Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 4

Search results for: SETAR

4 A Comparative Analysis of ARIMA and Threshold Autoregressive Models on Exchange Rate

Authors: Diteboho Xaba, Kolentino Mpeta, Tlotliso Qejoe


This paper assesses the in-sample forecasting of the South African exchange rates comparing a linear ARIMA model and a SETAR model. The study uses a monthly adjusted data of South African exchange rates with 420 observations. Akaike information criterion (AIC) and the Schwarz information criteria (SIC) are used for model selection. Mean absolute error (MAE), root mean squared error (RMSE) and mean absolute percentage error (MAPE) are error metrics used to evaluate forecast capability of the models. The Diebold –Mariano (DM) test is employed in the study to check forecast accuracy in order to distinguish the forecasting performance between the two models (ARIMA and SETAR). The results indicate that both models perform well when modelling and forecasting the exchange rates, but SETAR seemed to outperform ARIMA.

Keywords: ARIMA, error metrices, model selection, SETAR

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3 In and Out-Of-Sample Performance of Non Simmetric Models in International Price Differential Forecasting in a Commodity Country Framework

Authors: Nicola Rubino


This paper presents an analysis of a group of commodity exporting countries' nominal exchange rate movements in relationship to the US dollar. Using a series of Unrestricted Self-exciting Threshold Autoregressive models (SETAR), we model and evaluate sixteen national CPI price differentials relative to the US dollar CPI. Out-of-sample forecast accuracy is evaluated through calculation of mean absolute error measures on the basis of two-hundred and fifty-three months rolling window forecasts and extended to three additional models, namely a logistic smooth transition regression (LSTAR), an additive non linear autoregressive model (AAR) and a simple linear Neural Network model (NNET). Our preliminary results confirm presence of some form of TAR non linearity in the majority of the countries analyzed, with a relatively higher goodness of fit, with respect to the linear AR(1) benchmark, in five countries out of sixteen considered. Although no model appears to statistically prevail over the other, our final out-of-sample forecast exercise shows that SETAR models tend to have quite poor relative forecasting performance, especially when compared to alternative non-linear specifications. Finally, by analyzing the implied half-lives of the > coefficients, our results confirms the presence, in the spirit of arbitrage band adjustment, of band convergence with an inner unit root behaviour in five of the sixteen countries analyzed.

Keywords: transition regression model, real exchange rate, nonlinearities, price differentials, PPP, commodity points

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2 The Optimum Mel-Frequency Cepstral Coefficients (MFCCs) Contribution to Iranian Traditional Music Genre Classification by Instrumental Features

Authors: M. Abbasi Layegh, S. Haghipour, K. Athari, R. Khosravi, M. Tafkikialamdari


An approach to find the optimum mel-frequency cepstral coefficients (MFCCs) for the Radif of Mirzâ Ábdollâh, which is the principal emblem and the heart of Persian music, performed by most famous Iranian masters on two Iranian stringed instruments ‘Tar’ and ‘Setar’ is proposed. While investigating the variance of MFCC for each record in themusic database of 1500 gushe of the repertoire belonging to 12 modal systems (dastgâh and âvâz), we have applied the Fuzzy C-Mean clustering algorithm on each of the 12 coefficient and different combinations of those coefficients. We have applied the same experiment while increasing the number of coefficients but the clustering accuracy remained the same. Therefore, we can conclude that the first 7 MFCCs (V-7MFCC) are enough for classification of The Radif of Mirzâ Ábdollâh. Classical machine learning algorithms such as MLP neural networks, K-Nearest Neighbors (KNN), Gaussian Mixture Model (GMM), Hidden Markov Model (HMM) and Support Vector Machine (SVM) have been employed. Finally, it can be realized that SVM shows a better performance in this study.

Keywords: radif of Mirzâ Ábdollâh, Gushe, mel frequency cepstral coefficients, fuzzy c-mean clustering algorithm, k-nearest neighbors (KNN), gaussian mixture model (GMM), hidden markov model (HMM), support vector machine (SVM)

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1 Spherical Organic Particle (SOP) Emissions from Fixed-Bed Residential Coal-Burning Devices

Authors: Tafadzwa Makonese, Harold Annegarn, Patricia Forbes


Residential coal combustion is one of the largest sources of carbonaceous aerosols in the Highveld region of South Africa, significantly affecting the local and regional climate. In this study, we investigated single coal burning particles emitted when using different fire-ignition techniques (top-lit up-draft vs bottom-lit up-draft) and air ventilation rates (defined by the number of air holes above and below the fire grate) in selected informal braziers. Aerosol samples were collected on nucleopore filters at the SeTAR Centre Laboratory, University of Johannesburg. Individual particles (~700) were investigated using a scanning electron microscope equipped with an energy-dispersive X-ray spectroscopy (EDS). Two distinct forms of spherical organic particles (SOPs) were identified, one less oxidized than the other. The particles were further classified into "electronically" dark and bright, according to China et al. [2014]. EDS analysis showed that 70% of the dark spherical organic particles balls had higher (~60%) relative oxygen content than in the bright SOPs. We quantify the morphology of spherical organic particles and classify them into four categories: ~50% are bare single particles; ~35% particles are aggregated and form diffusion accretion chains; 10% have inclusions; and 5% are deformed due to impaction on filter material during sampling. We conclude that there are two distinct kinds of coal burning spherical organic particles and that dark SOPs are less volatile than bright SOPs. We also show that these spherical organic particles are similar in nature and characteristics to tar balls observed in biomass combustion, and that they have the potential to absorb sunlight thereby affecting the earth’s radiative budget and climate. This study provides insights on the mixing states, morphology, and possible formation mechanisms of these organic particles from residential coal combustion in informal stoves.

Keywords: spherical organic particles, residential coal combustion, fixed-bed, aerosols, morphology, stoves

Procedia PDF Downloads 337