The NARX-S model outperformed the ARX-based models in all three indexes, whereas the NARX-P model exhibited comparable CE performance and superior RTS and PE performance.

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

PubMed

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.

Dedollarization in Turkey after decades of dollarization: A myth or reality?

NASA Astrophysics Data System (ADS)

Metin-Özcan, Kıvılcım; Us, Vuslat

2007-11-01

The paper analyzes dollarization in the Turkish economy given the evidence on dedollarization signals. On conducting a Vector Autoregression (VAR) model, the empirical evidence suggests that dollarization has mostly been shaped by macroeconomic imbalances as measured by exchange rate depreciation volatility, inflation volatility and expectations. Furthermore, the generalized impulse response function (IRF) analysis, in addition to the analysis of variance decomposition (VDC) gives support to the notion that dollarization seems to sustain its persistent nature, thus hysteresis still prevails. Hence, unfavorable macroeconomic conditions apparently contribute to dollarization while dollarization itself contains inertia. Furthermore, dedollarization that presumably started after 2001 has lost headway after May 2006. Thus, it seems too early to conclude that dollarization changed its route to dedollarization.

Macrocell path loss prediction using artificial intelligence techniques

NASA Astrophysics Data System (ADS)

Usman, Abraham U.; Okereke, Okpo U.; Omizegba, Elijah E.

2014-04-01

The prediction of propagation loss is a practical non-linear function approximation problem which linear regression or auto-regression models are limited in their ability to handle. However, some computational Intelligence techniques such as artificial neural networks (ANNs) and adaptive neuro-fuzzy inference systems (ANFISs) have been shown to have great ability to handle non-linear function approximation and prediction problems. In this study, the multiple layer perceptron neural network (MLP-NN), radial basis function neural network (RBF-NN) and an ANFIS network were trained using actual signal strength measurement taken at certain suburban areas of Bauchi metropolis, Nigeria. The trained networks were then used to predict propagation losses at the stated areas under differing conditions. The predictions were compared with the prediction accuracy of the popular Hata model. It was observed that ANFIS model gave a better fit in all cases having higher R2 values in each case and on average is more robust than MLP and RBF models as it generalises better to a different data.

Challenges of Electronic Medical Surveillance Systems

DTIC Science & Technology

2004-06-01

More sophisticated approaches, such as regression models and classical autoregressive moving average ( ARIMA ) models that make estimates based on...with those predicted by a mathematical model . The primary benefit of ARIMA models is their ability to correct for local trends in the data so that...works well, for example, during a particularly severe flu season, where prolonged periods of high visit rates are adjusted to by the ARIMA model , thus

Time Series Modelling of Syphilis Incidence in China from 2005 to 2012

PubMed Central

Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau

2016-01-01

Background The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. Methods In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). Results The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Conclusion Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis. PMID:26901682

Time Series Modelling of Syphilis Incidence in China from 2005 to 2012.

PubMed

Zhang, Xingyu; Zhang, Tao; Pei, Jiao; Liu, Yuanyuan; Li, Xiaosong; Medrano-Gracia, Pau

2016-01-01

The infection rate of syphilis in China has increased dramatically in recent decades, becoming a serious public health concern. Early prediction of syphilis is therefore of great importance for heath planning and management. In this paper, we analyzed surveillance time series data for primary, secondary, tertiary, congenital and latent syphilis in mainland China from 2005 to 2012. Seasonality and long-term trend were explored with decomposition methods. Autoregressive integrated moving average (ARIMA) was used to fit a univariate time series model of syphilis incidence. A separate multi-variable time series for each syphilis type was also tested using an autoregressive integrated moving average model with exogenous variables (ARIMAX). The syphilis incidence rates have increased three-fold from 2005 to 2012. All syphilis time series showed strong seasonality and increasing long-term trend. Both ARIMA and ARIMAX models fitted and estimated syphilis incidence well. All univariate time series showed highest goodness-of-fit results with the ARIMA(0,0,1)×(0,1,1) model. Time series analysis was an effective tool for modelling the historical and future incidence of syphilis in China. The ARIMAX model showed superior performance than the ARIMA model for the modelling of syphilis incidence. Time series correlations existed between the models for primary, secondary, tertiary, congenital and latent syphilis.

[Establishing and applying of autoregressive integrated moving average model to predict the incidence rate of dysentery in Shanghai].

PubMed

Li, Jian; Wu, Huan-Yu; Li, Yan-Ting; Jin, Hui-Ming; Gu, Bao-Ke; Yuan, Zheng-An

2010-01-01

To explore the feasibility of establishing and applying of autoregressive integrated moving average (ARIMA) model to predict the incidence rate of dysentery in Shanghai, so as to provide the theoretical basis for prevention and control of dysentery. ARIMA model was established based on the monthly incidence rate of dysentery of Shanghai from 1990 to 2007. The parameters of model were estimated through unconditional least squares method, the structure was determined according to criteria of residual un-correlation and conclusion, and the model goodness-of-fit was determined through Akaike information criterion (AIC) and Schwarz Bayesian criterion (SBC). The constructed optimal model was applied to predict the incidence rate of dysentery of Shanghai in 2008 and evaluate the validity of model through comparing the difference of predicted incidence rate and actual one. The incidence rate of dysentery in 2010 was predicted by ARIMA model based on the incidence rate from January 1990 to June 2009. The model ARIMA (1, 1, 1) (0, 1, 2)(12) had a good fitness to the incidence rate with both autoregressive coefficient (AR1 = 0.443) during the past time series, moving average coefficient (MA1 = 0.806) and seasonal moving average coefficient (SMA1 = 0.543, SMA2 = 0.321) being statistically significant (P < 0.01). AIC and SBC were 2.878 and 16.131 respectively and predicting error was white noise. The mathematic function was (1-0.443B) (1-B) (1-B(12))Z(t) = (1-0.806B) (1-0.543B(12)) (1-0.321B(2) x 12) micro(t). The predicted incidence rate in 2008 was consistent with the actual one, with the relative error of 6.78%. The predicted incidence rate of dysentery in 2010 based on the incidence rate from January 1990 to June 2009 would be 9.390 per 100 thousand. ARIMA model can be used to fit the changes of incidence rate of dysentery and to forecast the future incidence rate in Shanghai. It is a predicted model of high precision for short-time forecast.

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

PubMed

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.

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

PubMed Central

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

Modelling space of spread Dengue Hemorrhagic Fever (DHF) in Central Java use spatial durbin model

NASA Astrophysics Data System (ADS)

Ispriyanti, Dwi; Prahutama, Alan; Taryono, Arkadina PN

2018-05-01

Dengue Hemorrhagic Fever is one of the major public health problems in Indonesia. From year to year, DHF causes Extraordinary Event in most parts of Indonesia, especially Central Java. Central Java consists of 35 districts or cities where each region is close to each other. Spatial regression is an analysis that suspects the influence of independent variables on the dependent variables with the influences of the region inside. In spatial regression modeling, there are spatial autoregressive model (SAR), spatial error model (SEM) and spatial autoregressive moving average (SARMA). Spatial Durbin model is the development of SAR where the dependent and independent variable have spatial influence. In this research dependent variable used is number of DHF sufferers. The independent variables observed are population density, number of hospitals, residents and health centers, and mean years of schooling. From the multiple regression model test, the variables that significantly affect the spread of DHF disease are the population and mean years of schooling. By using queen contiguity and rook contiguity, the best model produced is the SDM model with queen contiguity because it has the smallest AIC value of 494,12. Factors that generally affect the spread of DHF in Central Java Province are the number of population and the average length of school.

Advances in nowcasting influenza-like illness rates using search query logs

NASA Astrophysics Data System (ADS)

Lampos, Vasileios; Miller, Andrew C.; Crossan, Steve; Stefansen, Christian

2015-08-01

User-generated content can assist epidemiological surveillance in the early detection and prevalence estimation of infectious diseases, such as influenza. Google Flu Trends embodies the first public platform for transforming search queries to indications about the current state of flu in various places all over the world. However, the original model significantly mispredicted influenza-like illness rates in the US during the 2012-13 flu season. In this work, we build on the previous modeling attempt, proposing substantial improvements. Firstly, we investigate the performance of a widely used linear regularized regression solver, known as the Elastic Net. Then, we expand on this model by incorporating the queries selected by the Elastic Net into a nonlinear regression framework, based on a composite Gaussian Process. Finally, we augment the query-only predictions with an autoregressive model, injecting prior knowledge about the disease. We assess predictive performance using five consecutive flu seasons spanning from 2008 to 2013 and qualitatively explain certain shortcomings of the previous approach. Our results indicate that a nonlinear query modeling approach delivers the lowest cumulative nowcasting error, and also suggest that query information significantly improves autoregressive inferences, obtaining state-of-the-art performance.

Granger causality revisited

PubMed Central

Friston, Karl J.; Bastos, André M.; Oswal, Ashwini; van Wijk, Bernadette; Richter, Craig; Litvak, Vladimir

2014-01-01

This technical paper offers a critical re-evaluation of (spectral) Granger causality measures in the analysis of biological timeseries. Using realistic (neural mass) models of coupled neuronal dynamics, we evaluate the robustness of parametric and nonparametric Granger causality. Starting from a broad class of generative (state-space) models of neuronal dynamics, we show how their Volterra kernels prescribe the second-order statistics of their response to random fluctuations; characterised in terms of cross-spectral density, cross-covariance, autoregressive coefficients and directed transfer functions. These quantities in turn specify Granger causality — providing a direct (analytic) link between the parameters of a generative model and the expected Granger causality. We use this link to show that Granger causality measures based upon autoregressive models can become unreliable when the underlying dynamics is dominated by slow (unstable) modes — as quantified by the principal Lyapunov exponent. However, nonparametric measures based on causal spectral factors are robust to dynamical instability. We then demonstrate how both parametric and nonparametric spectral causality measures can become unreliable in the presence of measurement noise. Finally, we show that this problem can be finessed by deriving spectral causality measures from Volterra kernels, estimated using dynamic causal modelling. PMID:25003817

Advances in nowcasting influenza-like illness rates using search query logs.

PubMed

Lampos, Vasileios; Miller, Andrew C; Crossan, Steve; Stefansen, Christian

2015-08-03

User-generated content can assist epidemiological surveillance in the early detection and prevalence estimation of infectious diseases, such as influenza. Google Flu Trends embodies the first public platform for transforming search queries to indications about the current state of flu in various places all over the world. However, the original model significantly mispredicted influenza-like illness rates in the US during the 2012-13 flu season. In this work, we build on the previous modeling attempt, proposing substantial improvements. Firstly, we investigate the performance of a widely used linear regularized regression solver, known as the Elastic Net. Then, we expand on this model by incorporating the queries selected by the Elastic Net into a nonlinear regression framework, based on a composite Gaussian Process. Finally, we augment the query-only predictions with an autoregressive model, injecting prior knowledge about the disease. We assess predictive performance using five consecutive flu seasons spanning from 2008 to 2013 and qualitatively explain certain shortcomings of the previous approach. Our results indicate that a nonlinear query modeling approach delivers the lowest cumulative nowcasting error, and also suggest that query information significantly improves autoregressive inferences, obtaining state-of-the-art performance.

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

NASA Astrophysics Data System (ADS)

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.

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

NASA Astrophysics Data System (ADS)

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.

GSTARI model of BPR assets in West Java, Central Java, and East Java

NASA Astrophysics Data System (ADS)

Susanti, Susi; Sulistijowati Handajani, Sri; Indriati, Diari

2018-05-01

Bank Perkreditan Rakyat (BPR) is a financial institution in Indonesia dealing with Micro, Small, and Medium Enterprises (MSMEs). Though limited to MSMEs, the development of the BPR industry continues to increase. West Java, Central Java, and East Java have high BPR asset development are suspected to be interconnected because of their economic activities as a neighboring provincies. BPR assets are nonstationary time series data that follow the uptrend pattern. Therefore, the suitable model with the data is generalized space time autoregressive integrated (GSTARI) which considers the spatial and time interrelationships. GSTARI model used spatial order 1 and the autoregressive order is obtained of optimal lag which has the smallest value of Akaike information criterion corrected. The correlation test results showed that the location used in this study had a close relationship. Based on the results of model identification, the best model obtained is GSTAR(31)-I(1). The parameter estimation used the ordinary least squares with the selection of significant variables used the stepwise method and the normalization cross correlation weighting. The residual model fulfilled the assumption of white noise and normal multivariate, so the model was appropriate. The average RMSE and MAPE values of the model were 498.75 and 2.48%.

Reservoir optimisation using El Niño information. Case study of Daule Peripa (Ecuador)

NASA Astrophysics Data System (ADS)

Gelati, Emiliano; Madsen, Henrik; Rosbjerg, Dan

2010-05-01

The optimisation of water resources systems requires the ability to produce runoff scenarios that are consistent with available climatic information. We approach stochastic runoff modelling with a Markov-modulated autoregressive model with exogenous input, which belongs to the class of Markov-switching models. The model assumes runoff parameterisation to be conditioned on a hidden climatic state following a Markov chain, whose state transition probabilities depend on climatic information. This approach allows stochastic modeling of non-stationary runoff, as runoff anomalies are described by a mixture of autoregressive models with exogenous input, each one corresponding to a climate state. We calibrate the model on the inflows of the Daule Peripa reservoir located in western Ecuador, where the occurrence of El Niño leads to anomalously heavy rainfall caused by positive sea surface temperature anomalies along the coast. El Niño - Southern Oscillation (ENSO) information is used to condition the runoff parameterisation. Inflow predictions are realistic, especially at the occurrence of El Niño events. The Daule Peripa reservoir serves a hydropower plant and a downstream water supply facility. Using historical ENSO records, synthetic monthly inflow scenarios are generated for the period 1950-2007. These scenarios are used as input to perform stochastic optimisation of the reservoir rule curves with a multi-objective Genetic Algorithm (MOGA). The optimised rule curves are assumed to be the reservoir base policy. ENSO standard indices are currently forecasted at monthly time scale with nine-month lead time. These forecasts are used to perform stochastic optimisation of reservoir releases at each monthly time step according to the following procedure: (i) nine-month inflow forecast scenarios are generated using ENSO forecasts; (ii) a MOGA is set up to optimise the upcoming nine monthly releases; (iii) the optimisation is carried out by simulating the releases on the inflow forecasts, and by applying the base policy on a subsequent synthetic inflow scenario in order to account for long-term costs; (iv) the optimised release for the first month is implemented; (v) the state of the system is updated and (i), (ii), (iii), and (iv) are iterated for the following time step. The results highlight the advantages of using a climate-driven stochastic model to produce inflow scenarios and forecasts for reservoir optimisation, showing potential improvements with respect to the current management. Dynamic programming was used to find the best possible release time series given the inflow observations, in order to benchmark any possible operational improvement.

Simulating extreme low-discharge events for the Rhine using a stochastic model

NASA Astrophysics Data System (ADS)

Macian-Sorribes, Hector; Mens, Marjolein; Schasfoort, Femke; Diermanse, Ferdinand; Pulido-Velazquez, Manuel

2017-04-01

The specific features of hydrological droughts make them more difficult to be analysed than other water-related phenomena: longer time scales (months to several years) so less historical events are available, and the drought severity and associate damage depends on a combination of variables with no clear prevalence (e.g., total water deficit, maximum deficit and duration). As part of drought risk analysis, which aims to provide insight into the variability of hydrological conditions and associated socio-economic impacts, long synthetic time series should therefore be developed. In this contribution, we increase the length of the available inflow time series using stochastic autoregressive modelling. This enhancement could improve the characterization of the extreme range and can define extreme droughts with similar periods of return but different patterns that can lead to distinctly different damages. The methodology consists of: 1) fitting an autoregressive model (AR, ARMA…) to the available records; 2) generating extended time series (thousands of years); 3) performing a frequency analysis with different characteristic variables (total, deficit, maximum deficit and so on); and 4) selecting extreme drought events associated with different characteristic variables and return periods. The methodology was applied to the Rhine river discharge at location Lobith, where the Rhine enters The Netherlands. A monthly ARMA(1,1) autoregressive model with seasonally varying parameters was fitted and successfully validated to the historical records available since year 1901. The maximum monthly deficit with respect to a threshold value of 1800 m3/s and the average discharge for a given time span in m3/s were chosen as indicators to identify drought periods. A synthetic series of 10,000 years of discharges was generated using the validated ARMA model. Two time spans were considered in the analysis: the whole calendar year and the half-year period between April and September (the summer half year, where water demands are highest). Frequency analysis was performed for both indicators and time spans for the generated time series and the historical records. The comparison between observed and generated series showed that the ARMA model provides a good reproduction of the maximum deficits and total discharges, especially for the summer half-year period. The resulting synthetic series are therefore considered credible. These synthetic series, with its wealth of information, can then be used as inputs for the damage assessment models, together with information on precipitation deficits, in order to estimate the risk that lower inflows can have on the urban, the agricultural, the shipping sector and so on. This will help in associating economic losses and periods of return, as well as for estimating how droughts with similar periods of return but different patterns can lead to different damages. ACKNOWLEDGEMENT This study has been supported by the European Union's Horizon 2020 research and innovation programme under the IMPREX project (grant agreement no: 641.811), and by the Climate-KIC Pioneers into Practice Program supported by the European Union's EIT.

Forecasting intentional wildfires using temporal and spatiotemporal autocorrelations

Treesearch

Jeffrey P. Prestemon; María L. Chas-Amil; Julia M. Touza; Scott L. Goodrick

2012-01-01

We report daily time series models containing both temporal and spatiotemporal lags, which are applied to forecasting intentional wildfires in Galicia, Spain. Models are estimated independently for each of the 19 forest districts in Galicia using a 1999–2003 training dataset and evaluated out-of-sample with a 2004–06 dataset. Poisson autoregressive models of order P –...

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

NASA Astrophysics Data System (ADS)

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.

Autoregressive Processes in Homogenization of GNSS Tropospheric Data

NASA Astrophysics Data System (ADS)

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.

Non-Gaussian spatiotemporal simulation of multisite daily precipitation: downscaling framework

NASA Astrophysics Data System (ADS)

Ben Alaya, M. A.; Ouarda, T. B. M. J.; Chebana, F.

2018-01-01

Probabilistic regression approaches for downscaling daily precipitation are very useful. They provide the whole conditional distribution at each forecast step to better represent the temporal variability. The question addressed in this paper is: how to simulate spatiotemporal characteristics of multisite daily precipitation from probabilistic regression models? Recent publications point out the complexity of multisite properties of daily precipitation and highlight the need for using a non-Gaussian flexible tool. This work proposes a reasonable compromise between simplicity and flexibility avoiding model misspecification. A suitable nonparametric bootstrapping (NB) technique is adopted. A downscaling model which merges a vector generalized linear model (VGLM as a probabilistic regression tool) and the proposed bootstrapping technique is introduced to simulate realistic multisite precipitation series. The model is applied to data sets from the southern part of the province of Quebec, Canada. It is shown that the model is capable of reproducing both at-site properties and the spatial structure of daily precipitations. Results indicate the superiority of the proposed NB technique, over a multivariate autoregressive Gaussian framework (i.e. Gaussian copula).

Smoothing strategies combined with ARIMA and neural networks to improve the forecasting of traffic accidents.

PubMed

Barba, Lida; Rodríguez, Nibaldo; Montt, Cecilia

2014-01-01

Two smoothing strategies combined with autoregressive integrated moving average (ARIMA) and autoregressive neural networks (ANNs) models to improve the forecasting of time series are presented. The strategy of forecasting is implemented using two stages. In the first stage the time series is smoothed using either, 3-point moving average smoothing, or singular value Decomposition of the Hankel matrix (HSVD). In the second stage, an ARIMA model and two ANNs for one-step-ahead time series forecasting are used. The coefficients of the first ANN are estimated through the particle swarm optimization (PSO) learning algorithm, while the coefficients of the second ANN are estimated with the resilient backpropagation (RPROP) learning algorithm. The proposed models are evaluated using a weekly time series of traffic accidents of Valparaíso, Chilean region, from 2003 to 2012. The best result is given by the combination HSVD-ARIMA, with a MAPE of 0:26%, followed by MA-ARIMA with a MAPE of 1:12%; the worst result is given by the MA-ANN based on PSO with a MAPE of 15:51%.

Linear and nonlinear trending and prediction for AVHRR time series data

NASA Technical Reports Server (NTRS)

Smid, J.; Volf, P.; Slama, M.; Palus, M.

1995-01-01

The variability of AVHRR calibration coefficient in time was analyzed using algorithms of linear and non-linear time series analysis. Specifically we have used the spline trend modeling, autoregressive process analysis, incremental neural network learning algorithm and redundancy functional testing. The analysis performed on available AVHRR data sets revealed that (1) the calibration data have nonlinear dependencies, (2) the calibration data depend strongly on the target temperature, (3) both calibration coefficients and the temperature time series can be modeled, in the first approximation, as autonomous dynamical systems, (4) the high frequency residuals of the analyzed data sets can be best modeled as an autoregressive process of the 10th degree. We have dealt with a nonlinear identification problem and the problem of noise filtering (data smoothing). The system identification and filtering are significant problems for AVHRR data sets. The algorithms outlined in this study can be used for the future EOS missions. Prediction and smoothing algorithms for time series of calibration data provide a functional characterization of the data. Those algorithms can be particularly useful when calibration data are incomplete or sparse.

Importance of spatial autocorrelation in modeling bird distributions at a continental scale

USGS Publications Warehouse

Bahn, V.; O'Connor, R.J.; Krohn, W.B.

2006-01-01

Spatial autocorrelation in species' distributions has been recognized as inflating the probability of a type I error in hypotheses tests, causing biases in variable selection, and violating the assumption of independence of error terms in models such as correlation or regression. However, it remains unclear whether these problems occur at all spatial resolutions and extents, and under which conditions spatially explicit modeling techniques are superior. Our goal was to determine whether spatial models were superior at large extents and across many different species. In addition, we investigated the importance of purely spatial effects in distribution patterns relative to the variation that could be explained through environmental conditions. We studied distribution patterns of 108 bird species in the conterminous United States using ten years of data from the Breeding Bird Survey. We compared the performance of spatially explicit regression models with non-spatial regression models using Akaike's information criterion. In addition, we partitioned the variance in species distributions into an environmental, a pure spatial and a shared component. The spatially-explicit conditional autoregressive regression models strongly outperformed the ordinary least squares regression models. In addition, partialling out the spatial component underlying the species' distributions showed that an average of 17% of the explained variation could be attributed to purely spatial effects independent of the spatial autocorrelation induced by the underlying environmental variables. We concluded that location in the range and neighborhood play an important role in the distribution of species. Spatially explicit models are expected to yield better predictions especially for mobile species such as birds, even in coarse-grained models with a large extent. ?? Ecography.

Comparison of Two Hybrid Models for Forecasting the Incidence of Hemorrhagic Fever with Renal Syndrome in Jiangsu Province, China.

PubMed

Wu, Wei; Guo, Junqiao; An, Shuyi; Guan, Peng; Ren, Yangwu; Xia, Linzi; Zhou, Baosen

2015-01-01

Cases of hemorrhagic fever with renal syndrome (HFRS) are widely distributed in eastern Asia, especially in China, Russia, and Korea. It is proved to be a difficult task to eliminate HFRS completely because of the diverse animal reservoirs and effects of global warming. Reliable forecasting is useful for the prevention and control of HFRS. Two hybrid models, one composed of nonlinear autoregressive neural network (NARNN) and autoregressive integrated moving average (ARIMA) the other composed of generalized regression neural network (GRNN) and ARIMA were constructed to predict the incidence of HFRS in the future one year. Performances of the two hybrid models were compared with ARIMA model. The ARIMA, ARIMA-NARNN ARIMA-GRNN model fitted and predicted the seasonal fluctuation well. Among the three models, the mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) of ARIMA-NARNN hybrid model was the lowest both in modeling stage and forecasting stage. As for the ARIMA-GRNN hybrid model, the MSE, MAE and MAPE of modeling performance and the MSE and MAE of forecasting performance were less than the ARIMA model, but the MAPE of forecasting performance did not improve. Developing and applying the ARIMA-NARNN hybrid model is an effective method to make us better understand the epidemic characteristics of HFRS and could be helpful to the prevention and control of HFRS.

Prediction of municipal solid waste generation using nonlinear autoregressive network.

PubMed

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.

Increase in suicides the months after the death of Robin Williams in the US

PubMed Central

Santaella-Tenorio, Julian; Keyes, Katherine M.

2018-01-01

Investigating suicides following the death of Robin Williams, a beloved actor and comedian, on August 11th, 2014, we used time-series analysis to estimate the expected number of suicides during the months following Williams’ death. Monthly suicide count data in the US (1999–2015) were from the Centers for Disease Control and Prevention Wide-ranging ONline Data for Epidemiologic Research (CDC WONDER). Expected suicides were calculated using a seasonal autoregressive integrated moving averages model to account for both the seasonal patterns and autoregression. Time-series models indicated that we would expect 16,849 suicides from August to December 2014; however, we observed 18,690 suicides in that period, suggesting an excess of 1,841 cases (9.85% increase). Although excess suicides were observed across gender and age groups, males and persons aged 30–44 had the greatest increase in excess suicide events. This study documents associations between Robin Williams’ death and suicide deaths in the population thereafter. PMID:29415016

Additive hazards regression and partial likelihood estimation for ecological monitoring data across space.

PubMed

Lin, Feng-Chang; Zhu, Jun

2012-01-01

We develop continuous-time models for the analysis of environmental or ecological monitoring data such that subjects are observed at multiple monitoring time points across space. Of particular interest are additive hazards regression models where the baseline hazard function can take on flexible forms. We consider time-varying covariates and take into account spatial dependence via autoregression in space and time. We develop statistical inference for the regression coefficients via partial likelihood. Asymptotic properties, including consistency and asymptotic normality, are established for parameter estimates under suitable regularity conditions. Feasible algorithms utilizing existing statistical software packages are developed for computation. We also consider a simpler additive hazards model with homogeneous baseline hazard and develop hypothesis testing for homogeneity. A simulation study demonstrates that the statistical inference using partial likelihood has sound finite-sample properties and offers a viable alternative to maximum likelihood estimation. For illustration, we analyze data from an ecological study that monitors bark beetle colonization of red pines in a plantation of Wisconsin.

Testing the EKC hypothesis by considering trade openness, urbanization, and financial development: the case of Turkey.

PubMed

Ozatac, Nesrin; Gokmenoglu, Korhan K; Taspinar, Nigar

2017-07-01

This study investigates the environmental Kuznets curve (EKC) hypothesis for the case of Turkey from 1960 to 2013 by considering energy consumption, trade, urbanization, and financial development variables. Although previous literature examines various aspects of the EKC hypothesis for the case of Turkey, our model augments the basic model with several covariates to develop a better understanding of the relationship among the variables and to refrain from omitted variable bias. The results of the bounds test and the error correction model under autoregressive distributed lag mechanism suggest long-run relationships among the variables as well as proof of the EKC and the scale effect in Turkey. A conditional Granger causality test reveals that there are causal relationships among the variables. Our findings can have policy implications including the imposition of a "polluter pays" mechanism, such as the implementation of a carbon tax for pollution trading, to raise the urban population's awareness about the importance of adopting renewable energy and to support clean, environmentally friendly technology.

Spatial modeling of cutaneous leishmaniasis in the Andean region of Colombia

PubMed Central

Pérez-Flórez, Mauricio; Ocampo, Clara Beatriz; Valderrama-Ardila, Carlos; Alexander, Neal

2016-01-01

The objective of this research was to identify environmental risk factors for cutaneous leishmaniasis (CL) in Colombia and map high-risk municipalities. The study area was the Colombian Andean region, comprising 715 rural and urban municipalities. We used 10 years of CL surveillance: 2000-2009. We used spatial-temporal analysis - conditional autoregressive Poisson random effects modelling - in a Bayesian framework to model the dependence of municipality-level incidence on land use, climate, elevation and population density. Bivariable spatial analysis identified rainforests, forests and secondary vegetation, temperature, and annual precipitation as positively associated with CL incidence. By contrast, livestock agroecosystems and temperature seasonality were negatively associated. Multivariable analysis identified land use - rainforests and agro-livestock - and climate - temperature, rainfall and temperature seasonality - as best predictors of CL. We conclude that climate and land use can be used to identify areas at high risk of CL and that this approach is potentially applicable elsewhere in Latin America. PMID:27355214

Stochastic Parametrization for the Impact of Neglected Variability Patterns

NASA Astrophysics Data System (ADS)

Kaiser, Olga; Hien, Steffen; Achatz, Ulrich; Horenko, Illia

2017-04-01

An efficient description of the gravity wave variability and the related spontaneous emission processes requires an empirical stochastic closure for the impact of neglected variability patterns (subgridscales or SGS). In particular, we focus on the analysis of the IGW emission within a tangent linear model which requires a stochastic SGS parameterization for taking the self interaction of the ageostrophic flow components into account. For this purpose, we identify the best SGS model in terms of exactness and simplicity by deploying a wide range of different data-driven model classes, including standard stationary regression models, autoregression and artificial neuronal networks models - as well as the family of nonstationary models like FEM-BV-VARX model class (Finite Element based vector autoregressive time series analysis with bounded variation of the model parameters). The models are used to investigate the main characteristics of the underlying dynamics and to explore the significant spatial and temporal neighbourhood dependencies. The best SGS model in terms of exactness and simplicity is obtained for the nonstationary FEM-BV-VARX setting, determining only direct spatial and temporal neighbourhood as significant - and allowing to drastically reduce the number of informations that are required for the optimal SGS. Additionally, the models are characterized by sets of vector- and matrix-valued parameters that must be inferred from big data sets provided by simulations - making it a task that can not be solved without deploying high-performance computing facilities (HPC).

Adaptive spline autoregression threshold method in forecasting Mitsubishi car sales volume at PT Srikandi Diamond Motors

NASA Astrophysics Data System (ADS)

Susanti, D.; Hartini, E.; Permana, A.

2017-01-01

Sale and purchase of the growing competition between companies in Indonesian, make every company should have a proper planning in order to win the competition with other companies. One of the things that can be done to design the plan is to make car sales forecast for the next few periods, it’s required that the amount of inventory of cars that will be sold in proportion to the number of cars needed. While to get the correct forecasting, on of the methods that can be used is the method of Adaptive Spline Threshold Autoregression (ASTAR). Therefore, this time the discussion will focus on the use of Adaptive Spline Threshold Autoregression (ASTAR) method in forecasting the volume of car sales in PT.Srikandi Diamond Motors using time series data.In the discussion of this research, forecasting using the method of forecasting value Adaptive Spline Threshold Autoregression (ASTAR) produce approximately correct.

Dynamic GSCA (Generalized Structured Component Analysis) with Applications to the Analysis of Effective Connectivity in Functional Neuroimaging Data

ERIC Educational Resources Information Center

Jung, Kwanghee; Takane, Yoshio; Hwang, Heungsun; Woodward, Todd S.

2012-01-01

We propose a new method of structural equation modeling (SEM) for longitudinal and time series data, named Dynamic GSCA (Generalized Structured Component Analysis). The proposed method extends the original GSCA by incorporating a multivariate autoregressive model to account for the dynamic nature of data taken over time. Dynamic GSCA also…

Fault detection using a two-model test for changes in the parameters of an autoregressive time series

NASA Technical Reports Server (NTRS)

Scholtz, P.; Smyth, P.

1992-01-01

This article describes an investigation of a statistical hypothesis testing method for detecting changes in the characteristics of an observed time series. The work is motivated by the need for practical automated methods for on-line monitoring of Deep Space Network (DSN) equipment to detect failures and changes in behavior. In particular, on-line monitoring of the motor current in a DSN 34-m beam waveguide (BWG) antenna is used as an example. The algorithm is based on a measure of the information theoretic distance between two autoregressive models: one estimated with data from a dynamic reference window and one estimated with data from a sliding reference window. The Hinkley cumulative sum stopping rule is utilized to detect a change in the mean of this distance measure, corresponding to the detection of a change in the underlying process. The basic theory behind this two-model test is presented, and the problem of practical implementation is addressed, examining windowing methods, model estimation, and detection parameter assignment. Results from the five fault-transition simulations are presented to show the possible limitations of the detection method, and suggestions for future implementation are given.

Sea-ice induced growth decline in Arctic shrubs.

PubMed

Forchhammer, Mads

2017-08-01

Measures of increased tundra plant productivity have been associated with the accelerating retreat of the Arctic sea-ice. Emerging studies document opposite effects, advocating for a more complex relationship between the shrinking sea-ice and terrestrial plant productivity. I introduce an autoregressive plant growth model integrating effects of biological and climatic conditions for analysing individual ring-width growth time series. Using 128 specimens of Salix arctica , S. glauca and Betula nana sampled across Greenland to Svalbard, an overall negative effect of the retreating June sea-ice extent was found on the annual growth. The negative effect of the retreating June sea-ice was observed for younger individuals with large annual growth allocations and with little or no trade-off between previous and current year's growth. © 2017 The Author(s).

Study on homogenization of synthetic GNSS-retrieved IWV time series and its impact on trend estimates with autoregressive noise

NASA Astrophysics Data System (ADS)

Klos, Anna; Pottiaux, Eric; Van Malderen, Roeland; Bock, Olivier; Bogusz, Janusz

2017-04-01

A synthetic benchmark dataset of Integrated Water Vapour (IWV) was created within the activity of "Data homogenisation" of sub-working group WG3 of COST ES1206 Action. The benchmark dataset was created basing on the analysis of IWV differences retrieved by Global Positioning System (GPS) International GNSS Service (IGS) stations using European Centre for Medium-Range Weather Forecats (ECMWF) reanalysis data (ERA-Interim). Having analysed a set of 120 series of IWV differences (ERAI-GPS) derived for IGS stations, we delivered parameters of a number of gaps and breaks for every certain station. Moreover, we estimated values of trends, significant seasonalities and character of residuals when deterministic model was removed. We tested five different noise models and found that a combination of white and autoregressive processes of first order describes the stochastic part with a good accuracy. Basing on this analysis, we performed Monte Carlo simulations of 25 years long data with two different types of noise: white as well as combination of white and autoregressive processes. We also added few strictly defined offsets, creating three variants of synthetic dataset: easy, less-complicated and fully-complicated. The 'Easy' dataset included seasonal signals (annual, semi-annual, 3 and 4 months if present for a particular station), offsets and white noise. The 'Less-complicated' dataset included above-mentioned, as well as the combination of white and first order autoregressive processes (AR(1)+WH). The 'Fully-complicated' dataset included, beyond above, a trend and gaps. In this research, we show the impact of manual homogenisation on the estimates of trend and its error. We also cross-compare the results for three above-mentioned datasets, as the synthetized noise type might have a significant influence on manual homogenisation. Therefore, it might mostly affect the values of trend and their uncertainties when inappropriately handled. In a future, the synthetic dataset we present is going to be used as a benchmark to test various statistical tools in terms of homogenisation task.

The quadriceps muscle of knee joint modelling Using Hybrid Particle Swarm Optimization-Neural Network (PSO-NN)

NASA Astrophysics Data System (ADS)

Kamaruddin, Saadi Bin Ahmad; Marponga Tolos, Siti; Hee, Pah Chin; Ghani, Nor Azura Md; Ramli, Norazan Mohamed; Nasir, Noorhamizah Binti Mohamed; Ksm Kader, Babul Salam Bin; Saiful Huq, Mohammad

2017-03-01

Neural framework has for quite a while been known for its ability to handle a complex nonlinear system without a logical model and can learn refined nonlinear associations gives. Theoretically, the most surely understood computation to set up the framework is the backpropagation (BP) count which relies on upon the minimization of the mean square error (MSE). However, this algorithm is not totally efficient in the presence of outliers which usually exist in dynamic data. This paper exhibits the modelling of quadriceps muscle model by utilizing counterfeit smart procedures named consolidated backpropagation neural network nonlinear autoregressive (BPNN-NAR) and backpropagation neural network nonlinear autoregressive moving average (BPNN-NARMA) models in view of utilitarian electrical incitement (FES). We adapted particle swarm optimization (PSO) approach to enhance the performance of backpropagation algorithm. In this research, a progression of tests utilizing FES was led. The information that is gotten is utilized to build up the quadriceps muscle model. 934 preparing information, 200 testing and 200 approval information set are utilized as a part of the improvement of muscle model. It was found that both BPNN-NAR and BPNN-NARMA performed well in modelling this type of data. As a conclusion, the neural network time series models performed reasonably efficient for non-linear modelling such as active properties of the quadriceps muscle with one input, namely output namely muscle force.

Evaluation of the effects of climate and man intervention on ground waters and their dependent ecosystems using time series analysis

NASA Astrophysics Data System (ADS)

Gemitzi, Alexandra; Stefanopoulos, Kyriakos

2011-06-01

SummaryGroundwaters and their dependent ecosystems are affected both by the meteorological conditions as well as from human interventions, mainly in the form of groundwater abstractions for irrigation needs. This work aims at investigating the quantitative effects of meteorological conditions and man intervention on groundwater resources and their dependent ecosystems. Various seasonal Auto-Regressive Integrated Moving Average (ARIMA) models with external predictor variables were used in order to model the influence of meteorological conditions and man intervention on the groundwater level time series. Initially, a seasonal ARIMA model that simulates the abstraction time series using as external predictor variable temperature ( T) was prepared. Thereafter, seasonal ARIMA models were developed in order to simulate groundwater level time series in 8 monitoring locations, using the appropriate predictor variables determined for each individual case. The spatial component was introduced through the use of Geographical Information Systems (GIS). Application of the proposed methodology took place in the Neon Sidirochorion alluvial aquifer (Northern Greece), for which a 7-year long time series (i.e., 2003-2010) of piezometric and groundwater abstraction data exists. According to the developed ARIMA models, three distinct groups of groundwater level time series exist; the first one proves to be dependent only on the meteorological parameters, the second group demonstrates a mixed dependence both on meteorological conditions and on human intervention, whereas the third group shows a clear influence from man intervention. Moreover, there is evidence that groundwater abstraction has affected an important protected ecosystem.

Neural net forecasting for geomagnetic activity

NASA Technical Reports Server (NTRS)

Hernandez, J. V.; Tajima, T.; Horton, W.

1993-01-01

We use neural nets to construct nonlinear models to forecast the AL index given solar wind and interplanetary magnetic field (IMF) data. We follow two approaches: (1) the state space reconstruction approach, which is a nonlinear generalization of autoregressive-moving average models (ARMA) and (2) the nonlinear filter approach, which reduces to a moving average model (MA) in the linear limit. The database used here is that of Bargatze et al. (1985).

Fast Algorithms for Mining Co-evolving Time Series

DTIC Science & Technology

2011-09-01

Keogh et al., 2001, 2004] and (b) forecasting, like an autoregressive integrated moving average model ( ARIMA ) and related meth- ods [Box et al., 1994...computing hardware? We develop models to mine time series with missing values, to extract compact representation from time sequences, to segment the...sequences, and to do forecasting. For large scale data, we propose algorithms for learning time series models , in particular, including Linear Dynamical

Three Dimensional Object Recognition Using a Complex Autoregressive Model

DTIC Science & Technology

1993-12-01

3.4.2 Template Matching Algorithm ...................... 3-16 3.4.3 K-Nearest-Neighbor ( KNN ) Techniques ................. 3-25 3.4.4 Hidden Markov Model...Neighbor ( KNN ) Test Results ...................... 4-13 4.2.1 Single-Look 1-NN Testing .......................... 4-14 4.2.2 Multiple-Look 1-NN Testing...4-15 4.2.3 Discussion of KNN Test Results ...................... 4-15 4.3 Hidden Markov Model (HMM) Test Results

Road traffic accidents prediction modelling: An analysis of Anambra State, Nigeria.

PubMed

Ihueze, Chukwutoo C; Onwurah, Uchendu O

2018-03-01

One of the major problems in the world today is the rate of road traffic crashes and deaths on our roads. Majority of these deaths occur in low-and-middle income countries including Nigeria. This study analyzed road traffic crashes in Anambra State, Nigeria with the intention of developing accurate predictive models for forecasting crash frequency in the State using autoregressive integrated moving average (ARIMA) and autoregressive integrated moving average with explanatory variables (ARIMAX) modelling techniques. The result showed that ARIMAX model outperformed the ARIMA (1,1,1) model generated when their performances were compared using the lower Bayesian information criterion, mean absolute percentage error, root mean square error; and higher coefficient of determination (R-Squared) as accuracy measures. The findings of this study reveal that incorporating human, vehicle and environmental related factors in time series analysis of crash dataset produces a more robust predictive model than solely using aggregated crash count. This study contributes to the body of knowledge on road traffic safety and provides an approach to forecasting using many human, vehicle and environmental factors. The recommendations made in this study if applied will help in reducing the number of road traffic crashes in Nigeria. Copyright © 2017 Elsevier Ltd. All rights reserved.

On the measurement of stability in over-time data.

PubMed

Kenny, D A; Campbell, D T

1989-06-01

In this article, autoregressive models and growth curve models are compared. Autoregressive models are useful because they allow for random change, permit scores to increase or decrease, and do not require strong assumptions about the level of measurement. Three previously presented designs for estimating stability are described: (a) time-series, (b) simplex, and (c) two-wave, one-factor methods. A two-wave, multiple-factor model also is presented, in which the variables are assumed to be caused by a set of latent variables. The factor structure does not change over time and so the synchronous relationships are temporally invariant. The factors do not cause each other and have the same stability. The parameters of the model are the factor loading structure, each variable's reliability, and the stability of the factors. We apply the model to two data sets. For eight cognitive skill variables measured at four times, the 2-year stability is estimated to be .92 and the 6-year stability is .83. For nine personality variables, the 3-year stability is .68. We speculate that for many variables there are two components: one component that changes very slowly (the trait component) and another that changes very rapidly (the state component); thus each variable is a mixture of trait and state. Circumstantial evidence supporting this view is presented.

Ultra-Short-Term Wind Power Prediction Using a Hybrid Model

NASA Astrophysics Data System (ADS)

Mohammed, E.; Wang, S.; Yu, J.

2017-05-01

This paper aims to develop and apply a hybrid model of two data analytical methods, multiple linear regressions and least square (MLR&LS), for ultra-short-term wind power prediction (WPP), for example taking, Northeast China electricity demand. The data was obtained from the historical records of wind power from an offshore region, and from a wind farm of the wind power plant in the areas. The WPP achieved in two stages: first, the ratios of wind power were forecasted using the proposed hybrid method, and then the transformation of these ratios of wind power to obtain forecasted values. The hybrid model combines the persistence methods, MLR and LS. The proposed method included two prediction types, multi-point prediction and single-point prediction. WPP is tested by applying different models such as autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA) and artificial neural network (ANN). By comparing results of the above models, the validity of the proposed hybrid model is confirmed in terms of error and correlation coefficient. Comparison of results confirmed that the proposed method works effectively. Additional, forecasting errors were also computed and compared, to improve understanding of how to depict highly variable WPP and the correlations between actual and predicted wind power.

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

PubMed Central

Chen, Chieh-Fan; Ho, Wen-Hsien; Chou, Huei-Yin; Yang, Shu-Mei; Chen, I-Te; Shi, Hon-Yi

2011-01-01

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. PMID:22203886

Long-term prediction of emergency department revenue and visitor volume using autoregressive integrated moving average model.

PubMed

Chen, Chieh-Fan; Ho, Wen-Hsien; Chou, Huei-Yin; Yang, Shu-Mei; Chen, I-Te; Shi, Hon-Yi

2011-01-01

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.

Modeling volatility using state space models.

PubMed

Timmer, J; Weigend, A S

1997-08-01

In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

DOE Office of Scientific and Technical Information (OSTI.GOV)

Cavanaugh, J.E.; McQuarrie, A.D.; Shumway, R.H.

Conventional methods for discriminating between earthquakes and explosions at regional distances have concentrated on extracting specific features such as amplitude and spectral ratios from the waveforms of the P and S phases. We consider here an optimum nonparametric classification procedure derived from the classical approach to discriminating between two Gaussian processes with unequal spectra. Two robust variations based on the minimum discrimination information statistic and Renyi's entropy are also considered. We compare the optimum classification procedure with various amplitude and spectral ratio discriminants and show that its performance is superior when applied to a small population of 8 land-based earthquakesmore » and 8 mining explosions recorded in Scandinavia. Several parametric characterizations of the notion of complexity based on modeling earthquakes and explosions as autoregressive or modulated autoregressive processes are also proposed and their performance compared with the nonparametric and feature extraction approaches.« less

Reciprocal Influences between Parents' Marital Problems and Adolescent Internalizing and Externalizing Behavior

ERIC Educational Resources Information Center

Cui, Ming; Donnellan, M. Brent; Conger, Rand D.

2007-01-01

The present study examines reciprocal associations between marital functioning and adolescent maladjustment using cross-lagged autoregressive models. The research involved 451 early adolescents and their families and used a prospective, longitudinal research design with multi-informant methods. Results indicate that parental conflicts over child…

A Computer Program for the Generation of ARIMA Data

ERIC Educational Resources Information Center

Green, Samuel B.; Noles, Keith O.

1977-01-01

The autoregressive integrated moving averages model (ARIMA) has been applied to time series data in psychological and educational research. A program is described that generates ARIMA data of a known order. The program enables researchers to explore statistical properties of ARIMA data and simulate systems producing time dependent observations.…

Are Math Grades Cyclical?

ERIC Educational Resources Information Center

Adams, Gerald J.; Dial, Micah

1998-01-01

The cyclical nature of mathematics grades was studied for a cohort of elementary school students from a large metropolitan school district in Texas over six years (average cohort size of 8495). The study used an autoregressive integrated moving average (ARIMA) model. Results indicate that grades do exhibit a significant cyclical pattern. (SLD)

[Model of multiple seasonal autoregressive integrated moving average model and its application in prediction of the hand-foot-mouth disease incidence in Changsha].

PubMed

Tan, Ting; Chen, Lizhang; Liu, Fuqiang

2014-11-01

To establish multiple seasonal autoregressive integrated moving average model (ARIMA) according to the hand-foot-mouth disease incidence in Changsha, and to explore the feasibility of the multiple seasonal ARIMA in predicting the hand-foot-mouth disease incidence. EVIEWS 6.0 was used to establish multiple seasonal ARIMA according to the hand-foot- mouth disease incidence from May 2008 to August 2013 in Changsha, and the data of the hand- foot-mouth disease incidence from September 2013 to February 2014 were served as the examined samples of the multiple seasonal ARIMA, then the errors were compared between the forecasted incidence and the real value. Finally, the incidence of hand-foot-mouth disease from March 2014 to August 2014 was predicted by the model. After the data sequence was handled by smooth sequence, model identification and model diagnosis, the multiple seasonal ARIMA (1, 0, 1)×(0, 1, 1)12 was established. The R2 value of the model fitting degree was 0.81, the root mean square prediction error was 8.29 and the mean absolute error was 5.83. The multiple seasonal ARIMA is a good prediction model, and the fitting degree is good. It can provide reference for the prevention and control work in hand-foot-mouth disease.

Estimating brain connectivity when few data points are available: Perspectives and limitations.

PubMed

Antonacci, Yuri; Toppi, Jlenia; Caschera, Stefano; Anzolin, Alessandra; Mattia, Donatella; Astolfi, Laura

2017-07-01

Methods based on the use of multivariate autoregressive modeling (MVAR) have proved to be an accurate and flexible tool for the estimation of brain functional connectivity. The multivariate approach, however, implies the use of a model whose complexity (in terms of number of parameters) increases quadratically with the number of signals included in the problem. This can often lead to an underdetermined problem and to the condition of multicollinearity. The aim of this paper is to introduce and test an approach based on Ridge Regression combined with a modified version of the statistics usually adopted for these methods, to broaden the estimation of brain connectivity to those conditions in which current methods fail, due to the lack of enough data points. We tested the performances of this new approach, in comparison with the classical approach based on ordinary least squares (OLS), by means of a simulation study implementing different ground-truth networks, under different network sizes and different levels of data points. Simulation results showed that the new approach provides better performances, in terms of accuracy of the parameters estimation and false positives/false negatives rates, in all conditions related to a low data points/model dimension ratio, and may thus be exploited to estimate and validate estimated patterns at single-trial level or when short time data segments are available.

Forecasting carbon dioxide emissions based on a hybrid of mixed data sampling regression model and back propagation neural network in the USA.

PubMed

Zhao, Xin; Han, Meng; Ding, Lili; Calin, Adrian Cantemir

2018-01-01

The accurate forecast of carbon dioxide emissions is critical for policy makers to take proper measures to establish a low carbon society. This paper discusses a hybrid of the mixed data sampling (MIDAS) regression model and BP (back propagation) neural network (MIDAS-BP model) to forecast carbon dioxide emissions. Such analysis uses mixed frequency data to study the effects of quarterly economic growth on annual carbon dioxide emissions. The forecasting ability of MIDAS-BP is remarkably better than MIDAS, ordinary least square (OLS), polynomial distributed lags (PDL), autoregressive distributed lags (ADL), and auto-regressive moving average (ARMA) models. The MIDAS-BP model is suitable for forecasting carbon dioxide emissions for both the short and longer term. This research is expected to influence the methodology for forecasting carbon dioxide emissions by improving the forecast accuracy. Empirical results show that economic growth has both negative and positive effects on carbon dioxide emissions that last 15 quarters. Carbon dioxide emissions are also affected by their own change within 3 years. Therefore, there is a need for policy makers to explore an alternative way to develop the economy, especially applying new energy policies to establish a low carbon society.

Multilevel Models for Intensive Longitudinal Data with Heterogeneous Autoregressive Errors: The Effect of Misspecification and Correction with Cholesky Transformation

PubMed Central

Jahng, Seungmin; Wood, Phillip K.

2017-01-01

Intensive longitudinal studies, such as ecological momentary assessment studies using electronic diaries, are gaining popularity across many areas of psychology. Multilevel models (MLMs) are most widely used analytical tools for intensive longitudinal data (ILD). Although ILD often have individually distinct patterns of serial correlation of measures over time, inferences of the fixed effects, and random components in MLMs are made under the assumption that all variance and autocovariance components are homogenous across individuals. In the present study, we introduced a multilevel model with Cholesky transformation to model ILD with individually heterogeneous covariance structure. In addition, the performance of the transformation method and the effects of misspecification of heterogeneous covariance structure were investigated through a Monte Carlo simulation. We found that, if individually heterogeneous covariances are incorrectly assumed as homogenous independent or homogenous autoregressive, MLMs produce highly biased estimates of the variance of random intercepts and the standard errors of the fixed intercept and the fixed effect of a level 2 covariate when the average autocorrelation is high. For intensive longitudinal data with individual specific residual covariance, the suggested transformation method showed lower bias in those estimates than the misspecified models when the number of repeated observations within individuals is 50 or more. PMID:28286490

Analysis of potential impacts of climate change on forests of the United States Pacific Northwest

Treesearch

Gregory Latta; Hailemariam Temesgen; Darius Adams; Tara Barrett

2010-01-01

As global climate changes over the next century, forest productivity is expected to change as well. Using PRISM climate and productivity data measured on a grid of 3356 plots, we developed a simultaneous autoregressive model to estimate the impacts of climate change on potential productivity of Pacific Northwest forests of the United States. The model, coupled with...

Near Real-Time Event Detection & Prediction Using Intelligent Software Agents

DTIC Science & Technology

2006-03-01

value was 0.06743. Multiple autoregressive integrated moving average ( ARIMA ) models were then build to see if the raw data, differenced data, or...slight improvement. The best adjusted r^2 value was found to be 0.1814. Successful results were not expected from linear or ARIMA -based modelling ...appear, 2005. [63] Mora-Lopez, L., Mora, J., Morales-Bueno, R., et al. Modelling time series of climatic parameters with probabilistic finite

Predicting long-term catchment nutrient export: the use of nonlinear time series models

NASA Astrophysics Data System (ADS)

Valent, Peter; Howden, Nicholas J. K.; Szolgay, Jan; Komornikova, Magda

2010-05-01

After the Second World War the nitrate concentrations in European water bodies changed significantly as the result of increased nitrogen fertilizer use and changes in land use. However, in the last decades, as a consequence of the implementation of nitrate-reducing measures in Europe, the nitrate concentrations in water bodies slowly decrease. This causes that the mean and variance of the observed time series also changes with time (nonstationarity and heteroscedascity). In order to detect changes and properly describe the behaviour of such time series by time series analysis, linear models (such as autoregressive (AR), moving average (MA) and autoregressive moving average models (ARMA)), are no more suitable. Time series with sudden changes in statistical characteristics can cause various problems in the calibration of traditional water quality models and thus give biased predictions. Proper statistical analysis of these non-stationary and heteroscedastic time series with the aim of detecting and subsequently explaining the variations in their statistical characteristics requires the use of nonlinear time series models. This information can be then used to improve the model building and calibration of conceptual water quality model or to select right calibration periods in order to produce reliable predictions. The objective of this contribution is to analyze two long time series of nitrate concentrations of the rivers Ouse and Stour with advanced nonlinear statistical modelling techniques and compare their performance with traditional linear models of the ARMA class in order to identify changes in the time series characteristics. The time series were analysed with nonlinear models with multiple regimes represented by self-exciting threshold autoregressive (SETAR) and Markov-switching models (MSW). The analysis showed that, based on the value of residual sum of squares (RSS) in both datasets, SETAR and MSW models described the time-series better than models of the ARMA class. In most cases the relative improvement of SETAR models against AR models of first order was low ranging between 1% and 4% with the exception of the three-regime model for the River Stour time-series where the improvement was 48.9%. In comparison, the relative improvement of MSW models was between 44.6% and 52.5 for two-regime and from 60.4% to 75% for three-regime models. However, the visual assessment of models plotted against original datasets showed that despite a high value of RSS, some ARMA models could describe the analyzed time-series better than AR, MA and SETAR models with lower values of RSS. In both datasets MSW models provided a very good visual fit describing most of the extreme values.

Linear mixed-effects models to describe individual tree crown width for China-fir in Fujian Province, southeast China.

PubMed

Hao, Xu; Yujun, Sun; Xinjie, Wang; Jin, Wang; Yao, Fu

2015-01-01

A multiple linear model was developed for individual tree crown width of Cunninghamia lanceolata (Lamb.) Hook in Fujian province, southeast China. Data were obtained from 55 sample plots of pure China-fir plantation stands. An Ordinary Linear Least Squares (OLS) regression was used to establish the crown width model. To adjust for correlations between observations from the same sample plots, we developed one level linear mixed-effects (LME) models based on the multiple linear model, which take into account the random effects of plots. The best random effects combinations for the LME models were determined by the Akaike's information criterion, the Bayesian information criterion and the -2logarithm likelihood. Heteroscedasticity was reduced by three residual variance functions: the power function, the exponential function and the constant plus power function. The spatial correlation was modeled by three correlation structures: the first-order autoregressive structure [AR(1)], a combination of first-order autoregressive and moving average structures [ARMA(1,1)], and the compound symmetry structure (CS). Then, the LME model was compared to the multiple linear model using the absolute mean residual (AMR), the root mean square error (RMSE), and the adjusted coefficient of determination (adj-R2). For individual tree crown width models, the one level LME model showed the best performance. An independent dataset was used to test the performance of the models and to demonstrate the advantage of calibrating LME models.

Spatiotemporal hurdle models for zero-inflated count data: Exploring trends in emergency department visits.

PubMed

Neelon, Brian; Chang, Howard H; Ling, Qiang; Hastings, Nicole S

2016-12-01

Motivated by a study exploring spatiotemporal trends in emergency department use, we develop a class of two-part hurdle models for the analysis of zero-inflated areal count data. The models consist of two components-one for the probability of any emergency department use and one for the number of emergency department visits given use. Through a hierarchical structure, the models incorporate both patient- and region-level predictors, as well as spatially and temporally correlated random effects for each model component. The random effects are assigned multivariate conditionally autoregressive priors, which induce dependence between the components and provide spatial and temporal smoothing across adjacent spatial units and time periods, resulting in improved inferences. To accommodate potential overdispersion, we consider a range of parametric specifications for the positive counts, including truncated negative binomial and generalized Poisson distributions. We adopt a Bayesian inferential approach, and posterior computation is handled conveniently within standard Bayesian software. Our results indicate that the negative binomial and generalized Poisson hurdle models vastly outperform the Poisson hurdle model, demonstrating that overdispersed hurdle models provide a useful approach to analyzing zero-inflated spatiotemporal data. © The Author(s) 2014.

Analyzing brain networks with PCA and conditional Granger causality.

PubMed

Zhou, Zhenyu; Chen, Yonghong; Ding, Mingzhou; Wright, Paul; Lu, Zuhong; Liu, Yijun

2009-07-01

Identifying directional influences in anatomical and functional circuits presents one of the greatest challenges for understanding neural computations in the brain. Granger causality mapping (GCM) derived from vector autoregressive models of data has been employed for this purpose, revealing complex temporal and spatial dynamics underlying cognitive processes. However, the traditional GCM methods are computationally expensive, as signals from thousands of voxels within selected regions of interest (ROIs) are individually processed, and being based on pairwise Granger causality, they lack the ability to distinguish direct from indirect connectivity among brain regions. In this work a new algorithm called PCA based conditional GCM is proposed to overcome these problems. The algorithm implements the following two procedures: (i) dimensionality reduction in ROIs of interest with principle component analysis (PCA), and (ii) estimation of the direct causal influences in local brain networks, using conditional Granger causality. Our results show that the proposed method achieves greater accuracy in detecting network connectivity than the commonly used pairwise Granger causality method. Furthermore, the use of PCA components in conjunction with conditional GCM greatly reduces the computational cost relative to the use of individual voxel time series. Copyright 2009 Wiley-Liss, Inc

GIS-based analysis and modelling with empirical and remotely-sensed data on coastline advance and retreat

NASA Astrophysics Data System (ADS)

Ahmad, Sajid Rashid

With the understanding that far more research remains to be done on the development and use of innovative and functional geospatial techniques and procedures to investigate coastline changes this thesis focussed on the integration of remote sensing, geographical information systems (GIS) and modelling techniques to provide meaningful insights on the spatial and temporal dynamics of coastline changes. One of the unique strengths of this research was the parameterization of the GIS with long-term empirical and remote sensing data. Annual empirical data from 1941--2007 were analyzed by the GIS, and then modelled with statistical techniques. Data were also extracted from Landsat TM and ETM+ images. The band ratio method was used to extract the coastlines. Topographic maps were also used to extract digital map data. All data incorporated into ArcGIS 9.2 were analyzed with various modules, including Spatial Analyst, 3D Analyst, and Triangulated Irregular Networks. The Digital Shoreline Analysis System was used to analyze and predict rates of coastline change. GIS results showed the spatial locations along the coast that will either advance or retreat over time. The linear regression results highlighted temporal changes which are likely to occur along the coastline. Box-Jenkins modelling procedures were utilized to determine statistical models which best described the time series (1941--2007) of coastline change data. After several iterations and goodness-of-fit tests, second-order spatial cyclic autoregressive models, first-order autoregressive models and autoregressive moving average models were identified as being appropriate for describing the deterministic and random processes operating in Guyana's coastal system. The models highlighted not only cyclical patterns in advance and retreat of the coastline, but also the existence of short and long-term memory processes. Long-term memory processes could be associated with mudshoal propagation and stabilization while short-term memory processes were indicative of transitory hydrodynamic and other processes. An innovative framework for a spatio-temporal information-based system (STIBS) was developed. STIBS incorporated diverse datasets within a GIS, dynamic computer-based simulation models, and a spatial information query and graphical subsystem. Tests of the STIBS proved that it could be used to simulate and visualize temporal variability in shifting morphological states of the coastline.

An Ensemble System Based on Hybrid EGARCH-ANN with Different Distributional Assumptions to Predict S&P 500 Intraday Volatility

NASA Astrophysics Data System (ADS)

Lahmiri, S.; Boukadoum, M.

2015-10-01

Accurate forecasting of stock market volatility is an important issue in portfolio risk management. In this paper, an ensemble system for stock market volatility is presented. It is composed of three different models that hybridize the exponential generalized autoregressive conditional heteroscedasticity (GARCH) process and the artificial neural network trained with the backpropagation algorithm (BPNN) to forecast stock market volatility under normal, t-Student, and generalized error distribution (GED) assumption separately. The goal is to design an ensemble system where each single hybrid model is capable to capture normality, excess skewness, or excess kurtosis in the data to achieve complementarity. The performance of each EGARCH-BPNN and the ensemble system is evaluated by the closeness of the volatility forecasts to realized volatility. Based on mean absolute error and mean of squared errors, the experimental results show that proposed ensemble model used to capture normality, skewness, and kurtosis in data is more accurate than the individual EGARCH-BPNN models in forecasting the S&P 500 intra-day volatility based on one and five-minute time horizons data.

Modelling volatility recurrence intervals in the Chinese commodity futures market

NASA Astrophysics Data System (ADS)

Zhou, Weijie; Wang, Zhengxin; Guo, Haiming

2016-09-01

The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.

Structured Spatial Modeling and Mapping of Domestic Violence Against Women of Reproductive Age in Rwanda.

PubMed

Habyarimana, Faustin; Zewotir, Temesgen; Ramroop, Shaun

2018-03-01

The main objective of this study was to assess the risk factors and spatial correlates of domestic violence against women of reproductive age in Rwanda. A structured spatial approach was used to account for the nonlinear nature of some covariates and the spatial variability on domestic violence. The nonlinear effect was modeled through second-order random walk, and the structured spatial effect was modeled through Gaussian Markov Random Fields specified as an intrinsic conditional autoregressive model. The data from the Rwanda Demographic and Health Survey 2014/2015 were used as an application. The findings of this study revealed that the risk factors of domestic violence against women are the wealth quintile of the household, the size of the household, the husband or partner's age, the husband or partner's level of education, ownership of the house, polygamy, the alcohol consumption status of the husband or partner, the woman's perception of wife-beating attitude, and the use of contraceptive methods. The study also highlighted the significant spatial variation of domestic violence against women at district level.

Comparison of Two Hybrid Models for Forecasting the Incidence of Hemorrhagic Fever with Renal Syndrome in Jiangsu Province, China

PubMed Central

Wu, Wei; Guo, Junqiao; An, Shuyi; Guan, Peng; Ren, Yangwu; Xia, Linzi; Zhou, Baosen

2015-01-01

Background Cases of hemorrhagic fever with renal syndrome (HFRS) are widely distributed in eastern Asia, especially in China, Russia, and Korea. It is proved to be a difficult task to eliminate HFRS completely because of the diverse animal reservoirs and effects of global warming. Reliable forecasting is useful for the prevention and control of HFRS. Methods Two hybrid models, one composed of nonlinear autoregressive neural network (NARNN) and autoregressive integrated moving average (ARIMA) the other composed of generalized regression neural network (GRNN) and ARIMA were constructed to predict the incidence of HFRS in the future one year. Performances of the two hybrid models were compared with ARIMA model. Results The ARIMA, ARIMA-NARNN ARIMA-GRNN model fitted and predicted the seasonal fluctuation well. Among the three models, the mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) of ARIMA-NARNN hybrid model was the lowest both in modeling stage and forecasting stage. As for the ARIMA-GRNN hybrid model, the MSE, MAE and MAPE of modeling performance and the MSE and MAE of forecasting performance were less than the ARIMA model, but the MAPE of forecasting performance did not improve. Conclusion Developing and applying the ARIMA-NARNN hybrid model is an effective method to make us better understand the epidemic characteristics of HFRS and could be helpful to the prevention and control of HFRS. PMID:26270814

Non-parametric directionality analysis - Extension for removal of a single common predictor and application to time series.

PubMed

Halliday, David M; Senik, Mohd Harizal; Stevenson, Carl W; Mason, Rob

2016-08-01

The ability to infer network structure from multivariate neuronal signals is central to computational neuroscience. Directed network analyses typically use parametric approaches based on auto-regressive (AR) models, where networks are constructed from estimates of AR model parameters. However, the validity of using low order AR models for neurophysiological signals has been questioned. A recent article introduced a non-parametric approach to estimate directionality in bivariate data, non-parametric approaches are free from concerns over model validity. We extend the non-parametric framework to include measures of directed conditional independence, using scalar measures that decompose the overall partial correlation coefficient summatively by direction, and a set of functions that decompose the partial coherence summatively by direction. A time domain partial correlation function allows both time and frequency views of the data to be constructed. The conditional independence estimates are conditioned on a single predictor. The framework is applied to simulated cortical neuron networks and mixtures of Gaussian time series data with known interactions. It is applied to experimental data consisting of local field potential recordings from bilateral hippocampus in anaesthetised rats. The framework offers a non-parametric approach to estimation of directed interactions in multivariate neuronal recordings, and increased flexibility in dealing with both spike train and time series data. The framework offers a novel alternative non-parametric approach to estimate directed interactions in multivariate neuronal recordings, and is applicable to spike train and time series data. Copyright © 2016 Elsevier B.V. All rights reserved.

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

PubMed

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.

Using Google Trends and ambient temperature to predict seasonal influenza outbreaks.

PubMed

Zhang, Yuzhou; Bambrick, Hilary; Mengersen, Kerrie; Tong, Shilu; Hu, Wenbiao

2018-05-16

The discovery of the dynamics of seasonal and non-seasonal influenza outbreaks remains a great challenge. Previous internet-based surveillance studies built purely on internet or climate data do have potential error. We collected influenza notifications, temperature and Google Trends (GT) data between January 1st, 2011 and December 31st, 2016. We performed time-series cross correlation analysis and temporal risk analysis to discover the characteristics of influenza epidemics in the period. Then, the seasonal autoregressive integrated moving average (SARIMA) model and regression tree model were developed to track influenza epidemics using GT and climate data. Influenza infection was significantly corrected with GT at lag of 1-7 weeks in Brisbane and Gold Coast, and temperature at lag of 1-10 weeks for the two study settings. SARIMA models with GT and temperature data had better predictive performance. We identified autoregression (AR) for influenza was the most important determinant for influenza occurrence in both Brisbane and Gold Coast. Our results suggested internet search metrics in conjunction with temperature can be used to predict influenza outbreaks, which can be considered as a pre-requisite for constructing early warning systems using search and temperature data. Copyright © 2018 Elsevier Ltd. All rights reserved.

Smoothing Strategies Combined with ARIMA and Neural Networks to Improve the Forecasting of Traffic Accidents

PubMed Central

Rodríguez, Nibaldo

2014-01-01

Two smoothing strategies combined with autoregressive integrated moving average (ARIMA) and autoregressive neural networks (ANNs) models to improve the forecasting of time series are presented. The strategy of forecasting is implemented using two stages. In the first stage the time series is smoothed using either, 3-point moving average smoothing, or singular value Decomposition of the Hankel matrix (HSVD). In the second stage, an ARIMA model and two ANNs for one-step-ahead time series forecasting are used. The coefficients of the first ANN are estimated through the particle swarm optimization (PSO) learning algorithm, while the coefficients of the second ANN are estimated with the resilient backpropagation (RPROP) learning algorithm. The proposed models are evaluated using a weekly time series of traffic accidents of Valparaíso, Chilean region, from 2003 to 2012. The best result is given by the combination HSVD-ARIMA, with a MAPE of 0 : 26%, followed by MA-ARIMA with a MAPE of 1 : 12%; the worst result is given by the MA-ANN based on PSO with a MAPE of 15 : 51%. PMID:25243200

Accounting for respiration is necessary to reliably infer Granger causality from cardiovascular variability series.

PubMed

Porta, Alberto; Bassani, Tito; Bari, Vlasta; Pinna, Gian D; Maestri, Roberto; Guzzetti, Stefano

2012-03-01

This study was designed to demonstrate the need of accounting for respiration (R) when causality between heart period (HP) and systolic arterial pressure (SAP) is under scrutiny. Simulations generated according to a bivariate autoregressive closed-loop model were utilized to assess how causality changes as a function of the model parameters. An exogenous (X) signal was added to the bivariate autoregressive closed-loop model to evaluate the bias on causality induced when the X source was disregarded. Causality was assessed in the time domain according to a predictability improvement approach (i.e., Granger causality). HP and SAP variability series were recorded with R in 19 healthy subjects during spontaneous and controlled breathing at 10, 15, and 20 breaths/min. Simulations proved the importance of accounting for X signals. During spontaneous breathing, assessing causality without taking into consideration R leads to a significantly larger percentage of closed-loop interactions and a smaller fraction of unidirectional causality from HP to SAP. This finding was confirmed during paced breathing and it was independent of the breathing rate. These results suggest that the role of baroreflex cannot be correctly assessed without accounting for R.

Comparison of estimators of standard deviation for hydrologic time series

USGS Publications Warehouse

Tasker, Gary D.; Gilroy, Edward J.

1982-01-01

Unbiasing factors as a function of serial correlation, ρ, and sample size, n for the sample standard deviation of a lag one autoregressive model were generated by random number simulation. Monte Carlo experiments were used to compare the performance of several alternative methods for estimating the standard deviation σ of a lag one autoregressive model in terms of bias, root mean square error, probability of underestimation, and expected opportunity design loss. Three methods provided estimates of σ which were much less biased but had greater mean square errors than the usual estimate of σ: s = (1/(n - 1) ∑ (xi −x¯)2)½. The three methods may be briefly characterized as (1) a method using a maximum likelihood estimate of the unbiasing factor, (2) a method using an empirical Bayes estimate of the unbiasing factor, and (3) a robust nonparametric estimate of σ suggested by Quenouille. Because s tends to underestimate σ, its use as an estimate of a model parameter results in a tendency to underdesign. If underdesign losses are considered more serious than overdesign losses, then the choice of one of the less biased methods may be wise.

The impact of derivatives on Malaysian stock market

NASA Astrophysics Data System (ADS)

Malim, M. R.; Halim, F. A.; Murad, A.; Maad, H. A.; Annuar, N. F. M.

2017-09-01

The essential of derivatives has been discovered by researchers over recent decade. However, the conclusions made regarding the impact of derivatives on stock market volatility remains debatable. The main objective of this study is to examine the impact of derivatives on Malaysian stock market volatility by exploring FTSE Bursa Malaysia Kuala Lumpur Composite Index Futures (BMD FKLI) using FBM KLCI as the underlying asset. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model was employed to realize the objective. The results have shown that the introduction of futures trading has decreased the volatility of Malaysian stock market. The volatility increased vigorously during the Asian financial crisis compared to the Global financial crisis. However, the role of futures as a risk transfer is agreed as it could improve the market by decreasing the volatility in the spot market.

[Teenage pregnancy rates and socioeconomic characteristics of municipalities in São Paulo State, Southeast Brazil: a spatial analysis].

PubMed

Martinez, Edson Zangiacomi; Roza, Daiane Leite da; Caccia-Bava, Maria do Carmo Gullaci Guimarães; Achcar, Jorge Alberto; Dal-Fabbro, Amaury Lelis

2011-05-01

Teenage pregnancy is a common public health problem worldwide. The objective of this ecological study was to investigate the spatial association between teenage pregnancy rates and socioeconomic characteristics of municipalities in São Paulo State, Southeast Brazil. We used a Bayesian model with a spatial distribution following a conditional autoregressive (CAR) form based on Markov Chain Monte Carlo algorithm. We used data from the Live Birth Information System (SINASC) and the Brazilian Institute of Geography and Statistics (IBGE). Early pregnancy was more frequent in municipalities with lower per capital gross domestic product (GDP), higher poverty rate, smaller population, lower human development index (HDI), and a higher percentage of individuals with State social vulnerability index of 5 or 6 (more vulnerable). The study demonstrates a significant association between teenage pregnancy and socioeconomic indicators.

Analysis of the Westland Data Set

NASA Technical Reports Server (NTRS)

Wen, Fang; Willett, Peter; Deb, Somnath

2001-01-01

The "Westland" set of empirical accelerometer helicopter data with seeded and labeled faults is analyzed with the aim of condition monitoring. The autoregressive (AR) coefficients from a simple linear model encapsulate a great deal of information in a relatively few measurements; and it has also been found that augmentation of these by harmonic and other parameters call improve classification significantly. Several techniques have been explored, among these restricted Coulomb energy (RCE) networks, learning vector quantization (LVQ), Gaussian mixture classifiers and decision trees. A problem with these approaches, and in common with many classification paradigms, is that augmentation of the feature dimension can degrade classification ability. Thus, we also introduce the Bayesian data reduction algorithm (BDRA), which imposes a Dirichlet prior oil training data and is thus able to quantify probability of error in all exact manner, such that features may be discarded or coarsened appropriately.

Same- and Other-Sex Popularity and Preference during Early Adolescence

ERIC Educational Resources Information Center

Bowker, Julie C.; Adams, Ryan E.; Bowker, Matthew H.; Fisher, Carrie; Spencer, Sarah V.

2016-01-01

This study examined the longitudinal and bidirectional relations between same-sex (SS) and other-sex (OS) popularity and preference across one school year. Participants were 271 sixth-grade students who completed peer nomination measures at three time points in their schools. Tests of cross-lagged autoregressive models indicated that SS popularity…

Automated Analysis of CT Images for the Inspection of Hardwood Logs

Treesearch

Harbin Li; A. Lynn Abbott; Daniel L. Schmoldt

1996-01-01

This paper investigates several classifiers for labeling internal features of hardwood logs using computed tomography (CT) images. A primary motivation is to locate and classify internal defects so that an optimal cutting strategy can be chosen. Previous work has relied on combinations of low-level processing, image segmentation, autoregressive texture modeling, and...

Happiness Is the Way: Paths to Civic Engagement between Young Adulthood and Midlife

ERIC Educational Resources Information Center

Fang, Shichen; Galambos, Nancy L.; Johnson, Matthew D.; Krahn, Harvey J.

2018-01-01

Directional associations between civic engagement and happiness were explored with longitudinal data from a community sample surveyed four times from age 22 to 43 (n = 690). Autoregressive cross-lagged models, controlling for cross-time stabilities in happiness and civic engagement, examined whether happiness predicted future civic engagement,…

Using Fit Indexes to Select a Covariance Model for Longitudinal Data

ERIC Educational Resources Information Center

Liu, Siwei; Rovine, Michael J.; Molenaar, Peter C. M.

2012-01-01

This study investigated the performance of fit indexes in selecting a covariance structure for longitudinal data. Data were simulated to follow a compound symmetry, first-order autoregressive, first-order moving average, or random-coefficients covariance structure. We examined the ability of the likelihood ratio test (LRT), root mean square error…

Effects of Forecasts on the Revisions of Concurrent Seasonally Adjusted Data Using the X-11 Seasonal Adjustment Procedure.

ERIC Educational Resources Information Center

Bobbitt, Larry; Otto, Mark

Three Autoregressive Integrated Moving Averages (ARIMA) forecast procedures for Census Bureau X-11 concurrent seasonal adjustment were empirically tested. Forty time series from three Census Bureau economic divisions (business, construction, and industry) were analyzed. Forecasts were obtained from fitted seasonal ARIMA models augmented with…

Using Threshold Autoregressive Models to Study Dyadic Interactions

ERIC Educational Resources Information Center

Hamaker, Ellen L.; Zhang, Zhiyong; van der Maas, Han L. J.

2009-01-01

Considering a dyad as a dynamic system whose current state depends on its past state has allowed researchers to investigate whether and how partners influence each other. Some researchers have also focused on how differences between dyads in their interaction patterns are related to other differences between them. A promising approach in this area…

Education and Economic Growth in Pakistan: A Cointegration and Causality Analysis

ERIC Educational Resources Information Center

Afzal, Muhammad; Rehman, Hafeez Ur; Farooq, Muhammad Shahid; Sarwar, Kafeel

2011-01-01

This study explored the cointegration and causality between education and economic growth in Pakistan by using time series data on real gross domestic product (RGDP), labour force, physical capital and education from 1970-1971 to 2008-2009 were used. Autoregressive Distributed Lag (ARDL) Model of Cointegration and the Augmented Granger Causality…

QAARM: quasi-anharmonic autoregressive model reveals molecular recognition pathways in ubiquitin

PubMed Central

Savol, Andrej J.; Burger, Virginia M.; Agarwal, Pratul K.; Ramanathan, Arvind; Chennubhotla, Chakra S.

2011-01-01

Motivation: Molecular dynamics (MD) simulations have dramatically improved the atomistic understanding of protein motions, energetics and function. These growing datasets have necessitated a corresponding emphasis on trajectory analysis methods for characterizing simulation data, particularly since functional protein motions and transitions are often rare and/or intricate events. Observing that such events give rise to long-tailed spatial distributions, we recently developed a higher-order statistics based dimensionality reduction method, called quasi-anharmonic analysis (QAA), for identifying biophysically-relevant reaction coordinates and substates within MD simulations. Further characterization of conformation space should consider the temporal dynamics specific to each identified substate. Results: Our model uses hierarchical clustering to learn energetically coherent substates and dynamic modes of motion from a 0.5 μs ubiqutin simulation. Autoregressive (AR) modeling within and between states enables a compact and generative description of the conformational landscape as it relates to functional transitions between binding poses. Lacking a predictive component, QAA is extended here within a general AR model appreciative of the trajectory's temporal dependencies and the specific, local dynamics accessible to a protein within identified energy wells. These metastable states and their transition rates are extracted within a QAA-derived subspace using hierarchical Markov clustering to provide parameter sets for the second-order AR model. We show the learned model can be extrapolated to synthesize trajectories of arbitrary length. Contact: ramanathana@ornl.gov; chakracs@pitt.edu PMID:21685101

A graphical vector autoregressive modelling approach to the analysis of electronic diary data

PubMed Central

2010-01-01

Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (VAR) models. We give a comprehensive description of the underlying concepts and explain how the dependence structure can be recovered from electronic diary data by a search over suitable constrained (graphical) VAR models. Results The graphical VAR approach is applied to the electronic diary data of 35 obese patients with and without binge eating disorder (BED). The dynamic relationships for the two subgroups between eating behaviour, depression, anxiety and eating control are visualized in two path diagrams. Results show that the two subgroups of obese patients with and without BED are distinguishable by the temporal patterns which influence their respective eating behaviours. Conclusion The use of the graphical VAR approach for the analysis of electronic diary data leads to a deeper insight into patient's dynamics and dependence structures. An increasing use of this modelling approach could lead to a better understanding of complex psychological and physiological mechanisms in different areas of medical care and research. PMID:20359333

Analysis of pelagic species decline in the upper San Francisco Estuary using multivariate autoregressive modeling (MAR)

USGS Publications Warehouse

Mac Nally, Ralph; Thomson, James R.; Kimmerer, Wim J.; Feyrer, Frederick; Newman, Ken B.; Sih, Andy; Bennett, William A.; Brown, Larry; Fleishman, Erica; Culberson, Steven D.; Castillo, Gonzalo

2010-01-01

Four species of pelagic fish of particular management concern in the upper San Francisco Estuary, California, USA, have declined precipitously since ca. 2002: delta smelt (Hypomesus transpacificus), longfin smelt (Spirinchus thaleichthys), striped bass (Morone saxatilis), and threadfin shad (Dorosoma petenense). The estuary has been monitored since the late 1960s with extensive collection of data on the fishes, their pelagic prey, phytoplankton biomass, invasive species, and physical factors. We used multivariate autoregressive (MAR) modeling to discern the main factors responsible for the declines. An expert-elicited model was built to describe the system. Fifty-four relationships were built into the model, only one of which was of uncertain direction a priori. Twenty-eight of the proposed relationships were strongly supported by or consistent with the data, while 26 were close to zero (not supported by the data but not contrary to expectations). The position of the 2‰ isohaline (a measure of the physical response of the estuary to freshwater flow) and increased water clarity over the period of analyses were two factors affecting multiple declining taxa (including fishes and the fishes' main zooplankton prey). Our results were relatively robust with respect to the form of stock–recruitment model used and to inclusion of subsidiary covariates but may be enhanced by using detailed state–space models that describe more fully the life-history dynamics of the declining species.

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

NASA Astrophysics Data System (ADS)

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.

Modeling the cardiovascular system using a nonlinear additive autoregressive model with exogenous input

NASA Astrophysics Data System (ADS)

Riedl, M.; Suhrbier, A.; Malberg, H.; Penzel, T.; Bretthauer, G.; Kurths, J.; Wessel, N.

2008-07-01

The parameters of heart rate variability and blood pressure variability have proved to be useful analytical tools in cardiovascular physics and medicine. Model-based analysis of these variabilities additionally leads to new prognostic information about mechanisms behind regulations in the cardiovascular system. In this paper, we analyze the complex interaction between heart rate, systolic blood pressure, and respiration by nonparametric fitted nonlinear additive autoregressive models with external inputs. Therefore, we consider measurements of healthy persons and patients suffering from obstructive sleep apnea syndrome (OSAS), with and without hypertension. It is shown that the proposed nonlinear models are capable of describing short-term fluctuations in heart rate as well as systolic blood pressure significantly better than similar linear ones, which confirms the assumption of nonlinear controlled heart rate and blood pressure. Furthermore, the comparison of the nonlinear and linear approaches reveals that the heart rate and blood pressure variability in healthy subjects is caused by a higher level of noise as well as nonlinearity than in patients suffering from OSAS. The residue analysis points at a further source of heart rate and blood pressure variability in healthy subjects, in addition to heart rate, systolic blood pressure, and respiration. Comparison of the nonlinear models within and among the different groups of subjects suggests the ability to discriminate the cohorts that could lead to a stratification of hypertension risk in OSAS patients.

Dynamic Forecasting of Zika Epidemics Using Google Trends

PubMed Central

Jin, Yuan; Huang, Yong; Lin, Baihan; An, Xiaoping; Feng, Dan; Tong, Yigang

2017-01-01

We developed a dynamic forecasting model for Zika virus (ZIKV), based on real-time online search data from Google Trends (GTs). It was designed to provide Zika virus disease (ZVD) surveillance and detection for Health Departments, and predictive numbers of infection cases, which would allow them sufficient time to implement interventions. In this study, we found a strong correlation between Zika-related GTs and the cumulative numbers of reported cases (confirmed, suspected and total cases; p<0.001). Then, we used the correlation data from Zika-related online search in GTs and ZIKV epidemics between 12 February and 20 October 2016 to construct an autoregressive integrated moving average (ARIMA) model (0, 1, 3) for the dynamic estimation of ZIKV outbreaks. The forecasting results indicated that the predicted data by ARIMA model, which used the online search data as the external regressor to enhance the forecasting model and assist the historical epidemic data in improving the quality of the predictions, are quite similar to the actual data during ZIKV epidemic early November 2016. Integer-valued autoregression provides a useful base predictive model for ZVD cases. This is enhanced by the incorporation of GTs data, confirming the prognostic utility of search query based surveillance. This accessible and flexible dynamic forecast model could be used in the monitoring of ZVD to provide advanced warning of future ZIKV outbreaks. PMID:28060809

Work-related accidents among the Iranian population: a time series analysis, 2000–2011

PubMed Central

Karimlou, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood

2015-01-01

Background Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. Objectives To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. Methods In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box–Jenkins modeling to develop a time series model of the total number of accidents. Results There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). Conclusions The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection. PMID:26119774

Work-related accidents among the Iranian population: a time series analysis, 2000-2011.

PubMed

Karimlou, Masoud; Salehi, Masoud; Imani, Mehdi; Hosseini, Agha-Fatemeh; Dehnad, Afsaneh; Vahabi, Nasim; Bakhtiyari, Mahmood

2015-01-01

Work-related accidents result in human suffering and economic losses and are considered as a major health problem worldwide, especially in the economically developing world. To introduce seasonal autoregressive moving average (ARIMA) models for time series analysis of work-related accident data for workers insured by the Iranian Social Security Organization (ISSO) between 2000 and 2011. In this retrospective study, all insured people experiencing at least one work-related accident during a 10-year period were included in the analyses. We used Box-Jenkins modeling to develop a time series model of the total number of accidents. There was an average of 1476 accidents per month (1476·05±458·77, mean±SD). The final ARIMA (p,d,q) (P,D,Q)s model for fitting to data was: ARIMA(1,1,1)×(0,1,1)12 consisting of the first ordering of the autoregressive, moving average and seasonal moving average parameters with 20·942 mean absolute percentage error (MAPE). The final model showed that time series analysis of ARIMA models was useful for forecasting the number of work-related accidents in Iran. In addition, the forecasted number of work-related accidents for 2011 explained the stability of occurrence of these accidents in recent years, indicating a need for preventive occupational health and safety policies such as safety inspection.

Analysis of pelagic species decline in the upper San Francisco Estuary using multivariate autoregressive modeling (MAR).

PubMed

Mac Nally, Ralph; Thomson, James R; Kimmerer, Wim J; Feyrer, Frederick; Newman, Ken B; Sih, Andy; Bennett, William A; Brown, Larry; Fleishman, Erica; Culberson, Steven D; Castillo, Gonzalo

2010-07-01

Four species of pelagic fish of particular management concern in the upper San Francisco Estuary, California, USA, have declined precipitously since ca. 2002: delta smelt (Hypomesus transpacificus), longfin smelt (Spirinchus thaleichthys), striped bass (Morone saxatilis), and threadfin shad (Dorosoma petenense). The estuary has been monitored since the late 1960s with extensive collection of data on the fishes, their pelagic prey, phytoplankton biomass, invasive species, and physical factors. We used multivariate autoregressive (MAR) modeling to discern the main factors responsible for the declines. An expert-elicited model was built to describe the system. Fifty-four relationships were built into the model, only one of which was of uncertain direction a priori. Twenty-eight of the proposed relationships were strongly supported by or consistent with the data, while 26 were close to zero (not supported by the data but not contrary to expectations). The position of the 2 per thousand isohaline (a measure of the physical response of the estuary to freshwater flow) and increased water clarity over the period of analyses were two factors affecting multiple declining taxa (including fishes and the fishes' main zooplankton prey): Our results were relatively robust with respect to the form of stock-recruitment model used and to inclusion of subsidiary covariates but may be enhanced by using detailed state-space models that describe more fully the life-history dynamics of the declining species.

Dynamic Forecasting of Zika Epidemics Using Google Trends.

PubMed

Teng, Yue; Bi, Dehua; Xie, Guigang; Jin, Yuan; Huang, Yong; Lin, Baihan; An, Xiaoping; Feng, Dan; Tong, Yigang

2017-01-01

We developed a dynamic forecasting model for Zika virus (ZIKV), based on real-time online search data from Google Trends (GTs). It was designed to provide Zika virus disease (ZVD) surveillance and detection for Health Departments, and predictive numbers of infection cases, which would allow them sufficient time to implement interventions. In this study, we found a strong correlation between Zika-related GTs and the cumulative numbers of reported cases (confirmed, suspected and total cases; p<0.001). Then, we used the correlation data from Zika-related online search in GTs and ZIKV epidemics between 12 February and 20 October 2016 to construct an autoregressive integrated moving average (ARIMA) model (0, 1, 3) for the dynamic estimation of ZIKV outbreaks. The forecasting results indicated that the predicted data by ARIMA model, which used the online search data as the external regressor to enhance the forecasting model and assist the historical epidemic data in improving the quality of the predictions, are quite similar to the actual data during ZIKV epidemic early November 2016. Integer-valued autoregression provides a useful base predictive model for ZVD cases. This is enhanced by the incorporation of GTs data, confirming the prognostic utility of search query based surveillance. This accessible and flexible dynamic forecast model could be used in the monitoring of ZVD to provide advanced warning of future ZIKV outbreaks.

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

NASA Astrophysics Data System (ADS)

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.

Autoregressive harmonic analysis of the earth's polar motion using homogeneous International Latitude Service data

NASA Technical Reports Server (NTRS)

Chao, B. F.

1983-01-01

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

State Space Modeling of Time-Varying Contemporaneous and Lagged Relations in Connectivity Maps

PubMed Central

Molenaar, Peter C. M.; Beltz, Adriene M.; Gates, Kathleen M.; Wilson, Stephen J.

2017-01-01

Most connectivity mapping techniques for neuroimaging data assume stationarity (i.e., network parameters are constant across time), but this assumption does not always hold true. The authors provide a description of a new approach for simultaneously detecting time-varying (or dynamic) contemporaneous and lagged relations in brain connectivity maps. Specifically, they use a novel raw data likelihood estimation technique (involving a second-order extended Kalman filter/smoother embedded in a nonlinear optimizer) to determine the variances of the random walks associated with state space model parameters and their autoregressive components. The authors illustrate their approach with simulated and blood oxygen level-dependent functional magnetic resonance imaging data from 30 daily cigarette smokers performing a verbal working memory task, focusing on seven regions of interest (ROIs). Twelve participants had dynamic directed functional connectivity maps: Eleven had one or more time-varying contemporaneous ROI state loadings, and one had a time-varying autoregressive parameter. Compared to smokers without dynamic maps, smokers with dynamic maps performed the task with greater accuracy. Thus, accurate detection of dynamic brain processes is meaningfully related to behavior in a clinical sample. PMID:26546863

Medical Mondays: ED Utilization for Medicaid Recipients Depends on the Day of the Week, Season, and Holidays.

PubMed

Castner, Jessica; Yin, Yong; Loomis, Dianne; Hewner, Sharon

2016-07-01

The purpose of this study is to describe and explain the temporal and seasonal trends in ED utilization for a low-income population. A retrospective analysis of 66,487 ED Medicaid-insured health care claims in 2009 was conducted for 2 Western New York Counties using time-series analysis with autoregressive moving average (ARMA) models. The final ARMA (2,0) model indicated an autoregressive structure with up to a 2-day lag. ED volume is lower on weekends than on weekdays, and the highest volumes are on Mondays. Summer and fall seasons demonstrated higher volumes, whereas lower volume outliers were associated with holidays. Day of the week was an influential predictor of ED utilization in low-income persons. Season and holidays are also predictors of ED utilization. These calendar-based patterns support the need for ongoing and future emergency leaders' collaborations in community-based care system redesign to meet the health care access needs of low-income persons. Copyright © 2016 Emergency Nurses Association. Published by Elsevier Inc. All rights reserved.

Autoregressive harmonic analysis of the earth's polar motion using homogeneous International Latitude Service data

NASA Astrophysics Data System (ADS)

Chao, B. F.

1983-12-01

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

Compression of head-related transfer function using autoregressive-moving-average models and Legendre polynomials.

PubMed

Shekarchi, Sayedali; Hallam, John; Christensen-Dalsgaard, Jakob

2013-11-01

Head-related transfer functions (HRTFs) are generally large datasets, which can be an important constraint for embedded real-time applications. A method is proposed here to reduce redundancy and compress the datasets. In this method, HRTFs are first compressed by conversion into autoregressive-moving-average (ARMA) filters whose coefficients are calculated using Prony's method. Such filters are specified by a few coefficients which can generate the full head-related impulse responses (HRIRs). Next, Legendre polynomials (LPs) are used to compress the ARMA filter coefficients. LPs are derived on the sphere and form an orthonormal basis set for spherical functions. Higher-order LPs capture increasingly fine spatial details. The number of LPs needed to represent an HRTF, therefore, is indicative of its spatial complexity. The results indicate that compression ratios can exceed 98% while maintaining a spectral error of less than 4 dB in the recovered HRTFs.

Impacts of Climatic Variability on Vibrio parahaemolyticus Outbreaks in Taiwan

PubMed Central

Hsiao, Hsin-I; Jan, Man-Ser; Chi, Hui-Ju

2016-01-01

This study aimed to investigate and quantify the relationship between climate variation and incidence of Vibrio parahaemolyticus in Taiwan. Specifically, seasonal autoregressive integrated moving average (ARIMA) models (including autoregression, seasonality, and a lag-time effect) were employed to predict the role of climatic factors (including temperature, rainfall, relative humidity, ocean temperature and ocean salinity) on the incidence of V. parahaemolyticus in Taiwan between 2000 and 2011. The results indicated that average temperature (+), ocean temperature (+), ocean salinity of 6 months ago (+), maximum daily rainfall (current (−) and one month ago (−)), and average relative humidity (current and 9 months ago (−)) had significant impacts on the incidence of V. parahaemolyticus. Our findings offer a novel view of the quantitative relationship between climate change and food poisoning by V. parahaemolyticus in Taiwan. An early warning system based on climate change information for the disease control management is required in future. PMID:26848675

Representation of high frequency Space Shuttle data by ARMA algorithms and random response spectra

NASA Technical Reports Server (NTRS)

Spanos, P. D.; Mushung, L. J.

1990-01-01

High frequency Space Shuttle lift-off data are treated by autoregressive (AR) and autoregressive-moving-average (ARMA) digital algorithms. These algorithms provide useful information on the spectral densities of the data. Further, they yield spectral models which lend themselves to incorporation to the concept of the random response spectrum. This concept yields a reasonably smooth power spectrum for the design of structural and mechanical systems when the available data bank is limited. Due to the non-stationarity of the lift-off event, the pertinent data are split into three slices. Each of the slices is associated with a rather distinguishable phase of the lift-off event, where stationarity can be expected. The presented results are rather preliminary in nature; it is aimed to call attention to the availability of the discussed digital algorithms and to the need to augment the Space Shuttle data bank as more flights are completed.

Impacts of Climatic Variability on Vibrio parahaemolyticus Outbreaks in Taiwan.

PubMed

Hsiao, Hsin-I; Jan, Man-Ser; Chi, Hui-Ju

2016-02-03

This study aimed to investigate and quantify the relationship between climate variation and incidence of Vibrio parahaemolyticus in Taiwan. Specifically, seasonal autoregressive integrated moving average (ARIMA) models (including autoregression, seasonality, and a lag-time effect) were employed to predict the role of climatic factors (including temperature, rainfall, relative humidity, ocean temperature and ocean salinity) on the incidence of V. parahaemolyticus in Taiwan between 2000 and 2011. The results indicated that average temperature (+), ocean temperature (+), ocean salinity of 6 months ago (+), maximum daily rainfall (current (-) and one month ago (-)), and average relative humidity (current and 9 months ago (-)) had significant impacts on the incidence of V. parahaemolyticus. Our findings offer a novel view of the quantitative relationship between climate change and food poisoning by V. parahaemolyticus in Taiwan. An early warning system based on climate change information for the disease control management is required in future.

VIIRS satellite and ground pm2.5 monitoring data

EPA Pesticide Factsheets

contains all satellite, pm2.5, and meteorological data used in statistical modeling effort to improve prediction of pm2.5This dataset is associated with the following publication:Schliep, E., A. Gelfand, and D. Holland. Autoregressive Spatially-Varying Coefficient Models for Predicting Daily PM2:5 Using VIIRS Satellite AOT. Advances in Statistical Climatology, Meteorology and Oceanography. Copernicus Publications, Katlenburg-Lindau, GERMANY, 1(0): 59-74, (2015).

Central Procurement Workload Projection Model

DTIC Science & Technology

1981-02-01

generated by the P&P Directorates such as procurement actions (PA’s) are pursued. Specifi- cally, Box-Jenkins Autoregressive Integrated Moving Average...Breakout of PA’s to over and under $10,000 23 IV. FINDINGS AND RECOMMENDATIONS 24 A. General 24 B. Findings 24 C. Recommendations 25...the model will predict the actual values and hence the error will be zero . Therefore, after forecasting 3 quarters into the future no error

Sparse representation based image interpolation with nonlocal autoregressive modeling.

PubMed

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.

Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

PubMed

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.

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

PubMed

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.

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

PubMed

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.

Dengue forecasting in São Paulo city with generalized additive models, artificial neural networks and seasonal autoregressive integrated moving average models.

PubMed

Baquero, Oswaldo Santos; Santana, Lidia Maria Reis; Chiaravalloti-Neto, Francisco

2018-01-01

Globally, the number of dengue cases has been on the increase since 1990 and this trend has also been found in Brazil and its most populated city-São Paulo. Surveillance systems based on predictions allow for timely decision making processes, and in turn, timely and efficient interventions to reduce the burden of the disease. We conducted a comparative study of dengue predictions in São Paulo city to test the performance of trained seasonal autoregressive integrated moving average models, generalized additive models and artificial neural networks. We also used a naïve model as a benchmark. A generalized additive model with lags of the number of cases and meteorological variables had the best performance, predicted epidemics of unprecedented magnitude and its performance was 3.16 times higher than the benchmark and 1.47 higher that the next best performing model. The predictive models captured the seasonal patterns but differed in their capacity to anticipate large epidemics and all outperformed the benchmark. In addition to be able to predict epidemics of unprecedented magnitude, the best model had computational advantages, since its training and tuning was straightforward and required seconds or at most few minutes. These are desired characteristics to provide timely results for decision makers. However, it should be noted that predictions are made just one month ahead and this is a limitation that future studies could try to reduce.

A latent discriminative model-based approach for classification of imaginary motor tasks from EEG data.

PubMed

Saa, Jaime F Delgado; Çetin, Müjdat

2012-04-01

We consider the problem of classification of imaginary motor tasks from electroencephalography (EEG) data for brain-computer interfaces (BCIs) and propose a new approach based on hidden conditional random fields (HCRFs). HCRFs are discriminative graphical models that are attractive for this problem because they (1) exploit the temporal structure of EEG; (2) include latent variables that can be used to model different brain states in the signal; and (3) involve learned statistical models matched to the classification task, avoiding some of the limitations of generative models. Our approach involves spatial filtering of the EEG signals and estimation of power spectra based on autoregressive modeling of temporal segments of the EEG signals. Given this time-frequency representation, we select certain frequency bands that are known to be associated with execution of motor tasks. These selected features constitute the data that are fed to the HCRF, parameters of which are learned from training data. Inference algorithms on the HCRFs are used for the classification of motor tasks. We experimentally compare this approach to the best performing methods in BCI competition IV as well as a number of more recent methods and observe that our proposed method yields better classification accuracy.

Vibration-based damage detection in a concrete beam under temperature variations using AR models and state-space approaches

NASA Astrophysics Data System (ADS)

Clément, A.; Laurens, S.

2011-07-01

The Structural Health Monitoring of civil structures subjected to ambient vibrations is very challenging. Indeed, the variations of environmental conditions and the difficulty to characterize the excitation make the damage detection a hard task. Auto-regressive (AR) models coefficients are often used as damage sensitive feature. The presented work proposes a comparison of the AR approach with a state-space feature formed by the Jacobian matrix of the dynamical process. Since the detection of damage can be formulated as a novelty detection problem, Mahalanobis distance is applied to track new points from an undamaged reference collection of feature vectors. Data from a concrete beam subjected to temperature variations and damaged by several static loading are analyzed. It is observed that the damage sensitive features are effectively sensitive to temperature variations. However, the use of the Mahalanobis distance makes possible the detection of cracking with both of them. Early damage (before cracking) is only revealed by the AR coefficients with a good sensibility.

Meteorological variables and bacillary dysentery cases in Changsha City, China.

PubMed

Gao, Lu; Zhang, Ying; Ding, Guoyong; Liu, Qiyong; Zhou, Maigeng; Li, Xiujun; Jiang, Baofa

2014-04-01

This study aimed to investigate the association between meteorological-related risk factors and bacillary dysentery in a subtropical inland Chinese area: Changsha City. The cross-correlation analysis and the Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) model were used to quantify the relationship between meteorological factors and the incidence of bacillary dysentery. Monthly mean temperature, mean relative humidity, mean air pressure, mean maximum temperature, and mean minimum temperature were significantly correlated with the number of bacillary dysentery cases with a 1-month lagged effect. The ARIMAX models suggested that a 1°C rise in mean temperature, mean maximum temperature, and mean minimum temperature might lead to 14.8%, 12.9%, and 15.5% increases in the incidence of bacillary dysentery disease, respectively. Temperature could be used as a forecast factor for the increase of bacillary dysentery in Changsha. More public health actions should be taken to prevent the increase of bacillary dysentery disease with consideration of local climate conditions, especially temperature.

Meteorological Variables and Bacillary Dysentery Cases in Changsha City, China

PubMed Central

Gao, Lu; Zhang, Ying; Ding, Guoyong; Liu, Qiyong; Zhou, Maigeng; Li, Xiujun; Jiang, Baofa

2014-01-01

This study aimed to investigate the association between meteorological-related risk factors and bacillary dysentery in a subtropical inland Chinese area: Changsha City. The cross-correlation analysis and the Autoregressive Integrated Moving Average with Exogenous Variables (ARIMAX) model were used to quantify the relationship between meteorological factors and the incidence of bacillary dysentery. Monthly mean temperature, mean relative humidity, mean air pressure, mean maximum temperature, and mean minimum temperature were significantly correlated with the number of bacillary dysentery cases with a 1-month lagged effect. The ARIMAX models suggested that a 1°C rise in mean temperature, mean maximum temperature, and mean minimum temperature might lead to 14.8%, 12.9%, and 15.5% increases in the incidence of bacillary dysentery disease, respectively. Temperature could be used as a forecast factor for the increase of bacillary dysentery in Changsha. More public health actions should be taken to prevent the increase of bacillary dysentery disease with consideration of local climate conditions, especially temperature. PMID:24591435

Forecasting the number of zoonotic cutaneous leishmaniasis cases in south of Fars province, Iran using seasonal ARIMA time series method.

PubMed

Sharafi, Mehdi; Ghaem, Haleh; Tabatabaee, Hamid Reza; Faramarzi, Hossein

2017-01-01

To predict the trend of cutaneous leishmaniasis and assess the relationship between the disease trend and weather variables in south of Fars province using Seasonal Autoregressive Integrated Moving Average (SARIMA) model. The trend of cutaneous leishmaniasis was predicted using Mini tab software and SARIMA model. Besides, information about the disease and weather conditions was collected monthly based on time series design during January 2010 to March 2016. Moreover, various SARIMA models were assessed and the best one was selected. Then, the model's fitness was evaluated based on normality of the residuals' distribution, correspondence between the fitted and real amounts, and calculation of Akaike Information Criteria (AIC) and Bayesian Information Criteria (BIC). The study results indicated that SARIMA model (4,1,4)(0,1,0) (12) in general and SARIMA model (4,1,4)(0,1,1) (12) in below and above 15 years age groups could appropriately predict the disease trend in the study area. Moreover, temperature with a three-month delay (lag3) increased the disease trend, rainfall with a four-month delay (lag4) decreased the disease trend, and rainfall with a nine-month delay (lag9) increased the disease trend. Based on the results, leishmaniasis follows a descending trend in the study area in case drought condition continues, SARIMA models can suitably measure the disease trend, and the disease follows a seasonal trend. Copyright © 2017 Hainan Medical University. Production and hosting by Elsevier B.V. All rights reserved.

[Primary branch size of Pinus koraiensis plantation: a prediction based on linear mixed effect model].

PubMed

Dong, Ling-Bo; Liu, Zhao-Gang; Li, Feng-Ri; Jiang, Li-Chun

2013-09-01

By using the branch analysis data of 955 standard branches from 60 sampled trees in 12 sampling plots of Pinus koraiensis plantation in Mengjiagang Forest Farm in Heilongjiang Province of Northeast China, and based on the linear mixed-effect model theory and methods, the models for predicting branch variables, including primary branch diameter, length, and angle, were developed. Considering tree effect, the MIXED module of SAS software was used to fit the prediction models. The results indicated that the fitting precision of the models could be improved by choosing appropriate random-effect parameters and variance-covariance structure. Then, the correlation structures including complex symmetry structure (CS), first-order autoregressive structure [AR(1)], and first-order autoregressive and moving average structure [ARMA(1,1)] were added to the optimal branch size mixed-effect model. The AR(1) improved the fitting precision of branch diameter and length mixed-effect model significantly, but all the three structures didn't improve the precision of branch angle mixed-effect model. In order to describe the heteroscedasticity during building mixed-effect model, the CF1 and CF2 functions were added to the branch mixed-effect model. CF1 function improved the fitting effect of branch angle mixed model significantly, whereas CF2 function improved the fitting effect of branch diameter and length mixed model significantly. Model validation confirmed that the mixed-effect model could improve the precision of prediction, as compare to the traditional regression model for the branch size prediction of Pinus koraiensis plantation.

Sparse Multivariate Autoregressive Modeling for Mild Cognitive Impairment Classification

PubMed Central

Li, Yang; Wee, Chong-Yaw; Jie, Biao; Peng, Ziwen

2014-01-01

Brain connectivity network derived from functional magnetic resonance imaging (fMRI) is becoming increasingly prevalent in the researches related to cognitive and perceptual processes. The capability to detect causal or effective connectivity is highly desirable for understanding the cooperative nature of brain network, particularly when the ultimate goal is to obtain good performance of control-patient classification with biological meaningful interpretations. Understanding directed functional interactions between brain regions via brain connectivity network is a challenging task. Since many genetic and biomedical networks are intrinsically sparse, incorporating sparsity property into connectivity modeling can make the derived models more biologically plausible. Accordingly, we propose an effective connectivity modeling of resting-state fMRI data based on the multivariate autoregressive (MAR) modeling technique, which is widely used to characterize temporal information of dynamic systems. This MAR modeling technique allows for the identification of effective connectivity using the Granger causality concept and reducing the spurious causality connectivity in assessment of directed functional interaction from fMRI data. A forward orthogonal least squares (OLS) regression algorithm is further used to construct a sparse MAR model. By applying the proposed modeling to mild cognitive impairment (MCI) classification, we identify several most discriminative regions, including middle cingulate gyrus, posterior cingulate gyrus, lingual gyrus and caudate regions, in line with results reported in previous findings. A relatively high classification accuracy of 91.89 % is also achieved, with an increment of 5.4 % compared to the fully-connected, non-directional Pearson-correlation-based functional connectivity approach. PMID:24595922

Projecting county pulpwood production with historical production and macro-economic variables

Treesearch

Consuelo Brandeis; Dayton M. Lambert

2014-01-01

We explored forecasting of county roundwood pulpwood produc-tion with county-vector autoregressive (CVAR) and spatial panelvector autoregressive (SPVAR) methods. The analysis used timberproducts output data for the state of Florida, together with a set ofmacro-economic variables. Overall, we found the SPVAR specifica-tion produced forecasts with lower error rates...

Revisiting crash spatial heterogeneity: A Bayesian spatially varying coefficients approach.

PubMed

Xu, Pengpeng; Huang, Helai; Dong, Ni; Wong, S C

2017-01-01

This study was performed to investigate the spatially varying relationships between crash frequency and related risk factors. A Bayesian spatially varying coefficients model was elaborately introduced as a methodological alternative to simultaneously account for the unstructured and spatially structured heterogeneity of the regression coefficients in predicting crash frequencies. The proposed method was appealing in that the parameters were modeled via a conditional autoregressive prior distribution, which involved a single set of random effects and a spatial correlation parameter with extreme values corresponding to pure unstructured or pure spatially correlated random effects. A case study using a three-year crash dataset from the Hillsborough County, Florida, was conducted to illustrate the proposed model. Empirical analysis confirmed the presence of both unstructured and spatially correlated variations in the effects of contributory factors on severe crash occurrences. The findings also suggested that ignoring spatially structured heterogeneity may result in biased parameter estimates and incorrect inferences, while assuming the regression coefficients to be spatially clustered only is probably subject to the issue of over-smoothness. Copyright © 2016 Elsevier Ltd. All rights reserved.

Model inversion via multi-fidelity Bayesian optimization: a new paradigm for parameter estimation in haemodynamics, and beyond.

PubMed

Perdikaris, Paris; Karniadakis, George Em

2016-05-01

We present a computational framework for model inversion based on multi-fidelity information fusion and Bayesian optimization. The proposed methodology targets the accurate construction of response surfaces in parameter space, and the efficient pursuit to identify global optima while keeping the number of expensive function evaluations at a minimum. We train families of correlated surrogates on available data using Gaussian processes and auto-regressive stochastic schemes, and exploit the resulting predictive posterior distributions within a Bayesian optimization setting. This enables a smart adaptive sampling procedure that uses the predictive posterior variance to balance the exploration versus exploitation trade-off, and is a key enabler for practical computations under limited budgets. The effectiveness of the proposed framework is tested on three parameter estimation problems. The first two involve the calibration of outflow boundary conditions of blood flow simulations in arterial bifurcations using multi-fidelity realizations of one- and three-dimensional models, whereas the last one aims to identify the forcing term that generated a particular solution to an elliptic partial differential equation. © 2016 The Author(s).

A Four Dimensional Spatio-Temporal Analysis of an Agricultural Dataset

PubMed Central

Donald, Margaret R.; Mengersen, Kerrie L.; Young, Rick R.

2015-01-01

While a variety of statistical models now exist for the spatio-temporal analysis of two-dimensional (surface) data collected over time, there are few published examples of analogous models for the spatial analysis of data taken over four dimensions: latitude, longitude, height or depth, and time. When taking account of the autocorrelation of data within and between dimensions, the notion of closeness often differs for each of the dimensions. Here, we consider a number of approaches to the analysis of such a dataset, which arises from an agricultural experiment exploring the impact of different cropping systems on soil moisture. The proposed models vary in their representation of the spatial correlation in the data, the assumed temporal pattern and choice of conditional autoregressive (CAR) and other priors. In terms of the substantive question, we find that response cropping is generally more effective than long fallow cropping in reducing soil moisture at the depths considered (100 cm to 220 cm). Thus, if we wish to reduce the possibility of deep drainage and increased groundwater salinity, the recommended cropping system is response cropping. PMID:26513746

Model inversion via multi-fidelity Bayesian optimization: a new paradigm for parameter estimation in haemodynamics, and beyond

PubMed Central

Perdikaris, Paris; Karniadakis, George Em

2016-01-01

We present a computational framework for model inversion based on multi-fidelity information fusion and Bayesian optimization. The proposed methodology targets the accurate construction of response surfaces in parameter space, and the efficient pursuit to identify global optima while keeping the number of expensive function evaluations at a minimum. We train families of correlated surrogates on available data using Gaussian processes and auto-regressive stochastic schemes, and exploit the resulting predictive posterior distributions within a Bayesian optimization setting. This enables a smart adaptive sampling procedure that uses the predictive posterior variance to balance the exploration versus exploitation trade-off, and is a key enabler for practical computations under limited budgets. The effectiveness of the proposed framework is tested on three parameter estimation problems. The first two involve the calibration of outflow boundary conditions of blood flow simulations in arterial bifurcations using multi-fidelity realizations of one- and three-dimensional models, whereas the last one aims to identify the forcing term that generated a particular solution to an elliptic partial differential equation. PMID:27194481

A vector auto-regressive model for onshore and offshore wind synthesis incorporating meteorological model information

NASA Astrophysics Data System (ADS)

Hill, D.; Bell, K. R. W.; McMillan, D.; Infield, D.

2014-05-01

The growth of wind power production in the electricity portfolio is striving to meet ambitious targets set, for example by the EU, to reduce greenhouse gas emissions by 20% by 2020. Huge investments are now being made in new offshore wind farms around UK coastal waters that will have a major impact on the GB electrical supply. Representations of the UK wind field in syntheses which capture the inherent structure and correlations between different locations including offshore sites are required. Here, Vector Auto-Regressive (VAR) models are presented and extended in a novel way to incorporate offshore time series from a pan-European meteorological model called COSMO, with onshore wind speeds from the MIDAS dataset provided by the British Atmospheric Data Centre. Forecasting ability onshore is shown to be improved with the inclusion of the offshore sites with improvements of up to 25% in RMS error at 6 h ahead. In addition, the VAR model is used to synthesise time series of wind at each offshore site, which are then used to estimate wind farm capacity factors at the sites in question. These are then compared with estimates of capacity factors derived from the work of Hawkins et al. (2011). A good degree of agreement is established indicating that this synthesis tool should be useful in power system impact studies.

An empirical investigation on the forecasting ability of mallows model averaging in a macro economic environment

NASA Astrophysics Data System (ADS)

Yin, Yip Chee; Hock-Eam, Lim

2012-09-01

This paper investigates the forecasting ability of Mallows Model Averaging (MMA) by conducting an empirical analysis of five Asia countries, Malaysia, Thailand, Philippines, Indonesia and China's GDP growth rate. Results reveal that MMA has no noticeable differences in predictive ability compared to the general autoregressive fractional integrated moving average model (ARFIMA) and its predictive ability is sensitive to the effect of financial crisis. MMA could be an alternative forecasting method for samples without recent outliers such as financial crisis.

Proceedings of the Conference on the Design of Experiments in Army Research Development and Testing (32nd)

DTIC Science & Technology

1987-06-01

number of series among the 63 which were identified as a particular ARIMA form and were "best" modeled by a particular technique. Figure 1 illustrates a...th time from xe’s. The integrbted autoregressive - moving average model , denoted by ARIMA (p,d,q) is a result of combining d-th differencing process...Experiments, (4) Data Analysis and Modeling , (5) Theory and Probablistic Inference, (6) Fuzzy Statistics, (7) Forecasting and Prediction, (8) Small Sample

A Spatial Poisson Hurdle Model for Exploring Geographic Variation in Emergency Department Visits

PubMed Central

Neelon, Brian; Ghosh, Pulak; Loebs, Patrick F.

2012-01-01

Summary We develop a spatial Poisson hurdle model to explore geographic variation in emergency department (ED) visits while accounting for zero inflation. The model consists of two components: a Bernoulli component that models the probability of any ED use (i.e., at least one ED visit per year), and a truncated Poisson component that models the number of ED visits given use. Together, these components address both the abundance of zeros and the right-skewed nature of the nonzero counts. The model has a hierarchical structure that incorporates patient- and area-level covariates, as well as spatially correlated random effects for each areal unit. Because regions with high rates of ED use are likely to have high expected counts among users, we model the spatial random effects via a bivariate conditionally autoregressive (CAR) prior, which introduces dependence between the components and provides spatial smoothing and sharing of information across neighboring regions. Using a simulation study, we show that modeling the between-component correlation reduces bias in parameter estimates. We adopt a Bayesian estimation approach, and the model can be fit using standard Bayesian software. We apply the model to a study of patient and neighborhood factors influencing emergency department use in Durham County, North Carolina. PMID:23543242

Universal behavior of the interoccurrence times between losses in financial markets: independence of the time resolution.

PubMed

Ludescher, Josef; Bunde, Armin

2014-12-01

We consider representative financial records (stocks and indices) on time scales between one minute and one day, as well as historical monthly data sets, and show that the distribution P(Q)(r) of the interoccurrence times r between losses below a negative threshold -Q, for fixed mean interoccurrence times R(Q) in multiples of the corresponding time resolutions, can be described on all time scales by the same q exponentials, P(Q)(r)∝1/{[1+(q-1)βr](1/(q-1))}. We propose that the asset- and time-scale-independent analytic form of P(Q)(r) can be regarded as an additional stylized fact of the financial markets and represents a nontrivial test for market models. We analyze the distribution P(Q)(r) as well as the autocorrelation C(Q)(s) of the interoccurrence times for three market models: (i) multiplicative random cascades, (ii) multifractal random walks, and (iii) the generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model. We find that only one of the considered models, the multifractal random walk model, approximately reproduces the q-exponential form of P(Q)(r) and the power-law decay of C(Q)(s).

The net benefits of human-ignited wildfire forecasting: the case of Tribal land units in the United States

PubMed Central

Prestemon, Jeffrey P.; Butry, David T.; Thomas, Douglas S.

2017-01-01

Research shows that some categories of human-ignited wildfires might be forecastable, due to their temporal clustering, with the possibility that resources could be pre-deployed to help reduce the incidence of such wildfires. We estimated several kinds of incendiary and other human-ignited wildfire forecast models at the weekly time step for tribal land units in the United States, evaluating their forecast skill out of sample. Analyses show that an Autoregressive Conditional Poisson (ACP) model of both incendiary and non-incendiary human-ignited wildfires is more accurate out of sample compared to alternatives, and the simplest of the ACP models performed the best. Additionally, an ensemble of these and simpler, less analytically intensive approaches performed even better. Wildfire hotspot forecast models using all model types were evaluated in a simulation mode to assess the net benefits of forecasts in the context of law enforcement resource reallocations. Our analyses show that such hotspot tools could yield large positive net benefits for the tribes in terms of suppression expenditures averted for incendiary wildfires but that the hotspot tools were less likely to be beneficial for addressing outbreaks of non-incendiary human-ignited wildfires. PMID:28769549

The net benefits of human-ignited wildfire forecasting: the case of Tribal land units in the United States.

PubMed

Prestemon, Jeffrey P; Butry, David T; Thomas, Douglas S

2016-01-01

Research shows that some categories of human-ignited wildfires might be forecastable, due to their temporal clustering, with the possibility that resources could be pre-deployed to help reduce the incidence of such wildfires. We estimated several kinds of incendiary and other human-ignited wildfire forecast models at the weekly time step for tribal land units in the United States, evaluating their forecast skill out of sample. Analyses show that an Autoregressive Conditional Poisson (ACP) model of both incendiary and non-incendiary human-ignited wildfires is more accurate out of sample compared to alternatives, and the simplest of the ACP models performed the best. Additionally, an ensemble of these and simpler, less analytically intensive approaches performed even better. Wildfire hotspot forecast models using all model types were evaluated in a simulation mode to assess the net benefits of forecasts in the context of law enforcement resource reallocations. Our analyses show that such hotspot tools could yield large positive net benefits for the tribes in terms of suppression expenditures averted for incendiary wildfires but that the hotspot tools were less likely to be beneficial for addressing outbreaks of non-incendiary human-ignited wildfires.

Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution

NASA Astrophysics Data System (ADS)

Ludescher, Josef; Bunde, Armin

2014-12-01

We consider representative financial records (stocks and indices) on time scales between one minute and one day, as well as historical monthly data sets, and show that the distribution PQ(r ) of the interoccurrence times r between losses below a negative threshold -Q , for fixed mean interoccurrence times RQ in multiples of the corresponding time resolutions, can be described on all time scales by the same q exponentials, PQ(r ) ∝1 /{[1+(q -1 ) β r ] 1 /(q -1 )} . We propose that the asset- and time-scale-independent analytic form of PQ(r ) can be regarded as an additional stylized fact of the financial markets and represents a nontrivial test for market models. We analyze the distribution PQ(r ) as well as the autocorrelation CQ(s ) of the interoccurrence times for three market models: (i) multiplicative random cascades, (ii) multifractal random walks, and (iii) the generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model. We find that only one of the considered models, the multifractal random walk model, approximately reproduces the q -exponential form of PQ(r ) and the power-law decay of CQ(s ) .

Hierarchical Bayesian Markov switching models with application to predicting spawning success of shovelnose sturgeon

USGS Publications Warehouse

Holan, S.H.; Davis, G.M.; Wildhaber, M.L.; DeLonay, A.J.; Papoulias, D.M.

2009-01-01

The timing of spawning in fish is tightly linked to environmental factors; however, these factors are not very well understood for many species. Specifically, little information is available to guide recruitment efforts for endangered species such as the sturgeon. Therefore, we propose a Bayesian hierarchical model for predicting the success of spawning of the shovelnose sturgeon which uses both biological and behavioural (longitudinal) data. In particular, we use data that were produced from a tracking study that was conducted in the Lower Missouri River. The data that were produced from this study consist of biological variables associated with readiness to spawn along with longitudinal behavioural data collected by using telemetry and archival data storage tags. These high frequency data are complex both biologically and in the underlying behavioural process. To accommodate such complexity we developed a hierarchical linear regression model that uses an eigenvalue predictor, derived from the transition probability matrix of a two-state Markov switching model with generalized auto-regressive conditional heteroscedastic dynamics. Finally, to minimize the computational burden that is associated with estimation of this model, a parallel computing approach is proposed. ?? Journal compilation 2009 Royal Statistical Society.

Approche statistique de l'aridification de l'Afrique de l'Ouest

NASA Astrophysics Data System (ADS)

Hubert, Pierre; Carbonnel, Jean-Pierre

1987-11-01

The statistical study of 42 rainfall series from Niger to Senegal, the length of which is between 37 and 97 years, points out the nonstationarity of these series and suggests a climatic jump about 1969-1970. An integrated autoregressive model (ARIMA) of order ( p, 1, 0) can be fitted to most of these series but such a model remains useless for operational purposes. Some climatological, meteorological and hydrological consequences are discussed.

Bias in Cross-Sectional Analyses of Longitudinal Mediation: Partial and Complete Mediation under an Autoregressive Model

ERIC Educational Resources Information Center

Maxwell, Scott E.; Cole, David A.; Mitchell, Melissa A.

2011-01-01

Maxwell and Cole (2007) showed that cross-sectional approaches to mediation typically generate substantially biased estimates of longitudinal parameters in the special case of complete mediation. However, their results did not apply to the more typical case of partial mediation. We extend their previous work by showing that substantial bias can…

Academic Self-Concept and Achievement in Polish Primary Schools: Cross-Lagged Modelling and Gender-Specific Effects

ERIC Educational Resources Information Center

Grygiel, Pawel; Modzelewski, Michal; Pisarek, Jolanta

2017-01-01

This study reports relationships between general academic self-concept and achievement in grade 3 and grade 5. Gender-specific effects were investigated using a longitudinal, two-cycle, 3-year autoregressive cross-lagged panel design in a large, representative sample of Polish primary school pupils (N = 4,226). Analysis revealed (a) reciprocal…

Genetic and Environmental Contributions to the Development of Childhood Aggression

ERIC Educational Resources Information Center

Lubke, Gitta H.; McArtor, Daniel B.; Boomsma, Dorret I.; Bartels, Meike

2018-01-01

Longitudinal data from a large sample of twins participating in the Netherlands Twin Register (n = 42,827, age range 3-16) were analyzed to investigate the genetic and environmental contributions to childhood aggression. Genetic auto-regressive (simplex) models were used to assess whether the same genes are involved or whether new genes come into…

Examining the Predictive Relations between Two Aspects of Self-Regulation and Growth in Preschool Children's Early Literacy Skills

ERIC Educational Resources Information Center

Lonigan, Christopher J.; Allan, Darcey M.; Phillips, Beth M.

2017-01-01

There is strong evidence that self-regulatory processes are linked to early academic skills, both concurrently and longitudinally. The majority of extant longitudinal studies, however, have been conducted using autoregressive techniques that may not accurately model change across time. The purpose of this study was to examine the unique…

Scaling symmetry, renormalization, and time series modeling: the case of financial assets dynamics.

PubMed

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

Mixture of autoregressive modeling orders and its implication on single trial EEG classification

PubMed Central

Atyabi, Adham; Shic, Frederick; Naples, Adam

2016-01-01

Autoregressive (AR) models are of commonly utilized feature types in Electroencephalogram (EEG) studies due to offering better resolution, smoother spectra and being applicable to short segments of data. Identifying correct AR’s modeling order is an open challenge. Lower model orders poorly represent the signal while higher orders increase noise. Conventional methods for estimating modeling order includes Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC) and Final Prediction Error (FPE). This article assesses the hypothesis that appropriate mixture of multiple AR orders is likely to better represent the true signal compared to any single order. Better spectral representation of underlying EEG patterns can increase utility of AR features in Brain Computer Interface (BCI) systems by increasing timely & correctly responsiveness of such systems to operator’s thoughts. Two mechanisms of Evolutionary-based fusion and Ensemble-based mixture are utilized for identifying such appropriate mixture of modeling orders. The classification performance of the resultant AR-mixtures are assessed against several conventional methods utilized by the community including 1) A well-known set of commonly used orders suggested by the literature, 2) conventional order estimation approaches (e.g., AIC, BIC and FPE), 3) blind mixture of AR features originated from a range of well-known orders. Five datasets from BCI competition III that contain 2, 3 and 4 motor imagery tasks are considered for the assessment. The results indicate superiority of Ensemble-based modeling order mixture and evolutionary-based order fusion methods within all datasets. PMID:28740331

Environmental risk of leptospirosis infections in the Netherlands: Spatial modelling of environmental risk factors of leptospirosis in the Netherlands.

PubMed

Rood, Ente J J; Goris, Marga G A; Pijnacker, Roan; Bakker, Mirjam I; Hartskeerl, Rudy A

2017-01-01

Leptospirosis is a globally emerging zoonotic disease, associated with various climatic, biotic and abiotic factors. Mapping and quantifying geographical variations in the occurrence of leptospirosis and the surrounding environment offer innovative methods to study disease transmission and to identify associations between the disease and the environment. This study aims to investigate geographic variations in leptospirosis incidence in the Netherlands and to identify associations with environmental factors driving the emergence of the disease. Individual case data derived over the period 1995-2012 in the Netherlands were geocoded and aggregated by municipality. Environmental covariate data were extracted for each municipality and stored in a spatial database. Spatial clusters were identified using kernel density estimations and quantified using local autocorrelation statistics. Associations between the incidence of leptospirosis and the local environment were determined using Simultaneous Autoregressive Models (SAR) explicitly modelling spatial dependence of the model residuals. Leptospirosis incidence rates were found to be spatially clustered, showing a marked spatial pattern. Fitting a spatial autoregressive model significantly improved model fit and revealed significant association between leptospirosis and the coverage of arable land, built up area, grassland and sabulous clay soils. The incidence of leptospirosis in the Netherlands could effectively be modelled using a combination of soil and land-use variables accounting for spatial dependence of incidence rates per municipality. The resulting spatially explicit risk predictions provide an important source of information which will benefit clinical awareness on potential leptospirosis infections in endemic areas.

A Modified LS+AR Model to Improve the Accuracy of the Short-term Polar Motion Prediction

NASA Astrophysics Data System (ADS)

Wang, Z. W.; Wang, Q. X.; Ding, Y. Q.; Zhang, J. J.; Liu, S. S.

2017-03-01

There are two problems of the LS (Least Squares)+AR (AutoRegressive) model in polar motion forecast: the inner residual value of LS fitting is reasonable, but the residual value of LS extrapolation is poor; and the LS fitting residual sequence is non-linear. It is unsuitable to establish an AR model for the residual sequence to be forecasted, based on the residual sequence before forecast epoch. In this paper, we make solution to those two problems with two steps. First, restrictions are added to the two endpoints of LS fitting data to fix them on the LS fitting curve. Therefore, the fitting values next to the two endpoints are very close to the observation values. Secondly, we select the interpolation residual sequence of an inward LS fitting curve, which has a similar variation trend as the LS extrapolation residual sequence, as the modeling object of AR for the residual forecast. Calculation examples show that this solution can effectively improve the short-term polar motion prediction accuracy by the LS+AR model. In addition, the comparison results of the forecast models of RLS (Robustified Least Squares)+AR, RLS+ARIMA (AutoRegressive Integrated Moving Average), and LS+ANN (Artificial Neural Network) confirm the feasibility and effectiveness of the solution for the polar motion forecast. The results, especially for the polar motion forecast in the 1-10 days, show that the forecast accuracy of the proposed model can reach the world level.

Scaling symmetry, renormalization, and time series modeling: The case of financial assets dynamics

NASA Astrophysics Data System (ADS)

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L.

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments’ stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

Environmental risk of leptospirosis infections in the Netherlands: Spatial modelling of environmental risk factors of leptospirosis in the Netherlands

PubMed Central

Goris, Marga G. A.; Pijnacker, Roan; Bakker, Mirjam I.; Hartskeerl, Rudy A.

2017-01-01

Leptospirosis is a globally emerging zoonotic disease, associated with various climatic, biotic and abiotic factors. Mapping and quantifying geographical variations in the occurrence of leptospirosis and the surrounding environment offer innovative methods to study disease transmission and to identify associations between the disease and the environment. This study aims to investigate geographic variations in leptospirosis incidence in the Netherlands and to identify associations with environmental factors driving the emergence of the disease. Individual case data derived over the period 1995–2012 in the Netherlands were geocoded and aggregated by municipality. Environmental covariate data were extracted for each municipality and stored in a spatial database. Spatial clusters were identified using kernel density estimations and quantified using local autocorrelation statistics. Associations between the incidence of leptospirosis and the local environment were determined using Simultaneous Autoregressive Models (SAR) explicitly modelling spatial dependence of the model residuals. Leptospirosis incidence rates were found to be spatially clustered, showing a marked spatial pattern. Fitting a spatial autoregressive model significantly improved model fit and revealed significant association between leptospirosis and the coverage of arable land, built up area, grassland and sabulous clay soils. The incidence of leptospirosis in the Netherlands could effectively be modelled using a combination of soil and land-use variables accounting for spatial dependence of incidence rates per municipality. The resulting spatially explicit risk predictions provide an important source of information which will benefit clinical awareness on potential leptospirosis infections in endemic areas. PMID:29065186

Spatial analysis of ambulance response times related to prehospital cardiac arrests in the city-state of Singapore.

PubMed

Earnest, Arul; Hock Ong, Marcus Eng; Shahidah, Nur; Min Ng, Wen; Foo, Chuanyang; Nott, David John

2012-01-01

The main objective of this study was to establish the spatial variation in ambulance response times for out-of-hospital cardiac arrests (OHCAs) in the city-state of Singapore. The secondary objective involved studying the relationships between various covariates, such as traffic condition and time and day of collapse, and ambulance response times. The study design was observational and ecological in nature. Data on OHCAs were collected from a nationally representative database for the period October 2001 to October 2004. We used the conditional autoregressive (CAR) model to analyze the data. Within the Bayesian framework of analysis, we used a Weibull regression model that took into account spatial random effects. The regression model was used to study the independent effects of each covariate. Our results showed that there was spatial heterogeneity in the ambulance response times in Singapore. Generally, areas in the far outskirts (suburbs), such as Boon Lay (in the west) and Sembawang (in the north), fared badly in terms of ambulance response times. This improved when adjusted for key covariates, including distance from the nearest fire station. Ambulance response time was also associated with better traffic conditions, weekend OHCAs, distance from the nearest fire station, and OHCAs occurring during nonpeak driving hours. For instance, the hazard ratio for good ambulance response time was 2.35 (95% credible interval [CI] 1.97-2.81) when traffic conditions were light and 1.72 (95% CI 1.51-1.97) when traffic conditions were moderate, as compared with heavy traffic. We found a clear spatial gradient for ambulance response times, with far-outlying areas' exhibiting poorer response times. Our study highlights the utility of this novel approach, which may be helpful for planning emergency medical services and public emergency responses.

Time series model for forecasting the number of new admission inpatients.

PubMed

Zhou, Lingling; Zhao, Ping; Wu, Dongdong; Cheng, Cheng; Huang, Hao

2018-06-15

Hospital crowding is a rising problem, effective predicting and detecting managment can helpful to reduce crowding. Our team has successfully proposed a hybrid model combining both the autoregressive integrated moving average (ARIMA) and the nonlinear autoregressive neural network (NARNN) models in the schistosomiasis and hand, foot, and mouth disease forecasting study. In this paper, our aim is to explore the application of the hybrid ARIMA-NARNN model to track the trends of the new admission inpatients, which provides a methodological basis for reducing crowding. We used the single seasonal ARIMA (SARIMA), NARNN and the hybrid SARIMA-NARNN model to fit and forecast the monthly and daily number of new admission inpatients. The root mean square error (RMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) were used to compare the forecasting performance among the three models. The modeling time range of monthly data included was from January 2010 to June 2016, July to October 2016 as the corresponding testing data set. The daily modeling data set was from January 4 to September 4, 2016, while the testing time range included was from September 5 to October 2, 2016. For the monthly data, the modeling RMSE and the testing RMSE, MAE and MAPE of SARIMA-NARNN model were less than those obtained from the single SARIMA or NARNN model, but the MAE and MAPE of modeling performance of SARIMA-NARNN model did not improve. For the daily data, all RMSE, MAE and MAPE of NARNN model were the lowest both in modeling stage and testing stage. Hybrid model does not necessarily outperform its constituents' performances. It is worth attempting to explore the reliable model to forecast the number of new admission inpatients from different data.

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

PubMed Central

Liang, Hao; Gao, Lian; Liang, Bingyu; Huang, Jiegang; Zang, Ning; Liao, Yanyan; Yu, Jun; Lai, Jingzhen; Qin, Fengxiang; Su, Jinming; Ye, Li; Chen, Hui

2016-01-01

Background 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. Methods 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. Results The morbidity of hepatitis from Jan 2005 to Dec 2012 has seasonal variation and slightly rising trend. The ARIMA(0,1,2)(1,1,1)12 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. Conclusions 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. PMID:27258555

Toward the quantification of a conceptual framework for movement ecology using circular statistical modeling.

PubMed

Shimatani, Ichiro Ken; Yoda, Ken; Katsumata, Nobuhiro; Sato, Katsufumi

2012-01-01

To analyze an animal's movement trajectory, a basic model is required that satisfies the following conditions: the model must have an ecological basis and the parameters used in the model must have ecological interpretations, a broad range of movement patterns can be explained by that model, and equations and probability distributions in the model should be mathematically tractable. Random walk models used in previous studies do not necessarily satisfy these requirements, partly because movement trajectories are often more oriented or tortuous than expected from the models. By improving the modeling for turning angles, this study aims to propose a basic movement model. On the basis of the recently developed circular auto-regressive model, we introduced a new movement model and extended its applicability to capture the asymmetric effects of external factors such as wind. The model was applied to GPS trajectories of a seabird (Calonectris leucomelas) to demonstrate its applicability to various movement patterns and to explain how the model parameters are ecologically interpreted under a general conceptual framework for movement ecology. Although it is based on a simple extension of a generalized linear model to circular variables, the proposed model enables us to evaluate the effects of external factors on movement separately from the animal's internal state. For example, maximum likelihood estimates and model selection suggested that in one homing flight section, the seabird intended to fly toward the island, but misjudged its navigation and was driven off-course by strong winds, while in the subsequent flight section, the seabird reset the focal direction, navigated the flight under strong wind conditions, and succeeded in approaching the island.

Influence of weather on the synchrony of gypsy moth (Lepidoptera: Lymantriidae) outbreaks in New England

DOE Office of Scientific and Technical Information (OSTI.GOV)

Williams, D.W.; Liebhold, A.M.

1995-10-01

Outbreaks of the gypsy moth, Lymantria dispar (L.), were partially synchronous across New England states (Massachusetts, Maine, New Hampshire, and Vermont) from 1938 to 1992. To explain this synchrony, we investigated the Moran effect, a hypothesis that local population oscillations, which result form similar density-dependent mechanisms operating at time lags, may be synchronized over wide areas by exposure to common weather patterns. We also investigated the theory of climatic release, which ostulates that outbreaks are triggered by climatic factors favorable for population growth. Time series analysis revealed defoliation series in 2 states as 1st-order autoregressive processes and the other 2more » as periodic 2nd-order autoregressive processes. Defoliation residuals series computed using the autoregressive models for each state were cross correlated with series of weather variables recorded in the respective states. The weather variables significantly correlated with defoliation residuals in all 4 states were minimum temperature and precipitation in mid-December in the same gypsy moth generation and minimum temperature in mid- to late July of the previous generation. These weather variables also were correlated strongly among the 4 states. The analyses supported the predictions of the Moran effect and suggest the common weather may synchronize local populations so as to produce pest outbreaks over wide areas. We did not find convincing evidence to support the theory of climatic release. 41 refs., 7 figs., 4 tabs.« less

A self-adaption compensation control for hysteresis nonlinearity in piezo-actuated stages based on Pi-sigma fuzzy neural network

NASA Astrophysics Data System (ADS)

Xu, Rui; Zhou, Miaolei

2018-04-01

Piezo-actuated stages are widely applied in the high-precision positioning field nowadays. However, the inherent hysteresis nonlinearity in piezo-actuated stages greatly deteriorates the positioning accuracy of piezo-actuated stages. This paper first utilizes a nonlinear autoregressive moving average with exogenous inputs (NARMAX) model based on the Pi-sigma fuzzy neural network (PSFNN) to construct an online rate-dependent hysteresis model for describing the hysteresis nonlinearity in piezo-actuated stages. In order to improve the convergence rate of PSFNN and modeling precision, we adopt the gradient descent algorithm featuring three different learning factors to update the model parameters. The convergence of the NARMAX model based on the PSFNN is analyzed effectively. To ensure that the parameters can converge to the true values, the persistent excitation condition is considered. Then, a self-adaption compensation controller is designed for eliminating the hysteresis nonlinearity in piezo-actuated stages. A merit of the proposed controller is that it can directly eliminate the complex hysteresis nonlinearity in piezo-actuated stages without any inverse dynamic models. To demonstrate the effectiveness of the proposed model and control methods, a set of comparative experiments are performed on piezo-actuated stages. Experimental results show that the proposed modeling and control methods have excellent performance.

A flexible cure rate model for spatially correlated survival data based on generalized extreme value distribution and Gaussian process priors.

PubMed

Li, Dan; Wang, Xia; Dey, Dipak K

2016-09-01

Our present work proposes a new survival model in a Bayesian context to analyze right-censored survival data for populations with a surviving fraction, assuming that the log failure time follows a generalized extreme value distribution. Many applications require a more flexible modeling of covariate information than a simple linear or parametric form for all covariate effects. It is also necessary to include the spatial variation in the model, since it is sometimes unexplained by the covariates considered in the analysis. Therefore, the nonlinear covariate effects and the spatial effects are incorporated into the systematic component of our model. Gaussian processes (GPs) provide a natural framework for modeling potentially nonlinear relationship and have recently become extremely powerful in nonlinear regression. Our proposed model adopts a semiparametric Bayesian approach by imposing a GP prior on the nonlinear structure of continuous covariate. With the consideration of data availability and computational complexity, the conditionally autoregressive distribution is placed on the region-specific frailties to handle spatial correlation. The flexibility and gains of our proposed model are illustrated through analyses of simulated data examples as well as a dataset involving a colon cancer clinical trial from the state of Iowa. © 2016 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Remembrance of phases past: An autoregressive method for generating realistic atmospheres in simulations

NASA Astrophysics Data System (ADS)

Srinath, Srikar; Poyneer, Lisa A.; Rudy, Alexander R.; Ammons, S. M.

2014-08-01

The advent of expensive, large-aperture telescopes and complex adaptive optics (AO) systems has strengthened the need for detailed simulation of such systems from the top of the atmosphere to control algorithms. The credibility of any simulation is underpinned by the quality of the atmosphere model used for introducing phase variations into the incident photons. Hitherto, simulations which incorporate wind layers have relied upon phase screen generation methods that tax the computation and memory capacities of the platforms on which they run. This places limits on parameters of a simulation, such as exposure time or resolution, thus compromising its utility. As aperture sizes and fields of view increase the problem will only get worse. We present an autoregressive method for evolving atmospheric phase that is efficient in its use of computation resources and allows for variability in the power contained in frozen flow or stochastic components of the atmosphere. Users have the flexibility of generating atmosphere datacubes in advance of runs where memory constraints allow to save on computation time or of computing the phase at each time step for long exposure times. Preliminary tests of model atmospheres generated using this method show power spectral density and rms phase in accordance with established metrics for Kolmogorov models.

Simultaneous Estimation of Electromechanical Modes and Forced Oscillations

DOE Office of Scientific and Technical Information (OSTI.GOV)

Follum, Jim; Pierre, John W.; Martin, Russell

Over the past several years, great strides have been made in the effort to monitor the small-signal stability of power systems. These efforts focus on estimating electromechanical modes, which are a property of the system that dictate how generators in different parts of the system exchange energy. Though the algorithms designed for this task are powerful and important for reliable operation of the power system, they are susceptible to severe bias when forced oscillations are present in the system. Forced oscillations are fundamentally different from electromechanical oscillations in that they are the result of a rogue input to the system,more » rather than a property of the system itself. To address the presence of forced oscillations, the frequently used AutoRegressive Moving Average (ARMA) model is adapted to include sinusoidal inputs, resulting in the AutoRegressive Moving Average plus Sinusoid (ARMA+S) model. From this model, a new Two-Stage Least Squares algorithm is derived to incorporate the forced oscillations, thereby enabling the simultaneous estimation of the electromechanical modes and the amplitude and phase of the forced oscillations. The method is validated using simulated power system data as well as data obtained from the western North American power system (wNAPS) and Eastern Interconnection (EI).« less

Fetal source extraction from magnetocardiographic recordings by dependent component analysis

NASA Astrophysics Data System (ADS)

de Araujo, Draulio B.; Kardec Barros, Allan; Estombelo-Montesco, Carlos; Zhao, Hui; Roque da Silva Filho, A. C.; Baffa, Oswaldo; Wakai, Ronald; Ohnishi, Noboru

2005-10-01

Fetal magnetocardiography (fMCG) has been extensively reported in the literature as a non-invasive, prenatal technique that can be used to monitor various functions of the fetal heart. However, fMCG signals often have low signal-to-noise ratio (SNR) and are contaminated by strong interference from the mother's magnetocardiogram signal. A promising, efficient tool for extracting signals, even under low SNR conditions, is blind source separation (BSS), or independent component analysis (ICA). Herein we propose an algorithm based on a variation of ICA, where the signal of interest is extracted using a time delay obtained from an autocorrelation analysis. We model the system using autoregression, and identify the signal component of interest from the poles of the autocorrelation function. We show that the method is effective in removing the maternal signal, and is computationally efficient. We also compare our results to more established ICA methods, such as FastICA.

Classification of EEG signals using a genetic-based machine learning classifier.

PubMed

Skinner, B T; Nguyen, H T; Liu, D K

2007-01-01

This paper investigates the efficacy of the genetic-based learning classifier system XCS, for the classification of noisy, artefact-inclusive human electroencephalogram (EEG) signals represented using large condition strings (108bits). EEG signals from three participants were recorded while they performed four mental tasks designed to elicit hemispheric responses. Autoregressive (AR) models and Fast Fourier Transform (FFT) methods were used to form feature vectors with which mental tasks can be discriminated. XCS achieved a maximum classification accuracy of 99.3% and a best average of 88.9%. The relative classification performance of XCS was then compared against four non-evolutionary classifier systems originating from different learning techniques. The experimental results will be used as part of our larger research effort investigating the feasibility of using EEG signals as an interface to allow paralysed persons to control a powered wheelchair or other devices.

Shifts of environmental and phytoplankton variables in a regulated river: A spatial-driven analysis.

PubMed

Sabater-Liesa, Laia; Ginebreda, Antoni; Barceló, Damià

2018-06-18

The longitudinal structure of the environmental and phytoplankton variables was investigated in the Ebro River (NE Spain), which is heavily affected by water abstraction and regulation. A first exploration indicated that the phytoplankton community did not resist the impact of reservoirs and barely recovered downstream of them. The spatial analysis showed that the responses of the phytoplankton and environmental variables were not uniform. The two set of variables revealed spatial variability discontinuities and river fragmentation upstream and downstream from the reservoirs. Reservoirs caused the replacement of spatially heterogeneous habitats by homogeneous spatially distributed water bodies, these new environmental conditions downstream benefiting the opportunist and cosmopolitan algal taxa. The application of a spatial auto-regression model to algal biomass (chlorophyll-a) permitted to capture the relevance and contribution of extra-local influences in the river ecosystem. Copyright © 2018 The Authors. Published by Elsevier B.V. All rights reserved.

Analysing the accuracy of machine learning techniques to develop an integrated influent time series model: case study of a sewage treatment plant, Malaysia.

PubMed

Ansari, Mozafar; Othman, Faridah; Abunama, Taher; El-Shafie, Ahmed

2018-04-01

The function of a sewage treatment plant is to treat the sewage to acceptable standards before being discharged into the receiving waters. To design and operate such plants, it is necessary to measure and predict the influent flow rate. In this research, the influent flow rate of a sewage treatment plant (STP) was modelled and predicted by autoregressive integrated moving average (ARIMA), nonlinear autoregressive network (NAR) and support vector machine (SVM) regression time series algorithms. To evaluate the models' accuracy, the root mean square error (RMSE) and coefficient of determination (R 2 ) were calculated as initial assessment measures, while relative error (RE), peak flow criterion (PFC) and low flow criterion (LFC) were calculated as final evaluation measures to demonstrate the detailed accuracy of the selected models. An integrated model was developed based on the individual models' prediction ability for low, average and peak flow. An initial assessment of the results showed that the ARIMA model was the least accurate and the NAR model was the most accurate. The RE results also prove that the SVM model's frequency of errors above 10% or below - 10% was greater than the NAR model's. The influent was also forecasted up to 44 weeks ahead by both models. The graphical results indicate that the NAR model made better predictions than the SVM model. The final evaluation of NAR and SVM demonstrated that SVM made better predictions at peak flow and NAR fit well for low and average inflow ranges. The integrated model developed includes the NAR model for low and average influent and the SVM model for peak inflow.

One day prediction of nighttime VLF amplitudes using nonlinear autoregression and neural network modeling

NASA Astrophysics Data System (ADS)

Santosa, H.; Hobara, Y.

2017-01-01

The electric field amplitude of very low frequency (VLF) transmitter from Hawaii (NPM) has been continuously recorded at Chofu (CHF), Tokyo, Japan. The VLF amplitude variability indicates lower ionospheric perturbation in the D region (60-90 km altitude range) around the NPM-CHF propagation path. We carried out the prediction of daily nighttime mean VLF amplitude by using Nonlinear Autoregressive with Exogenous Input Neural Network (NARX NN). The NARX NN model, which was built based on the daily input variables of various physical parameters such as stratospheric temperature, total column ozone, cosmic rays, Dst, and Kp indices possess good accuracy during the model building. The fitted model was constructed within the training period from 1 January 2011 to 4 February 2013 by using three algorithms, namely, Bayesian Neural Network (BRANN), Levenberg Marquardt Neural Network (LMANN), and Scaled Conjugate Gradient (SCG). The LMANN has the largest Pearson correlation coefficient (r) of 0.94 and smallest root-mean-square error (RMSE) of 1.19 dB. The constructed models by using LMANN were applied to predict the VLF amplitude from 5 February 2013 to 31 December 2013. As a result the one step (1 day) ahead predicted nighttime VLF amplitude has the r of 0.93 and RMSE of 2.25 dB. We conclude that the model built according to the proposed methodology provides good predictions of the electric field amplitude of VLF waves for NPM-CHF (midlatitude) propagation path.

Condition Monitoring for Helicopter Data. Appendix A

NASA Technical Reports Server (NTRS)

Wen, Fang; Willett, Peter; Deb, Somnath

2000-01-01

In this paper the classical "Westland" set of empirical accelerometer helicopter data is analyzed with the aim of condition monitoring for diagnostic purposes. The goal is to determine features for failure events from these data, via a proprietary signal processing toolbox, and to weigh these according to a variety of classification algorithms. As regards signal processing, it appears that the autoregressive (AR) coefficients from a simple linear model encapsulate a great deal of information in a relatively few measurements; it has also been found that augmentation of these by harmonic and other parameters can improve classification significantly. As regards classification, several techniques have been explored, among these restricted Coulomb energy (RCE) networks, learning vector quantization (LVQ), Gaussian mixture classifiers and decision trees. A problem with these approaches, and in common with many classification paradigms, is that augmentation of the feature dimension can degrade classification ability. Thus, we also introduce the Bayesian data reduction algorithm (BDRA), which imposes a Dirichlet prior on training data and is thus able to quantify probability of error in an exact manner, such that features may be discarded or coarsened appropriately.

A stochastic post-processing method for solar irradiance forecasts derived from NWPs models

NASA Astrophysics Data System (ADS)

Lara-Fanego, V.; Pozo-Vazquez, D.; Ruiz-Arias, J. A.; Santos-Alamillos, F. J.; Tovar-Pescador, J.

2010-09-01

Solar irradiance forecast is an important area of research for the future of the solar-based renewable energy systems. Numerical Weather Prediction models (NWPs) have proved to be a valuable tool for solar irradiance forecasting with lead time up to a few days. Nevertheless, these models show low skill in forecasting the solar irradiance under cloudy conditions. Additionally, climatic (averaged over seasons) aerosol loading are usually considered in these models, leading to considerable errors for the Direct Normal Irradiance (DNI) forecasts during high aerosols load conditions. In this work we propose a post-processing method for the Global Irradiance (GHI) and DNI forecasts derived from NWPs. Particularly, the methods is based on the use of Autoregressive Moving Average with External Explanatory Variables (ARMAX) stochastic models. These models are applied to the residuals of the NWPs forecasts and uses as external variables the measured cloud fraction and aerosol loading of the day previous to the forecast. The method is evaluated for a set one-moth length three-days-ahead forecast of the GHI and DNI, obtained based on the WRF mesoscale atmospheric model, for several locations in Andalusia (Southern Spain). The Cloud fraction is derived from MSG satellite estimates and the aerosol loading from the MODIS platform estimates. Both sources of information are readily available at the time of the forecast. Results showed a considerable improvement of the forecasting skill of the WRF model using the proposed post-processing method. Particularly, relative improvement (in terms of the RMSE) for the DNI during summer is about 20%. A similar value is obtained for the GHI during the winter.

Rate of Oviposition by Culex Quinquefasciatus in San Antonio, Texas, During Three Years

DTIC Science & Technology

1988-09-01

autoregression and zero orders of integration and moving average ( ARIMA (l,O,O)). This model was chosen initially because rainfall ap- peared to...have no trend requiring integration and no obvious requirement for a moving aver- age component (i.e., no regular periodicity). This ARIMA model was...Say in both the northern and southern hem- ispheres exposes this species to a variety of climatic challenges to its survival. It is able to adjust

Early detection of metabolic and energy disorders by thermal time series stochastic complexity analysis

PubMed Central

Lutaif, N.A.; Palazzo, R.; Gontijo, J.A.R.

2014-01-01

Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile. PMID:24519093

Early detection of metabolic and energy disorders by thermal time series stochastic complexity analysis.

PubMed

Lutaif, N A; Palazzo, R; Gontijo, J A R

2014-01-01

Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile.

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

PubMed

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.

Forecasting United States heartworm Dirofilaria immitis prevalence in dogs.

PubMed

Bowman, Dwight D; Liu, Yan; McMahan, Christopher S; Nordone, Shila K; Yabsley, Michael J; Lund, Robert B

2016-10-10

This paper forecasts next year's canine heartworm prevalence in the United States from 16 climate, geographic and societal factors. The forecast's construction and an assessment of its performance are described. The forecast is based on a spatial-temporal conditional autoregressive model fitted to over 31 million antigen heartworm tests conducted in the 48 contiguous United States during 2011-2015. The forecast uses county-level data on 16 predictive factors, including temperature, precipitation, median household income, local forest and surface water coverage, and presence/absence of eight mosquito species. Non-static factors are extrapolated into the forthcoming year with various statistical methods. The fitted model and factor extrapolations are used to estimate next year's regional prevalence. The correlation between the observed and model-estimated county-by-county heartworm prevalence for the 5-year period 2011-2015 is 0.727, demonstrating reasonable model accuracy. The correlation between 2015 observed and forecasted county-by-county heartworm prevalence is 0.940, demonstrating significant skill and showing that heartworm prevalence can be forecasted reasonably accurately. The forecast presented herein can a priori alert veterinarians to areas expected to see higher than normal heartworm activity. The proposed methods may prove useful for forecasting other diseases.

Nonlinear data-driven identification of polymer electrolyte membrane fuel cells for diagnostic purposes: A Volterra series approach

NASA Astrophysics Data System (ADS)

Ritzberger, D.; Jakubek, S.

2017-09-01

In this work, a data-driven identification method, based on polynomial nonlinear autoregressive models with exogenous inputs (NARX) and the Volterra series, is proposed to describe the dynamic and nonlinear voltage and current characteristics of polymer electrolyte membrane fuel cells (PEMFCs). The structure selection and parameter estimation of the NARX model is performed on broad-band voltage/current data. By transforming the time-domain NARX model into a Volterra series representation using the harmonic probing algorithm, a frequency-domain description of the linear and nonlinear dynamics is obtained. With the Volterra kernels corresponding to different operating conditions, information from existing diagnostic tools in the frequency domain such as electrochemical impedance spectroscopy (EIS) and total harmonic distortion analysis (THDA) are effectively combined. Additionally, the time-domain NARX model can be utilized for fault detection by evaluating the difference between measured and simulated output. To increase the fault detectability, an optimization problem is introduced which maximizes this output residual to obtain proper excitation frequencies. As a possible extension it is shown, that by optimizing the periodic signal shape itself that the fault detectability is further increased.

Synthesis of Textures Using Simultaneous Autoregressive Models.

DTIC Science & Technology

1981-07-01

CHELLAPPA AFOSR-77-3271 UNCLASSIFIED TR- 1082 AFOSR-TR-81-0795 NL 110~2.8 .113:’I0 111.02. 1111I25 II.4~* 1.6 MICROCOPY R[ SOLUTION ILS1 CHARI ,.TR- 81...NUMBER TR- 1082 . 7. AUTHOR(*) S. CONTRACT OR GRANT NUMBER(&) R. Chella-)pa AFOSR-77-3271 9. PERFORMING ORGANIZATION NAME AND ADDRESS 10. PROGRAM ELEMENT

No Evidence of Suicide Increase Following Terrorist Attacks in the United States: An Interrupted Time-Series Analysis of September 11 and Oklahoma City

ERIC Educational Resources Information Center

Pridemore, William Alex; Trahan, Adam; Chamlin, Mitchell B.

2009-01-01

There is substantial evidence of detrimental psychological sequelae following disasters, including terrorist attacks. The effect of these events on extreme responses such as suicide, however, is unclear. We tested competing hypotheses about such effects by employing autoregressive integrated moving average techniques to model the impact of…

A Generalized Least Squares Regression Approach for Computing Effect Sizes in Single-Case Research: Application Examples

ERIC Educational Resources Information Center

Maggin, Daniel M.; Swaminathan, Hariharan; Rogers, Helen J.; O'Keeffe, Breda V.; Sugai, George; Horner, Robert H.

2011-01-01

A new method for deriving effect sizes from single-case designs is proposed. The strategy is applicable to small-sample time-series data with autoregressive errors. The method uses Generalized Least Squares (GLS) to model the autocorrelation of the data and estimate regression parameters to produce an effect size that represents the magnitude of…

Defense Applications of Signal Processing

DTIC Science & Technology

1999-08-27

class of multiscale autoregressive moving average (MARMA) processes. These are generalisations of ARMA models in time series analysis , and they contain...including the two theoretical sinusoidal components. Analysis of the amplitude and frequency time series provided some novel insight into the real...communication channels, underwater acoustic signals, radar systems , economic time series and biomedical signals [7]. The alpha stable (aS) distribution has

North American oriented strand board markets, arbitrage activity, and market price dynamics: A smooth transition approach

Treesearch

Barry Goodwin; Matthew Holt; Jeffrey P. Prestemon

2011-01-01

Price dynamics for North American oriented strand board markets are examined. The role of transactions costs are explored vis-à-vis the law of one price. Nonlinearities induced by unobservable transactions costs are modeled by estimating time-varying smooth transition autoregressions (TV-STARs). Results indicate that nonlinearity and structural change are important...

Are Public Master's Institutions Cost Efficient? A Stochastic Frontier and Spatial Analysis

ERIC Educational Resources Information Center

Titus, Marvin A.; Vamosiu, Adriana; McClure, Kevin R.

2017-01-01

The current study examines costs, measured by educational and general (E&G) spending, and cost efficiency at 252 public master's institutions in the United States over a nine-year (2004-2012) period. We use a multi-product quadratic cost function and results from a random-effects model with a first-order autoregressive (AR1) disturbance term…

Autoregressive modeling for the spectral analysis of oceanographic data

NASA Technical Reports Server (NTRS)

Gangopadhyay, Avijit; Cornillon, Peter; Jackson, Leland B.

1989-01-01

Over the last decade there has been a dramatic increase in the number and volume of data sets useful for oceanographic studies. Many of these data sets consist of long temporal or spatial series derived from satellites and large-scale oceanographic experiments. These data sets are, however, often 'gappy' in space, irregular in time, and always of finite length. The conventional Fourier transform (FT) approach to the spectral analysis is thus often inapplicable, or where applicable, it provides questionable results. Here, through comparative analysis with the FT for different oceanographic data sets, the possibilities offered by autoregressive (AR) modeling to perform spectral analysis of gappy, finite-length series, are discussed. The applications demonstrate that as the length of the time series becomes shorter, the resolving power of the AR approach as compared with that of the FT improves. For the longest data sets examined here, 98 points, the AR method performed only slightly better than the FT, but for the very short ones, 17 points, the AR method showed a dramatic improvement over the FT. The application of the AR method to a gappy time series, although a secondary concern of this manuscript, further underlines the value of this approach.

State space modeling of time-varying contemporaneous and lagged relations in connectivity maps.

PubMed

Molenaar, Peter C M; Beltz, Adriene M; Gates, Kathleen M; Wilson, Stephen J

2016-01-15

Most connectivity mapping techniques for neuroimaging data assume stationarity (i.e., network parameters are constant across time), but this assumption does not always hold true. The authors provide a description of a new approach for simultaneously detecting time-varying (or dynamic) contemporaneous and lagged relations in brain connectivity maps. Specifically, they use a novel raw data likelihood estimation technique (involving a second-order extended Kalman filter/smoother embedded in a nonlinear optimizer) to determine the variances of the random walks associated with state space model parameters and their autoregressive components. The authors illustrate their approach with simulated and blood oxygen level-dependent functional magnetic resonance imaging data from 30 daily cigarette smokers performing a verbal working memory task, focusing on seven regions of interest (ROIs). Twelve participants had dynamic directed functional connectivity maps: Eleven had one or more time-varying contemporaneous ROI state loadings, and one had a time-varying autoregressive parameter. Compared to smokers without dynamic maps, smokers with dynamic maps performed the task with greater accuracy. Thus, accurate detection of dynamic brain processes is meaningfully related to behavior in a clinical sample. Published by Elsevier Inc.

Predictability of Malaria Transmission Intensity in the Mpumalanga Province, South Africa, Using Land Surface Climatology and Autoregressive Analysis

NASA Technical Reports Server (NTRS)

Grass, David; Jasinski, Michael F.; Govere, John

2003-01-01

There has been increasing effort in recent years to employ satellite remotely sensed data to identify and map vector habitat and malaria transmission risk in data sparse environments. In the current investigation, available satellite and other land surface climatology data products are employed in short-term forecasting of infection rates in the Mpumalanga Province of South Africa, using a multivariate autoregressive approach. The climatology variables include precipitation, air temperature and other land surface states computed by the Off-line Land-Surface Global Assimilation System (OLGA) including soil moisture and surface evaporation. Satellite data products include the Normalized Difference Vegetation Index (NDVI) and other forcing data used in the Goddard Earth Observing System (GEOS-1) model. Predictions are compared to long- term monthly records of clinical and microscopic diagnoses. The approach addresses the high degree of short-term autocorrelation in the disease and weather time series. The resulting model is able to predict 11 of the 13 months that were classified as high risk during the validation period, indicating the utility of applying antecedent climatic variables to the prediction of malaria incidence for the Mpumalanga Province.

Monthly reservoir inflow forecasting using a new hybrid SARIMA genetic programming approach

NASA Astrophysics Data System (ADS)

Moeeni, Hamid; Bonakdari, Hossein; Ebtehaj, Isa

2017-03-01

Forecasting reservoir inflow is one of the most important components of water resources and hydroelectric systems operation management. Seasonal autoregressive integrated moving average (SARIMA) models have been frequently used for predicting river flow. SARIMA models are linear and do not consider the random component of statistical data. To overcome this shortcoming, monthly inflow is predicted in this study based on a combination of seasonal autoregressive integrated moving average (SARIMA) and gene expression programming (GEP) models, which is a new hybrid method (SARIMA-GEP). To this end, a four-step process is employed. First, the monthly inflow datasets are pre-processed. Second, the datasets are modelled linearly with SARIMA and in the third stage, the non-linearity of residual series caused by linear modelling is evaluated. After confirming the non-linearity, the residuals are modelled in the fourth step using a gene expression programming (GEP) method. The proposed hybrid model is employed to predict the monthly inflow to the Jamishan Dam in west Iran. Thirty years' worth of site measurements of monthly reservoir dam inflow with extreme seasonal variations are used. The results of this hybrid model (SARIMA-GEP) are compared with SARIMA, GEP, artificial neural network (ANN) and SARIMA-ANN models. The results indicate that the SARIMA-GEP model ( R 2=78.8, VAF =78.8, RMSE =0.89, MAPE =43.4, CRM =0.053) outperforms SARIMA and GEP and SARIMA-ANN ( R 2=68.3, VAF =66.4, RMSE =1.12, MAPE =56.6, CRM =0.032) displays better performance than the SARIMA and ANN models. A comparison of the two hybrid models indicates the superiority of SARIMA-GEP over the SARIMA-ANN model.

Clustering of time-course gene expression profiles using normal mixture models with autoregressive random effects

PubMed Central

2012-01-01

Background Time-course gene expression data such as yeast cell cycle data may be periodically expressed. To cluster such data, currently used Fourier series approximations of periodic gene expressions have been found not to be sufficiently adequate to model the complexity of the time-course data, partly due to their ignoring the dependence between the expression measurements over time and the correlation among gene expression profiles. We further investigate the advantages and limitations of available models in the literature and propose a new mixture model with autoregressive random effects of the first order for the clustering of time-course gene-expression profiles. Some simulations and real examples are given to demonstrate the usefulness of the proposed models. Results We illustrate the applicability of our new model using synthetic and real time-course datasets. We show that our model outperforms existing models to provide more reliable and robust clustering of time-course data. Our model provides superior results when genetic profiles are correlated. It also gives comparable results when the correlation between the gene profiles is weak. In the applications to real time-course data, relevant clusters of coregulated genes are obtained, which are supported by gene-function annotation databases. Conclusions Our new model under our extension of the EMMIX-WIRE procedure is more reliable and robust for clustering time-course data because it adopts a random effects model that allows for the correlation among observations at different time points. It postulates gene-specific random effects with an autocorrelation variance structure that models coregulation within the clusters. The developed R package is flexible in its specification of the random effects through user-input parameters that enables improved modelling and consequent clustering of time-course data. PMID:23151154

Forecasting mortality of road traffic injuries in China using seasonal autoregressive integrated moving average model.

PubMed

Zhang, Xujun; Pang, Yuanyuan; Cui, Mengjing; Stallones, Lorann; Xiang, Huiyun

2015-02-01

Road traffic injuries have become a major public health problem in China. This study aimed to develop statistical models for predicting road traffic deaths and to analyze seasonality of deaths in China. A seasonal autoregressive integrated moving average (SARIMA) model was used to fit the data from 2000 to 2011. Akaike Information Criterion, Bayesian Information Criterion, and mean absolute percentage error were used to evaluate the constructed models. Autocorrelation function and partial autocorrelation function of residuals and Ljung-Box test were used to compare the goodness-of-fit between the different models. The SARIMA model was used to forecast monthly road traffic deaths in 2012. The seasonal pattern of road traffic mortality data was statistically significant in China. SARIMA (1, 1, 1) (0, 1, 1)12 model was the best fitting model among various candidate models; the Akaike Information Criterion, Bayesian Information Criterion, and mean absolute percentage error were -483.679, -475.053, and 4.937, respectively. Goodness-of-fit testing showed nonautocorrelations in the residuals of the model (Ljung-Box test, Q = 4.86, P = .993). The fitted deaths using the SARIMA (1, 1, 1) (0, 1, 1)12 model for years 2000 to 2011 closely followed the observed number of road traffic deaths for the same years. The predicted and observed deaths were also very close for 2012. This study suggests that accurate forecasting of road traffic death incidence is possible using SARIMA model. The SARIMA model applied to historical road traffic deaths data could provide important evidence of burden of road traffic injuries in China. Copyright © 2015 Elsevier Inc. All rights reserved.

Investigating Causality Between Interacting Brain Areas with Multivariate Autoregressive Models of MEG Sensor Data

PubMed Central

Michalareas, George; Schoffelen, Jan-Mathijs; Paterson, Gavin; Gross, Joachim

2013-01-01

Abstract In this work, we investigate the feasibility to estimating causal interactions between brain regions based on multivariate autoregressive models (MAR models) fitted to magnetoencephalographic (MEG) sensor measurements. We first demonstrate the theoretical feasibility of estimating source level causal interactions after projection of the sensor-level model coefficients onto the locations of the neural sources. Next, we show with simulated MEG data that causality, as measured by partial directed coherence (PDC), can be correctly reconstructed if the locations of the interacting brain areas are known. We further demonstrate, if a very large number of brain voxels is considered as potential activation sources, that PDC as a measure to reconstruct causal interactions is less accurate. In such case the MAR model coefficients alone contain meaningful causality information. The proposed method overcomes the problems of model nonrobustness and large computation times encountered during causality analysis by existing methods. These methods first project MEG sensor time-series onto a large number of brain locations after which the MAR model is built on this large number of source-level time-series. Instead, through this work, we demonstrate that by building the MAR model on the sensor-level and then projecting only the MAR coefficients in source space, the true casual pathways are recovered even when a very large number of locations are considered as sources. The main contribution of this work is that by this methodology entire brain causality maps can be efficiently derived without any a priori selection of regions of interest. Hum Brain Mapp, 2013. © 2012 Wiley Periodicals, Inc. PMID:22328419

A robust damage-detection technique with environmental variability combining time-series models with principal components

NASA Astrophysics Data System (ADS)

Lakshmi, K.; Rama Mohan Rao, A.

2014-10-01

In this paper, a novel output-only damage-detection technique based on time-series models for structural health monitoring in the presence of environmental variability and measurement noise is presented. The large amount of data obtained in the form of time-history response is transformed using principal component analysis, in order to reduce the data size and thereby improve the computational efficiency of the proposed algorithm. The time instant of damage is obtained by fitting the acceleration time-history data from the structure using autoregressive (AR) and AR with exogenous inputs time-series prediction models. The probability density functions (PDFs) of damage features obtained from the variances of prediction errors corresponding to references and healthy current data are found to be shifting from each other due to the presence of various uncertainties such as environmental variability and measurement noise. Control limits using novelty index are obtained using the distances of the peaks of the PDF curves in healthy condition and used later for determining the current condition of the structure. Numerical simulation studies have been carried out using a simply supported beam and also validated using an experimental benchmark data corresponding to a three-storey-framed bookshelf structure proposed by Los Alamos National Laboratory. Studies carried out in this paper clearly indicate the efficiency of the proposed algorithm for damage detection in the presence of measurement noise and environmental variability.

NARMAX model identification of a palm oil biodiesel engine using multi-objective optimization differential evolution

NASA Astrophysics Data System (ADS)

Mansor, Zakwan; Zakaria, Mohd Zakimi; Nor, Azuwir Mohd; Saad, Mohd Sazli; Ahmad, Robiah; Jamaluddin, Hishamuddin

2017-09-01

This paper presents the black-box modelling of palm oil biodiesel engine (POB) using multi-objective optimization differential evolution (MOODE) algorithm. Two objective functions are considered in the algorithm for optimization; minimizing the number of term of a model structure and minimizing the mean square error between actual and predicted outputs. The mathematical model used in this study to represent the POB system is nonlinear auto-regressive moving average with exogenous input (NARMAX) model. Finally, model validity tests are applied in order to validate the possible models that was obtained from MOODE algorithm and lead to select an optimal model.

The gene-environmental architecture of the development of adolescent substance use.

PubMed

Vitaro, Frank; Dickson, Daniel J; Brendgen, Mara; Laursen, Brett; Dionne, Ginette; Boivin, Michel

2018-02-19

Using a longitudinal twin design and a latent growth curve/autoregressive approach, this study examined the genetic-environmental architecture of substance use across adolescence. Self-reports of substance use (i.e. alcohol, marijuana) were collected at ages 13, 14, 15, and 17 years from 476 twin pairs (475 boys, 477 girls) living in the Province of Quebec, Canada. Substance use increased linearly across the adolescent years. ACE modeling revealed that genetic, as well as shared and non-shared environmental factors explained the overall level of substance use and that these same factors also partly accounted for growth in substance use from age 13 to 17. Additional genetic factors predicted the growth in substance use. Finally, autoregressive effects revealed age-specific non-shared environmental influences and, to a lesser degree, age-specific genetic influences, which together accounted for the stability of substance use across adolescence. The results support and expand the notion that genetic and environmental influences on substance use during adolescence are both developmentally stable and developmentally dynamic.

Using the Quantile Mapping to improve a weather generator

NASA Astrophysics Data System (ADS)

Chen, Y.; Themessl, M.; Gobiet, A.

2012-04-01

We developed a weather generator (WG) by using statistical and stochastic methods, among them are quantile mapping (QM), Monte-Carlo, auto-regression, empirical orthogonal function (EOF). One of the important steps in the WG is using QM, through which all the variables, no matter what distribution they originally are, are transformed into normal distributed variables. Therefore, the WG can work on normally distributed variables, which greatly facilitates the treatment of random numbers in the WG. Monte-Carlo and auto-regression are used to generate the realization; EOFs are employed for preserving spatial relationships and the relationships between different meteorological variables. We have established a complete model named WGQM (weather generator and quantile mapping), which can be applied flexibly to generate daily or hourly time series. For example, with 30-year daily (hourly) data and 100-year monthly (daily) data as input, the 100-year daily (hourly) data would be relatively reasonably produced. Some evaluation experiments with WGQM have been carried out in the area of Austria and the evaluation results will be presented.

Forecasting the incidence of tuberculosis in China using the seasonal auto-regressive integrated moving average (SARIMA) model.

PubMed

Mao, Qiang; Zhang, Kai; Yan, Wu; Cheng, Chaonan

2018-05-02

The aims of this study were to develop a forecasting model for the incidence of tuberculosis (TB) and analyze the seasonality of infections in China; and to provide a useful tool for formulating intervention programs and allocating medical resources. Data for the monthly incidence of TB from January 2004 to December 2015 were obtained from the National Scientific Data Sharing Platform for Population and Health (China). The Box-Jenkins method was applied to fit a seasonal auto-regressive integrated moving average (SARIMA) model to forecast the incidence of TB over the subsequent six months. During the study period of 144 months, 12,321,559 TB cases were reported in China, with an average monthly incidence of 6.4426 per 100,000 of the population. The monthly incidence of TB showed a clear 12-month cycle, and a seasonality with two peaks occurring in January and March and a trough in December. The best-fit model was SARIMA (1,0,0)(0,1,1) 12 , which demonstrated adequate information extraction (white noise test, p>0.05). Based on the analysis, the incidence of TB from January to June 2016 were 6.6335, 4.7208, 5.8193, 5.5474, 5.2202 and 4.9156 per 100,000 of the population, respectively. According to the seasonal pattern of TB incidence in China, the SARIMA model was proposed as a useful tool for monitoring epidemics. Copyright © 2018 The Authors. Published by Elsevier Ltd.. All rights reserved.

Weather, day length and physical activity in older adults: Cross-sectional results from the European Prospective Investigation into Cancer and Nutrition (EPIC) Norfolk Cohort.

PubMed

Wu, Yu-Tzu; Luben, Robert; Wareham, Nicholas; Griffin, Simon; Jones, Andy P

2017-01-01

A wide range of environmental factors have been related to active ageing, but few studies have explored the impact of weather and day length on physical activity in older adults. We investigate the cross-sectional association between weather conditions, day length and activity in older adults using a population-based cohort in England, the European Prospective Investigation into Cancer and Nutrition (EPIC) Norfolk study. Physical activity was measured objectively over 7 days using an accelerometer and this was used to calculate daily total physical activity (counts per minute), daily minutes of sedentary behaviour and light, moderate and vigorous physical activity (LMVPA). Day length and two types of weather conditions, precipitation and temperature, were obtained from a local weather station. The association between these variables and physical activity was examined by multilevel first-order autoregressive modelling. After adjusting for individual factors, short day length and poor weather conditions, including high precipitation and low temperatures, were associated with up to 10% lower average physical activity (p<0.01) and 8 minutes less time spent in LMVPA but 15 minutes more sedentary time, compared to the best conditions. Day length and weather conditions appear to be an important factor related to active ageing. Future work should focus on developing potential interventions to reduce their impact on physical activity behaviours in older adults.