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

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.

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.

Thermoelastic steam turbine rotor control based on neural network

NASA Astrophysics Data System (ADS)

Rzadkowski, Romuald; Dominiczak, Krzysztof; Radulski, Wojciech; Szczepanik, R.

2015-12-01

Considered here are Nonlinear Auto-Regressive neural networks with eXogenous inputs (NARX) as a mathematical model of a steam turbine rotor for controlling steam turbine stress on-line. In order to obtain neural networks that locate critical stress and temperature points in the steam turbine during transient states, an FE rotor model was built. This model was used to train the neural networks on the basis of steam turbine transient operating data. The training included nonlinearity related to steam turbine expansion, heat exchange and rotor material properties during transients. Simultaneous neural networks are algorithms which can be implemented on PLC controllers. This allows for the application neural networks to control steam turbine stress in industrial power plants.

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.

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.

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.

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.

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.

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

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

Time Series Modeling of Nano-Gold Immunochromatographic Assay via Expectation Maximization Algorithm.

PubMed

Zeng, Nianyin; Wang, Zidong; Li, Yurong; Du, Min; Cao, Jie; Liu, Xiaohui

2013-12-01

In this paper, the expectation maximization (EM) algorithm is applied to the modeling of the nano-gold immunochromatographic assay (nano-GICA) via available time series of the measured signal intensities of the test and control lines. The model for the nano-GICA is developed as the stochastic dynamic model that consists of a first-order autoregressive stochastic dynamic process and a noisy measurement. By using the EM algorithm, the model parameters, the actual signal intensities of the test and control lines, as well as the noise intensity can be identified simultaneously. Three different time series data sets concerning the target concentrations are employed to demonstrate the effectiveness of the introduced algorithm. Several indices are also proposed to evaluate the inferred models. It is shown that the model fits the data very well.

Beyond long memory in heart rate variability: An approach based on fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

NASA Astrophysics Data System (ADS)

Leite, Argentina; Paula Rocha, Ana; Eduarda Silva, Maria

2013-06-01

Heart Rate Variability (HRV) series exhibit long memory and time-varying conditional variance. This work considers the Fractionally Integrated AutoRegressive Moving Average (ARFIMA) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors. ARFIMA-GARCH models may be used to capture and remove long memory and estimate the conditional volatility in 24 h HRV recordings. The ARFIMA-GARCH approach is applied to fifteen long term HRV series available at Physionet, leading to the discrimination among normal individuals, heart failure patients, and patients with atrial fibrillation.

Kepler AutoRegressive Planet Search: Motivation & Methodology

NASA Astrophysics Data System (ADS)

Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

2015-08-01

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. Auto-Regressive Moving-Average (ARMA) models, Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH), and related models are flexible, phenomenological methods used with great success to model stochastic temporal behaviors in many fields of study, particularly econometrics. Powerful statistical methods are implemented in the public statistical software environment R and its many packages. Modeling involves maximum likelihood fitting, model selection, and residual analysis. These techniques provide a useful framework to model stellar variability and are used in KARPS with the objective of reducing stellar noise to enhance opportunities to find as-yet-undiscovered planets. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; ARMA-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. We apply the procedures to simulated Kepler-like time series with known stellar and planetary signals to evaluate the effectiveness of the KARPS procedures. The ARMA-type modeling is effective at reducing stellar noise, but also reduces and transforms the transit signal into ingress/egress spikes. 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. We also illustrate the efficient coding in R.

Volatility in GARCH Models of Business Tendency Index

NASA Astrophysics Data System (ADS)

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

2018-01-01

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

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...

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...

Experimental feasibility study of estimation of the normalized central blood pressure waveform from radial photoplethysmogram.

PubMed

Zahedi, Edmond; Sohani, Vahid; Ali, M A Mohd; Chellappan, Kalaivani; Beng, Gan Kok

2015-01-01

The feasibility of a novel system to reliably estimate the normalized central blood pressure (CBPN) from the radial photoplethysmogram (PPG) is investigated. Right-wrist radial blood pressure and left-wrist PPG were simultaneously recorded in five different days. An industry-standard applanation tonometer was employed for recording radial blood pressure. The CBP waveform was amplitude-normalized to determine CBPN. A total of fifteen second-order autoregressive models with exogenous input were investigated using system identification techniques. Among these 15 models, the model producing the lowest coefficient of variation (CV) of the fitness during the five days was selected as the reference model. Results show that the proposed model is able to faithfully reproduce CBPN (mean fitness = 85.2% ± 2.5%) from the radial PPG for all 15 segments during the five recording days. The low CV value of 3.35% suggests a stable model valid for different recording days.

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.

Mathematical model with autoregressive process for electrocardiogram signals

NASA Astrophysics Data System (ADS)

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

2018-04-01

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

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

Kumaraswamy autoregressive moving average models for double bounded environmental data

NASA Astrophysics Data System (ADS)

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

2017-12-01

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

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.

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

PubMed

MacNab, Ying C

2016-08-01

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

Robust image modeling techniques with an image restoration application

NASA Astrophysics Data System (ADS)

Kashyap, Rangasami L.; Eom, Kie-Bum

1988-08-01

A robust parameter-estimation algorithm for a nonsymmetric half-plane (NSHP) autoregressive model, where the driving noise is a mixture of a Gaussian and an outlier process, is presented. The convergence of the estimation algorithm is proved. An algorithm to estimate parameters and original image intensity simultaneously from the impulse-noise-corrupted image, where the model governing the image is not available, is also presented. The robustness of the parameter estimates is demonstrated by simulation. Finally, an algorithm to restore realistic images is presented. The entire image generally does not obey a simple image model, but a small portion (e.g., 8 x 8) of the image is assumed to obey an NSHP model. The original image is divided into windows and the robust estimation algorithm is applied for each window. The restoration algorithm is tested by comparing it to traditional methods on several different images.

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

NASA Astrophysics Data System (ADS)

Lopes, Sílvia R. C.; Prass, Taiane S.

2014-05-01

Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We prove that, if { is a FIEGARCH(p,d,q) process then, under mild conditions, { is an ARFIMA(q,d,0) with correlated innovations, that is, an autoregressive fractionally integrated moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and results related to the spectral representation and to the covariance structure of both processes { and { are discussed. Expressions for the kurtosis and the asymmetry measures for any stationary FIEGARCH(p,d,q) process are also derived. The h-step ahead forecast for the processes {, { and { are given with their respective mean square error of forecast. The work also presents a Monte Carlo simulation study showing how to generate, estimate and forecast based on six different FIEGARCH models. The forecasting performance of six models belonging to the class of autoregressive conditional heteroskedastic models (namely, ARCH-type models) and radial basis models is compared through an empirical application to Brazilian stock market exchange index.

Comparison of causality analysis on simultaneously measured fMRI and NIRS signals during motor tasks.

PubMed

Anwar, Abdul Rauf; Muthalib, Makii; Perrey, Stephane; Galka, Andreas; Granert, Oliver; Wolff, Stephan; Deuschl, Guenther; Raethjen, Jan; Heute, Ulrich; Muthuraman, Muthuraman

2013-01-01

Brain activity can be measured using different modalities. Since most of the modalities tend to complement each other, it seems promising to measure them simultaneously. In to be presented research, the data recorded from Functional Magnetic Resonance Imaging (fMRI) and Near Infrared Spectroscopy (NIRS), simultaneously, are subjected to causality analysis using time-resolved partial directed coherence (tPDC). Time-resolved partial directed coherence uses the principle of state space modelling to estimate Multivariate Autoregressive (MVAR) coefficients. This method is useful to visualize both frequency and time dynamics of causality between the time series. Afterwards, causality results from different modalities are compared by estimating the Spearman correlation. In to be presented study, we used directionality vectors to analyze correlation, rather than actual signal vectors. Results show that causality analysis of the fMRI correlates more closely to causality results of oxy-NIRS as compared to deoxy-NIRS in case of a finger sequencing task. However, in case of simple finger tapping, no clear difference between oxy-fMRI and deoxy-fMRI correlation is identified.

A spatially explicit approach to the study of socio-demographic inequality in the spatial distribution of trees across Boston neighborhoods.

PubMed

Duncan, Dustin T; Kawachi, Ichiro; Kum, Susan; Aldstadt, Jared; Piras, Gianfranco; Matthews, Stephen A; Arbia, Giuseppe; Castro, Marcia C; White, Kellee; Williams, David R

2014-04-01

The racial/ethnic and income composition of neighborhoods often influences local amenities, including the potential spatial distribution of trees, which are important for population health and community wellbeing, particularly in urban areas. This ecological study used spatial analytical methods to assess the relationship between neighborhood socio-demographic characteristics (i.e. minority racial/ethnic composition and poverty) and tree density at the census tact level in Boston, Massachusetts (US). We examined spatial autocorrelation with the Global Moran's I for all study variables and in the ordinary least squares (OLS) regression residuals as well as computed Spearman correlations non-adjusted and adjusted for spatial autocorrelation between socio-demographic characteristics and tree density. Next, we fit traditional regressions (i.e. OLS regression models) and spatial regressions (i.e. spatial simultaneous autoregressive models), as appropriate. We found significant positive spatial autocorrelation for all neighborhood socio-demographic characteristics (Global Moran's I range from 0.24 to 0.86, all P =0.001), for tree density (Global Moran's I =0.452, P =0.001), and in the OLS regression residuals (Global Moran's I range from 0.32 to 0.38, all P <0.001). Therefore, we fit the spatial simultaneous autoregressive models. There was a negative correlation between neighborhood percent non-Hispanic Black and tree density (r S =-0.19; conventional P -value=0.016; spatially adjusted P -value=0.299) as well as a negative correlation between predominantly non-Hispanic Black (over 60% Black) neighborhoods and tree density (r S =-0.18; conventional P -value=0.019; spatially adjusted P -value=0.180). While the conventional OLS regression model found a marginally significant inverse relationship between Black neighborhoods and tree density, we found no statistically significant relationship between neighborhood socio-demographic composition and tree density in the spatial regression models. Methodologically, our study suggests the need to take into account spatial autocorrelation as findings/conclusions can change when the spatial autocorrelation is ignored. Substantively, our findings suggest no need for policy intervention vis-à-vis trees in Boston, though we hasten to add that replication studies, and more nuanced data on tree quality, age and diversity are needed.

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

Water balance models in one-month-ahead streamflow forecasting

USGS Publications Warehouse

Alley, William M.

1985-01-01

Techniques are tested that incorporate information from water balance models in making 1-month-ahead streamflow forecasts in New Jersey. The results are compared to those based on simple autoregressive time series models. The relative performance of the models is dependent on the month of the year in question. The water balance models are most useful for forecasts of April and May flows. For the stations in northern New Jersey, the April and May forecasts were made in order of decreasing reliability using the water-balance-based approaches, using the historical monthly means, and using simple autoregressive models. The water balance models were useful to a lesser extent for forecasts during the fall months. For the rest of the year the improvements in forecasts over those obtained using the simpler autoregressive models were either very small or the simpler models provided better forecasts. When using the water balance models, monthly corrections for bias are found to improve minimum mean-square-error forecasts as well as to improve estimates of the forecast conditional distributions.

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.

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.

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.

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

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

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

Lu, Fengbin, E-mail: fblu@amss.ac.cn

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

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

PubMed

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

2017-01-01

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

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…

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

PubMed

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

2017-01-01

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

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.

Relations Among Intimate Partner Violence, Maternal Depressive Symptoms, and Maternal Parenting Behaviors

PubMed Central

Gustafsson, Hanna C.; Cox, Martha J.

2013-01-01

The authors examined the relations among intimate partner violence (IPV), maternal depressive symptoms, and maternal harsh intrusive parenting. Using a cross-lagged, autoregressive path model, they sought to clarify the directionality of the relations among these 3 variables over the first 2 years of the child’s life. The results indicated that, in this diverse sample of families living in predominantly low-income rural communities (N = 705), higher levels of early IPV were associated with increases in maternal depressive symptoms, which in turn were associated with increases in maternal harsh intrusive parenting behaviors. These findings suggest that interventions aimed at improving the parenting of women exposed to domestic violence may want to simultaneously target IPV and depressive symptomatology. PMID:23869110

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.

High-resolution time-frequency representation of EEG data using multi-scale wavelets

NASA Astrophysics Data System (ADS)

Li, Yang; Cui, Wei-Gang; Luo, Mei-Lin; Li, Ke; Wang, Lina

2017-09-01

An efficient time-varying autoregressive (TVAR) modelling scheme that expands the time-varying parameters onto the multi-scale wavelet basis functions is presented for modelling nonstationary signals and with applications to time-frequency analysis (TFA) of electroencephalogram (EEG) signals. In the new parametric modelling framework, the time-dependent parameters of the TVAR model are locally represented by using a novel multi-scale wavelet decomposition scheme, which can allow the capability to capture the smooth trends as well as track the abrupt changes of time-varying parameters simultaneously. A forward orthogonal least square (FOLS) algorithm aided by mutual information criteria are then applied for sparse model term selection and parameter estimation. Two simulation examples illustrate that the performance of the proposed multi-scale wavelet basis functions outperforms the only single-scale wavelet basis functions or Kalman filter algorithm for many nonstationary processes. Furthermore, an application of the proposed method to a real EEG signal demonstrates the new approach can provide highly time-dependent spectral resolution capability.

Conventional and advanced time series estimation: application to the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database, 1993-2006.

PubMed

Moran, John L; Solomon, Patricia J

2011-02-01

Time series analysis has seen limited application in the biomedical Literature. The utility of conventional and advanced time series estimators was explored for intensive care unit (ICU) outcome series. Monthly mean time series, 1993-2006, for hospital mortality, severity-of-illness score (APACHE III), ventilation fraction and patient type (medical and surgical), were generated from the Australia and New Zealand Intensive Care Society adult patient database. Analyses encompassed geographical seasonal mortality patterns, series structural time changes, mortality series volatility using autoregressive moving average and Generalized Autoregressive Conditional Heteroscedasticity models in which predicted variances are updated adaptively, and bivariate and multivariate (vector error correction models) cointegrating relationships between series. The mortality series exhibited marked seasonality, declining mortality trend and substantial autocorrelation beyond 24 lags. Mortality increased in winter months (July-August); the medical series featured annual cycling, whereas the surgical demonstrated long and short (3-4 months) cycling. Series structural breaks were apparent in January 1995 and December 2002. The covariance stationary first-differenced mortality series was consistent with a seasonal autoregressive moving average process; the observed conditional-variance volatility (1993-1995) and residual Autoregressive Conditional Heteroscedasticity effects entailed a Generalized Autoregressive Conditional Heteroscedasticity model, preferred by information criterion and mean model forecast performance. Bivariate cointegration, indicating long-term equilibrium relationships, was established between mortality and severity-of-illness scores at the database level and for categories of ICUs. Multivariate cointegration was demonstrated for {log APACHE III score, log ICU length of stay, ICU mortality and ventilation fraction}. A system approach to understanding series time-dependence may be established using conventional and advanced econometric time series estimators. © 2010 Blackwell Publishing Ltd.

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.

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.

Accounting for spatial effects in land use regression for urban air pollution modeling.

PubMed

Bertazzon, Stefania; Johnson, Markey; Eccles, Kristin; Kaplan, Gilaad G

2015-01-01

In order to accurately assess air pollution risks, health studies require spatially resolved pollution concentrations. Land-use regression (LUR) models estimate ambient concentrations at a fine spatial scale. However, spatial effects such as spatial non-stationarity and spatial autocorrelation can reduce the accuracy of LUR estimates by increasing regression errors and uncertainty; and statistical methods for resolving these effects--e.g., spatially autoregressive (SAR) and geographically weighted regression (GWR) models--may be difficult to apply simultaneously. We used an alternate approach to address spatial non-stationarity and spatial autocorrelation in LUR models for nitrogen dioxide. Traditional models were re-specified to include a variable capturing wind speed and direction, and re-fit as GWR models. Mean R(2) values for the resulting GWR-wind models (summer: 0.86, winter: 0.73) showed a 10-20% improvement over traditional LUR models. GWR-wind models effectively addressed both spatial effects and produced meaningful predictive models. These results suggest a useful method for improving spatially explicit models. Copyright © 2015 The Authors. Published by Elsevier Ltd.. All rights reserved.

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 spatially explicit approach to the study of socio-demographic inequality in the spatial distribution of trees across Boston neighborhoods

PubMed Central

Duncan, Dustin T.; Kawachi, Ichiro; Kum, Susan; Aldstadt, Jared; Piras, Gianfranco; Matthews, Stephen A.; Arbia, Giuseppe; Castro, Marcia C.; White, Kellee; Williams, David R.

2017-01-01

The racial/ethnic and income composition of neighborhoods often influences local amenities, including the potential spatial distribution of trees, which are important for population health and community wellbeing, particularly in urban areas. This ecological study used spatial analytical methods to assess the relationship between neighborhood socio-demographic characteristics (i.e. minority racial/ethnic composition and poverty) and tree density at the census tact level in Boston, Massachusetts (US). We examined spatial autocorrelation with the Global Moran’s I for all study variables and in the ordinary least squares (OLS) regression residuals as well as computed Spearman correlations non-adjusted and adjusted for spatial autocorrelation between socio-demographic characteristics and tree density. Next, we fit traditional regressions (i.e. OLS regression models) and spatial regressions (i.e. spatial simultaneous autoregressive models), as appropriate. We found significant positive spatial autocorrelation for all neighborhood socio-demographic characteristics (Global Moran’s I range from 0.24 to 0.86, all P=0.001), for tree density (Global Moran’s I=0.452, P=0.001), and in the OLS regression residuals (Global Moran’s I range from 0.32 to 0.38, all P<0.001). Therefore, we fit the spatial simultaneous autoregressive models. There was a negative correlation between neighborhood percent non-Hispanic Black and tree density (rS=−0.19; conventional P-value=0.016; spatially adjusted P-value=0.299) as well as a negative correlation between predominantly non-Hispanic Black (over 60% Black) neighborhoods and tree density (rS=−0.18; conventional P-value=0.019; spatially adjusted P-value=0.180). While the conventional OLS regression model found a marginally significant inverse relationship between Black neighborhoods and tree density, we found no statistically significant relationship between neighborhood socio-demographic composition and tree density in the spatial regression models. Methodologically, our study suggests the need to take into account spatial autocorrelation as findings/conclusions can change when the spatial autocorrelation is ignored. Substantively, our findings suggest no need for policy intervention vis-à-vis trees in Boston, though we hasten to add that replication studies, and more nuanced data on tree quality, age and diversity are needed. PMID:29354668

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.

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

NASA Astrophysics Data System (ADS)

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

2007-11-01

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

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.

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.

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.

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.

Identification and modeling of the electrohydraulic systems of the main gun of a main battle tank

NASA Astrophysics Data System (ADS)

Campos, Luiz C. A.; Menegaldo, Luciano L.

2012-11-01

The black-box mathematical models of the electrohydraulic systems responsible for driving the two degrees of freedom (elevation and azimuth) of the main gun of a main battle tank (MBT) were identified. Such systems respond to gunner's inputs while acquiring and tracking targets. Identification experiments were designed to collect simultaneous data from two inertial measurement units (IMU) installed at the gunner's handle (input) and at the center of rotation of the turret (output), for the identification of the azimuth system. For the elevation system, IMUs were installed at the gunner's handle (input) and at the breech of the gun (output). Linear accelerations and angular rates were collected for both input and output. Several black-box model architectures were investigated. As a result, nonlinear autoregressive with exogenous variables (NARX) second order model and nonlinear finite impulse response (NFIR) fourth order model, demonstrate to best fit the experimental data, with low computational costs. The derived models are being employed in a broader research, aiming to reproduce such systems in a laboratory virtual main gun simulator.

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.

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.

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.

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.

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.

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 %.

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.

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

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

NASA Astrophysics Data System (ADS)

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

2017-04-01

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

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

Trees grow on money: urban tree canopy cover and environmental justice.

PubMed

Schwarz, Kirsten; Fragkias, Michail; Boone, Christopher G; Zhou, Weiqi; McHale, Melissa; Grove, J Morgan; O'Neil-Dunne, Jarlath; McFadden, Joseph P; Buckley, Geoffrey L; Childers, Dan; Ogden, Laura; Pincetl, Stephanie; Pataki, Diane; Whitmer, Ali; Cadenasso, Mary L

2015-01-01

This study examines the distributional equity of urban tree canopy (UTC) cover for Baltimore, MD, Los Angeles, CA, New York, NY, Philadelphia, PA, Raleigh, NC, Sacramento, CA, and Washington, D.C. using high spatial resolution land cover data and census data. Data are analyzed at the Census Block Group levels using Spearman's correlation, ordinary least squares regression (OLS), and a spatial autoregressive model (SAR). Across all cities there is a strong positive correlation between UTC cover and median household income. Negative correlations between race and UTC cover exist in bivariate models for some cities, but they are generally not observed using multivariate regressions that include additional variables on income, education, and housing age. SAR models result in higher r-square values compared to the OLS models across all cities, suggesting that spatial autocorrelation is an important feature of our data. Similarities among cities can be found based on shared characteristics of climate, race/ethnicity, and size. Our findings suggest that a suite of variables, including income, contribute to the distribution of UTC cover. These findings can help target simultaneous strategies for UTC goals and environmental justice concerns.

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.

Vibration based condition monitoring of a multistage epicyclic gearbox in lifting cranes

NASA Astrophysics Data System (ADS)

Assaad, Bassel; Eltabach, Mario; Antoni, Jérôme

2014-01-01

This paper proposes a model-based technique for detecting wear in a multistage planetary gearbox used by lifting cranes. The proposed method establishes a vibration signal model which deals with cyclostationary and autoregressive models. First-order cyclostationarity is addressed by the analysis of the time synchronous average (TSA) of the angular resampled vibration signal. Then an autoregressive model (AR) is applied to the TSA part in order to extract a residual signal containing pertinent fault signatures. The paper also explores a number of methods commonly used in vibration monitoring of planetary gearboxes, in order to make comparisons. In the experimental part of this study, these techniques are applied to accelerated lifetime test bench data for the lifting winch. After processing raw signals recorded with an accelerometer mounted on the outside of the gearbox, a number of condition indicators (CIs) are derived from the TSA signal, the residual autoregressive signal and other signals derived using standard signal processing methods. The goal is to check the evolution of the CIs during the accelerated lifetime test (ALT). Clarity and fluctuation level of the historical trends are finally considered as a criteria for comparing between the extracted CIs.

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

Measuring the value of air quality: application of the spatial hedonic model.

PubMed

Kim, Seung Gyu; Cho, Seong-Hoon; Lambert, Dayton M; Roberts, Roland K

2010-03-01

This study applies a hedonic model to assess the economic benefits of air quality improvement following the 1990 Clean Air Act Amendment at the county level in the lower 48 United States. An instrumental variable approach that combines geographically weighted regression and spatial autoregression methods (GWR-SEM) is adopted to simultaneously account for spatial heterogeneity and spatial autocorrelation. SEM mitigates spatial dependency while GWR addresses spatial heterogeneity by allowing response coefficients to vary across observations. Positive amenity values of improved air quality are found in four major clusters: (1) in East Kentucky and most of Georgia around the Southern Appalachian area; (2) in a few counties in Illinois; (3) on the border of Oklahoma and Kansas, on the border of Kansas and Nebraska, and in east Texas; and (4) in a few counties in Montana. Clusters of significant positive amenity values may exist because of a combination of intense air pollution and consumer awareness of diminishing air quality.

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).

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.

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

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).

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.

Seabed roughness parameters from joint backscatter and reflection inversion at the Malta Plateau.

PubMed

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

2013-09-01

This paper presents estimates of seabed roughness and geoacoustic parameters and uncertainties on the Malta Plateau, Mediterranean Sea, by joint Bayesian inversion of mono-static backscatter and spherical wave reflection-coefficient data. The data are modeled using homogeneous fluid sediment layers overlying an elastic basement. The scattering model assumes a randomly rough water-sediment interface with a von Karman roughness power spectrum. Scattering and reflection data are inverted simultaneously using a population of interacting Markov chains to sample roughness and geoacoustic parameters as well as residual error parameters. Trans-dimensional sampling is applied to treat the number of sediment layers and the order (zeroth or first) of an autoregressive error model (to represent potential residual correlation) as unknowns. Results are considered in terms of marginal posterior probability profiles and distributions, which quantify the effective data information content to resolve scattering/geoacoustic structure. Results indicate well-defined scattering (roughness) parameters in good agreement with existing measurements, and a multi-layer sediment profile over a high-speed (elastic) basement, consistent with independent knowledge of sand layers over limestone.

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.

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.

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.

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.

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.

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.

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.

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.

Three-dimensional dominant frequency mapping using autoregressive spectral analysis of atrial electrograms of patients in persistent atrial fibrillation.

PubMed

Salinet, João L; Masca, Nicholas; Stafford, Peter J; Ng, G André; Schlindwein, Fernando S

2016-03-08

Areas with high frequency activity within the atrium are thought to be 'drivers' of the rhythm in patients with atrial fibrillation (AF) and ablation of these areas seems to be an effective therapy in eliminating DF gradient and restoring sinus rhythm. Clinical groups have applied the traditional FFT-based approach to generate the three-dimensional dominant frequency (3D DF) maps during electrophysiology (EP) procedures but literature is restricted on using alternative spectral estimation techniques that can have a better frequency resolution that FFT-based spectral estimation. Autoregressive (AR) model-based spectral estimation techniques, with emphasis on selection of appropriate sampling rate and AR model order, were implemented to generate high-density 3D DF maps of atrial electrograms (AEGs) in persistent atrial fibrillation (persAF). For each patient, 2048 simultaneous AEGs were recorded for 20.478 s-long segments in the left atrium (LA) and exported for analysis, together with their anatomical locations. After the DFs were identified using AR-based spectral estimation, they were colour coded to produce sequential 3D DF maps. These maps were systematically compared with maps found using the Fourier-based approach. 3D DF maps can be obtained using AR-based spectral estimation after AEGs downsampling (DS) and the resulting maps are very similar to those obtained using FFT-based spectral estimation (mean 90.23 %). There were no significant differences between AR techniques (p = 0.62). The processing time for AR-based approach was considerably shorter (from 5.44 to 5.05 s) when lower sampling frequencies and model order values were used. Higher levels of DS presented higher rates of DF agreement (sampling frequency of 37.5 Hz). We have demonstrated the feasibility of using AR spectral estimation methods for producing 3D DF maps and characterised their differences to the maps produced using the FFT technique, offering an alternative approach for 3D DF computation in human persAF studies.

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.

Methods for Multiloop Identification of Visual and Neuromuscular Pilot Responses.

PubMed

Olivari, Mario; Nieuwenhuizen, Frank M; Venrooij, Joost; Bülthoff, Heinrich H; Pollini, Lorenzo

2015-12-01

In this paper, identification methods are proposed to estimate the neuromuscular and visual responses of a multiloop pilot model. A conventional and widely used technique for simultaneous identification of the neuromuscular and visual systems makes use of cross-spectral density estimates. This paper shows that this technique requires a specific noninterference hypothesis, often implicitly assumed, that may be difficult to meet during actual experimental designs. A mathematical justification of the necessity of the noninterference hypothesis is given. Furthermore, two methods are proposed that do not have the same limitations. The first method is based on autoregressive models with exogenous inputs, whereas the second one combines cross-spectral estimators with interpolation in the frequency domain. The two identification methods are validated by offline simulations and contrasted to the classic method. The results reveal that the classic method fails when the noninterference hypothesis is not fulfilled; on the contrary, the two proposed techniques give reliable estimates. Finally, the three identification methods are applied to experimental data from a closed-loop control task with pilots. The two proposed techniques give comparable estimates, different from those obtained by the classic method. The differences match those found with the simulations. Thus, the two identification methods provide a good alternative to the classic method and make it possible to simultaneously estimate human's neuromuscular and visual responses in cases where the classic method fails.

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

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.

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

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

Detection and classification of subject-generated artifacts in EEG signals using autoregressive models.

PubMed

Lawhern, Vernon; Hairston, W David; McDowell, Kaleb; Westerfield, Marissa; Robbins, Kay

2012-07-15

We examine the problem of accurate detection and classification of artifacts in continuous EEG recordings. Manual identification of artifacts, by means of an expert or panel of experts, can be tedious, time-consuming and infeasible for large datasets. We use autoregressive (AR) models for feature extraction and characterization of EEG signals containing several kinds of subject-generated artifacts. AR model parameters are scale-invariant features that can be used to develop models of artifacts across a population. We use a support vector machine (SVM) classifier to discriminate among artifact conditions using the AR model parameters as features. Results indicate reliable classification among several different artifact conditions across subjects (approximately 94%). These results suggest that AR modeling can be a useful tool for discriminating among artifact signals both within and across individuals. Copyright © 2012 Elsevier B.V. All rights reserved.

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.

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.

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.

Trees Grow on Money: Urban Tree Canopy Cover and Environmental Justice

PubMed Central

Schwarz, Kirsten; Fragkias, Michail; Boone, Christopher G.; Zhou, Weiqi; McHale, Melissa; Grove, J. Morgan; O’Neil-Dunne, Jarlath; McFadden, Joseph P.; Buckley, Geoffrey L.; Childers, Dan; Ogden, Laura; Pincetl, Stephanie; Pataki, Diane; Whitmer, Ali; Cadenasso, Mary L.

2015-01-01

This study examines the distributional equity of urban tree canopy (UTC) cover for Baltimore, MD, Los Angeles, CA, New York, NY, Philadelphia, PA, Raleigh, NC, Sacramento, CA, and Washington, D.C. using high spatial resolution land cover data and census data. Data are analyzed at the Census Block Group levels using Spearman’s correlation, ordinary least squares regression (OLS), and a spatial autoregressive model (SAR). Across all cities there is a strong positive correlation between UTC cover and median household income. Negative correlations between race and UTC cover exist in bivariate models for some cities, but they are generally not observed using multivariate regressions that include additional variables on income, education, and housing age. SAR models result in higher r-square values compared to the OLS models across all cities, suggesting that spatial autocorrelation is an important feature of our data. Similarities among cities can be found based on shared characteristics of climate, race/ethnicity, and size. Our findings suggest that a suite of variables, including income, contribute to the distribution of UTC cover. These findings can help target simultaneous strategies for UTC goals and environmental justice concerns. PMID:25830303

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.

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.

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.

[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.

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.

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.

Gender, space, and the location changes of jobs and people: a spatial simultaneous equations analysis.

PubMed

Hoogstra, Gerke J

2012-01-01

This article summarizes a spatial econometric analysis of local population and employment growth in the Netherlands, with specific reference to impacts of gender and space. The simultaneous equations model used distinguishes between population- and gender-specific employment groups, and includes autoregressive and cross-regressive spatial lags to detect relations both within and among these groups. Spatial weights matrices reflecting different bands of travel times are used to calculate the spatial lags and to gauge the spatial nature of these relations. The empirical results show that although population–employment interaction is more localized for women's employment, no gender difference exists in the direction of interaction. Employment growth for both men and women is more influenced by population growth than vice versa. The interaction within employment groups is even more important than population growth. Women's, and especially men's, local employment growth mostly benefits from the same employment growth in neighboring locations. Finally, interaction between these groups is practically absent, although men's employment growth may have a negative impact on women's employment growth within small geographic areas. In summary, the results confirm the crucial roles of gender and space, and offer important insights into possible relations within and among subgroups of jobs and people.

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.

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…

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

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

PubMed

Okazaki, Shuntaro; Hirotani, Masako; Koike, Takahiko; Bosch-Bayard, Jorge; Takahashi, Haruka K; Hashiguchi, Maho; Sadato, Norihiro

2015-01-01

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

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

PubMed Central

Okazaki, Shuntaro; Hirotani, Masako; Koike, Takahiko; Bosch-Bayard, Jorge; Takahashi, Haruka K.; Hashiguchi, Maho; Sadato, Norihiro

2015-01-01

People’s behaviors synchronize. It is difficult, however, to determine whether synchronized behaviors occur in a mutual direction—two individuals influencing one another—or in one direction—one individual leading the other, and what the underlying mechanism for synchronization is. To answer these questions, we hypothesized a non-leader-follower postural sway synchronization, caused by a reciprocal visuo-postural feedback system operating on pairs of individuals, and tested that hypothesis both experimentally and via simulation. In the behavioral experiment, 22 participant pairs stood face to face either 20 or 70 cm away from each other wearing glasses with or without vision blocking lenses. The existence and direction of visual information exchanged between pairs of participants were systematically manipulated. The time series data for the postural sway of these pairs were recorded and analyzed with cross correlation and causality. Results of cross correlation showed that postural sway of paired participants was synchronized, with a shorter time lag when participant pairs could see one another’s head motion than when one of the participants was blindfolded. In addition, there was less of a time lag in the observed synchronization when the distance between participant pairs was smaller. As for the causality analysis, noise contribution ratio (NCR), the measure of influence using a multivariate autoregressive model, was also computed to identify the degree to which one’s postural sway is explained by that of the other’s and how visual information (sighted vs. blindfolded) interacts with paired participants’ postural sway. It was found that for synchronization to take place, it is crucial that paired participants be sighted and exert equal influence on one another by simultaneously exchanging visual information. Furthermore, a simulation for the proposed system with a wider range of visual input showed a pattern of results similar to the behavioral results. PMID:26398768

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

PubMed

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

2017-01-01

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

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

PubMed Central

Qin, Yaochen; Lee, Jay

2017-01-01

This study aims to evaluate the impacts of climate change and technical progress on the wheat yield per unit area from 1970 to 2014 in Henan, the largest agricultural province in China, using an autoregressive distributed lag approach. The bounded F-test for cointegration among the model variables yielded evidence of a long-run relationship among climate change, technical progress, and the wheat yield per unit area. In the long run, agricultural machinery and fertilizer use both had significantly positive impacts on the per unit area wheat yield. A 1% increase in the aggregate quantity of fertilizer use increased the wheat yield by 0.19%. Additionally, a 1% increase in machine use increased the wheat yield by 0.21%. In contrast, precipitation during the wheat growth period (from emergence to maturity, consisting of the period from last October to June) led to a decrease in the wheat yield per unit area. In the short run, the coefficient of the aggregate quantity of fertilizer used was negative. Land size had a significantly positive impact on the per unit area wheat yield in the short run. There was no significant short-run or long-run impact of temperature on the wheat yield per unit area in Henan Province. The results of our analysis suggest that climate change had a weak impact on the wheat yield, while technical progress played an important role in increasing the wheat yield per unit area. The results of this study have implications for national and local agriculture policies under climate change. To design well-targeted agriculture adaptation policies for the future and to reduce the adverse effects of climate change on the wheat yield, climate change and technical progress factors should be considered simultaneously. In addition, adaptive measures associated with technical progress should be given more attention. PMID:28950027

Dynamic Granger-Geweke causality modeling with application to interictal spike propagation

PubMed Central

Lin, Fa-Hsuan; Hara, Keiko; Solo, Victor; Vangel, Mark; Belliveau, John W.; Stufflebeam, Steven M.; Hamalainen, Matti S.

2010-01-01

A persistent problem in developing plausible neurophysiological models of perception, cognition, and action is the difficulty of characterizing the interactions between different neural systems. Previous studies have approached this problem by estimating causal influences across brain areas activated during cognitive processing using Structural Equation Modeling and, more recently, with Granger-Geweke causality. While SEM is complicated by the need for a priori directional connectivity information, the temporal resolution of dynamic Granger-Geweke estimates is limited because the underlying autoregressive (AR) models assume stationarity over the period of analysis. We have developed a novel optimal method for obtaining data-driven directional causality estimates with high temporal resolution in both time and frequency domains. This is achieved by simultaneously optimizing the length of the analysis window and the chosen AR model order using the SURE criterion. Dynamic Granger-Geweke causality in time and frequency domains is subsequently calculated within a moving analysis window. We tested our algorithm by calculating the Granger-Geweke causality of epileptic spike propagation from the right frontal lobe to the left frontal lobe. The results quantitatively suggested the epileptic activity at the left frontal lobe was propagated from the right frontal lobe, in agreement with the clinical diagnosis. Our novel computational tool can be used to help elucidate complex directional interactions in the human brain. PMID:19378280

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...

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.

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

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.

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.

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…

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

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.

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.

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.

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.

The accuracy comparison between ARFIMA and singular spectrum analysis for forecasting the sales volume of motorcycle in Indonesia

NASA Astrophysics Data System (ADS)

Sitohang, Yosep Oktavianus; Darmawan, Gumgum

2017-08-01

This research attempts to compare between two forecasting models in time series analysis for predicting the sales volume of motorcycle in Indonesia. The first forecasting model used in this paper is Autoregressive Fractionally Integrated Moving Average (ARFIMA). ARFIMA can handle non-stationary data and has a better performance than ARIMA in forecasting accuracy on long memory data. This is because the fractional difference parameter can explain correlation structure in data that has short memory, long memory, and even both structures simultaneously. The second forecasting model is Singular spectrum analysis (SSA). The advantage of the technique is that it is able to decompose time series data into the classic components i.e. trend, cyclical, seasonal and noise components. This makes the forecasting accuracy of this technique significantly better. Furthermore, SSA is a model-free technique, so it is likely to have a very wide range in its application. Selection of the best model is based on the value of the lowest MAPE. Based on the calculation, it is obtained the best model for ARFIMA is ARFIMA (3, d = 0, 63, 0) with MAPE value of 22.95 percent. For SSA with a window length of 53 and 4 group of reconstructed data, resulting MAPE value of 13.57 percent. Based on these results it is concluded that SSA produces better forecasting accuracy.

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.

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.

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.

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…

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

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

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.

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.

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.

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

Inter-annual cascade effect on marine food web: A benthic pathway lagging nutrient supply to pelagic fish stock

PubMed Central

Fernandes, Lohengrin Dias de Almeida; Fagundes Netto, Eduardo Barros; Coutinho, Ricardo

2017-01-01

Currently, spatial and temporal changes in nutrients availability, marine planktonic, and fish communities are best described on a shorter than inter-annual (seasonal) scale, primarily because the simultaneous year-to-year variations in physical, chemical, and biological parameters are very complex. The limited availability of time series datasets furnishing simultaneous evaluations of temperature, nutrients, plankton, and fish have limited our ability to describe and to predict variability related to short-term process, as species-specific phenology and environmental seasonality. In the present study, we combine a computational time series analysis on a 15-year (1995–2009) weekly-sampled time series (high-resolution long-term time series, 780 weeks) with an Autoregressive Distributed Lag Model to track non-seasonal changes in 10 potentially related parameters: sea surface temperature, nutrient concentrations (NO2, NO3, NH4 and PO4), phytoplankton biomass (as in situ chlorophyll a biomass), meroplankton (barnacle and mussel larvae), and fish abundance (Mugil liza and Caranx latus). Our data demonstrate for the first time that highly intense and frequent upwelling years initiate a huge energy flux that is not fully transmitted through classical size-structured food web by bottom-up stimulus but through additional ontogenetic steps. A delayed inter-annual sequential effect from phytoplankton up to top predators as carnivorous fishes is expected if most of energy is trapped into benthic filter feeding organisms and their larval forms. These sequential events can explain major changes in ecosystem food web that were not predicted in previous short-term models. PMID:28886162

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…

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.

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.

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

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 back-fitting algorithm to improve real-time flood forecasting

NASA Astrophysics Data System (ADS)

Zhang, Xiaojing; Liu, Pan; Cheng, Lei; Liu, Zhangjun; Zhao, Yan

2018-07-01

Real-time flood forecasting is important for decision-making with regards to flood control and disaster reduction. The conventional approach involves a postprocessor calibration strategy that first calibrates the hydrological model and then estimates errors. This procedure can simulate streamflow consistent with observations, but obtained parameters are not optimal. Joint calibration strategies address this issue by refining hydrological model parameters jointly with the autoregressive (AR) model. In this study, five alternative schemes are used to forecast floods. Scheme I uses only the hydrological model, while scheme II includes an AR model for error correction. In scheme III, differencing is used to remove non-stationarity in the error series. A joint inference strategy employed in scheme IV calibrates the hydrological and AR models simultaneously. The back-fitting algorithm, a basic approach for training an additive model, is adopted in scheme V to alternately recalibrate hydrological and AR model parameters. The performance of the five schemes is compared with a case study of 15 recorded flood events from China's Baiyunshan reservoir basin. Our results show that (1) schemes IV and V outperform scheme III during the calibration and validation periods and (2) scheme V is inferior to scheme IV in the calibration period, but provides better results in the validation period. Joint calibration strategies can therefore improve the accuracy of flood forecasting. Additionally, the back-fitting recalibration strategy produces weaker overcorrection and a more robust performance compared with the joint inference strategy.

Inter-comparison of time series models of lake levels predicted by several modeling strategies

NASA Astrophysics Data System (ADS)

Khatibi, R.; Ghorbani, M. A.; Naghipour, L.; Jothiprakash, V.; Fathima, T. A.; Fazelifard, M. H.

2014-04-01

Five modeling strategies are employed to analyze water level time series of six lakes with different physical characteristics such as shape, size, altitude and range of variations. The models comprise chaos theory, Auto-Regressive Integrated Moving Average (ARIMA) - treated for seasonality and hence SARIMA, Artificial Neural Networks (ANN), Gene Expression Programming (GEP) and Multiple Linear Regression (MLR). Each is formulated on a different premise with different underlying assumptions. Chaos theory is elaborated in a greater detail as it is customary to identify the existence of chaotic signals by a number of techniques (e.g. average mutual information and false nearest neighbors) and future values are predicted using the Nonlinear Local Prediction (NLP) technique. This paper takes a critical view of past inter-comparison studies seeking a superior performance, against which it is reported that (i) the performances of all five modeling strategies vary from good to poor, hampering the recommendation of a clear-cut predictive model; (ii) the performances of the datasets of two cases are consistently better with all five modeling strategies; (iii) in other cases, their performances are poor but the results can still be fit-for-purpose; (iv) the simultaneous good performances of NLP and SARIMA pull their underlying assumptions to different ends, which cannot be reconciled. A number of arguments are presented including the culture of pluralism, according to which the various modeling strategies facilitate an insight into the data from different vantages.

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.

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.

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.

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

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.

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.

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

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.

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

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.

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

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.

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.

Bayesian inference of uncertainties in precipitation-streamflow modeling in a snow affected catchment

NASA Astrophysics Data System (ADS)

Koskela, J. J.; Croke, B. W. F.; Koivusalo, H.; Jakeman, A. J.; Kokkonen, T.

2012-11-01

Bayesian inference is used to study the effect of precipitation and model structural uncertainty on estimates of model parameters and confidence limits of predictive variables in a conceptual rainfall-runoff model in the snow-fed Rudbäck catchment (142 ha) in southern Finland. The IHACRES model is coupled with a simple degree day model to account for snow accumulation and melt. The posterior probability distribution of the model parameters is sampled by using the Differential Evolution Adaptive Metropolis (DREAM(ZS)) algorithm and the generalized likelihood function. Precipitation uncertainty is taken into account by introducing additional latent variables that were used as multipliers for individual storm events. Results suggest that occasional snow water equivalent (SWE) observations together with daily streamflow observations do not contain enough information to simultaneously identify model parameters, precipitation uncertainty and model structural uncertainty in the Rudbäck catchment. The addition of an autoregressive component to account for model structure error and latent variables having uniform priors to account for input uncertainty lead to dubious posterior distributions of model parameters. Thus our hypothesis that informative priors for latent variables could be replaced by additional SWE data could not be confirmed. The model was found to work adequately in 1-day-ahead simulation mode, but the results were poor in the simulation batch mode. This was caused by the interaction of parameters that were used to describe different sources of uncertainty. The findings may have lessons for other cases where parameterizations are similarly high in relation to available prior information.

Continuous rainfall simulation for regional flood risk assessment - application in the Austrian Alps

NASA Astrophysics Data System (ADS)

Salinas, Jose Luis; Nester, Thomas; Komma, Jürgen; Blöschl, Günter

2017-04-01

Generation of realistic synthetic spatial rainfall is of pivotal importance for assessing regional hydroclimatic hazard as the input for long term rainfall-runoff simulations. The correct reproduction of the observed rainfall characteristics, such as regional intensity-duration-frequency curves, is necessary to adequately model the magnitude and frequency of the flood peaks. Furthermore, the replication of the observed rainfall spatial and temporal correlations allows to model important other hydrological features like antecedent soil moisture conditions before extreme rainfall events. In this work, we present an application in the Tirol region (Austrian alps) of a modification of the model presented by Bardossy and Platte (1992), where precipitation is modeled on a station basis as a mutivariate autoregressive model (mAr) in a Normal space, and then transformed to a Gamma-distributed space. For the sake of simplicity, the parameters of the Gamma distributions are assumed to vary monthly according to a sinusoidal function, and are calibrated trying to simultaneously reproduce i) mean annual rainfall, ii) mean daily rainfall amounts, iii) standard deviations of daily rainfall amounts, and iv) 24-hours intensity duration frequency curve. The calibration of the spatial and temporal correlation parameters is performed in a way that the intensity-duration-frequency curves aggregated at different spatial and temporal scales reproduce the measured ones. Bardossy, A., and E. J. Plate (1992), Space-time model for daily rainfall using atmospheric circulation patterns, Water Resour. Res., 28(5), 1247-1259, doi:10.1029/91WR02589.

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.

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.

Assessing the impacts of Saskatchewan's minimum alcohol pricing regulations on alcohol-related crime.

PubMed

Stockwell, Tim; Zhao, Jinhui; Sherk, Adam; Callaghan, Russell C; Macdonald, Scott; Gatley, Jodi

2017-07-01

Saskatchewan's introduction in April 2010 of minimum prices graded by alcohol strength led to an average minimum price increase of 9.1% per Canadian standard drink (=13.45 g ethanol). This increase was shown to be associated with reduced consumption and switching to lower alcohol content beverages. Police also informally reported marked reductions in night-time alcohol-related crime. This study aims to assess the impacts of changes to Saskatchewan's minimum alcohol-pricing regulations between 2008 and 2012 on selected crime events often related to alcohol use. Data were obtained from Canada's Uniform Crime Reporting Survey. Auto-regressive integrated moving average time series models were used to test immediate and lagged associations between minimum price increases and rates of night-time and police identified alcohol-related crimes. Controls were included for simultaneous crime rates in the neighbouring province of Alberta, economic variables, linear trend, seasonality and autoregressive and/or moving-average effects. The introduction of increased minimum-alcohol prices was associated with an abrupt decrease in night-time alcohol-related traffic offences for men (-8.0%, P < 0.001), but not women. No significant immediate changes were observed for non-alcohol-related driving offences, disorderly conduct or violence. Significant monthly lagged effects were observed for violent offences (-19.7% at month 4 to -18.2% at month 6), which broadly corresponded to lagged effects in on-premise alcohol sales. Increased minimum alcohol prices may contribute to reductions in alcohol-related traffic-related and violent crimes perpetrated by men. Observed lagged effects for violent incidents may be due to a delay in bars passing on increased prices to their customers, perhaps because of inventory stockpiling. [Stockwell T, Zhao J, Sherk A, Callaghan RC, Macdonald S, Gatley J. Assessing the impacts of Saskatchewan's minimum alcohol pricing regulations on alcohol-related crime. Drug Alcohol Rev 2017;36:492-501]. © 2016 Australasian Professional Society on Alcohol and other Drugs.

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.

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

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%.

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.

Continuous Sub-daily Rainfall Simulation for Regional Flood Risk Assessment - Modelling of Spatio-temporal Correlation Structure of Extreme Precipitation in the Austrian Alps

NASA Astrophysics Data System (ADS)

Salinas, J. L.; Nester, T.; Komma, J.; Bloeschl, G.

2017-12-01

Generation of realistic synthetic spatial rainfall is of pivotal importance for assessing regional hydroclimatic hazard as the input for long term rainfall-runoff simulations. The correct reproduction of observed rainfall characteristics, such as regional intensity-duration-frequency curves, and spatial and temporal correlations is necessary to adequately model the magnitude and frequency of the flood peaks, by reproducing antecedent soil moisture conditions before extreme rainfall events, and joint probability of flood waves at confluences. In this work, a modification of the model presented by Bardossy and Platte (1992), where precipitation is first modeled on a station basis as a multivariate autoregressive model (mAr) in a Normal space. The spatial and temporal correlation structures are imposed in the Normal space, allowing for a different temporal autocorrelation parameter for each station, and simultaneously ensuring the positive-definiteness of the correlation matrix of the mAr errors. The Normal rainfall is then transformed to a Gamma-distributed space, with parameters varying monthly according to a sinusoidal function, in order to adapt to the observed rainfall seasonality. One of the main differences with the original model is the simulation time-step, reduced from 24h to 6h. Due to a larger availability of daily rainfall data, as opposite to sub-daily (e.g. hourly), the parameters of the Gamma distributions are calibrated to reproduce simultaneously a series of daily rainfall characteristics (mean daily rainfall, standard deviations of daily rainfall, and 24h intensity-duration-frequency [IDF] curves), as well as other aggregated rainfall measures (mean annual rainfall, and monthly rainfall). The calibration of the spatial and temporal correlation parameters is performed in a way that the catchment-averaged IDF curves aggregated at different temporal scales fit the measured ones. The rainfall model is used to generate 10.000 years of synthetic precipitation, fed into a rainfall-runoff model to derive the flood frequency in the Tirolean Alps in Austria. Given the number of generated events, the simulation framework is able to generate a large variety of rainfall patterns, as well as reproduce the variograms of relevant extreme rainfall events in the region of interest.

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.

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.

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.

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

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

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.

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.

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.

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.

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.

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

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.

Ensemble-based methods for forecasting census in hospital units

PubMed Central

2013-01-01

Background The ability to accurately forecast census counts in hospital departments has considerable implications for hospital resource allocation. In recent years several different methods have been proposed forecasting census counts, however many of these approaches do not use available patient-specific information. Methods In this paper we present an ensemble-based methodology for forecasting the census under a framework that simultaneously incorporates both (i) arrival trends over time and (ii) patient-specific baseline and time-varying information. The proposed model for predicting census has three components, namely: current census count, number of daily arrivals and number of daily departures. To model the number of daily arrivals, we use a seasonality adjusted Poisson Autoregressive (PAR) model where the parameter estimates are obtained via conditional maximum likelihood. The number of daily departures is predicted by modeling the probability of departure from the census using logistic regression models that are adjusted for the amount of time spent in the census and incorporate both patient-specific baseline and time varying patient-specific covariate information. We illustrate our approach using neonatal intensive care unit (NICU) data collected at Women & Infants Hospital, Providence RI, which consists of 1001 consecutive NICU admissions between April 1st 2008 and March 31st 2009. Results Our results demonstrate statistically significant improved prediction accuracy for 3, 5, and 7 day census forecasts and increased precision of our forecasting model compared to a forecasting approach that ignores patient-specific information. Conclusions Forecasting models that utilize patient-specific baseline and time-varying information make the most of data typically available and have the capacity to substantially improve census forecasts. PMID:23721123

Ensemble-based methods for forecasting census in hospital units.

PubMed

Koestler, Devin C; Ombao, Hernando; Bender, Jesse

2013-05-30

The ability to accurately forecast census counts in hospital departments has considerable implications for hospital resource allocation. In recent years several different methods have been proposed forecasting census counts, however many of these approaches do not use available patient-specific information. In this paper we present an ensemble-based methodology for forecasting the census under a framework that simultaneously incorporates both (i) arrival trends over time and (ii) patient-specific baseline and time-varying information. The proposed model for predicting census has three components, namely: current census count, number of daily arrivals and number of daily departures. To model the number of daily arrivals, we use a seasonality adjusted Poisson Autoregressive (PAR) model where the parameter estimates are obtained via conditional maximum likelihood. The number of daily departures is predicted by modeling the probability of departure from the census using logistic regression models that are adjusted for the amount of time spent in the census and incorporate both patient-specific baseline and time varying patient-specific covariate information. We illustrate our approach using neonatal intensive care unit (NICU) data collected at Women & Infants Hospital, Providence RI, which consists of 1001 consecutive NICU admissions between April 1st 2008 and March 31st 2009. Our results demonstrate statistically significant improved prediction accuracy for 3, 5, and 7 day census forecasts and increased precision of our forecasting model compared to a forecasting approach that ignores patient-specific information. Forecasting models that utilize patient-specific baseline and time-varying information make the most of data typically available and have the capacity to substantially improve census forecasts.

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.

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.

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

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.

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.

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.

A longitudinal study of teachers' occupational well-being: Applying the job demands-resources model.

PubMed

Dicke, Theresa; Stebner, Ferdinand; Linninger, Christina; Kunter, Mareike; Leutner, Detlev

2018-04-01

The job demands-resources model (JD-R model; Bakker & Demerouti, 2014) is well established in occupational research, and the proposed processes it posits have been replicated numerous times. Thus, the JD-R model provides an excellent framework for explaining the occupational well-being of beginning teachers-an occupation associated with particularly high levels of strain and consequently, high attrition rates. However, the model's assumptions have to date mostly been tested piecewise, and seldom on the basis of longitudinal models. With a series of longitudinal autoregressive SEM models (N = 1,700) we tested all assumptions of the JD-R model simultaneously in one model with an applied focus on beginning teachers. We assessed self-reports of beginning teachers at three time waves: at the beginning and end (one and a half to two years later) of their preservice period, and again, one year later. Results revealed significant direct effects of resources (self-efficacy) on engagement, of demands (classroom disturbances) on strain (emotional exhaustion), and a significant reverse path of engagement on self-efficacy. Additionally, the results showed two moderation effects: Self-efficacy buffered the demands-strain relationship, while self-efficacy also predicted engagement, especially when disturbances were high. Thus, self-efficacy in classroom management plays an important role in the teachers' stress development process, as it will, in case of high classroom disturbances, not only buffer the strain-enhancing effects, but also boost engagement. Commitment was predicted directly by emotional exhaustion and engagement, but indirectly only by self-efficacy (via engagement). Thus, we provide strong empirical support for the JD-R model. (PsycINFO Database Record (c) 2018 APA, all rights reserved).

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

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.

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.

Using Medical-Device Wearable to Improve Hemodialysis Patient’s Live and Access the Holistic Health

NASA Astrophysics Data System (ADS)

Chen, W. L.; Wu, C.-C.; Kan, C. D.

2017-06-01

The increasing incidence of end-stage renal disease (ESRD) is the major burden to health budgets and a threat to public health worldwide. For many years, Taiwan has been ranked the first in the world for the number of hemodialysis patients. For solving the above-mentioned circumstance, we demonstrate the project, here, which goal is to construct the holistic health for hemodialysis patient. The project is to design a wearable medicine-device which can simultaneously measure and monitor the vital sign, including heart rate (HR), pulse oximetry (SPO2), continuous non-invasive blood pressure (c-NIBP), and total body water (TBW), of hemodialysis patient. By aid of the device we design, hemodialysis patients will get better health care than before. This device comprises three techniques. The first is named “Using phonoangiography technique to early detect the dysfunction of arteriovenous access by arteriovenous access (AVA) stenosis detector”. The stenosis detector based on autoregressive model was employed to simultaneously estimate the status of AVA life cycle and to tract changes in frequency spectra. It helps hemodialysis patients to early detect the dysfunction of AVA and alarms them to make a return visit. The second technique is named “Physiological detecting device for wearable medical device and encoding algorithm development”. The feature of the second technique is to optimize the prognosis by analyzing physiological signals, including water content index, pulse oximetry, and blood pressure in the meanwhile. The third technique is named “Intelligent and smart tourniquet”. This technique aims to preclude AVA dysfunction caused by inappropriate hemostasis.

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.

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

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.

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.

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.

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.

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.

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.

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

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.

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.

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.

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 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.

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

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).

Estimating front-wave velocity of infectious diseases: a simple, efficient method applied to bluetongue.

PubMed

Pioz, Maryline; Guis, Hélène; Calavas, Didier; Durand, Benoît; Abrial, David; Ducrot, Christian

2011-04-20

Understanding the spatial dynamics of an infectious disease is critical when attempting to predict where and how fast the disease will spread. We illustrate an approach using a trend-surface analysis (TSA) model combined with a spatial error simultaneous autoregressive model (SAR(err) model) to estimate the speed of diffusion of bluetongue (BT), an infectious disease of ruminants caused by bluetongue virus (BTV) and transmitted by Culicoides. In a first step to gain further insight into the spatial transmission characteristics of BTV serotype 8, we used 2007-2008 clinical case reports in France and TSA modelling to identify the major directions and speed of disease diffusion. We accounted for spatial autocorrelation by combining TSA with a SAR(err) model, which led to a trend SAR(err) model. Overall, BT spread from north-eastern to south-western France. The average trend SAR(err)-estimated velocity across the country was 5.6 km/day. However, velocities differed between areas and time periods, varying between 2.1 and 9.3 km/day. For more than 83% of the contaminated municipalities, the trend SAR(err)-estimated velocity was less than 7 km/day. Our study was a first step in describing the diffusion process for BT in France. To our knowledge, it is the first to show that BT spread in France was primarily local and consistent with the active flight of Culicoides and local movements of farm animals. Models such as the trend SAR(err) models are powerful tools to provide information on direction and speed of disease diffusion when the only data available are date and location of cases.

Adaptive Anchoring Model: How Static and Dynamic Presentations of Time Series Influence Judgments and Predictions.

PubMed

Kusev, Petko; van Schaik, Paul; Tsaneva-Atanasova, Krasimira; Juliusson, Asgeir; Chater, Nick

2018-01-01

When attempting to predict future events, people commonly rely on historical data. One psychological characteristic of judgmental forecasting of time series, established by research, is that when people make forecasts from series, they tend to underestimate future values for upward trends and overestimate them for downward ones, so-called trend-damping (modeled by anchoring on, and insufficient adjustment from, the average of recent time series values). Events in a time series can be experienced sequentially (dynamic mode), or they can also be retrospectively viewed simultaneously (static mode), not experienced individually in real time. In one experiment, we studied the influence of presentation mode (dynamic and static) on two sorts of judgment: (a) predictions of the next event (forecast) and (b) estimation of the average value of all the events in the presented series (average estimation). Participants' responses in dynamic mode were anchored on more recent events than in static mode for all types of judgment but with different consequences; hence, dynamic presentation improved prediction accuracy, but not estimation. These results are not anticipated by existing theoretical accounts; we develop and present an agent-based model-the adaptive anchoring model (ADAM)-to account for the difference between processing sequences of dynamically and statically presented stimuli (visually presented data). ADAM captures how variation in presentation mode produces variation in responses (and the accuracy of these responses) in both forecasting and judgment tasks. ADAM's model predictions for the forecasting and judgment tasks fit better with the response data than a linear-regression time series model. Moreover, ADAM outperformed autoregressive-integrated-moving-average (ARIMA) and exponential-smoothing models, while neither of these models accounts for people's responses on the average estimation task. Copyright © 2017 The Authors. Cognitive Science published by Wiley Periodicals, Inc. on behalf of Cognitive Science Society.

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.

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

Spatial associations between social groups and ozone air pollution exposure in the Beijing urban area.

PubMed

Zhao, Xinyi; Cheng, Hongguang; He, Siyuan; Cui, Xiangfen; Pu, Xiao; Lu, Lu

2018-07-01

Few studies have linked social factors to air pollution exposure in China. Unlike the race or minority concepts in western countries, the Hukou system (residential registration system) is a fundamental reason for the existence of social deprivation in China. To assess the differences in ozone (O 3 ) exposure among social groups, especially groups divided by Hukou status, we assigned estimates of O 3 exposure to the latest census data of the Beijing urban area using a kriging interpolation model. We developed simultaneous autoregressive (SAR) models that account for spatial autocorrelation to identify the associations between O 3 exposure and social factors. Principal component regression was used to control the multicollinearity bias as well as explore the spatial structure of the social data. The census tracts (CTs) with higher proportions of persons living alone and migrants with non-local Hukou were characterized by greater exposure to ambient O 3 . The areas with greater proportions of seniors had lower O 3 exposure. The spatial distribution patterns were similar among variables including migrants, agricultural population and household separation (population status with separation between Hukou and actual residences), which fit the demographic characteristics of the majority of migrants. Migrants bore a double burden of social deprivation and O 3 pollution exposure due to city development planning and the Hukou system. Copyright © 2018 Elsevier Inc. All rights reserved.

Estimation of effective brain connectivity with dual Kalman filter and EEG source localization methods.

PubMed

Rajabioun, Mehdi; Nasrabadi, Ali Motie; Shamsollahi, Mohammad Bagher

2017-09-01

Effective connectivity is one of the most important considerations in brain functional mapping via EEG. It demonstrates the effects of a particular active brain region on others. In this paper, a new method is proposed which is based on dual Kalman filter. In this method, firstly by using a brain active localization method (standardized low resolution brain electromagnetic tomography) and applying it to EEG signal, active regions are extracted, and appropriate time model (multivariate autoregressive model) is fitted to extracted brain active sources for evaluating the activity and time dependence between sources. Then, dual Kalman filter is used to estimate model parameters or effective connectivity between active regions. The advantage of this method is the estimation of different brain parts activity simultaneously with the calculation of effective connectivity between active regions. By combining dual Kalman filter with brain source localization methods, in addition to the connectivity estimation between parts, source activity is updated during the time. The proposed method performance has been evaluated firstly by applying it to simulated EEG signals with interacting connectivity simulation between active parts. Noisy simulated signals with different signal to noise ratios are used for evaluating method sensitivity to noise and comparing proposed method performance with other methods. Then the method is applied to real signals and the estimation error during a sweeping window is calculated. By comparing proposed method results in different simulation (simulated and real signals), proposed method gives acceptable results with least mean square error in noisy or real conditions.

[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

The unusual suspect: Land use is a key predictor of biodiversity patterns in the Iberian Peninsula

NASA Astrophysics Data System (ADS)

Martins, Inês Santos; Proença, Vânia; Pereira, Henrique Miguel

2014-11-01

Although land use change is a key driver of biodiversity change, related variables such as habitat area and habitat heterogeneity are seldom considered in modeling approaches at larger extents. To address this knowledge gap we tested the contribution of land use related variables to models describing richness patterns of amphibians, reptiles and passerines in the Iberian Peninsula. We analyzed the relationship between species richness and habitat heterogeneity at two spatial resolutions (i.e., 10 km × 10 km and 50 km × 50 km). Using both ordinary least square and simultaneous autoregressive models, we assessed the relative importance of land use variables, climate variables and topographic variables. We also compare the species-area relationship with a multi-habitat model, the countryside species-area relationship, to assess the role of the area of different types of habitats on species diversity across scales. The association between habitat heterogeneity and species richness varied with the taxa and spatial resolution. A positive relationship was detected for all taxa at a grain size of 10 km × 10 km, but only passerines responded at a grain size of 50 km × 50 km. Species richness patterns were well described by abiotic predictors, but habitat predictors also explained a considerable portion of the variation. Moreover, species richness patterns were better described by a multi-habitat species-area model, incorporating land use variables, than by the classic power model, which only includes area as the single explanatory variable. Our results suggest that the role of land use in shaping species richness patterns goes beyond the local scale and persists at larger spatial scales. These findings call for the need of integrating land use variables in models designed to assess species richness response to large scale environmental changes.

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...

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 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

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

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.

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).

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.

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.

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

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

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.

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.

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.

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.

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.

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.

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.

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.

Longitudinal associations between adult children's relations with parents and intimate partners.

PubMed

Johnson, Matthew D; Galovan, Adam M; Horne, Rebecca M; Min, Joohong; Walper, Sabine

2017-10-01

Drawing on 5 waves of multiple-informant data gathered from focal participants and their parents and intimate partners (n = 360 families) who completed annual surveys in the German Family Panel (pairfam) study, the present investigation examined bidirectional associations between the development of adults' conflictual and intimate interactions with their parents and intimate partners. Autoregressive cross-lagged latent change score modeling results revealed a robust pattern of coordinated development between parent-adult child and couple conflictual and intimate interactions: increases in conflict and intimacy in one relationship were contemporaneously intertwined with changes in the other relationship. Additionally, prior couple intimacy and conflict predicted future parent-adult child relations in 7 out of 14 cross-lagged pathways examined, but parent-adult child conflict and intimacy was only associated with future couple interactions in 1 pathway. These associations were not moderated by the gender of parents or the adult child or whether the adult child was a young adult or nearing midlife. Frequency of contact between parents and the adult child moderated some associations. Adults simultaneously juggle ties with parents and intimate partners, and this study provides strong evidence supporting the coordinated development of conflictual and intimate patterns of interaction in each relationship. (PsycINFO Database Record (c) 2017 APA, all rights reserved).

Effect of vegetation on cutaneous leishmaniasis in Paraná, Brazil

PubMed Central

Melo, Helen Aline; Rossoni, Diogo Francisco; Teodoro, Ueslei

2018-01-01

BACKGROUND Cutaneous leishmaniasis (CL) is endemic in the state of Paraná, Brazil. OBJECTIVE This study aimed at analysing the influence of the remaining native vegetation on the prevalence of CL in Paraná. METHODS Global testing was used for spatial autocorrelation along with simultaneous autoregressive model (SAR). The regression was based on the CL coefficient (cases/100,000 inhabitants) as a function of the percentage of natural vegetation cover, altitude, total number of cases, and spatial density (SD) per km2; the location data of the Paraná state municipalities and the detection coefficient (DC) (cases/100,000 inhabitants) of autochthonous cases of CL were obtained from the SINAN in 2012 and 2016. Data on the remaining forests were collected from the Fundação SOS Mata Atlântica and Instituto Nacional de Pesquisas Espaciais. FINDINGS The spatial regression of DC revealed statistical significance for SD (Z = 24.1359, p < 0.05, 2012-2013; Z = 24.0817, p < 0.05, 2013-2014; Z = 33.4824, p < 0.05, 2014-2015; and Z = 27.1515, p < 0.05, 2015-2016. CONCLUSIONS CL cases are reported in areas with native vegetation, such as in riparian forests. However, vegetation is not the only variable that influences the incidence of CL. PMID:29768531

Robust Nonlinear Causality Analysis of Nonstationary Multivariate Physiological Time Series.

PubMed

Schack, Tim; Muma, Michael; Feng, Mengling; Guan, Cuntai; Zoubir, Abdelhak M

2018-06-01

An important research area in biomedical signal processing is that of quantifying the relationship between simultaneously observed time series and to reveal interactions between the signals. Since biomedical signals are potentially nonstationary and the measurements may contain outliers and artifacts, we introduce a robust time-varying generalized partial directed coherence (rTV-gPDC) function. The proposed method, which is based on a robust estimator of the time-varying autoregressive (TVAR) parameters, is capable of revealing directed interactions between signals. By definition, the rTV-gPDC only displays the linear relationships between the signals. We therefore suggest to approximate the residuals of the TVAR process, which potentially carry information about the nonlinear causality by a piece-wise linear time-varying moving-average model. The performance of the proposed method is assessed via extensive simulations. To illustrate the method's applicability to real-world problems, it is applied to a neurophysiological study that involves intracranial pressure, arterial blood pressure, and brain tissue oxygenation level (PtiO2) measurements. The rTV-gPDC reveals causal patterns that are in accordance with expected cardiosudoral meachanisms and potentially provides new insights regarding traumatic brain injuries. The rTV-gPDC is not restricted to the above problem but can be useful in revealing interactions in a broad range of applications.

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.

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

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.

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.

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.

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.

A Hybrid Model for Predicting the Prevalence of Schistosomiasis in Humans of Qianjiang City, China

PubMed Central

Wang, Ying; Lu, Zhouqin; Tian, Lihong; Tan, Li; Shi, Yun; Nie, Shaofa; Liu, Li

2014-01-01

Backgrounds/Objective Schistosomiasis is still a major public health problem in China, despite the fact that the government has implemented a series of strategies to prevent and control the spread of the parasitic disease. Advanced warning and reliable forecasting can help policymakers to adjust and implement strategies more effectively, which will lead to the control and elimination of schistosomiasis. Our aim is to explore the application of a hybrid forecasting model to track the trends of the prevalence of schistosomiasis in humans, which provides a methodological basis for predicting and detecting schistosomiasis infection in endemic areas. Methods A hybrid approach combining the autoregressive integrated moving average (ARIMA) model and the nonlinear autoregressive neural network (NARNN) model to forecast the prevalence of schistosomiasis in the future four years. Forecasting performance was compared between the hybrid ARIMA-NARNN model, and the single ARIMA or the single NARNN model. Results The modelling mean square error (MSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) of the ARIMA-NARNN model was 0.1869×10−4, 0.0029, 0.0419 with a corresponding testing error of 0.9375×10−4, 0.0081, 0.9064, respectively. These error values generated with the hybrid model were all lower than those obtained from the single ARIMA or NARNN model. The forecasting values were 0.75%, 0.80%, 0.76% and 0.77% in the future four years, which demonstrated a no-downward trend. Conclusion The hybrid model has high quality prediction accuracy in the prevalence of schistosomiasis, which provides a methodological basis for future schistosomiasis monitoring and control strategies in the study area. It is worth attempting to utilize the hybrid detection scheme in other schistosomiasis-endemic areas including other infectious diseases. PMID:25119882

Application of seasonal auto-regressive integrated moving average model in forecasting the incidence of hand-foot-mouth disease in Wuhan, China.

PubMed

Peng, Ying; Yu, Bin; Wang, Peng; Kong, De-Guang; Chen, Bang-Hua; Yang, Xiao-Bing

2017-12-01

Outbreaks of hand-foot-mouth disease (HFMD) have occurred many times and caused serious health burden in China since 2008. Application of modern information technology to prediction and early response can be helpful for efficient HFMD prevention and control. A seasonal auto-regressive integrated moving average (ARIMA) model for time series analysis was designed in this study. Eighty-four-month (from January 2009 to December 2015) retrospective data obtained from the Chinese Information System for Disease Prevention and Control were subjected to ARIMA modeling. The coefficient of determination (R 2 ), normalized Bayesian Information Criterion (BIC) and Q-test P value were used to evaluate the goodness-of-fit of constructed models. Subsequently, the best-fitted ARIMA model was applied to predict the expected incidence of HFMD from January 2016 to December 2016. The best-fitted seasonal ARIMA model was identified as (1,0,1)(0,1,1) 12 , with the largest coefficient of determination (R 2 =0.743) and lowest normalized BIC (BIC=3.645) value. The residuals of the model also showed non-significant autocorrelations (P Box-Ljung (Q) =0.299). The predictions by the optimum ARIMA model adequately captured the pattern in the data and exhibited two peaks of activity over the forecast interval, including a major peak during April to June, and again a light peak for September to November. The ARIMA model proposed in this study can forecast HFMD incidence trend effectively, which could provide useful support for future HFMD prevention and control in the study area. Besides, further observations should be added continually into the modeling data set, and parameters of the models should be adjusted accordingly.

Nowcasting influenza outbreaks using open-source media report.

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

Ray, Jaideep; Brownstein, John S.

We construct and verify a statistical method to nowcast influenza activity from a time-series of the frequency of reports concerning influenza related topics. Such reports are published electronically by both public health organizations as well as newspapers/media sources, and thus can be harvested easily via web crawlers. Since media reports are timely, whereas reports from public health organization are delayed by at least two weeks, using timely, open-source data to compensate for the lag in %E2%80%9Cofficial%E2%80%9D reports can be useful. We use morbidity data from networks of sentinel physicians (both the Center of Disease Control's ILINet and France's Sentinelles network)more » as the gold standard of influenza-like illness (ILI) activity. The time-series of media reports is obtained from HealthMap (http://healthmap.org). We find that the time-series of media reports shows some correlation ( 0.5) with ILI activity; further, this can be leveraged into an autoregressive moving average model with exogenous inputs (ARMAX model) to nowcast ILI activity. We find that the ARMAX models have more predictive skill compared to autoregressive (AR) models fitted to ILI data i.e., it is possible to exploit the information content in the open-source data. We also find that when the open-source data are non-informative, the ARMAX models reproduce the performance of AR models. The statistical models are tested on data from the 2009 swine-flu outbreak as well as the mild 2011-2012 influenza season in the U.S.A.« less

Automatic Adviser on stationary devices status identification and anticipated change

NASA Astrophysics Data System (ADS)

Shabelnikov, A. N.; Liabakh, N. N.; Gibner, Ya M.; Pushkarev, E. A.

2018-05-01

A task is defined to synthesize an Automatic Adviser to identify the automation systems stationary devices status using an autoregressive model of changing their key parameters. An applied model type was rationalized and the research objects monitoring process algorithm was developed. A complex of mobile objects status operation simulation and prediction results analysis was proposed. Research results are commented using a specific example of a hump yard compressor station. The work was supported by the Russian Fundamental Research Fund, project No. 17-20-01040.

Reconstructing latent dynamical noise for better forecasting observables

NASA Astrophysics Data System (ADS)

Hirata, Yoshito

2018-03-01

I propose a method for reconstructing multi-dimensional dynamical noise inspired by the embedding theorem of Muldoon et al. [Dyn. Stab. Syst. 13, 175 (1998)] by regarding multiple predictions as different observables. Then, applying the embedding theorem by Stark et al. [J. Nonlinear Sci. 13, 519 (2003)] for a forced system, I produce time series forecast by supplying the reconstructed past dynamical noise as auxiliary information. I demonstrate the proposed method on toy models driven by auto-regressive models or independent Gaussian noise.

Influenza forecasting with Google Flu Trends.

PubMed

Dugas, Andrea Freyer; Jalalpour, Mehdi; Gel, Yulia; Levin, Scott; Torcaso, Fred; Igusa, Takeru; Rothman, Richard E

2013-01-01

We developed a practical influenza forecast model based on real-time, geographically focused, and easy to access data, designed to provide individual medical centers with advanced warning of the expected number of influenza cases, thus allowing for sufficient time to implement interventions. Secondly, we evaluated the effects of incorporating a real-time influenza surveillance system, Google Flu Trends, and meteorological and temporal information on forecast accuracy. Forecast models designed to predict one week in advance were developed from weekly counts of confirmed influenza cases over seven seasons (2004-2011) divided into seven training and out-of-sample verification sets. Forecasting procedures using classical Box-Jenkins, generalized linear models (GLM), and generalized linear autoregressive moving average (GARMA) methods were employed to develop the final model and assess the relative contribution of external variables such as, Google Flu Trends, meteorological data, and temporal information. A GARMA(3,0) forecast model with Negative Binomial distribution integrating Google Flu Trends information provided the most accurate influenza case predictions. The model, on the average, predicts weekly influenza cases during 7 out-of-sample outbreaks within 7 cases for 83% of estimates. Google Flu Trend data was the only source of external information to provide statistically significant forecast improvements over the base model in four of the seven out-of-sample verification sets. Overall, the p-value of adding this external information to the model is 0.0005. The other exogenous variables did not yield a statistically significant improvement in any of the verification sets. Integer-valued autoregression of influenza cases provides a strong base forecast model, which is enhanced by the addition of Google Flu Trends confirming the predictive capabilities of search query based syndromic surveillance. This accessible and flexible forecast model can be used by individual medical centers to provide advanced warning of future influenza cases.

Models for short term malaria prediction in Sri Lanka

PubMed Central

Briët, Olivier JT; Vounatsou, Penelope; Gunawardena, Dissanayake M; Galappaththy, Gawrie NL; Amerasinghe, Priyanie H

2008-01-01

Background Malaria in Sri Lanka is unstable and fluctuates in intensity both spatially and temporally. Although the case counts are dwindling at present, given the past history of resurgence of outbreaks despite effective control measures, the control programmes have to stay prepared. The availability of long time series of monitored/diagnosed malaria cases allows for the study of forecasting models, with an aim to developing a forecasting system which could assist in the efficient allocation of resources for malaria control. Methods Exponentially weighted moving average models, autoregressive integrated moving average (ARIMA) models with seasonal components, and seasonal multiplicative autoregressive integrated moving average (SARIMA) models were compared on monthly time series of district malaria cases for their ability to predict the number of malaria cases one to four months ahead. The addition of covariates such as the number of malaria cases in neighbouring districts or rainfall were assessed for their ability to improve prediction of selected (seasonal) ARIMA models. Results The best model for forecasting and the forecasting error varied strongly among the districts. The addition of rainfall as a covariate improved prediction of selected (seasonal) ARIMA models modestly in some districts but worsened prediction in other districts. Improvement by adding rainfall was more frequent at larger forecasting horizons. Conclusion Heterogeneity of patterns of malaria in Sri Lanka requires regionally specific prediction models. Prediction error was large at a minimum of 22% (for one of the districts) for one month ahead predictions. The modest improvement made in short term prediction by adding rainfall as a covariate to these prediction models may not be sufficient to merit investing in a forecasting system for which rainfall data are routinely processed. PMID:18460204

Nonparametric Transfer Function Models

PubMed Central

Liu, Jun M.; Chen, Rong; Yao, Qiwei

2009-01-01

In this paper a class of nonparametric transfer function models is proposed to model nonlinear relationships between ‘input’ and ‘output’ time series. The transfer function is smooth with unknown functional forms, and the noise is assumed to be a stationary autoregressive-moving average (ARMA) process. The nonparametric transfer function is estimated jointly with the ARMA parameters. By modeling the correlation in the noise, the transfer function can be estimated more efficiently. The parsimonious ARMA structure improves the estimation efficiency in finite samples. The asymptotic properties of the estimators are investigated. The finite-sample properties are illustrated through simulations and one empirical example. PMID:20628584

Studies in astronomical time series analysis. I - Modeling random processes in the time domain

NASA Technical Reports Server (NTRS)

Scargle, J. D.

1981-01-01

Several random process models in the time domain are defined and discussed. Attention is given to the moving average model, the autoregressive model, and relationships between and combinations of these models. Consideration is then given to methods for investigating pulse structure, procedures of model construction, computational methods, and numerical experiments. A FORTRAN algorithm of time series analysis has been developed which is relatively stable numerically. Results of test cases are given to study the effect of adding noise and of different distributions for the pulse amplitudes. A preliminary analysis of the light curve of the quasar 3C 272 is considered as an example.

Using simulations and data to evaluate mean sensitivity (ζ) as a useful statistic in dendrochronology

Treesearch

Andrew G. Bunn; Esther Jansma; Mikko Korpela; Robert D. Westfall; James Baldwin

2013-01-01

Mean sensitivity (ζ) continues to be used in dendrochronology despite a literature that shows it to be of questionable value in describing the properties of a time series. We simulate first-order autoregressive models with known parameters and show that ζ is a function of variance and autocorrelation of a time series. We then use 500 random tree-ring...

Transactional Links between Teacher-Child Relationship Quality and Perceived versus Sociometric Popularity: A Three-Wave Longitudinal Study

ERIC Educational Resources Information Center

De Laet, Steven; Doumen, Sarah; Vervoort, Eleonora; Colpin, Hilde; Van Leeuwen, Karla; Goossens, Luc; Verschueren, Karine

2014-01-01

This study examined how peer relationships (i.e., sociometric and perceived popularity) and teacher--child relationships (i.e., support and conflict) impact one another throughout late childhood. The sample included 586 children (46% boys), followed annually from Grades 4 to 6 (Mage.wave1 = 9.26 years). Autoregressive cross-lagged modeling was…

A New Mathematical Framework for Design Under Uncertainty

DTIC Science & Technology

2016-05-05

blending multiple information sources via auto-regressive stochastic modeling. A computationally efficient machine learning framework is developed based on...sion and machine learning approaches; see Fig. 1. This will lead to a comprehensive description of system performance with less uncertainty than in the...Bayesian optimization of super-cavitating hy- drofoils The goal of this study is to demonstrate the capabilities of statistical learning and

Brillouin Scattering Spectrum Analysis Based on Auto-Regressive Spectral Estimation

NASA Astrophysics Data System (ADS)

Huang, Mengyun; Li, Wei; Liu, Zhangyun; Cheng, Linghao; Guan, Bai-Ou

2018-06-01

Auto-regressive (AR) spectral estimation technology is proposed to analyze the Brillouin scattering spectrum in Brillouin optical time-domain refelectometry. It shows that AR based method can reliably estimate the Brillouin frequency shift with an accuracy much better than fast Fourier transform (FFT) based methods provided the data length is not too short. It enables about 3 times improvement over FFT at a moderate spatial resolution.

Optimization of the time series NDVI-rainfall relationship using linear mixed-effects modeling for the anti-desertification area in the Beijing and Tianjin sandstorm source region

NASA Astrophysics Data System (ADS)

Wang, Jin; Sun, Tao; Fu, Anmin; Xu, Hao; Wang, Xinjie

2018-05-01

Degradation in drylands is a critically important global issue that threatens ecosystem and environmental in many ways. Researchers have tried to use remote sensing data and meteorological data to perform residual trend analysis and identify human-induced vegetation changes. However, complex interactions between vegetation and climate, soil units and topography have not yet been considered. Data used in the study included annual accumulated Moderate Resolution Imaging Spectroradiometer (MODIS) 250 m normalized difference vegetation index (NDVI) from 2002 to 2013, accumulated rainfall from September to August, digital elevation model (DEM) and soil units. This paper presents linear mixed-effect (LME) modeling methods for the NDVI-rainfall relationship. We developed linear mixed-effects models that considered the random effects of sample points nested in soil units for nested two-level modeling and single-level modeling of soil units and sample points, respectively. Additionally, three functions, including the exponential function (exp), the power function (power), and the constant plus power function (CPP), were tested to remove heterogeneity, and an additional three correlation structures, including 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), were used to address the spatiotemporal correlations. It was concluded that the nested two-level model considering both heteroscedasticity with (CPP) and spatiotemporal correlation with [ARMA(1,1)] showed the best performance (AMR = 0.1881, RMSE = 0.2576, adj- R 2 = 0.9593). Variations between soil units and sample points that may have an effect on the NDVI-rainfall relationship should be included in model structures, and linear mixed-effects modeling achieves this in an effective and accurate way.

Inference of Gene Regulatory Networks Incorporating Multi-Source Biological Knowledge via a State Space Model with L1 Regularization

PubMed Central

Hasegawa, Takanori; Yamaguchi, Rui; Nagasaki, Masao; Miyano, Satoru; Imoto, Seiya

2014-01-01

Comprehensive understanding of gene regulatory networks (GRNs) is a major challenge in the field of systems biology. Currently, there are two main approaches in GRN analysis using time-course observation data, namely an ordinary differential equation (ODE)-based approach and a statistical model-based approach. The ODE-based approach can generate complex dynamics of GRNs according to biologically validated nonlinear models. However, it cannot be applied to ten or more genes to simultaneously estimate system dynamics and regulatory relationships due to the computational difficulties. The statistical model-based approach uses highly abstract models to simply describe biological systems and to infer relationships among several hundreds of genes from the data. However, the high abstraction generates false regulations that are not permitted biologically. Thus, when dealing with several tens of genes of which the relationships are partially known, a method that can infer regulatory relationships based on a model with low abstraction and that can emulate the dynamics of ODE-based models while incorporating prior knowledge is urgently required. To accomplish this, we propose a method for inference of GRNs using a state space representation of a vector auto-regressive (VAR) model with L1 regularization. This method can estimate the dynamic behavior of genes based on linear time-series modeling constructed from an ODE-based model and can infer the regulatory structure among several tens of genes maximizing prediction ability for the observational data. Furthermore, the method is capable of incorporating various types of existing biological knowledge, e.g., drug kinetics and literature-recorded pathways. The effectiveness of the proposed method is shown through a comparison of simulation studies with several previous methods. For an application example, we evaluated mRNA expression profiles over time upon corticosteroid stimulation in rats, thus incorporating corticosteroid kinetics/dynamics, literature-recorded pathways and transcription factor (TF) information. PMID:25162401

Forecasting and prediction of scorpion sting cases in Biskra province, Algeria, using a seasonal autoregressive integrated moving average model.

PubMed

Selmane, Schehrazad; L'Hadj, Mohamed

2016-01-01

The aims of this study were to highlight some epidemiological aspects of scorpion envenomations, to analyse and interpret the available data for Biskra province, Algeria, and to develop a forecasting model for scorpion sting cases in Biskra province, which records the highest number of scorpion stings in Algeria. In addition to analysing the epidemiological profile of scorpion stings that occurred throughout the year 2013, we used the Box-Jenkins approach to fit a seasonal autoregressive integrated moving average (SARIMA) model to the monthly recorded scorpion sting cases in Biskra from 2000 to 2012. The epidemiological analysis revealed that scorpion stings were reported continuously throughout the year, with peaks in the summer months. The most affected age group was 15 to 49 years old, with a male predominance. The most prone human body areas were the upper and lower limbs. The majority of cases (95.9%) were classified as mild envenomations. The time series analysis showed that a (5,1,0)×(0,1,1) 12 SARIMA model offered the best fit to the scorpion sting surveillance data. This model was used to predict scorpion sting cases for the year 2013, and the fitted data showed considerable agreement with the actual data. SARIMA models are useful for monitoring scorpion sting cases, and provide an estimate of the variability to be expected in future scorpion sting cases. This knowledge is helpful in predicting whether an unusual situation is developing or not, and could therefore assist decision-makers in strengthening the province's prevention and control measures and in initiating rapid response measures.

Univariate Time Series Prediction of Solar Power Using a Hybrid Wavelet-ARMA-NARX Prediction Method

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

Nazaripouya, Hamidreza; Wang, Yubo; Chu, Chi-Cheng

This paper proposes a new hybrid method for super short-term solar power prediction. Solar output power usually has a complex, nonstationary, and nonlinear characteristic due to intermittent and time varying behavior of solar radiance. In addition, solar power dynamics is fast and is inertia less. An accurate super short-time prediction is required to compensate for the fluctuations and reduce the impact of solar power penetration on the power system. The objective is to predict one step-ahead solar power generation based only on historical solar power time series data. The proposed method incorporates discrete wavelet transform (DWT), Auto-Regressive Moving Average (ARMA)more » models, and Recurrent Neural Networks (RNN), while the RNN architecture is based on Nonlinear Auto-Regressive models with eXogenous inputs (NARX). The wavelet transform is utilized to decompose the solar power time series into a set of richer-behaved forming series for prediction. ARMA model is employed as a linear predictor while NARX is used as a nonlinear pattern recognition tool to estimate and compensate the error of wavelet-ARMA prediction. The proposed method is applied to the data captured from UCLA solar PV panels and the results are compared with some of the common and most recent solar power prediction methods. The results validate the effectiveness of the proposed approach and show a considerable improvement in the prediction precision.« less

Factors associated with persons with disability employment in India: a cross-sectional study.

PubMed

Naraharisetti, Ramya; Castro, Marcia C

2016-10-07

Over twenty million persons with disability in India are increasingly being offered poverty alleviation strategies, including employment programs. This study employs a spatial analytic approach to identify correlates of employment among persons with disability in India, considering sight, speech, hearing, movement, and mental disabilities. Based on 2001 Census data, this study utilizes linear regression and spatial autoregressive models to identify factors associated with the proportion employed among persons with disability at the district level. Models stratified by rural and urban areas were also considered. Spatial autoregressive models revealed that different factors contribute to employment of persons with disability in rural and urban areas. In rural areas, having mental disability decreased the likelihood of employment, while being female and having movement, or sight impairment (compared to other disabilities) increased the likelihood of employment. In urban areas, being female and illiterate decreased the likelihood of employment but having sight, mental and movement impairment (compared to other disabilities) increased the likelihood of employment. Poverty alleviation programs designed for persons with disability in India should account for differences in employment by disability types and should be spatially targeted. Since persons with disability in rural and urban areas have different factors contributing to their employment, it is vital that government and service-planning organizations account for these differences when creating programs aimed at livelihood development.

Intimate partner violence in Madrid: a time series analysis (2008-2016).

PubMed

Sanz-Barbero, Belén; Linares, Cristina; Vives-Cases, Carmen; González, José Luis; López-Ossorio, Juan José; Díaz, Julio

2018-06-02

This study analyzes whether there are time patterns in different intimate partner violence (IPV) indicators and aims to obtain models that can predict the behavior of these time series. Univariate autoregressive moving average models were used to analyze the time series corresponding to the number of daily calls to the 016 telephone IPV helpline and the number of daily police reports filed in the Community of Madrid during the period 2008-2015. Predictions were made for both dependent variables for 2016. The daily number of calls to the 016 telephone IPV helpline decreased during January 2008-April 2012 and increased during April 2012-December 2015. No statistically significant change was observed in the trend of the number of daily IPV police reports. The number of IPV police reports filed increased on weekends and on Christmas holidays. The number of calls to the 016 IPV help line increased on Mondays. Using data from 2008 to 2015, the univariate autoregressive moving average models predicted 64.2% of calls to the 016 telephone IPV helpline and 73.2% of police reports filed during 2016 in the Community of Madrid. Our results suggest the need for an increase in police and judicial resources on nonwork days. Also, the 016 telephone IPV helpline should be especially active on work days. Copyright © 2018 Elsevier Inc. All rights reserved.

Habitat Use and Selection by Giant Pandas.

PubMed

Hull, Vanessa; Zhang, Jindong; Huang, Jinyan; Zhou, Shiqiang; Viña, Andrés; Shortridge, Ashton; Li, Rengui; Liu, Dian; Xu, Weihua; Ouyang, Zhiyun; Zhang, Hemin; Liu, Jianguo

2016-01-01

Animals make choices about where to spend their time in complex and dynamic landscapes, choices that reveal information about their biology that in turn can be used to guide their conservation. Using GPS collars, we conducted a novel individual-based analysis of habitat use and selection by the elusive and endangered giant pandas (Ailuropoda melanoleuca). We constructed spatial autoregressive resource utilization functions (RUF) to model the relationship between the pandas' utilization distributions and various habitat characteristics over a continuous space across seasons. Results reveal several new insights, including use of a broader range of habitat characteristics than previously understood for the species, particularly steep slopes and non-forest areas. We also used compositional analysis to analyze habitat selection (use with respect to availability of habitat types) at two selection levels. Pandas selected against low terrain position and against the highest clumped forest at the at-home range level, but no significant factors were identified at the within-home range level. Our results have implications for modeling and managing the habitat of this endangered species by illustrating how individual pandas relate to habitat and make choices that differ from assumptions made in broad scale models. Our study also highlights the value of using a spatial autoregressive RUF approach on animal species for which a complete picture of individual-level habitat use and selection across space is otherwise lacking.

Habitat Use and Selection by Giant Pandas

PubMed Central

Hull, Vanessa; Zhang, Jindong; Huang, Jinyan; Zhou, Shiqiang; Viña, Andrés; Shortridge, Ashton; Li, Rengui; Liu, Dian; Xu, Weihua; Ouyang, Zhiyun; Zhang, Hemin; Liu, Jianguo

2016-01-01

Animals make choices about where to spend their time in complex and dynamic landscapes, choices that reveal information about their biology that in turn can be used to guide their conservation. Using GPS collars, we conducted a novel individual-based analysis of habitat use and selection by the elusive and endangered giant pandas (Ailuropoda melanoleuca). We constructed spatial autoregressive resource utilization functions (RUF) to model the relationship between the pandas' utilization distributions and various habitat characteristics over a continuous space across seasons. Results reveal several new insights, including use of a broader range of habitat characteristics than previously understood for the species, particularly steep slopes and non-forest areas. We also used compositional analysis to analyze habitat selection (use with respect to availability of habitat types) at two selection levels. Pandas selected against low terrain position and against the highest clumped forest at the at-home range level, but no significant factors were identified at the within-home range level. Our results have implications for modeling and managing the habitat of this endangered species by illustrating how individual pandas relate to habitat and make choices that differ from assumptions made in broad scale models. Our study also highlights the value of using a spatial autoregressive RUF approach on animal species for which a complete picture of individual-level habitat use and selection across space is otherwise lacking. PMID:27627805

Using a generalized additive model with autoregressive terms to study the effects of daily temperature on mortality.

PubMed

Yang, Lei; Qin, Guoyou; Zhao, Naiqing; Wang, Chunfang; Song, Guixiang

2012-10-30

Generalized Additive Model (GAM) provides a flexible and effective technique for modelling nonlinear time-series in studies of the health effects of environmental factors. However, GAM assumes that errors are mutually independent, while time series can be correlated in adjacent time points. Here, a GAM with Autoregressive terms (GAMAR) is introduced to fill this gap. Parameters in GAMAR are estimated by maximum partial likelihood using modified Newton's method, and the difference between GAM and GAMAR is demonstrated using two simulation studies and a real data example. GAMM is also compared to GAMAR in simulation study 1. In the simulation studies, the bias of the mean estimates from GAM and GAMAR are similar but GAMAR has better coverage and smaller relative error. While the results from GAMM are similar to GAMAR, the estimation procedure of GAMM is much slower than GAMAR. In the case study, the Pearson residuals from the GAM are correlated, while those from GAMAR are quite close to white noise. In addition, the estimates of the temperature effects are different between GAM and GAMAR. GAMAR incorporates both explanatory variables and AR terms so it can quantify the nonlinear impact of environmental factors on health outcome as well as the serial correlation between the observations. It can be a useful tool in environmental epidemiological studies.

Using a generalized additive model with autoregressive terms to study the effects of daily temperature on mortality

PubMed Central

2012-01-01

Background Generalized Additive Model (GAM) provides a flexible and effective technique for modelling nonlinear time-series in studies of the health effects of environmental factors. However, GAM assumes that errors are mutually independent, while time series can be correlated in adjacent time points. Here, a GAM with Autoregressive terms (GAMAR) is introduced to fill this gap. Methods Parameters in GAMAR are estimated by maximum partial likelihood using modified Newton’s method, and the difference between GAM and GAMAR is demonstrated using two simulation studies and a real data example. GAMM is also compared to GAMAR in simulation study 1. Results In the simulation studies, the bias of the mean estimates from GAM and GAMAR are similar but GAMAR has better coverage and smaller relative error. While the results from GAMM are similar to GAMAR, the estimation procedure of GAMM is much slower than GAMAR. In the case study, the Pearson residuals from the GAM are correlated, while those from GAMAR are quite close to white noise. In addition, the estimates of the temperature effects are different between GAM and GAMAR. Conclusions GAMAR incorporates both explanatory variables and AR terms so it can quantify the nonlinear impact of environmental factors on health outcome as well as the serial correlation between the observations. It can be a useful tool in environmental epidemiological studies. PMID:23110601

Adaptive clutter rejection filters for airborne Doppler weather radar applied to the detection of low altitude windshear

NASA Technical Reports Server (NTRS)

Keel, Byron M.

1989-01-01

An optimum adaptive clutter rejection filter for use with airborne Doppler weather radar is presented. The radar system is being designed to operate at low-altitudes for the detection of windshear in an airport terminal area where ground clutter returns may mask the weather return. The coefficients of the adaptive clutter rejection filter are obtained using a complex form of a square root normalized recursive least squares lattice estimation algorithm which models the clutter return data as an autoregressive process. The normalized lattice structure implementation of the adaptive modeling process for determining the filter coefficients assures that the resulting coefficients will yield a stable filter and offers possible fixed point implementation. A 10th order FIR clutter rejection filter indexed by geographical location is designed through autoregressive modeling of simulated clutter data. Filtered data, containing simulated dry microburst and clutter return, are analyzed using pulse-pair estimation techniques. To measure the ability of the clutter rejection filters to remove the clutter, results are compared to pulse-pair estimates of windspeed within a simulated dry microburst without clutter. In the filter evaluation process, post-filtered pulse-pair width estimates and power levels are also used to measure the effectiveness of the filters. The results support the use of an adaptive clutter rejection filter for reducing the clutter induced bias in pulse-pair estimates of windspeed.

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

Using state-space models to predict the abundance of juvenile and adult sea lice on Atlantic salmon.

PubMed

Elghafghuf, Adel; Vanderstichel, Raphael; St-Hilaire, Sophie; Stryhn, Henrik

2018-04-11

Sea lice are marine parasites affecting salmon farms, and are considered one of the most costly pests of the salmon aquaculture industry. Infestations of sea lice on farms significantly increase opportunities for the parasite to spread in the surrounding ecosystem, making control of this pest a challenging issue for salmon producers. The complexity of controlling sea lice on salmon farms requires frequent monitoring of the abundance of different sea lice stages over time. Industry-based data sets of counts of lice are amenable to multivariate time-series data analyses. In this study, two sets of multivariate autoregressive state-space models were applied to Chilean sea lice data from six Atlantic salmon production cycles on five isolated farms (at least 20 km seaway distance away from other known active farms), to evaluate the utility of these models for predicting sea lice abundance over time on farms. The models were constructed with different parameter configurations, and the analysis demonstrated large heterogeneity between production cycles for the autoregressive parameter, the effects of chemotherapeutant bath treatments, and the process-error variance. A model allowing for different parameters across production cycles had the best fit and the smallest overall prediction errors. However, pooling information across cycles for the drift and observation error parameters did not substantially affect model performance, thus reducing the number of necessary parameters in the model. Bath treatments had strong but variable effects for reducing sea lice burdens, and these effects were stronger for adult lice than juvenile lice. Our multivariate state-space models were able to handle different sea lice stages and provide predictions for sea lice abundance with reasonable accuracy up to five weeks out. Copyright © 2018 The Authors. Published by Elsevier B.V. All rights reserved.

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

Hypoglycemia early alarm systems based on recursive autoregressive partial least squares models.

PubMed

Bayrak, Elif Seyma; Turksoy, Kamuran; Cinar, Ali; Quinn, Lauretta; Littlejohn, Elizabeth; Rollins, Derrick

2013-01-01

Hypoglycemia caused by intensive insulin therapy is a major challenge for artificial pancreas systems. Early detection and prevention of potential hypoglycemia are essential for the acceptance of fully automated artificial pancreas systems. Many of the proposed alarm systems are based on interpretation of recent values or trends in glucose values. In the present study, subject-specific linear models are introduced to capture glucose variations and predict future blood glucose concentrations. These models can be used in early alarm systems of potential hypoglycemia. A recursive autoregressive partial least squares (RARPLS) algorithm is used to model the continuous glucose monitoring sensor data and predict future glucose concentrations for use in hypoglycemia alarm systems. The partial least squares models constructed are updated recursively at each sampling step with a moving window. An early hypoglycemia alarm algorithm using these models is proposed and evaluated. Glucose prediction models based on real-time filtered data has a root mean squared error of 7.79 and a sum of squares of glucose prediction error of 7.35% for six-step-ahead (30 min) glucose predictions. The early alarm systems based on RARPLS shows good performance. A sensitivity of 86% and a false alarm rate of 0.42 false positive/day are obtained for the early alarm system based on six-step-ahead predicted glucose values with an average early detection time of 25.25 min. The RARPLS models developed provide satisfactory glucose prediction with relatively smaller error than other proposed algorithms and are good candidates to forecast and warn about potential hypoglycemia unless preventive action is taken far in advance. © 2012 Diabetes Technology Society.

Hypoglycemia Early Alarm Systems Based on Recursive Autoregressive Partial Least Squares Models

PubMed Central

Bayrak, Elif Seyma; Turksoy, Kamuran; Cinar, Ali; Quinn, Lauretta; Littlejohn, Elizabeth; Rollins, Derrick

2013-01-01

Background Hypoglycemia caused by intensive insulin therapy is a major challenge for artificial pancreas systems. Early detection and prevention of potential hypoglycemia are essential for the acceptance of fully automated artificial pancreas systems. Many of the proposed alarm systems are based on interpretation of recent values or trends in glucose values. In the present study, subject-specific linear models are introduced to capture glucose variations and predict future blood glucose concentrations. These models can be used in early alarm systems of potential hypoglycemia. Methods A recursive autoregressive partial least squares (RARPLS) algorithm is used to model the continuous glucose monitoring sensor data and predict future glucose concentrations for use in hypoglycemia alarm systems. The partial least squares models constructed are updated recursively at each sampling step with a moving window. An early hypoglycemia alarm algorithm using these models is proposed and evaluated. Results Glucose prediction models based on real-time filtered data has a root mean squared error of 7.79 and a sum of squares of glucose prediction error of 7.35% for six-step-ahead (30 min) glucose predictions. The early alarm systems based on RARPLS shows good performance. A sensitivity of 86% and a false alarm rate of 0.42 false positive/day are obtained for the early alarm system based on six-step-ahead predicted glucose values with an average early detection time of 25.25 min. Conclusions The RARPLS models developed provide satisfactory glucose prediction with relatively smaller error than other proposed algorithms and are good candidates to forecast and warn about potential hypoglycemia unless preventive action is taken far in advance. PMID:23439179

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.

Modified Confidence Intervals for the Mean of an Autoregressive Process.

DTIC Science & Technology

1985-08-01

Validity of the method 45 3.6 Theorem 47 4 Derivation of corrections 48 Introduction 48 The zero order pivot 50 4.1 Algorithm 50 CONTENTS The first...of standard confidence intervals. There are several standard methods of setting confidence intervals in simulations, including the regener- ative... method , batch means, and time series methods . We-will focus-s on improved confidence intervals for the mean of an autoregressive process, and as such our

Autoregressive Methods for Spectral Estimation from Interferograms.

DTIC Science & Technology

1986-09-19

RL83 6?6 AUTOREGRESSIVE METHODS FOR SPECTRAL. ESTIMTION FROM / SPACE ENGINEERING E N RICHARDS ET AL. 19 SEPINEFRGAS.()UA TT NV GNCNE O C: 31SSF...was AUG1085 performed under subcontract to . Center for Space Engineering Utah State University Logan, UT 84322-4140 4 4 Scientific Report No. 17 AFGL...MONITORING ORGANIZATION Center for Space Engineering (iapplicable) Air Force Geophysics Laboratory e. AORESS (City. State and ZIP Code) 7b. AOORESS (City

Modeling Complex Phenomena Using Multiscale Time Sequences

DTIC Science & Technology

2009-08-24

measures based on Hurst and Holder exponents , auto-regressive methods and Fourier and wavelet decomposition methods. The applications for this technology...relate to each other. This can be done by combining a set statistical fractal measures based on Hurst and Holder exponents , auto-regressive...different scales and how these scales relate to each other. This can be done by combining a set statistical fractal measures based on Hurst and

An improved portmanteau test for autocorrelated errors in interrupted time-series regression models.

PubMed

Huitema, Bradley E; McKean, Joseph W

2007-08-01

A new portmanteau test for autocorrelation among the errors of interrupted time-series regression models is proposed. Simulation results demonstrate that the inferential properties of the proposed Q(H-M) test statistic are considerably more satisfactory than those of the well known Ljung-Box test and moderately better than those of the Box-Pierce test. These conclusions generally hold for a wide variety of autoregressive (AR), moving averages (MA), and ARMA error processes that are associated with time-series regression models of the form described in Huitema and McKean (2000a, 2000b).

Spatio-temporal modelling for assessing air pollution in Santiago de Chile

NASA Astrophysics Data System (ADS)

Nicolis, Orietta; Camaño, Christian; Mařın, Julio C.; Sahu, Sujit K.

2017-01-01

In this work, we propose a space-time approach for studying the PM2.5 concentration in the city of Santiago de Chile. In particular, we apply the autoregressive hierarchical model proposed by [1] using the PM2.5 observations collected by a monitoring network as a response variable and numerical weather forecasts from the Weather Research and Forecasting (WRF) model as covariate together with spatial and temporal (periodic) components. The approach is able to provide short-term spatio-temporal predictions of PM2.5 concentrations on a fine spatial grid (at 1km × 1km horizontal resolution.)

PERIODIC AUTOREGRESSIVE-MOVING AVERAGE (PARMA) MODELING WITH APPLICATIONS TO WATER RESOURCES.

USGS Publications Warehouse

Vecchia, A.V.

1985-01-01

Results involving correlation properties and parameter estimation for autogressive-moving average models with periodic parameters are presented. A multivariate representation of the PARMA model is used to derive parameter space restrictions and difference equations for the periodic autocorrelations. Close approximation to the likelihood function for Gaussian PARMA processes results in efficient maximum-likelihood estimation procedures. Terms in the Fourier expansion of the parameters are sequentially included, and a selection criterion is given for determining the optimal number of harmonics to be included. Application of the techniques is demonstrated through analysis of a monthly streamflow time series.

Temporal patterns and a disease forecasting model of dengue hemorrhagic fever in Jakarta based on 10 years of surveillance data.

PubMed

Sitepu, Monika S; Kaewkungwal, Jaranit; Luplerdlop, Nathanej; Soonthornworasiri, Ngamphol; Silawan, Tassanee; Poungsombat, Supawadee; Lawpoolsri, Saranath

2013-03-01

This study aimed to describe the temporal patterns of dengue transmission in Jakarta from 2001 to 2010, using data from the national surveillance system. The Box-Jenkins forecasting technique was used to develop a seasonal autoregressive integrated moving average (SARIMA) model for the study period and subsequently applied to forecast DHF incidence in 2011 in Jakarta Utara, Jakarta Pusat, Jakarta Barat, and the municipalities of Jakarta Province. Dengue incidence in 2011, based on the forecasting model was predicted to increase from the previous year.

Status on the Development of a Modeling and Simulation Framework for the Economic Assessment of Nuclear Hybrid Energy

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

Epiney, Aaron Simon; Chen, Jun; Rabiti, Cristian

Continued effort to design and build a modeling and simulation framework to assess the economic viability of Nuclear Hybrid Energy Systems (NHES) was undertaken in fiscal year (FY) 2016. The purpose of this report is to document the various tasks associated with the development of such a framework and to provide a status of their progress. Several tasks have been accomplished. First, a synthetic time history generator has been developed in RAVEN, which consists of Fourier series and autoregressive moving average model. The former is used to capture the seasonal trend in historical data, while the latter is to characterizemore » the autocorrelation in residue time series (e.g., measurements with seasonal trends subtracted). As demonstration, both synthetic wind speed and grid demand are generated, showing matching statistics with database. In order to build a design and operations optimizer in RAVEN, a new type of sampler has been developed with highly object-oriented design. In particular, simultaneous perturbation stochastic approximation algorithm is implemented. The optimizer is capable to drive the model to optimize a scalar objective function without constraint in the input space, while the constraints handling is a work in progress and will be implemented to improve the optimization capability. Furthermore, a simplified cash flow model of the performance of an NHES in the electric market has been developed in Python and used as external model in RAVEN to confirm expectations on the analysis capability of RAVEN to provide insight into system economics and to test the capability of RAVEN to identify limit surfaces. Finally, an example calculation is performed that shows the integration and proper data passing in RAVEN of the synthetic time history generator, the cash flow model and the optimizer. It has been shown that the developed Python models external to RAVEN are able to communicate with RAVEN and each other through the newly developed RAVEN capability called “EnsembleModel”.« less

Time-series panel analysis (TSPA): multivariate modeling of temporal associations in psychotherapy process.

PubMed

Ramseyer, Fabian; Kupper, Zeno; Caspar, Franz; Znoj, Hansjörg; Tschacher, Wolfgang

2014-10-01

Processes occurring in the course of psychotherapy are characterized by the simple fact that they unfold in time and that the multiple factors engaged in change processes vary highly between individuals (idiographic phenomena). Previous research, however, has neglected the temporal perspective by its traditional focus on static phenomena, which were mainly assessed at the group level (nomothetic phenomena). To support a temporal approach, the authors introduce time-series panel analysis (TSPA), a statistical methodology explicitly focusing on the quantification of temporal, session-to-session aspects of change in psychotherapy. TSPA-models are initially built at the level of individuals and are subsequently aggregated at the group level, thus allowing the exploration of prototypical models. TSPA is based on vector auto-regression (VAR), an extension of univariate auto-regression models to multivariate time-series data. The application of TSPA is demonstrated in a sample of 87 outpatient psychotherapy patients who were monitored by postsession questionnaires. Prototypical mechanisms of change were derived from the aggregation of individual multivariate models of psychotherapy process. In a 2nd step, the associations between mechanisms of change (TSPA) and pre- to postsymptom change were explored. TSPA allowed a prototypical process pattern to be identified, where patient's alliance and self-efficacy were linked by a temporal feedback-loop. Furthermore, therapist's stability over time in both mastery and clarification interventions was positively associated with better outcomes. TSPA is a statistical tool that sheds new light on temporal mechanisms of change. Through this approach, clinicians may gain insight into prototypical patterns of change in psychotherapy. PsycINFO Database Record (c) 2014 APA, all rights reserved.

An autoregressive integrated moving average model for short-term prediction of hepatitis C virus seropositivity among male volunteer blood donors in Karachi, Pakistan

PubMed Central

Akhtar, Saeed; Rozi, Shafquat

2009-01-01

AIM: To identify the stochastic autoregressive integrated moving average (ARIMA) model for short term forecasting of hepatitis C virus (HCV) seropositivity among volunteer blood donors in Karachi, Pakistan. METHODS: Ninety-six months (1998-2005) data on HCV seropositive cases (1000-1 × month-1) among male volunteer blood donors tested at four major blood banks in Karachi, Pakistan were subjected to ARIMA modeling. Subsequently, a fitted ARIMA model was used to forecast HCV seropositive donors for 91-96 mo to contrast with observed series of the same months. To assess the forecast accuracy, the mean absolute error rate (%) between the observed and predicted HCV seroprevalence was calculated. Finally, a fitted ARIMA model was used for short-term forecasts beyond the observed series. RESULTS: The goodness-of-fit test of the optimum ARIMA (2,1,7) model showed non-significant autocorrelations in the residuals of the model. The forecasts by ARIMA for 91-96 mo closely followed the pattern of observed series for the same months, with mean monthly absolute forecast errors (%) over 6 mo of 6.5%. The short-term forecasts beyond the observed series adequately captured the pattern in the data and showed increasing tendency of HCV seropositivity with a mean ± SD HCV seroprevalence (1000-1 × month-1) of 24.3 ± 1.4 over the forecast interval. CONCLUSION: To curtail HCV spread, public health authorities need to educate communities and health care providers about HCV transmission routes based on known HCV epidemiology in Pakistan and its neighboring countries. Future research may focus on factors associated with hyperendemic levels of HCV infection. PMID:19340903

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

PubMed

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

2018-01-01

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

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.

Stochastic approaches for time series forecasting of boron: a case study of Western Turkey.

PubMed

Durdu, Omer Faruk

2010-10-01

In the present study, a seasonal and non-seasonal prediction of boron concentrations time series data for the period of 1996-2004 from Büyük Menderes river in western Turkey are addressed by means of linear stochastic models. The methodology presented here is to develop adequate linear stochastic models known as autoregressive integrated moving average (ARIMA) and multiplicative seasonal autoregressive integrated moving average (SARIMA) to predict boron content in the Büyük Menderes catchment. Initially, the Box-Whisker plots and Kendall's tau test are used to identify the trends during the study period. The measurements locations do not show significant overall trend in boron concentrations, though marginal increasing and decreasing trends are observed for certain periods at some locations. ARIMA modeling approach involves the following three steps: model identification, parameter estimation, and diagnostic checking. In the model identification step, considering the autocorrelation function (ACF) and partial autocorrelation function (PACF) results of boron data series, different ARIMA models are identified. The model gives the minimum Akaike information criterion (AIC) is selected as the best-fit model. The parameter estimation step indicates that the estimated model parameters are significantly different from zero. The diagnostic check step is applied to the residuals of the selected ARIMA models and the results indicate that the residuals are independent, normally distributed, and homoscadastic. For the model validation purposes, the predicted results using the best ARIMA models are compared to the observed data. The predicted data show reasonably good agreement with the actual data. The comparison of the mean and variance of 3-year (2002-2004) observed data vs predicted data from the selected best models show that the boron model from ARIMA modeling approaches could be used in a safe manner since the predicted values from these models preserve the basic statistics of observed data in terms of mean. The ARIMA modeling approach is recommended for predicting boron concentration series of a river.

The application of time series models to cloud field morphology analysis

NASA Technical Reports Server (NTRS)

Chin, Roland T.; Jau, Jack Y. C.; Weinman, James A.

1987-01-01

A modeling method for the quantitative description of remotely sensed cloud field images is presented. A two-dimensional texture modeling scheme based on one-dimensional time series procedures is adopted for this purpose. The time series procedure used is the seasonal autoregressive, moving average (ARMA) process in Box and Jenkins. Cloud field properties such as directionality, clustering and cloud coverage can be retrieved by this method. It has been demonstrated that a cloud field image can be quantitatively defined by a small set of parameters and synthesized surrogates can be reconstructed from these model parameters. This method enables cloud climatology to be studied quantitatively.

Parameter prediction based on Improved Process neural network and ARMA error compensation in Evaporation Process

NASA Astrophysics Data System (ADS)

Qian, Xiaoshan

2018-01-01

The traditional model of evaporation process parameters have continuity and cumulative characteristics of the prediction error larger issues, based on the basis of the process proposed an adaptive particle swarm neural network forecasting method parameters established on the autoregressive moving average (ARMA) error correction procedure compensated prediction model to predict the results of the neural network to improve prediction accuracy. Taking a alumina plant evaporation process to analyze production data validation, and compared with the traditional model, the new model prediction accuracy greatly improved, can be used to predict the dynamic process of evaporation of sodium aluminate solution components.

Vector autoregressive models: A Gini approach

NASA Astrophysics Data System (ADS)

Mussard, Stéphane; Ndiaye, Oumar Hamady

2018-02-01

In this paper, it is proven that the usual VAR models may be performed in the Gini sense, that is, on a ℓ1 metric space. The Gini regression is robust to outliers. As a consequence, when data are contaminated by extreme values, we show that semi-parametric VAR-Gini regressions may be used to obtain robust estimators. The inference about the estimators is made with the ℓ1 norm. Also, impulse response functions and Gini decompositions for prevision errors are introduced. Finally, Granger's causality tests are properly derived based on U-statistics.

Spectral analysis for nonstationary and nonlinear systems: a discrete-time-model-based approach.

PubMed

He, Fei; Billings, Stephen A; Wei, Hua-Liang; Sarrigiannis, Ptolemaios G; Zhao, Yifan

2013-08-01

A new frequency-domain analysis framework for nonlinear time-varying systems is introduced based on parametric time-varying nonlinear autoregressive with exogenous input models. It is shown how the time-varying effects can be mapped to the generalized frequency response functions (FRFs) to track nonlinear features in frequency, such as intermodulation and energy transfer effects. A new mapping to the nonlinear output FRF is also introduced. A simulated example and the application to intracranial electroencephalogram data are used to illustrate the theoretical results.

Statistical description of turbulent transport for flux driven toroidal plasmas

NASA Astrophysics Data System (ADS)

Anderson, J.; Imadera, K.; Kishimoto, Y.; Li, J. Q.; Nordman, H.

2017-06-01

A novel methodology to analyze non-Gaussian probability distribution functions (PDFs) of intermittent turbulent transport in global full-f gyrokinetic simulations is presented. In this work, the auto-regressive integrated moving average (ARIMA) model is applied to time series data of intermittent turbulent heat transport to separate noise and oscillatory trends, allowing for the extraction of non-Gaussian features of the PDFs. It was shown that non-Gaussian tails of the PDFs from first principles based gyrokinetic simulations agree with an analytical estimation based on a two fluid model.

An Application to the Prediction of LOD Change Based on General Regression Neural Network

NASA Astrophysics Data System (ADS)

Zhang, X. H.; Wang, Q. J.; Zhu, J. J.; Zhang, H.

2011-07-01

Traditional prediction of the LOD (length of day) change was based on linear models, such as the least square model and the autoregressive technique, etc. Due to the complex non-linear features of the LOD variation, the performances of the linear model predictors are not fully satisfactory. This paper applies a non-linear neural network - general regression neural network (GRNN) model to forecast the LOD change, and the results are analyzed and compared with those obtained with the back propagation neural network and other models. The comparison shows that the performance of the GRNN model in the prediction of the LOD change is efficient and feasible.

Forecasting and prediction of scorpion sting cases in Biskra province, Algeria, using a seasonal autoregressive integrated moving average model

PubMed Central

2016-01-01

OBJECTIVES The aims of this study were to highlight some epidemiological aspects of scorpion envenomations, to analyse and interpret the available data for Biskra province, Algeria, and to develop a forecasting model for scorpion sting cases in Biskra province, which records the highest number of scorpion stings in Algeria. METHODS In addition to analysing the epidemiological profile of scorpion stings that occurred throughout the year 2013, we used the Box-Jenkins approach to fit a seasonal autoregressive integrated moving average (SARIMA) model to the monthly recorded scorpion sting cases in Biskra from 2000 to 2012. RESULTS The epidemiological analysis revealed that scorpion stings were reported continuously throughout the year, with peaks in the summer months. The most affected age group was 15 to 49 years old, with a male predominance. The most prone human body areas were the upper and lower limbs. The majority of cases (95.9%) were classified as mild envenomations. The time series analysis showed that a (5,1,0)×(0,1,1)12 SARIMA model offered the best fit to the scorpion sting surveillance data. This model was used to predict scorpion sting cases for the year 2013, and the fitted data showed considerable agreement with the actual data. CONCLUSIONS SARIMA models are useful for monitoring scorpion sting cases, and provide an estimate of the variability to be expected in future scorpion sting cases. This knowledge is helpful in predicting whether an unusual situation is developing or not, and could therefore assist decision-makers in strengthening the province’s prevention and control measures and in initiating rapid response measures. PMID:27866407

Is First-Order Vector Autoregressive Model Optimal for fMRI Data?

PubMed

Ting, Chee-Ming; Seghouane, Abd-Krim; Khalid, Muhammad Usman; Salleh, Sh-Hussain

2015-09-01

We consider the problem of selecting the optimal orders of vector autoregressive (VAR) models for fMRI data. Many previous studies used model order of one and ignored that it may vary considerably across data sets depending on different data dimensions, subjects, tasks, and experimental designs. In addition, the classical information criteria (IC) used (e.g., the Akaike IC (AIC)) are biased and inappropriate for the high-dimensional fMRI data typically with a small sample size. We examine the mixed results on the optimal VAR orders for fMRI, especially the validity of the order-one hypothesis, by a comprehensive evaluation using different model selection criteria over three typical data types--a resting state, an event-related design, and a block design data set--with varying time series dimensions obtained from distinct functional brain networks. We use a more balanced criterion, Kullback's IC (KIC) based on Kullback's symmetric divergence combining two directed divergences. We also consider the bias-corrected versions (AICc and KICc) to improve VAR model selection in small samples. Simulation results show better small-sample selection performance of the proposed criteria over the classical ones. Both bias-corrected ICs provide more accurate and consistent model order choices than their biased counterparts, which suffer from overfitting, with KICc performing the best. Results on real data show that orders greater than one were selected by all criteria across all data sets for the small to moderate dimensions, particularly from small, specific networks such as the resting-state default mode network and the task-related motor networks, whereas low orders close to one but not necessarily one were chosen for the large dimensions of full-brain networks.

Prediction of MeV electron fluxes throughout the outer radiation belt using multivariate autoregressive models

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

Sakaguchi, Kaori; Nagatsuma, Tsutomu; Reeves, Geoffrey D.

The Van Allen radiation belts surrounding the Earth are filled with MeV-energy electrons. This region poses ionizing radiation risks for spacecraft that operate within it, including those in geostationary orbit (GEO) and medium Earth orbit. In order to provide alerts of electron flux enhancements, 16 prediction models of the electron log-flux variation throughout the equatorial outer radiation belt as a function of the McIlwain L parameter were developed using the multivariate autoregressive model and Kalman filter. Measurements of omnidirectional 2.3 MeV electron flux from the Van Allen Probes mission as well as >2 MeV electrons from the GOES 15 spacecraftmore » were used as the predictors. Furthermore, we selected model explanatory parameters from solar wind parameters, the electron log-flux at GEO, and geomagnetic indices. For the innermost region of the outer radiation belt, the electron flux is best predicted by using the Dst index as the sole input parameter. For the central to outermost regions, at L≥4.8 and L ≥5.6, the electron flux is predicted most accurately by including also the solar wind velocity and then the dynamic pressure, respectively. The Dst index is the best overall single parameter for predicting at 3 ≤ L ≤ 6, while for the GEO flux prediction, the K P index is better than Dst. Finally, a test calculation demonstrates that the model successfully predicts the timing and location of the flux maximum as much as 2 days in advance and that the electron flux decreases faster with time at higher L values, both model features consistent with the actually observed behavior.« less

Prediction of MeV electron fluxes throughout the outer radiation belt using multivariate autoregressive models

DOE PAGES

Sakaguchi, Kaori; Nagatsuma, Tsutomu; Reeves, Geoffrey D.; ...

2015-12-22

The Van Allen radiation belts surrounding the Earth are filled with MeV-energy electrons. This region poses ionizing radiation risks for spacecraft that operate within it, including those in geostationary orbit (GEO) and medium Earth orbit. In order to provide alerts of electron flux enhancements, 16 prediction models of the electron log-flux variation throughout the equatorial outer radiation belt as a function of the McIlwain L parameter were developed using the multivariate autoregressive model and Kalman filter. Measurements of omnidirectional 2.3 MeV electron flux from the Van Allen Probes mission as well as >2 MeV electrons from the GOES 15 spacecraftmore » were used as the predictors. Furthermore, we selected model explanatory parameters from solar wind parameters, the electron log-flux at GEO, and geomagnetic indices. For the innermost region of the outer radiation belt, the electron flux is best predicted by using the Dst index as the sole input parameter. For the central to outermost regions, at L≥4.8 and L ≥5.6, the electron flux is predicted most accurately by including also the solar wind velocity and then the dynamic pressure, respectively. The Dst index is the best overall single parameter for predicting at 3 ≤ L ≤ 6, while for the GEO flux prediction, the K P index is better than Dst. Finally, a test calculation demonstrates that the model successfully predicts the timing and location of the flux maximum as much as 2 days in advance and that the electron flux decreases faster with time at higher L values, both model features consistent with the actually observed behavior.« less

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

PubMed

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

2017-11-02

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

Prediction of MeV electron fluxes throughout the outer radiation belt using multivariate autoregressive models

NASA Astrophysics Data System (ADS)

Sakaguchi, Kaori; Nagatsuma, Tsutomu; Reeves, Geoffrey D.; Spence, Harlan E.

2015-12-01

The Van Allen radiation belts surrounding the Earth are filled with MeV-energy electrons. This region poses ionizing radiation risks for spacecraft that operate within it, including those in geostationary orbit (GEO) and medium Earth orbit. To provide alerts of electron flux enhancements, 16 prediction models of the electron log-flux variation throughout the equatorial outer radiation belt as a function of the McIlwain L parameter were developed using the multivariate autoregressive model and Kalman filter. Measurements of omnidirectional 2.3 MeV electron flux from the Van Allen Probes mission as well as >2 MeV electrons from the GOES 15 spacecraft were used as the predictors. Model explanatory parameters were selected from solar wind parameters, the electron log-flux at GEO, and geomagnetic indices. For the innermost region of the outer radiation belt, the electron flux is best predicted by using the Dst index as the sole input parameter. For the central to outermost regions, at L ≧ 4.8 and L ≧ 5.6, the electron flux is predicted most accurately by including also the solar wind velocity and then the dynamic pressure, respectively. The Dst index is the best overall single parameter for predicting at 3 ≦ L ≦ 6, while for the GEO flux prediction, the KP index is better than Dst. A test calculation demonstrates that the model successfully predicts the timing and location of the flux maximum as much as 2 days in advance and that the electron flux decreases faster with time at higher L values, both model features consistent with the actually observed behavior.

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

Comparative Performance Evaluation of Rainfall-runoff Models, Six of Black-box Type and One of Conceptual Type, From The Galway Flow Forecasting System (gffs) Package, Applied On Two Irish Catchments

NASA Astrophysics Data System (ADS)

Goswami, M.; O'Connor, K. M.; Shamseldin, A. Y.

The "Galway Real-Time River Flow Forecasting System" (GFFS) is a software pack- age developed at the Department of Engineering Hydrology, of the National University of Ireland, Galway, Ireland. It is based on a selection of lumped black-box and con- ceptual rainfall-runoff models, all developed in Galway, consisting primarily of both the non-parametric (NP) and parametric (P) forms of two black-box-type rainfall- runoff models, namely, the Simple Linear Model (SLM-NP and SLM-P) and the seasonally-based Linear Perturbation Model (LPM-NP and LPM-P), together with the non-parametric wetness-index-based Linearly Varying Gain Factor Model (LVGFM), the black-box Artificial Neural Network (ANN) Model, and the conceptual Soil Mois- ture Accounting and Routing (SMAR) Model. Comprised of the above suite of mod- els, the system enables the user to calibrate each model individually, initially without updating, and it is capable also of producing combined (i.e. consensus) forecasts us- ing the Simple Average Method (SAM), the Weighted Average Method (WAM), or the Artificial Neural Network Method (NNM). The updating of each model output is achieved using one of four different techniques, namely, simple Auto-Regressive (AR) updating, Linear Transfer Function (LTF) updating, Artificial Neural Network updating (NNU), and updating by the Non-linear Auto-Regressive Exogenous-input method (NARXM). The models exhibit a considerable range of variation in degree of complexity of structure, with corresponding degrees of complication in objective func- tion evaluation. Operating in continuous river-flow simulation and updating modes, these models and techniques have been applied to two Irish catchments, namely, the Fergus and the Brosna. A number of performance evaluation criteria have been used to comparatively assess the model discharge forecast efficiency.

Fisher Consistency of AM-Estimates of the Autoregression Parameter Using Hard Rejection Filter Cleaners

DTIC Science & Technology

1987-02-04

U5tr,)! P(U 5-t Since U - F with F RS, we get (3.1). Case b: 0 S 5 k -a Now P([U~t]riM) = P(UZk-a) and P([ Ugt ]rM) = P(US-k-a) S P(US-(k-a)) which again...robustness for autoregressive processes." The Annals of Statistics, 12, 843-863. Mallows, C.L. (1980). "Some theory of nonlinear smoothen." The Annals of

Biogeographical Interpretation of Elevational Patterns of Genus Diversity of Seed Plants in Nepal

PubMed Central

Li, Miao; Feng, Jianmeng

2015-01-01

This study tests if the biogeographical affinities of genera are relevant for explaining elevational plant diversity patterns in Nepal. We used simultaneous autoregressive (SAR) models to investigate the explanatory power of several predictors in explaining the diversity-elevation relationships shown in genera with different biogeographical affinities. Delta akaike information criterion (ΔAIC) was used for multi-model inferences and selections. Our results showed that both the total and tropical genus diversity peaked below the mid-point of the elevational gradient, whereas that of temperate genera had a nearly symmetrical, unimodal relationship with elevation. The proportion of temperate genera increased markedly with elevation, while that of tropical genera declined. Compared to tropical genera, temperate genera had wider elevational ranges and were observed at higher elevations. Water-related variables, rather than mid-domain effects (MDE), were the most significant predictors of elevational patterns of tropical genus diversity. The temperate genus diversity was influenced by energy availability, but only in quadratic terms of the models. Though climatic factors and mid-domain effects jointly explained most of the variation in the diversity of temperate genera with elevation, the former played stronger roles. Total genus diversity was most strongly influenced by climate and the floristic overlap of tropical and temperate floras, while the influences of mid-domain effects were relatively weak. The influences of water-related and energy-related variables may vary with biogeographical affinities. The elevational patterns may be most closely related to climatic factors, while MDE may somewhat modify the patterns. Caution is needed when investigating the causal factors underlying diversity patterns for large taxonomic groups composed of taxa of different biogeographical affinities. Right-skewed diversity-elevation patterns may be produced by the differential response of taxa with varying biogeographical affinities to climatic factors and MDE. PMID:26488164

Biogeographical Interpretation of Elevational Patterns of Genus Diversity of Seed Plants in Nepal.

PubMed

Li, Miao; Feng, Jianmeng

2015-01-01

This study tests if the biogeographical affinities of genera are relevant for explaining elevational plant diversity patterns in Nepal. We used simultaneous autoregressive (SAR) models to investigate the explanatory power of several predictors in explaining the diversity-elevation relationships shown in genera with different biogeographical affinities. Delta akaike information criterion (ΔAIC) was used for multi-model inferences and selections. Our results showed that both the total and tropical genus diversity peaked below the mid-point of the elevational gradient, whereas that of temperate genera had a nearly symmetrical, unimodal relationship with elevation. The proportion of temperate genera increased markedly with elevation, while that of tropical genera declined. Compared to tropical genera, temperate genera had wider elevational ranges and were observed at higher elevations. Water-related variables, rather than mid-domain effects (MDE), were the most significant predictors of elevational patterns of tropical genus diversity. The temperate genus diversity was influenced by energy availability, but only in quadratic terms of the models. Though climatic factors and mid-domain effects jointly explained most of the variation in the diversity of temperate genera with elevation, the former played stronger roles. Total genus diversity was most strongly influenced by climate and the floristic overlap of tropical and temperate floras, while the influences of mid-domain effects were relatively weak. The influences of water-related and energy-related variables may vary with biogeographical affinities. The elevational patterns may be most closely related to climatic factors, while MDE may somewhat modify the patterns. Caution is needed when investigating the causal factors underlying diversity patterns for large taxonomic groups composed of taxa of different biogeographical affinities. Right-skewed diversity-elevation patterns may be produced by the differential response of taxa with varying biogeographical affinities to climatic factors and MDE.