Search results for: Vector autoregressive model

Authors: Emrah Bulut, Okan Duru, Shigeru Yoshida

Abstract:

In this study, a fuzzy integrated logical forecasting method (FILF) is extended for multi-variate systems by using a vector autoregressive model. Fuzzy time series forecasting (FTSF) method was recently introduced by Song and Chissom [1]-[2] after that Chen improved the FTSF method. Rather than the existing literature, the proposed model is not only compared with the previous FTS models, but also with the conventional time series methods such as the classical vector autoregressive model. The cluster optimization is based on the C-means clustering method. An empirical study is performed for the prediction of the chartering rates of a group of dry bulk cargo ships. The root mean squared error (RMSE) metric is used for the comparing of results of methods and the proposed method has superiority than both traditional FTS methods and also the classical time series methods.

Keywords: C-means clustering, Fuzzy time series, Multi-variate design

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Authors: Tea Poklepović, Zdravka Aljinović, Branka Marasović

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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 autoregressive 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.

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Authors: Gelareh Mohammadi, Parisa Shoushtari, Behnam Molaee Ardekani, Mohammad B. Shamsollahi

Abstract:

A direct connection between ElectroEncephaloGram (EEG) and the genetic information of individuals has been investigated by neurophysiologists and psychiatrists since 1960-s; and it opens a new research area in the science. This paper focuses on the person identification based on feature extracted from the EEG which can show a direct connection between EEG and the genetic information of subjects. In this work the full EO EEG signal of healthy individuals are estimated by an autoregressive (AR) model and the AR parameters are extracted as features. Here for feature vector constitution, two methods have been proposed; in the first method the extracted parameters of each channel are used as a feature vector in the classification step which employs a competitive neural network and in the second method a combination of different channel parameters are used as a feature vector. Correct classification scores at the range of 80% to 100% reveal the potential of our approach for person classification/identification and are in agreement to the previous researches showing evidence that the EEG signal carries genetic information. The novelty of this work is in the combination of AR parameters and the network type (competitive network) that we have used. A comparison between the first and the second approach imply preference of the second one.

Keywords: Person Identification, Autoregressive Model, EEG, Neural Network

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Authors: Ε. Giovanis

Abstract:

In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer after the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model in the out-of-sample period. The idea behind this approach is to propose a parametric regression with weighted variables in order to test for the statistical significance and the magnitude of the estimated autoregressive coefficients and simultaneously to estimate the forecasts.

Keywords: Autoregressive model, Error back-propagation Feed-Forward neural networks, , Gross Domestic Product

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Authors: E. Giovanis

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In this paper we present a Feed-Foward Neural Networks Autoregressive (FFNN-AR) model with genetic algorithms training optimization in order to predict the gross domestic product growth of six countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final optimum weights from input-hidden layer of the training process. The forecasts are compared with those of the ordinary autoregressive model and we conclude that the proposed regression-s forecasting results outperform significant those of autoregressive model. Moreover this technique can be used in Autoregressive-Moving Average models, with and without exogenous inputs, as also the training process with genetics algorithms optimization can be replaced by the error back-propagation algorithm.

Keywords: Autoregressive model, Feed-Forward neuralnetworks, Genetic Algorithms, Gross Domestic Product

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Authors: Rana Khalid Naeem, Asif Mansoor

Abstract:

The hydrologic time series data display periodic structure and periodic autoregressive process receives considerable attention in modeling of such series. In this communication long term record of monthly waste flow of Lyari river is utilized to quantify by using PAR modeling technique. The parameters of model are estimated by using Frances & Paap methodology. This study shows that periodic autoregressive model of order 2 is the most parsimonious model for assessing periodicity in waste flow of the river. A careful statistical analysis of residuals of PAR (2) model is used for establishing goodness of fit. The forecast by using proposed model confirms significance and effectiveness of the model.

Keywords: Diagnostic checks, Lyari river, Model selection, Monthly waste flow, Periodicity, Periodic autoregressive model.

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Authors: Sajjad Farashi

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Neurons in the nervous system communicate with each other by producing electrical signals called spikes. To investigate the physiological function of nervous system it is essential to study the activity of neurons by detecting and sorting spikes in the recorded signal. In this paper a method is proposed for considering the spike sorting problem which is based on the nonlinear modeling of spikes using exponential autoregressive model. The genetic algorithm is utilized for model parameter estimation. In this regard some selected model coefficients are used as features for sorting purposes. For optimal selection of model coefficients, self-organizing feature map is used. The results show that modeling of spikes with nonlinear autoregressive model outperforms its linear counterpart. Also the extracted features based on the coefficients of exponential autoregressive model are better than wavelet based extracted features and get more compact and well-separated clusters. In the case of spikes different in small-scale structures where principal component analysis fails to get separated clouds in the feature space, the proposed method can obtain well-separated cluster which removes the necessity of applying complex classifiers.

Keywords: Exponential autoregressive model, Neural data, spike sorting, time series modeling.

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Authors: Autcha Araveeporn

Abstract:

The Random Coefficient Dynamic Regression (RCDR) model is to developed from Random Coefficient Autoregressive (RCA) model and Autoregressive (AR) model. The RCDR model is considered by adding exogenous variables to RCA model. In this paper, the concept of the Maximum Likelihood (ML) method is used to estimate the parameter of RCDR(1,1) model. Simulation results have shown the AIC and BIC criterion to compare the performance of the the RCDR(1,1) model. The variables as the stationary and weakly stationary data are good estimates where the exogenous variables are weakly stationary. However, the model selection indicated that variables are nonstationarity data based on the stationary data of the exogenous variables.

Keywords: Autoregressive, Maximum Likelihood Method, Nonstationarity, Random Coefficient Dynamic Regression, Stationary.

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Authors: Tomoya Okubo, Kuninori Nakamura, Shin-ichi Mayekawa

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In this research, a latent class vector model for pairwise data is formulated. As compared to the basic vector model, this model yields consistent estimates of the parameters since the number of parameters to be estimated does not increase with the number of subjects. The result of the analysis reveals that the model was stable and could classify each subject to the latent classes representing the typical scales used by these subjects.

Keywords: finite mixture models, latent class analysis, Thrustone's paired comparison method, vector model

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Authors: Chiung-Ju Huang

Abstract:

This study examines whether the Taiwan’s public debt is sustainable utilizing an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The empirical results show that Taiwan’s public debt appears as a nonlinear series and is stationary in regime 1 but not in regime 2. This result implies that while Taiwan’s public debt was mostly sustainable over the 1996 to 2013 period examined in the study, it may no longer be sustainable in the most recent two years as the public debt ratio has increased cumulatively to 3.618%.

Keywords: Nonlinearity, public debt, sustainability, threshold autoregressive model.

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Authors: Ami Kim, Oubong Gwun, Juwhan Song

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In this paper, we proposed the distribution of mesh normal vector direction as a feature descriptor of a 3D model. A normal vector shows the entire shape of a model well. The distribution of normal vectors was sampled in proportion to each polygon's area so that the information on the surface with less surface area may be less reflected on composing a feature descriptor in order to enhance retrieval performance. At the analysis result of ANMRR, the enhancement of approx. 12.4%~34.7% compared to the existing method has also been indicated.

Keywords: Interpolated Normal Vector, Feature Descriptor, 3DModel Retrieval.

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Authors: Ε. Giovanis

Abstract:

In this paper we present a Adaptive Neuro-Fuzzy System (ANFIS) with inputs the lagged dependent variable for the prediction of Gross domestic Product growth rate in six countries. We compare the results with those of Autoregressive (AR) model. We conclude that the forecasting performance of neuro-fuzzy-system in the out-of-sample period is much more superior and can be a very useful alternative tool used by the national statistical services and the banking and finance industry.

Keywords: Autoregressive model, Forecasting, Gross DomesticProduct, Neuro-Fuzzy

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Authors: Kheldoun Aissa, Khodja Djalal Eddine

Abstract:

The iron loss is a source of detuning in vector controlled induction motor drives if the classical rotor vector controller is used for decoupling. In fact, the field orientation will not be satisfied and the output torque will not truck the reference torque mostly used by Loss Model Controllers (LMCs). In addition, this component of loss, among others, may be excessive if the vector controlled induction motor is driving light loads. In this paper, the series iron loss model is used to develop a vector controller immune to iron loss effect and then an LMC to minimize the total power loss using the torque generated by the speed controller.

Keywords: Field Oriented Controller, Induction Motor, Loss ModelController, Series Iron Loss.

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Authors: Petr Seďa

Abstract:

This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis.

Keywords: Global financial crisis, heterogeneous autoregressive model, in-sample forecast, realized volatility, U.S. stock market.

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Authors: Eric Jiang

Abstract:

As a popular rank-reduced vector space approach, Latent Semantic Indexing (LSI) has been used in information retrieval and other applications. In this paper, an LSI-based content vector model for text classification is presented, which constructs multiple augmented category LSI spaces and classifies text by their content. The model integrates the class discriminative information from the training data and is equipped with several pertinent feature selection and text classification algorithms. The proposed classifier has been applied to email classification and its experiments on a benchmark spam testing corpus (PU1) have shown that the approach represents a competitive alternative to other email classifiers based on the well-known SVM and naïve Bayes algorithms.

Keywords: Feature Selection, Latent Semantic Indexing, Text Classification, Vector Space Model.

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Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke

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The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.

Keywords: Generalized autoregressive score model, stock returns, time-varying.

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Authors: Irtaza M. Syed, Kaamran Raahemifar

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In this paper, we present a comparative assessment of Space Vector Pulse Width Modulation (SVPWM) and Model Predictive Control (MPC) for two-level three phase (2L-3P) Voltage Source Inverter (VSI). VSI with associated system is subjected to both control techniques and the results are compared. Matlab/Simulink was used to model, simulate and validate the control schemes. Findings of this study show that MPC is superior to SVPWM in terms of total harmonic distortion (THD) and implementation.

Keywords: Model Predictive Control, Space Vector Pulse Width Modulation, Voltage Source Inverter.

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Authors: Panudet Saengseedam, Nanthachai Kantanantha

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This paper proposes a linear mixed model (LMM) with spatial effects to forecast rice and cassava yields in Thailand at the same time. A multivariate conditional autoregressive (MCAR) model is assumed to present the spatial effects. A Bayesian method is used for parameter estimation via Gibbs sampling Markov Chain Monte Carlo (MCMC). The model is applied to the rice and cassava yields monthly data which have been extracted from the Office of Agricultural Economics, Ministry of Agriculture and Cooperatives of Thailand. The results show that the proposed model has better performance in most provinces in both fitting part and validation part compared to the simple exponential smoothing and conditional auto regressive models (CAR) from our previous study.

Keywords: Bayesian method, Linear mixed model, Multivariate conditional autoregressive model, Spatial time series.

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Authors: Roozbeh Molavi, Davood A. Khaburi

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The permanent magnet synchronous motor (PMSM) is very useful in many applications. Vector control of PMSM is popular kind of its control. In this paper, at first an optimal vector control for PMSM is designed and then results are compared with conventional vector control. Then, it is assumed that the measurements are noisy and linear quadratic Gaussian (LQG) methodology is used to filter the noises. The results of noisy optimal vector control and filtered optimal vector control are compared to each other. Nonlinearity of PMSM and existence of inverter in its control circuit caused that the system is nonlinear and time-variant. With deriving average model, the system is changed to nonlinear time-invariant and then the nonlinear system is converted to linear system by linearization of model around average values. This model is used to optimize vector control then two optimal vector controls are compared to each other. Simulation results show that the performance and robustness to noise of the control system has been highly improved.

Keywords: Kalman filter, Linear quadratic Gaussian (LQG), Linear quadratic regulator (LQR), Permanent-Magnet synchronousmotor (PMSM).

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Authors: K. Freedman

Abstract:

In the present study, a support vector machine (SVM) learning approach to character recognition is proposed. Simple feature detectors, similar to those found in the human visual system, were used in the SVM classifier. Alphabetic characters were rotated to 8 different angles and using the proposed cognitive model, all characters were recognized with 100% accuracy and specificity. These same results were found in psychiatric studies of human character recognition.

Keywords: Character recognition, cognitive model, support vector machine learning.

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Authors: Abiodun M. Aibinu, Momoh J. E. Salami, Amir A. Shafie, Athaur Rahman Najeeb

Abstract:

Autoregressive Moving average (ARMA) is a parametric based method of signal representation. It is suitable for problems in which the signal can be modeled by explicit known source functions with a few adjustable parameters. Various methods have been suggested for the coefficients determination among which are Prony, Pade, Autocorrelation, Covariance and most recently, the use of Artificial Neural Network technique. In this paper, the method of using Artificial Neural network (ANN) technique is compared with some known and widely acceptable techniques. The comparisons is entirely based on the value of the coefficients obtained. Result obtained shows that the use of ANN also gives accurate in computing the coefficients of an ARMA system.

Keywords: Autoregressive moving average, coefficients, back propagation, model parameters, neural network, weight.

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Authors: R. Simutis, V. Galvanauskas, D. Levisauskas, J. Repsyte

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This paper proposes a bioprocess optimization procedure based on Relevance Vector Regression models and evolutionary programming technique. Relevance Vector Regression scheme allows developing a compact and stable data-based process model avoiding time-consuming modeling expenses. The model building and process optimization procedure could be done in a half-automated way and repeated after every new cultivation run. The proposed technique was tested in a simulated mammalian cell cultivation process. The obtained results are promising and could be attractive for optimization of industrial bioprocesses.

Keywords: Bioprocess optimization, Evolutionary programming, Relevance Vector Regression.

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Authors: Essam Al Daoud

Abstract:

Intrusion detection is a mechanism used to protect a system and analyse and predict the behaviours of system users. An ideal intrusion detection system is hard to achieve due to nonlinearity, and irrelevant or redundant features. This study introduces a new anomaly-based intrusion detection model. The suggested model is based on particle swarm optimisation and nonlinear, multi-class and multi-kernel support vector machines. Particle swarm optimisation is used for feature selection by applying a new formula to update the position and the velocity of a particle; the support vector machine is used as a classifier. The proposed model is tested and compared with the other methods using the KDD CUP 1999 dataset. The results indicate that this new method achieves better accuracy rates than previous methods.

Keywords: Feature selection, Intrusion detection, Support vector machine, Particle swarm.

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Authors: Mogari I. Rapoo, Diteboho Xaba

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This paper examines the forecasting performance of Autoregressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANN) models with the published exchange rate obtained from South African Reserve Bank (SARB). ARIMA is one of the popular linear models in time series forecasting for the past decades. ARIMA and ANN models are often compared and literature revealed mixed results in terms of forecasting performance. The study used the MSE and MAE to measure the forecasting performance of the models. The empirical results obtained reveal the superiority of ARIMA model over ANN model. The findings further resolve and clarify the contradiction reported in literature over the superiority of ARIMA and ANN models.

Keywords: ARIMA, artificial neural networks models, error metrics, exchange rates.

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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.

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Authors: Katleho D. Makatjane, Kalebe M. Kalebe

Abstract:

The present paper used time-varying parameters which are based on the score function of a probability density at time t to model volatility of saving rate. We used a scaled likelihood function to update the parameters of the model overtime. Our results revealed high diligence of time-varying since the location parameter is greater than zero. Furthermore, we discovered a leptokurtic condition on saving rate’s distribution. Kapetanios, Shin-Shell Nonlinear Augmented Dickey-Fuller (KSS-NADF) test showed that the saving rate has a nonlinear unit root; therefore, it can be modeled by a generalised autoregressive score (GAS) model. Additionally, value at risk (VaR) and conditional tail expectation (CTE) indicate that 99% of the time people in Lesotho are saving more than spending. This puts the economy in high risk of not expanding. Therefore, the monetary policy committee (MPC) of Lesotho should revise their monetary policies towards this high saving rates risk.

Keywords: Generalized autoregressive score, time-varying, saving rate, Lesotho.

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Authors: M. Satya Sai Ram, P. Siddaiah, M. Madhavi Latha

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Vector quantization is a powerful tool for speech coding applications. This paper deals with LPC Coding of speech signals which uses a new technique called Multi Switched Split Vector Quantization, This is a hybrid of two product code vector quantization techniques namely the Multi stage vector quantization technique, and Switched split vector quantization technique,. Multi Switched Split Vector Quantization technique quantizes the linear predictive coefficients in terms of line spectral frequencies. From results it is proved that Multi Switched Split Vector Quantization provides better trade off between bitrate and spectral distortion performance, computational complexity and memory requirements when compared to Switched Split Vector Quantization, Multi stage vector quantization, and Split Vector Quantization techniques. By employing the switching technique at each stage of the vector quantizer the spectral distortion, computational complexity and memory requirements were greatly reduced. Spectral distortion was measured in dB, Computational complexity was measured in floating point operations (flops), and memory requirements was measured in (floats).

Keywords: Unconstrained vector quantization, Linear predictiveCoding, Split vector quantization, Multi stage vector quantization, Switched Split vector quantization, Line Spectral Frequencies.

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Authors: Guo Xiuhua, Sun Tao, Wu Haifeng, He Wen, Liang Zhigang, Zhang Mengxia, Guo Aimin, Wang Wei

Abstract:

Purpose: To explore the use of Curvelet transform to extract texture features of pulmonary nodules in CT image and support vector machine to establish prediction model of small solitary pulmonary nodules in order to promote the ratio of detection and diagnosis of early-stage lung cancer. Methods: 2461 benign or malignant small solitary pulmonary nodules in CT image from 129 patients were collected. Fourteen Curvelet transform textural features were as parameters to establish support vector machine prediction model. Results: Compared with other methods, using 252 texture features as parameters to establish prediction model is more proper. And the classification consistency, sensitivity and specificity for the model are 81.5%, 93.8% and 38.0% respectively. Conclusion: Based on texture features extracted from Curvelet transform, support vector machine prediction model is sensitive to lung cancer, which can promote the rate of diagnosis for early-stage lung cancer to some extent.

Keywords: CT image, Curvelet transform, Small pulmonary nodules, Support vector machines, Texture extraction.

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Authors: Ε. Giovanis

Abstract:

In this paper we present, propose and examine additional membership functions for the Smoothing Transition Autoregressive (STAR) models. More specifically, we present the tangent hyperbolic, Gaussian and Generalized bell functions. Because Smoothing Transition Autoregressive (STAR) models follow fuzzy logic approach, more fuzzy membership functions should be tested. Furthermore, fuzzy rules can be incorporated or other training or computational methods can be applied as the error backpropagation or genetic algorithm instead to nonlinear squares. We examine two macroeconomic variables of US economy, the inflation rate and the 6-monthly treasury bills interest rates.

Keywords: Forecast , Fuzzy membership functions, Smoothingtransition, Time-series

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Authors: Fatimah Almah Saaid, Darfiana Nur, Robert King

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This paper presents a procedure for estimating VAR using Sequential Discounting VAR (SDVAR) algorithm for online model learning to detect fraudulent acts using the telecommunications call detailed records (CDR). The volatility of the VAR is observed allowing for non-linearity, outliers and change points based on the works of [1]. This paper extends their procedure from univariate to multivariate time series. A simulation and a case study for detecting telecommunications fraud using CDR illustrate the use of the algorithm in the bivariate setting.

Keywords: Telecommunications Fraud, SDVAR Algorithm, Multivariate time series, Vector Autoregressive, Change points.

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