Search results for: Periodic autoregressive model.

Authors: Kejun Zhuang, Zhaohui Wen

Abstract:

The main purpose of this paper is to investigate a discrete time three–species food chain system with ratio dependence. By employing coincidence degree theory and analysis techniques, sufficient conditions for existence of periodic solutions are established.

Keywords: Food chain, ratio–dependent, coincidence degree, periodic solutions.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1513

Authors: S. Wongkoon, M. Pollar, M. Jaroensutasinee, K. Jaroensutasinee

Abstract:

This study aimed at developing a forecasting model on the number of Dengue Haemorrhagic Fever (DHF) incidence in Northern Thailand using time series analysis. We developed Seasonal Autoregressive Integrated Moving Average (SARIMA) models on the data collected between 2003-2006 and then validated the models using the data collected between January-September 2007. The results showed that the regressive forecast curves were consistent with the pattern of actual values. The most suitable model was the SARIMA(2,0,1)(0,2,0)12 model with a Akaike Information Criterion (AIC) of 12.2931 and a Mean Absolute Percent Error (MAPE) of 8.91713. The SARIMA(2,0,1)(0,2,0)12 model fitting was adequate for the data with the Portmanteau statistic Q20 = 8.98644 ( x20,95= 27.5871, P>0.05). This indicated that there was no significant autocorrelation between residuals at different lag times in the SARIMA(2,0,1)(0,2,0)12 model.

Keywords: Dengue, SARIMA, Time Series Analysis, Northern Thailand.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1990

Authors: Shamsuddin Ahmed, M. G. M. Khan, Biman Prasad, Avlin Prasad

Abstract:

The focus of this paper is to construct daily time series exchange rate forecast models of Samoan Tala/USD and Tala/AUD during the year 2008 to 2012 with neural network The performance of the models was measured by using varies error functions such as Root Square mean error (RSME), Mean absolute error (MAE), and Mean absolute percentage error (MAPE). Our empirical findings suggest that AR (1) model is an effective tool to forecast the Tala/USD and Tala/AUD.

Keywords: Neural Network Forecasting Model, Autoregressive time series, Exchange rate, Tala/AUD, winters model.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2433

Authors: Kai Wang, Yanling Zu

Abstract:

By utilizing the comparison theorem and Lyapunov second method, some sufficient conditions for the permanence and global attractivity of positive periodic solution for a predator-prey model with mutual interference m ∈ (0, 1) and delays τi are obtained. It is the first time that such a model is considered with delays. The significant is that the results presented are related to the delays and the mutual interference constant m. Several examples are illustrated to verify the feasibility of the results by simulation in the last part.

Keywords: Predator-prey model, Mutual interference, Delays, Permanence, Global attractivity

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2386

Authors: T. C. Manjunath, B. Bandyopadhyay

Abstract:

This paper deals with the design of a periodic output feedback controller for a flexible beam structure modeled with Timoshenko beam theory, Finite Element Method, State space methods and embedded piezoelectrics concept. The first 3 modes are considered in modeling the beam. The main objective of this work is to control the vibrations of the beam when subjected to an external force. Shear piezoelectric sensors and actuators are embedded into the top and bottom layers of a flexible aluminum beam structure, thus making it intelligent and self-adaptive. The composite beam is divided into 5 finite elements and the control actuator is placed at finite element position 1, whereas the sensor is varied from position 2 to 5, i.e., from the nearby fixed end to the free end. 4 state space SISO models are thus developed. Periodic Output Feedback (POF) Controllers are designed for the 4 SISO models of the same plant to control the flexural vibrations. The effect of placing the sensor at different locations on the beam is observed and the performance of the controller is evaluated for vibration control. Conclusions are finally drawn.

Keywords: Smart structure, Timoshenko beam theory, Periodic output feedback control, Finite Element Method, State space model, SISO, Embedded sensors and actuators, Vibration control.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2133

Authors: Rasaki O. Olanrewaju

Abstract:

The driven processes of Wiener and Lévy are known self-standing Gaussian-Markov processes for fitting non-linear dynamical Vasciek model. In this paper, a coincidental Gaussian density stationarity condition and autocorrelation function of the two driven processes were established. This led to the conflation of Wiener and Lévy processes so as to investigate the efficiency of estimates incorporated into the one-dimensional Vasciek model that was estimated via the Maximum Likelihood (ML) technique. The conditional laws of drift, diffusion and stationarity process was ascertained for the individual Wiener and Lévy processes as well as the commingle of the two processes for a fixed effect and Autoregressive like Vasciek model when subjected to financial series; exchange rate of Naira-CFA Franc. In addition, the model performance error of the sub-merged driven process was miniature compared to the self-standing driven process of Wiener and Lévy.

Keywords: Wiener process, Lévy process, Vasciek model, drift, diffusion, Gaussian density stationary.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 666

Authors: Ramaswamy Palaniappan, Nai-Jen Huan

Abstract:

Classification of electroencephalogram (EEG) signals extracted during mental tasks is a technique that is actively pursued for Brain Computer Interfaces (BCI) designs. In this paper, we compared the classification performances of univariateautoregressive (AR) and multivariate autoregressive (MAR) models for representing EEG signals that were extracted during different mental tasks. Multilayer Perceptron (MLP) neural network (NN) trained by the backpropagation (BP) algorithm was used to classify these features into the different categories representing the mental tasks. Classification performances were also compared across different mental task combinations and 2 sets of hidden units (HU): 2 to 10 HU in steps of 2 and 20 to 100 HU in steps of 20. Five different mental tasks from 4 subjects were used in the experimental study and combinations of 2 different mental tasks were studied for each subject. Three different feature extraction methods with 6th order were used to extract features from these EEG signals: AR coefficients computed with Burg-s algorithm (ARBG), AR coefficients computed with stepwise least square algorithm (ARLS) and MAR coefficients computed with stepwise least square algorithm. The best results were obtained with 20 to 100 HU using ARBG. It is concluded that i) it is important to choose the suitable mental tasks for different individuals for a successful BCI design, ii) higher HU are more suitable and iii) ARBG is the most suitable feature extraction method.

Keywords: Autoregressive, Brain-Computer Interface, Electroencephalogram, Neural Network.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1803

Authors: Olivier Adam, Maciej Lopatka, Christophe Laplanche, Jean-François Motsch

Abstract:

This article presents the results using a parametric approach and a Wavelet Transform in analysing signals emitting from the sperm whale. The extraction of intrinsic characteristics of these unique signals emitted by marine mammals is still at present a difficult exercise for various reasons: firstly, it concerns non-stationary signals, and secondly, these signals are obstructed by interfering background noise. In this article, we compare the advantages and disadvantages of both methods: Auto Regressive models and Wavelet Transform. These approaches serve as an alternative to the commonly used estimators which are based on the Fourier Transform for which the hypotheses necessary for its application are in certain cases, not sufficiently proven. These modern approaches provide effective results particularly for the periodic tracking of the signal's characteristics and notably when the signal-to-noise ratio negatively effects signal tracking. Our objectives are twofold. Our first goal is to identify the animal through its acoustic signature. This includes recognition of the marine mammal species and ultimately of the individual animal (within the species). The second is much more ambitious and directly involves the intervention of cetologists to study the sounds emitted by marine mammals in an effort to characterize their behaviour. We are working on an approach based on the recordings of marine mammal signals and the findings from this data result from the Wavelet Transform. This article will explore the reasons for using this approach. In addition, thanks to the use of new processors, these algorithms once heavy in calculation time can be integrated in a real-time system.

Keywords: Autoregressive model, Daubechies Wavelet, Fourier Transform, marine mammals, signal processing, spectrogram, sperm whale, Wavelet Transform.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2005

Authors: Ε. Giovanis

Abstract:

In this paper we apply an Adaptive Network-Based Fuzzy Inference System (ANFIS) with one input, the dependent variable with one lag, for the forecasting of four macroeconomic variables of US economy, the Gross Domestic Product, the inflation rate, six monthly treasury bills interest rates and unemployment rate. We compare the forecasting performance of ANFIS with those of the widely used linear autoregressive and nonlinear smoothing transition autoregressive (STAR) models. The results are greatly in favour of ANFIS indicating that is an effective tool for macroeconomic forecasting used in academic research and in research and application by the governmental and other institutions

Keywords: Linear models, Macroeconomics, Neuro-Fuzzy, Non-Linear models

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1793

Authors: Meng Hu, Lili Wang

Abstract:

In this paper, applying He-s energy balance method to determine frequency formulation relations of nonlinear oscillators with discontinuous term or fractional potential. By calculation and computer simulations, compared with the exact solutions show that the results obtained are of high accuracy.

Keywords: He's energy balance method, periodic solution, nonlinear oscillator, discontinuous, fractional potential.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1373

Authors: Kejun Zhuang

Abstract:

In this paper, a delayed predator–prey system with stage structure is investigated. Sufficient conditions for the system to have multiple periodic solutions are obtained when the delay is sufficiently large by applying Bendixson-s criterion. Further, some numerical examples are given.

Keywords: Predator-prey system, Stage structure, Hopf bifurcation, Periodic solutions.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1330

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: Exchange rate, quantile regression, combining forecasts.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1777

Authors: Meng Hu, Lili Wang

Abstract:

In this paper, He-s amplitude frequency formulation is used to obtain a periodic solution for a nonlinear oscillator with fractional potential. By calculation and computer simulations, compared with the exact solution shows that the result obtained is of high accuracy.

Keywords: He's amplitude frequency formulation, Periodic solution, Nonlinear oscillator, Fractional potential.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1368

Authors: H. Ait Abderrahmane, M. Fayed, H. D. Ng, G. H. Vatistas

Abstract:

The present paper expands details and confirms the transition mechanism between two subsequent polygonal patterns of the hollow-core vortex. Using power spectral analysis, we confirm in this work that the transition from any N-gon to (N+1)-gon pattern observed within a hollow-core vortex of shallow rotating flows occurs in two steps. The regime was quasi-periodic before the frequencies lock (synchronization). The ratios of locking frequencies were found to be equal to (N-1)/N.

Keywords: Patterns, quasi-periodic, swirling, synchronization, transition.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 919

Authors: Kejun Zhuang

Abstract:

In this paper, a delayed physiological control system is investigated. The sufficient conditions for stability of positive equilibrium and existence of local Hopf bifurcation are derived. Furthermore, global existence of periodic solutions is established by using the global Hopf bifurcation theory. Finally, numerical examples are given to support the theoretical analysis.

Keywords: Physiological control system, global Hopf bifurcation, periodic solutions.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1558

Authors: Kejun Zhuang, Hailong Zhu

Abstract:

The dynamics of a delayed mathematical model for Hes1 oscillatory expression are investigated. The linear stability of positive equilibrium and existence of local Hopf bifurcation are studied. Moreover, the global existence of large periodic solutions has been established due to the global bifurcation theorem.

Keywords: Hes1, Hopf bifurcation, time delay, transcriptional repression loop

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1394

Authors: Amir Azizi, Amir Yazid b. Ali, Loh Wei Ping, Mohsen Mohammadzadeh

Abstract:

Uncertainties of a serial production line affect on the production throughput. The uncertainties cannot be prevented in a real production line. However the uncertain conditions can be controlled by a robust prediction model. Thus, a hybrid model including autoregressive integrated moving average (ARIMA) and multiple polynomial regression, is proposed to model the nonlinear relationship of production uncertainties with throughput. The uncertainties under consideration of this study are demand, breaktime, scrap, and lead-time. The nonlinear relationship of production uncertainties with throughput are examined in the form of quadratic and cubic regression models, where the adjusted R-squared for quadratic and cubic regressions was 98.3% and 98.2%. We optimized the multiple quadratic regression (MQR) by considering the time series trend of the uncertainties using ARIMA model. Finally the hybrid model of ARIMA and MQR is formulated by better adjusted R-squared, which is 98.9%.

Keywords: ARIMA, multiple polynomial regression, production throughput, uncertainties

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2199

Authors: Onesmus Muvengei, John Kihiu, Bernard Ikua

Abstract:

This paper numerically investigates the effects of input speed on the overall dynamic characteristics of a multi-body system with differently located revolute clearance joints without friction. A typical planar slider-crank mechanism is used as a demonstration case in which the effects of the input speed on the dynamic performance of the mechanism with a revolute clearance joint between the crank and connecting rod, and between the connecting rod and slider are separately investigated with comprehensive observations numerically presented. It is observed that, changing the driving speed of a multibody system makes the behavior of the system to change from either periodic to chaotic, or chaotic to periodic depending on which joint has clearance. The location of the clearance revolute joint and the operating speed of a multi-body system play a crucial role in predicting accurately the dynamic responses of the system. Therefore the dynamic behavior of one clearance revolute joint cannot be used as a general case for a mechanical system.

Keywords: Chaotic behavior, Contact-impact forces, Dynamic response, Multi-body mechanical system, Periodic behavior, Poincare maps, Quasi-periodic behavior, Revolute clearance joint

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1878

Authors: Fengxia Zheng, Shouming Zhong

Abstract:

ANNARIMA that combines both autoregressive integrated moving average (ARIMA) model and artificial neural network (ANN) model is a valuable tool for modeling and forecasting nonlinear time series, yet the over-fitting problem is more likely to occur in neural network models. This paper provides a hybrid methodology that combines both radial basis function (RBF) neural network and auto regression (AR) model based on binomial smoothing (BS) technique which is efficient in data processing, which is called BSRBFAR. This method is examined by using the data of Canadian Lynx data. Empirical results indicate that the over-fitting problem can be eased using RBF neural network based on binomial smoothing which is called BS-RBF, and the hybrid model–BS-RBFAR can be an effective way to improve forecasting accuracy achieved by BSRBF used separately.

Keywords: Binomial smoothing (BS), hybrid, Canadian Lynx data, forecasting accuracy.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3686

Authors: Christian H. Sanabria-Montaña, Rodrigo Huerta-Quintanilla

Abstract:

A lattice network is a special type of network in which all nodes have the same number of links, and its boundary conditions are periodic. The most basic lattice network is the ring, a one-dimensional network with periodic border conditions. In contrast, the Cartesian product of d rings forms a d-dimensional lattice network. An analytical expression currently exists for the clustering coefficient in this type of network, but the theoretical value is valid only up to certain connectivity value; in other words, the analytical expression is incomplete. Here we obtain analytically the clustering coefficient expression in d-dimensional lattice networks for any link density. Our analytical results show that the clustering coefficient for a lattice network with density of links that tend to 1, leads to the value of the clustering coefficient of a fully connected network. We developed a model on criminology in which the generalized clustering coefficient expression is applied. The model states that delinquents learn the know-how of crime business by sharing knowledge, directly or indirectly, with their friends of the gang. This generalization shed light on the network properties, which is important to develop new models in different fields where network structure plays an important role in the system dynamic, such as criminology, evolutionary game theory, econophysics, among others.

Keywords: Clustering coefficient, criminology, generalized, regular network d-dimensional.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1636

Authors: Shunyi Li, Zhifang He, Xiangui Xue

Abstract:

An Ivlev-type predator-prey system and stage-structured for predator concerning impulsive control strategy is considered. The conditions for the locally asymptotically stable prey-eradication periodic solution is obtained, by using Floquet theorem and small amplitude perturbation skills——when the impulsive period is less than the critical value. Otherwise, the system is permanence. Numerical examples show that the system considered has more complicated dynamics, including high-order quasi-periodic and periodic oscillating, period-doubling and period-halving bifurcation, chaos and attractor crisis, etc. Finally, the biological implications of the results and the impulsive control strategy are discussed.

Keywords: Stage-structured predator-prey system, Impulsive, Permanence, Bifurcation, Chaos.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1663

Authors: Meng Hu, Lili Wang

Abstract:

By using the method of coincidence degree and constructing suitable Lyapunov functional, some sufficient conditions are established for the existence and global exponential stability of antiperiodic solutions for a kind of impulsive Cohen-Grossberg shunting inhibitory cellular neural networks (CGSICNNs) on time scales. An example is given to illustrate our results.

Keywords: Anti-periodic solution, coincidence degree, CGSICNNs, impulse, time scales.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1314

Authors: Mohamad Reza. Mohaghegh, Majid. Malek Jafarian

Abstract:

This research proposes an algorithm for the simulation of time-periodic unsteady problems via the solution unsteady Euler and Navier-Stokes equations. This algorithm which is called Time Spectral method uses a Fourier representation in time and hence solve for the periodic state directly without resolving transients (which consume most of the resources in a time-accurate scheme). Mathematical tools used here are discrete Fourier transformations. It has shown tremendous potential for reducing the computational cost compared to conventional time-accurate methods, by enforcing periodicity and using Fourier representation in time, leading to spectral accuracy. The accuracy and efficiency of this technique is verified by Euler and Navier-Stokes calculations for pitching airfoils. Because of flow turbulence nature, Baldwin-Lomax turbulence model has been used at viscous flow analysis. The results presented by the Time Spectral method are compared with experimental data. It has shown tremendous potential for reducing the computational cost compared to the conventional time-accurate methods, by enforcing periodicity and using Fourier representation in time, leading to spectral accuracy, because results verify the small number of time intervals per pitching cycle required to capture the flow physics.

Keywords: Time Spectral Method, Time-periodic unsteadyflow, Discrete Fourier transform, Pitching airfoil, Turbulence flow

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1770

Authors: Riccardo Fratini, Riccardo Santini, Jacopo Serafini, Massimo Gennaretti, Stefano Panzieri

Abstract:

This paper presents a nonlinear differential model, for a three-bladed horizontal axis wind turbine (HAWT) suited for control applications. It is based on a 8-dofs, lumped parameters structural dynamics coupled with a quasi-steady sectional aerodynamics. In particular, using the Euler-Lagrange Equation (Energetic Variation approach), the authors derive, and successively validate, such model. For the derivation of the aerodynamic model, the Greenbergs theory, an extension of the theory proposed by Theodorsen to the case of thin airfoils undergoing pulsating flows, is used. Specifically, in this work, the authors restricted that theory under the hypothesis of low perturbation reduced frequency k, which causes the lift deficiency function C(k) to be real and equal to 1. Furthermore, the expressions of the aerodynamic loads are obtained using the quasi-steady strip theory (Hodges and Ormiston), as a function of the chordwise and normal components of relative velocity between flow and airfoil Ut, Up, their derivatives, and section angular velocity ε˙. For the validation of the proposed model, the authors carried out open and closed-loop simulations of a 5 MW HAWT, characterized by radius R =61.5 m and by mean chord c = 3 m, with a nominal angular velocity Ωn = 1.266rad/sec. The first analysis performed is the steady state solution, where a uniform wind Vw = 11.4 m/s is considered and a collective pitch angle θ = 0.88◦ is imposed. During this step, the authors noticed that the proposed model is intrinsically periodic due to the effect of the wind and of the gravitational force. In order to reject this periodic trend in the model dynamics, the authors propose a collective repetitive control algorithm coupled with a PD controller. In particular, when the reference command to be tracked and/or the disturbance to be rejected are periodic signals with a fixed period, the repetitive control strategies can be applied due to their high precision, simple implementation and little performance dependency on system parameters. The functional scheme of a repetitive controller is quite simple and, given a periodic reference command, is composed of a control block Crc(s) usually added to an existing feedback control system. The control block contains and a free time-delay system eτs in a positive feedback loop, and a low-pass filter q(s). It should be noticed that, while the time delay term reduces the stability margin, on the other hand the low pass filter is added to ensure stability. It is worth noting that, in this work, the authors propose a phase shifting for the controller and the delay system has been modified as e^(−(T−γk)), where T is the period of the signal and γk is a phase shifting of k samples of the same periodic signal. It should be noticed that, the phase shifting technique is particularly useful in non-minimum phase systems, such as flexible structures. In fact, using the phase shifting, the iterative algorithm could reach the convergence also at high frequencies. Notice that, in our case study, the shifting of k samples depends both on the rotor angular velocity Ω and on the rotor azimuth angle Ψ: we refer to this controller as a spatial repetitive controller. The collective repetitive controller has also been coupled with a C(s) = PD(s), in order to dampen oscillations of the blades. The performance of the spatial repetitive controller is compared with an industrial PI controller. In particular, starting from wind speed velocity Vw = 11.4 m/s the controller is asked to maintain the nominal angular velocity Ωn = 1.266rad/s after an instantaneous increase of wind speed (Vw = 15 m/s). Then, a purely periodic external disturbance is introduced in order to stress the capabilities of the repetitive controller. The results of the simulations show that, contrary to a simple PI controller, the spatial repetitive-PD controller has the capability to reject both external disturbances and periodic trend in the model dynamics. Finally, the nominal value of the angular velocity is reached, in accordance with results obtained with commercial software for a turbine of the same type.

Keywords: Wind turbines, aeroelasticity, repetitive control, periodic systems.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1298

Authors: Wararit Panichkitkosolkul

Abstract:

The unit root tests based on the robust estimator for the first-order autoregressive process are proposed and compared with the unit root tests based on the ordinary least squares (OLS) estimator. The percentiles of the null distributions of the unit root test are also reported. The empirical probabilities of Type I error and powers of the unit root tests are estimated via Monte Carlo simulation. Simulation results show that all unit root tests can control the probability of Type I error for all situations. The empirical power of the unit root tests based on the robust estimator are higher than the unit root tests based on the OLS estimator.

Keywords: Autoregressive, Ordinary least squares, Type I error, Power of the test, Monte Carlo simulation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1788

Authors: Souhir Ben Amor, Heni Boubaker, Lotfi Belkacem

Abstract:

This aims of this paper is to forecast the electricity spot prices. First, we focus on modeling the conditional mean of the series so we adopt a generalized fractional -factor Gegenbauer process (k-factor GARMA). Secondly, the residual from the -factor GARMA model has used as a proxy for the conditional variance; these residuals were predicted using two different approaches. In the first approach, a local linear wavelet neural network model (LLWNN) has developed to predict the conditional variance using the Back Propagation learning algorithms. In the second approach, the Gegenbauer generalized autoregressive conditional heteroscedasticity process (G-GARCH) has adopted, and the parameters of the k-factor GARMA-G-GARCH model has estimated using the wavelet methodology based on the discrete wavelet packet transform (DWPT) approach. The empirical results have shown that the k-factor GARMA-G-GARCH model outperform the hybrid k-factor GARMA-LLWNN model, and find it is more appropriate for forecasts.

Keywords: k-factor, GARMA, LLWNN, G-GARCH, electricity price, forecasting.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 995

Authors: N. Azhikhanov, T. Turimbetov, Zh. Masanov, N. Zhunisov

Abstract:

It can be determined in preference between representative mechanical and mathematical model of elasticcreeping deformation of transversally isotropic array with doubly periodic system of tilted slots, and offer of the finite elements calculation scheme, and inspection of the states of two diagonal arbitrary profile cavities of deep inception, and in setting up the tense and dislocation fields distribution nature in computing processes.

Keywords: Mathematical model, tunnel, transversally isotropic, finite elements.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1593

Authors: Wong Hock Tsen

Abstract:

This study aims to investigate the impact of exchange rate volatility on real export in Malaysia. The moving standard deviation with order three (MSD(3)) is used for the measurement of exchange rate volatility. The conventional and partially asymmetric autoregressive distributed lag (ARDL) models are used in the estimations. This study finds exchange rate volatility to have significant impact on real total export and some sub-categories of real total export. Moreover, this study finds that the positive or negative exchange rate volatility tends to have positive or negative impact on real export. Exchange rate volatility can be harmful to export of Malaysia.

Keywords: Exchange rate volatility, autoregressive distributed lag, export, Malaysia.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1198

Authors: N. Z. A. Hamid, M. S. M. Noorani

Abstract:

This study is focused on the development of prediction models of the Ozone concentration time series. Prediction model is built based on chaotic approach. Firstly, the chaotic nature of the time series is detected by means of phase space plot and the Cao method. Then, the prediction model is built and the local linear approximation method is used for the forecasting purposes. Traditional prediction of autoregressive linear model is also built. Moreover, an improvement in local linear approximation method is also performed. Prediction models are applied to the hourly Ozone time series observed at the benchmark station in Malaysia. Comparison of all models through the calculation of mean absolute error, root mean squared error and correlation coefficient shows that the one with improved prediction method is the best. Thus, chaotic approach is a good approach to be used to develop a prediction model for the Ozone concentration time series.

Keywords: Chaotic approach, phase space, Cao method, local linear approximation method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1782

Authors: Halil Fidan

Abstract:

In this work, the autoregressive vectors are used to know dynamics of the Agricultural export and import, and the real effective exchange rate (REER). In order to analyze the interactions, the impulse- response function is used in decomposition of variance, causality of Granger as well as the methodology of Johansen to know the relations co integration. The REER causes agricultural export and import in the sense of Granger. The influence displays the innovations of the REER on the agricultural export and import is not very great and the duration of the effects is short. It displays that REER has an immediate positive effect, after the tenth year it displays smooth results on the agricultural export. Evidence of a vector exists co integration, In short run, REER has smaller effects on export and import, compared to the long-run effects.

Keywords: Agricultural import, agricultural export, autoregressive causality of granger, impulse-response function, long run, short run.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2578