Search results for: threshold autoregressive model

Authors: Ying Su, Morgan C. Wang

Abstract:

Long-term time series forecasting is an important research area for automated machine learning (AutoML). Currently, forecasting based on either machine learning or statistical learning is usually built by experts, and it requires significant manual effort, from model construction, feature engineering, and hyper-parameter tuning to the construction of the time series model. Automation is not possible since there are too many human interventions. To overcome these limitations, this article proposed to use recurrent neural networks (RNN) through the memory state of RNN to perform long-term time series prediction. We have shown that this proposed approach is better than the traditional Autoregressive Integrated Moving Average (ARIMA). In addition, we also found it is better than other network systems, including Fully Connected Neural Networks (FNN), Convolutional Neural Networks (CNN), and Nonpooling Convolutional Neural Networks (NPCNN).

Keywords: automated machines learning, autoregressive integrated moving average, neural networks, time series analysis

Procedia PDF Downloads 42

Authors: Kassahun Birhanu Tadesse, Megersa Olumana Dinka

Abstract:

Reliable future river flow information is basic for planning and management of any river systems. For data scarce river system having only a river flow records like the Waterval River, a univariate time series models are appropriate for river flow forecasting. In this study, a univariate Seasonal Autoregressive Integrated Moving Average (SARIMA) model was applied for forecasting Waterval River flow using GRETL statistical software. Mean monthly river flows from 1960 to 2016 were used for modeling. Different unit root tests and Mann-Kendall trend analysis were performed to test the stationarity of the observed flow time series. The time series was differenced to remove the seasonality. Using the correlogram of seasonally differenced time series, different SARIMA models were identified, their parameters were estimated, and diagnostic check-up of model forecasts was performed using white noise and heteroscedasticity tests. Finally, based on minimum Akaike Information (AIc) and Hannan-Quinn (HQc) criteria, SARIMA (3, 0, 2) x (3, 1, 3)12 was selected as the best model for Waterval River flow forecasting. Therefore, this model can be used to generate future river information for water resources development and management in Waterval River system. SARIMA model can also be used for forecasting other similar univariate time series with seasonality characteristics.

Keywords: heteroscedasticity, stationarity test, trend analysis, validation, white noise

Procedia PDF Downloads 176

Authors: Salah Hassab Elnaby, Omnia Hamdy, Aziza Ahmed Hassan, Salwa Abdelkawi, Ibrahim Abdelhalim

Abstract:

Laser corneal reshaping has been proposed as a successful treatment of many refraction disorders. However, some physical and chemical demonstrations of the laser effect upon interaction with the corneal tissue are still not fully explained. Therefore, different computational and mathematical models have been implemented to predict the depth of the ablated channel and calculate the ablation threshold and the local temperature rise. In the current paper, we present a modified model that aims to answer some of the open questions about the ablation threshold, the ablation rate, and the physical and chemical mechanisms of that action. The proposed model consists of three parts. The first part deals with possible photochemical reactions between the incident photons and various components of the cornea (collagen, water, etc.). Such photochemical reactions may end by photo-ablation or just the electronic excitation of molecules. Then a chemical reaction is responsible for the ablation threshold. Finally, another chemical reaction produces fragments that can be cleared out. The model takes into account all processes at the same time with different probabilities. Moreover, the effect of applying different laser wavelengths that have been studied before, namely the common excimer laser (193-nm) and the solid state lasers (213-nm & 266-nm), has been investigated. Despite the success and ubiquity of the ArF laser, the presented results reveal that a carefully designed 213-nm laser gives the same results with lower operational drawbacks. Moreover, the use of mode locked laser could also decrease the risk of heat generation and diffusion.

Keywords: UV lasers, mathematical model, corneal ablation, photochemical ablation

Procedia PDF Downloads 49

Authors: Sebai Amal, Massuel Sylvain

Abstract:

Groundwater is the key element of the development of most of the semi-arid areas where water resources are increasingly scarce due to an irregularity of precipitation, on the one hand, and an increasing demand on the other hand. This is the case of the watershed of the Central Tunisia Merguellil, object of the present study, which focuses on an implementation of an underground flows hydrodynamic model to understand the recharge processes of the Kairouan’s plain groundwater by aquifers boundary through the hydraulic threshold of El Haouareb. The construction of a conceptual geological 3D model by the Hydro GeoBuilder software has led to a definition of the aquifers geometry in the studied area thanks to the data acquired by the analysis of geologic sections of drilling and piezometers crossed shells partially or in full. Overall analyses of the piezometric Chronicles of different piezometers located at the level of the dam indicate that the influence of the dam is felt especially in the aquifer carbonate which confirms that the dynamics of this aquifer are highly correlated to the dam’s dynamic. Groundwater maps, high and low-water dam, show a flow that moves towards the threshold of El Haouareb to the discharge of the waters of Ain El Beidha discharge towards the plain of Kairouan. Software FEFLOW 5.2 steady hydrodynamic modeling to simulate the hydraulic threshold at the level of the dam El Haouareb in a satisfactory manner. However, the sensitivity study to the different parameters shows equivalence problems and a fix to calibrate the limestones’ permeability. This work could be improved by refining the timing steady and amending the representation of limestones in the model.

Keywords: Hydrodynamic modeling, lithological modeling, hydraulic, semi-arid, merguellil, central Tunisia

Procedia PDF Downloads 736

Authors: Ferry Kurniawan

Abstract:

In this paper, we nowcast quarterly output growth in Indonesia by exploiting higher frequency data (monthly indicators) using a mixed-frequency factor model and exploiting both quarterly and monthly data. Nowcasting quarterly GDP in Indonesia is particularly relevant for the central bank of Indonesia which set the policy rate in the monthly Board of Governors Meeting; whereby one of the important step is the assessment of the current state of the economy. Thus, having an accurate and up-to-date quarterly GDP nowcast every time new monthly information becomes available would clearly be of interest for central bank of Indonesia, for example, as the initial assessment of the current state of the economy -including nowcast- will be used as input for longer term forecast. We consider a small scale mixed-frequency factor model to produce nowcasts. In particular, we specify variables as year-on-year growth rates thus the relation between quarterly and monthly data is expressed in year-on-year growth rates. To assess the performance of the model, we compare the nowcasts with two other approaches: autoregressive model –which is often difficult when forecasting output growth- and Mixed Data Sampling (MIDAS) regression. In particular, both mixed frequency factor model and MIDAS nowcasts are produced by exploiting the same set of monthly indicators. Hence, we compare the nowcasts performance of the two approaches directly. To preview the results, we find that by exploiting monthly indicators using mixed-frequency factor model and MIDAS regression we improve the nowcast accuracy over a benchmark simple autoregressive model that uses only quarterly frequency data. However, it is not clear whether the MIDAS or mixed-frequency factor model is better. Neither set of nowcasts encompasses the other; suggesting that both nowcasts are valuable in nowcasting GDP but neither is sufficient. By combining the two individual nowcasts, we find that the nowcast combination not only increases the accuracy - relative to individual nowcasts- but also lowers the risk of the worst performance of the individual nowcasts.

Keywords: nowcasting, mixed-frequency data, factor model, nowcasts combination

Procedia PDF Downloads 305

Authors: Eng. Alaa K. Satti Salih

Abstract:

Revolutions Applications such as telecommunications, hands-free communications, recording, etc. which need at least one microphone, the signal is usually infected by noise and echo. The important application is the speech enhancement, which is done to remove suppressed noises and echoes taken by a microphone, beside preferred speech. Accordingly, the microphone signal has to be cleaned using digital signal processing DSP tools before it is played out, transmitted, or stored. Engineers have so far tried different approaches to improving the speech by get back the desired speech signal from the noisy observations. Especially Mobile communication, so in this paper will do reconstruction of the speech signal, observed in additive background noise, using the Kalman filter technique to estimate the parameters of the Autoregressive Process (AR) in the state space model and the output speech signal obtained by the MATLAB. The accurate estimation by Kalman filter on speech would enhance and reduce the noise then compare and discuss the results between actual values and estimated values which produce the reconstructed signals.

Keywords: autoregressive process, Kalman filter, Matlab, noise speech

Procedia PDF Downloads 312

Authors: Javaid Ahmad Dar, Mohammad Asif

Abstract:

The present study investigates the long-run impact of financial development, energy consumption and economic growth on greenhouse gas emissions for India, in presence of endogenous structural breaks, over a period of 1971-2013. Autoregressive distributed lag bounds testing procedure and Hatemi-J threshold cointegration technique have been used to test the variables for cointegration. ARDL bounds test did not confirm any cointegrating relationship between the variables. The threshold cointegration test establishes the presence of long-run impact of financial development, energy use and economic growth on greenhouse gas emissions in India. The results reveal that the long-run relationship between the variables has witnessed two regime shifts, in 1978 and 2002. The empirical evidence shows that financial sector development and energy consumption in India degrade environment. Unlike previous studies, this paper finds no statistical evidence of long-run relationship between economic growth and environmental deterioration. The study also challenges the existence of environmental Kuznets curve in India.

Keywords: cointegration, financial development, global warming, greenhouse gas emissions, regime shift, unit root

Procedia PDF Downloads 353

Authors: Renzo Munoz-Najar, Cristina Wong, Daniel De La Torre Ugarte

Abstract:

The literature on price transmission usually deals with asymmetries related to different commodities and/or the short and long term. The role of domestic regional differences and the relationship with asymmetries within a country are usually left out. This paper looks at the asymmetry in the transmission of rice prices from the international price to the farm gate prices in four northern regions of Peru for the last period 2001-2016. These regions are San Martín, Piura, Lambayeque and La Libertad. The relevance of the study lies in its ability to assess the need for policies aimed at improving the competitiveness of the market and ensuring the benefit of producers. There are differences in planting and harvesting dates, as well as in geographic location that justify the hypothesis of the existence of differences in the price transition asymmetries between these regions. Those differences are due to at least three factors geography, infrastructure development, and distribution systems. For this, the Threshold Vector Error Correction Model and the Autoregressive Vector Model with Threshold are used. Both models, collect asymmetric effects in the price adjustments. In this way, it is sought to verify that farm prices react more to falls than increases in international prices due to the high bargaining power of intermediaries. The results of the investigation suggest that the transmission of prices is significant only for Lambayeque and La Libertad. Likewise, the asymmetry in the transmission of prices for these regions is checked. However, these results are not met for San Martin and Piura, the main rice producers nationwide. A significant price transmission is verified only in the Lambayeque and La Libertad regions. San Martin and Piura, in spite of being the main rice producing regions of Peru, do not present a significant transmission of international prices; a high degree of self-sufficient supply might be at the center of the logic for this result. An additional finding is the short-term adjustment with respect to international prices, it is higher in La Libertad compared to Lambayeque, which could be explained by the greater bargaining power of intermediaries in the last-mentioned region due to the greater technological development in the mills.

Keywords: asymmetric price transmission, rice prices, price transmission, regional economics

Procedia PDF Downloads 187

Authors: Meriem Mossaddek, El Mehdi Laadissi, El Mehdi Loualid, Chouaib Ennawaoui, Sohaib Bouzaid, Abdelowahed Hajjaji

Abstract:

An electrochemical system is a subset of mechatronic systems that includes a wide variety of batteries and nickel-cadmium, lead-acid batteries, and lithium-ion. Those structures have several non-linear behaviors and uncertainties in their running range. This paper studies an effective technique for modeling Lithium-Ion (Li-Ion) batteries using a Nonlinear Auto-Regressive model with exogenous input (NARX). The Artificial Neural Network (ANN) is trained to employ the data collected from the battery testing process. The proposed model is implemented on a Li-Ion battery cell. Simulation of this model in MATLAB shows good accuracy of the proposed model.

Keywords: lithium-ion battery, neural network, energy storage, battery model, nonlinear models

Procedia PDF Downloads 79

Authors: Katyana A. Vert-Pre, James T. Thorson, Thomas Trancart, Eric Feunteun

Abstract:

In marine ecosystems, spatial and temporal species structure is an important component of ecosystems’ response to anthropological and environmental factors. Although spatial distribution patterns and fish temporal series of abundance have been studied in the past, little research has been allocated to the joint dynamic spatio-temporal functional patterns in marine ecosystems and their use in multispecies management and conservation. Each species represents a function to the ecosystem, and the distribution of these species might not be random. A heterogeneous functional distribution will lead to a more resilient ecosystem to external factors. Applying a Vector-Autoregressive Spatio-Temporal (VAST) model for count data, we estimate the spatio-temporal distribution, shift in time, and abundance of 140 species of the Eastern English Chanel, Bay of Biscay and Mediterranean Sea. From the model outputs, we determined spatio-temporal clusters, calculating p-values for hierarchical clustering via multiscale bootstrap resampling. Then, we designed a functional map given the defined cluster. We found that the species distribution within the ecosystem was not random. Indeed, species evolved in space and time in clusters. Moreover, these clusters remained similar over time deriving from the fact that species of a same cluster often shifted in sync, keeping the overall structure of the ecosystem similar overtime. Knowing the co-existing species within these clusters could help with predicting data-poor species distribution and abundance. Further analysis is being performed to assess the ecological functions represented in each cluster.

Keywords: cluster distribution shift, European marine ecosystems, functional distribution, spatio-temporal model

Procedia PDF Downloads 164

Authors: Jiahe Liu, Hongyang Yu, Miao Luo, Feng Qian

Abstract:

The widespread application of 3D human body reconstruction spans various fields. Smplify-X, an algorithm reliant on single-image input, employs three distinct body parameter templates, necessitating gender classification of individuals within the input image. Researchers employed a ResNet18 network to train a gender classifier within the Smplify-X framework, setting the threshold at 0.9, designating images falling below this threshold as having neutral gender. This model achieved 62.38% accurate predictions and 7.54% incorrect predictions. Our improvement involved refining the MobileNet network, resulting in a raised threshold of 0.97. Consequently, we attained 78.89% accurate predictions and a mere 0.2% incorrect predictions, markedly enhancing prediction precision and enabling more precise 3D human body reconstruction.

Keywords: SMPLX, mobileNet, gender classification, 3D human reconstruction

Procedia PDF Downloads 21

Authors: Liqian Li, Yu Liu, Karen Colins

Abstract:

The dose rate present in a seriously contaminated area can be indirectly determined by monitoring radiation damage to inexpensive commercial electronics, instead of deploying expensive radiation hardened sensors. EEPROMs (Electrically Erasable Read Only Memories) are a good candidate for this purpose because they are inexpensive and are sensitive to radiation exposure. When the total ionizing dose threshold is reached, an EEPROM chip will show signs of damage that can be monitored and transmitted by less susceptible electronics. The dose rate can then be determined from the known threshold dose and the exposure time, assuming the radiation field remains constant with time. Therefore, the threshold dose needs to be well understood before this method can be used. There are many factors affecting the threshold dose, such as the gamma ray energy spectrum, the operating voltage, etc. The purpose of this study was to experimentally determine how the threshold dose depends on dose rate, temperature, voltage, and duty factor. It was found that the duty factor has the strongest effect on the total ionizing dose threshold, while the effect of the other three factors that were investigated is less significant. The effect of temperature was found to be opposite to that expected to result from annealing and is yet to be understood.

Keywords: EEPROM, ionizing radiation, radiation effects on electronics, total ionizing dose, wireless sensor networks

Procedia PDF Downloads 150

Authors: S. Boorboor, S. A. H. Feghhi, H. Jafari

Abstract:

The ionizing radiations cause different kinds of damages in electronic components. MOSFETs, most common transistors in today’s digital and analog circuits, are severely sensitive to TID damage. In this work, the threshold voltage shift of CD4007 device, which is an integrated circuit including P-channel and N-channel MOS transistors, was investigated for low dose gamma irradiation under different gate bias voltages. We used linear extrapolation method to extract threshold voltage from I_D-V_G characteristic curve. The results showed that the threshold voltage shift was approximately 27.5 mV/Gy for N-channel and 3.5 mV/Gy for P-channel transistors at the gate bias of |9 V| after irradiation by Co-60 gamma ray source. Although the sensitivity of the devices under test were strongly dependent to biasing condition and transistor type, the threshold voltage shifted linearly versus accumulated dose in all cases. The overall results show that the application of CD4007 as an electronic buffer in a radiation therapy system is limited by TID damage. However, this integrated circuit can be used as a cheap and sensitive radiation dosimeter for accumulated dose measurement in radiation therapy systems.

Keywords: threshold voltage shift, MOS transistor, linear extrapolation, gamma irradiation

Procedia PDF Downloads 248

Authors: Terada Pinyo

Abstract:

This study is the survey research, designed to find out the threshold competency of graduate students in terms of knowledge excellency and professional skills proficiency based on Thai Qualifications Framework for Higher Education (TQF). The sample group consisted of 240 students. The results were collected by stratified sampling, using study programs for each stage. The results were analysed and calculated by computer program. Statistics used during analysing were percentage, mean, and standard deviation. From the study, the threshold competency of graduate students were in very high score range in both overall and specific category. The top category which received the most score was interpersonal skills and responsibility, following by ethics and morality, knowledge and skills, and numerical communication and information technology.

Keywords: threshold competency, Thai qualifications framework for higher education, graduate school

Procedia PDF Downloads 372

Authors: Hubert Klar

Abstract:

High double excitation of two-electron atoms has been investigated using hyperpherical coordinates within a modified adiabatic expansion technique. This modification creates a novel fictitious force leading to a spontaneous exchange symmetry breaking at high double excitation. The Pauli principle must therefore be regarded as approximation valid only at low excitation energy. Threshold electron scattering from high Rydberg states shows an unexpected time reversal symmetry breaking. At threshold for double escape we discover a broad (few eV) Cooper pair.

Keywords: correlation, resonances, threshold ionization, Cooper pair

Procedia PDF Downloads 316

Authors: Chia-Chen Wei, Pack Hsieh, Jeffrey Chen

Abstract:

Surface Mount Technology (SMT) is widely used in the area of the electronic assembly in which the electronic components are mounted to the surface of the printed circuit board (PCB). Most of the defects in the SMT process are mainly related to the quality of solder paste printing. These defects lead to considerable manufacturing costs in the electronics assembly industry. Therefore, the solder paste inspection (SPI) machine for controlling and monitoring the amount of solder paste printing has become an important part of the production process. So far, the setting of the SPI threshold is based on statistical analysis and experts’ experiences to determine the appropriate threshold settings. Because the production data are not normal distribution and there are various variations in the production processes, defects related to solder paste printing still occur. In order to solve this problem, this paper proposes an online machine learning algorithm, called the automatic threshold adjustment (ATA) algorithm, and closed-loop architecture in the SMT process to determine the best threshold settings. Simulation experiments prove that our proposed threshold settings improve the accuracy from 99.85% to 100%.

Keywords: big data analytics, Industry 4.0, SPI threshold setting, surface mount technology

Procedia PDF Downloads 89

Authors: Fu Jinyu, Lin Jinguan

Abstract:

This paper introduces a novel approach that unifies two types of models: one is the continuous-time jump-diffusion used to model high-frequency data, and the other is discrete-time GQARCH employed to model low-frequency financial data by embedding the discrete GQARCH structure with jumps in the instantaneous volatility process. This model is named “GQARCH-It\^{o} -Jumps mode.” We adopt the realized range-based threshold estimation for high-frequency financial data rather than the realized return-based volatility estimators, which entail the loss of intra-day information of the price movement. Meanwhile, a quasi-likelihood function for the low-frequency GQARCH structure with jumps is developed for the parametric estimate. The asymptotic theories are mainly established for the proposed estimators in the case of finite activity jumps. Moreover, simulation studies are implemented to check the finite sample performance of the proposed methodology. Specifically, it is demonstrated that how our proposed approaches can be practically used on some financial data.

Keywords: It\^{o} process, GQARCH, leverage effects, threshold, realized range-based volatility estimator, quasi-maximum likelihood estimate

Procedia PDF Downloads 124

Authors: Haowei Chen, Kaiqi Xiong

Abstract:

This paper aims to answer how malware will propagate in Wireless Mesh Networks (WMNs) and how communication radius and distributed density of nodes affects the process of spreading. The above analysis is essential for devising network-wide strategies to counter malware. We answer these questions by developing an improved dynamical system that models malware propagation in the area where nodes were uniformly distributed. The proposed model captures both the spatial and temporal dynamics regarding the malware spreading process. Equilibrium and stability are also discussed based on the threshold of the system. If the threshold is less than one, the infected nodes disappear, and if the threshold is greater than one, the infected nodes asymptotically stabilize at the endemic equilibrium. Numerical simulations are investigated about communication radius and distributed density of nodes in WMNs, which allows us to draw various insights that can be used to guide security defense.

Keywords: Bluetooth security, malware propagation, wireless mesh networks, stability analysis

Procedia PDF Downloads 63

Authors: Budi Nurani Ruchjana, Atje Setiawan Abdullah, I. Gede Nyoman Mindra Jaya, Eddy Hermawan

Abstract:

In this paper, we propose the application package to estimate parameters of spatiotemporal model based on the multivariate time series analysis using the R open-source software. We build packages mainly to estimate the parameters of the Generalized Space Time Autoregressive (GSTAR) model. GSTAR is a combination of time series and spatial models that have parameters vary per location. We use the method of Ordinary Least Squares (OLS) and use the Mean Average Percentage Error (MAPE) to fit the model to spatiotemporal real phenomenon. For case study, we use oil production data from volcanic layer at Jatibarang Indonesia or climate data such as rainfall in Indonesia. Software R is very user-friendly and it is making calculation easier, processing the data is accurate and faster. Limitations R script for the estimation of model parameters spatiotemporal GSTAR built is still limited to a stationary time series model. Therefore, the R program under windows can be developed either for theoretical studies and application.

Keywords: GSTAR Model, MAPE, OLS method, oil production, R software

Procedia PDF Downloads 212

Authors: Frank Hespeler, Giuseppe Loiacono

Abstract:

We propose measures for systemic risk generated through intra-sectorial interdependencies in the hedge fund sector. These measures are based on variations in the average cross-effects of funds showing significant interdependency between their individual returns and the moments of the sector’s return distribution. The proposed measures display a high ability to identify periods of financial distress, are robust to modifications in the underlying econometric model and are consistent with intuitive interpretation of the results.

Keywords: hedge funds, systemic risk, vector autoregressive model, risk monitoring

Procedia PDF Downloads 293

Authors: Muhammed Ashiq Villanthenkodath, Shreya Pal

Abstract:

Purpose: This study scrutinizes the impact of economic globalization on ecological footprint while endogenizing economic growth and energy consumption from 1990 to 2018 in India. Design/methodology/approach: The standard unit root test has been employed for time series analysis to unveil the integration order. Then, the cointegration was confirmed using autoregressive distributed lag (ARDL) analysis. Further, the study executed the dynamic ARDL simulation model to estimate long-run and short-run results along with simulation and robotic prediction. Findings: The cointegration analysis confirms the existence of a long-run association among variables. Further, economic globalization reduces the ecological footprint in the long run. Similarly, energy consumption decreases the ecological footprint. In contrast, economic growth spurs the ecological footprint in India. Originality/value: This study contributes to the literature in many ways. First, unlike studies that employ CO2 emissions and globalization nexus, this study employs ecological footprint for measuring environmental quality; since it is the broader measure of environmental quality, it can offer a wide range of climate change mitigation policies for India. Second, the study executes a multivariate framework with updated series from 1990 to 2018 in India to explore the link between EF, economic globalization, energy consumption, and economic growth. Third, the dynamic autoregressive distributed lag (ARDL) model has been used to explore the short and long-run association between the series. Finally, to our limited knowledge, this is the first study that uses economic globalization in the EF function of India amid facing a trade-off between sustainable economic growth and the environment in the era of globalization.

Keywords: economic globalization, ecological footprint, India, dynamic ARDL simulation model

Procedia PDF Downloads 93

Authors: Youness Laaroussi, Zine Elabidine Guennoun, Amine Amar

Abstract:

Modeling and forecasting dynamics of rainfall occurrences constitute one of the major topics, which have been largely treated by statisticians, hydrologists, climatologists and many other groups of scientists. In the same issue, we propose in the present paper a new hybrid method, which combines Extreme Values and fractal theories. We illustrate the use of our methodology for transformed Emberger Index series, constructed basing on data recorded in Oujda (Morocco). The index is treated at first by Peaks Over Threshold (POT) approach, to identify excess observations over an optimal threshold u. In the second step, we consider the resulting excess as a fractal object included in one dimensional space of time. We identify fractal dimension by the box counting. We discuss the prospect descriptions of rainfall data sets under Generalized Pareto Distribution, assured by Extreme Values Theory (EVT). We show that, despite of the appropriateness of return periods given by POT approach, the introduction of fractal dimension provides accurate interpretation results, which can ameliorate apprehension of rainfall occurrences.

Keywords: extreme values theory, fractals dimensions, peaks Over threshold, rainfall occurrences

Procedia PDF Downloads 335

Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović

Abstract:

Due to the importance of yield curve and its estimation it is inevitable to have valid methods for yield curve forecasting in cases when there are scarce issues of securities and/or week trade on a secondary market. Therefore in this paper, after the estimation of weekly yield curves on Croatian financial market from October 2011 to August 2012 using Nelson-Siegel and Svensson models, yield curves are forecasted using Vector auto-regressive model and Neural networks. In general, it can be concluded that both forecasting methods have good prediction abilities where forecasting of yield curves based on Nelson Siegel estimation model give better results in sense of lower Mean Squared Error than forecasting based on Svensson model Also, in this case Neural networks provide slightly better results. Finally, it can be concluded that most appropriate way of yield curve prediction is neural networks using Nelson-Siegel estimation of yield curves.

Keywords: Nelson-Siegel Model, neural networks, Svensson Model, vector autoregressive model, yield curve

Procedia PDF Downloads 283

Authors: Chen-Yin Kuo, Yung-Hsin Lee

Abstract:

Previous studies applying residual income valuation (RIV) model generally use panel data and single-equation model to forecast stock prices. Unlike these, this paper uses Taiwan longitudinal data to estimate multi-equation time-series models such as Vector Autoregressive (VAR), Vector Error Correction Model (VECM), and conduct out-of-sample forecasting. Further, this work assesses their forecasting performance by two instruments. In favor of extant research, the major finding shows that VECM outperforms other three models in forecasting for three stock sectors over entire horizons. It implies that an error correction term containing long-run information contributes to improve forecasting accuracy. Moreover, the pattern of composite shows that at longer horizon, VECM produces the greater reduction in errors, and performs substantially better than VAR.

Keywords: residual income valuation model, vector error correction model, out of sample forecasting, forecasting accuracy

Procedia PDF Downloads 285

Authors: Yuzhi Cai

Abstract:

In this paper, we discuss a Bayesian approach to quantile autoregressive (QAR) time series model estimation and forecasting. Together with a combining forecasts technique, we then predict USD to GBP currency exchange rates. Combined forecasts contain all the information captured by the fitted QAR models at different quantile levels and are therefore better than those obtained from individual models. Our results show that an unequally weighted combining method performs better than other forecasting methodology. We found that a median AR model can perform well in point forecasting when the predictive density functions are symmetric. However, in practice, using the median AR model alone may involve the loss of information about the data captured by other QAR models. We recommend that combined forecasts should be used whenever possible.

Keywords: combining forecasts, MCMC, predictive density functions, quantile forecasting, quantile modelling

Procedia PDF Downloads 228

Authors: Kalai Lamia, Jilani Faouzi

Abstract:

Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of “persistence” of conditional variance and the presence of a degree of a leverage effect. In order to resolve for the problem of “asymmetry” in volatility, the retained specifications point to the importance of stocks reactions in response to news. Effects of shocks on volatility highlight also the need to study the “long term” behaviour of conditional variance of stocks returns and articulate the presence of long memory and dependence of time series in the long run. We note that the integrated fractional autoregressive model allows for representing time series that show long-term conditional variance thanks to fractional integration parameters. In order to stop at the dynamics that manage time series, a comparative study of the results of the different models will allow for better understanding volatility structure over the Tunisia stock market, with the aim of accurately predicting fluctuation risks.

Keywords: asymmetry volatility, clustering, stylised facts, leverage effect

Procedia PDF Downloads 269

Authors: Salman Mohamadi, Seyed Mohammad Ali Tayaranian Hosseini, Hamidreza Amindavar

Abstract:

In this paper, we provide a procedure to analyze and model EEG (electroencephalogram) signal as a time series using ARIMA-GARCH to predict an epileptic attack. The heteroskedasticity of EEG signal is examined through the ARCH or GARCH, (Autore- gressive conditional heteroskedasticity, Generalized autoregressive conditional heteroskedasticity) test. The best ARIMA-GARCH model in AIC sense is utilized to measure the volatility of the EEG from epileptic canine subjects, to forecast the future values of EEG. ARIMA-only model can perform prediction, but the ARCH or GARCH model acting on the residuals of ARIMA attains a con- siderable improved forecast horizon. First, we estimate the best ARIMA model, then different orders of ARCH and GARCH modelings are surveyed to determine the best heteroskedastic model of the residuals of the mentioned ARIMA. Using the simulated conditional variance of selected ARCH or GARCH model, we suggest the procedure to predict the oncoming seizures. The results indicate that GARCH modeling determines the dynamic changes of variance well before the onset of seizure. It can be inferred that the prediction capability comes from the ability of the combined ARIMA-GARCH modeling to cover the heteroskedastic nature of EEG signal changes.

Keywords: epileptic seizure prediction , ARIMA, ARCH and GARCH modeling, heteroskedasticity, EEG

Procedia PDF Downloads 375

Authors: Rajesh Agarwal

Abstract:

Carrier mobility at the organic/insulator interface is essential to the performance of organic thin film transistors (OTFT). The present work describes estimation of field dependent mobility (FDM) parameters and the threshold voltage of an OTFT using a simple, easy to fabricate two terminal asymmetric capacitive test structure using admittance measurements. Conventionally, transfer characteristics are used to estimate the threshold voltage in an OTFT with field independent mobility (FIDM). Yet, this technique breaks down to give accurate results for devices with high contact resistance and having field dependent mobility. In this work, a new technique is presented for characterization of long channel organic capacitor (LCOC). The proposed technique helps in the accurate estimation of mobility enhancement factor (γ), the threshold voltage (V_th) and band mobility (µ₀) using capacitance-voltage (C-V) measurement in OTFT. This technique also helps to get rid of making short channel OTFT or metal-insulator-metal (MIM) structures for making C-V measurements. To understand the behavior of devices and ease of analysis, transmission line compact model is developed. The 2-D numerical simulation was carried out to illustrate the correctness of the model. Results show that proposed technique estimates device parameters accurately even in the presence of contact resistance and field dependent mobility. Pentacene/Poly (4-vinyl phenol) based top contact bottom-gate OTFT’s are fabricated to illustrate the operation and advantages of the proposed technique. Small signal of frequency varying from 1 kHz to 5 kHz and gate potential ranging from +40 V to -40 V have been applied to the devices for measurement.

Keywords: capacitance, mobility, organic, thin film transistor

Procedia PDF Downloads 134

Authors: Daniel Fulus Fom, Gau Patrick Damulak

Abstract:

In this study, the Autoregressive Fractional Integrated Moving Average (ARFIMA) and Jordan Recurrent Neural Network (JRNN) models were employed to model the forecasting performance of the daily turbidity flow of White Clay Creek (WCC). The two methods were applied to the log difference series of the daily turbidity flow series of WCC. The measurements of error employed to investigate the forecasting performance of the ARFIMA and JRNN models are the Root Mean Square Error (RMSE) and the Mean Absolute Error (MAE). The outcome of the investigation revealed that the forecasting performance of the JRNN technique is better than the forecasting performance of the ARFIMA technique in the mean square error sense. The results of the ARFIMA and JRNN models were obtained by the simulation of the models using MATLAB version 8.03. The significance of using the log difference series rather than the difference series is that the log difference series stabilizes the turbidity flow series than the difference series on the ARFIMA and JRNN.

Keywords: auto regressive, mean absolute error, neural network, root square mean error

Procedia PDF Downloads 242

Authors: G. Lei, P. C. Dong, X. Q. Cen, S. Y. Mo

Abstract:

One of the most significant parameters, describing the effect of water flooding in porous media, is flood-response time, and it is an important index in oilfield development. The responding time in low permeability reservoir is usually calculated by the method of stable state successive substitution neglecting the effect of medium deformation. Numerous studies show that the media deformation has an important impact on the development for low permeability reservoirs and can not be neglected. On the base of streamline tube model, we developed a method to interpret responding time with medium deformation factor. The results show that: the media deformation factor, threshold pressure gradient and well spacing have a significant effect on the flood response time. The greater the media deformation factor, threshold pressure gradient or well spacing is, the lower the flood response time is. The responding time of different streamlines varies. As the angle with the main streamline increases, the water flooding response time delays as a "parabola" shape.

Keywords: low permeability, flood-response time, threshold pressure gradient, medium deformation

Procedia PDF Downloads 473