Search results for: Periodic autoregressive model.

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: Rana Khalid Naeem, Asif Mansoor

Abstract:

Periodicities in the environmetric time series can be idyllically assessed by utilizing periodic models. In this communication fugitive emission of gases from open sewer channel Lyari which follows periodic behaviour are approximated by employing periodic autoregressive model of order p. The orders of periodic model for each season are selected through the examination of periodic partial autocorrelation or information criteria. The parameters for the selected order of season are estimated individually for each emitted air toxin. Subsequently, adequacies of fitted models are established by examining the properties of the residual for each season. These models are beneficial for schemer and administrative bodies for the improvement of implemented policies to surmount future environmental problems.

Keywords: Exchange of Gases, Goodness of Fit, Open Sewer Channel, PAR(p) Models, Periodicities, Season Wise Models.

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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

Abstract:

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: Kejun Zhuang, Zhaohui Wen

Abstract:

This paper deals with a delayed single population model on time scales. With the assistance of coincidence degree theory, sufficient conditions for existence of periodic solutions are obtained. Furthermore, the better estimations for bounds of periodic solutions are established.

Keywords: Coincidence degree, continuation theorem, periodic solutions, time scales

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Authors: Ziping Li, Yongkun Li

Abstract:

In this paper, we consider the almost periodic solutions of a discrete cooperation system with feedback controls. Assuming that the coefficients in the system are almost periodic sequences, we obtain the existence and uniqueness of the almost periodic solution which is uniformly asymptotically stable.

Keywords: Discrete cooperation model, almost periodic solution, feedback control, Lyapunov function.

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Authors: Zhouhong Li, Jiming Yang

Abstract:

In this paper, a class of predator-prey-chain model with harvesting terms are studied. By using Mawhin-s continuation theorem of coincidence degree theory and some skills of inequalities, some sufficient conditions are established for the existence of eight positive periodic solutions. Finally, an example is presented to illustrate the feasibility and effectiveness of the results.

Keywords: Positive periodic solutions, Predator-prey-chain model, coincidence degree, harvesting term.

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Authors: Sajjad Farashi

Abstract:

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: Zhouhong Li

Abstract:

In this paper, by applying Mawhin-s continuation theorem of coincidence degree theory, we study the existence of almost periodic solutions for neural multi-delay logarithmic population model and obtain one sufficient condition for the existence of positive almost periodic solution for the above equation. An example is employed to illustrate our result.

Keywords: Almost periodic solution, Multi-delay, Logarithmic population model, Coincidence degree.

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Authors: Chenxi Yang, Zhouhong Li

Abstract:

This paper is concerned with an epidemic model with delay. By using the comparison theorem of the differential equation and constructing a suitable Lyapunov functional, Some sufficient conditions which guarantee the permeance and existence of a unique globally attractive positive almost periodic solution of the model are obtain. Finally, an example is employed to illustrate our result.

Keywords: Permanence, Almost periodic solution, Epidemic model, Delay, Feedback control.

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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: 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: Ru-Shuo Sheu, Han-Hsin Chou, Te-Shyang Tan

Abstract:

Considering a reservoir with periodic states and different cost functions with penalty, its release rules can be modeled as a periodic Markov decision process (PMDP). First, we prove that policy- iteration algorithm also works for the PMDP. Then, with policy- iteration algorithm, we obtain the optimal policies for a special aperiodic reservoir model with two cost functions under large penalty and give a discussion when the penalty is small.

Keywords: periodic Markov decision process, periodic state, policy-iteration algorithm.

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Authors: Ramaswamy Palaniappan

Abstract:

In this paper, a second order autoregressive (AR) model is proposed to discriminate alcoholics using single trial gamma band Visual Evoked Potential (VEP) signals using 3 different classifiers: Simplified Fuzzy ARTMAP (SFA) neural network (NN), Multilayer-perceptron-backpropagation (MLP-BP) NN and Linear Discriminant (LD). Electroencephalogram (EEG) signals were recorded from alcoholic and control subjects during the presentation of visuals from Snodgrass and Vanderwart picture set. Single trial VEP signals were extracted from EEG signals using Elliptic filtering in the gamma band spectral range. A second order AR model was used as gamma band VEP exhibits pseudo-periodic behaviour and second order AR is optimal to represent this behaviour. This circumvents the requirement of having to use some criteria to choose the correct order. The averaged discrimination errors of 2.6%, 2.8% and 11.9% were given by LD, MLP-BP and SFA classifiers. The high LD discrimination results show the validity of the proposed method to discriminate between alcoholic subjects.

Keywords: Linear Discriminant, Neural Network, VisualEvoked Potential.

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Authors: Ali Emad

Abstract:

Enhancement of the performance of a reverse osmosis (RO) unit through periodic control is studied. The periodic control manipulates the feed pressure and flow rate of the RO unit. To ensure the periodic behavior of the inputs, the manipulated variables (MV) are transformed into the form of sinusoidal functions. In this case, the amplitude and period of the sinusoidal functions become the surrogate MV and are thus regulated via nonlinear model predictive control algorithm. The simulation results indicated that the control system can generate cyclic inputs necessary to enhance the closedloop performance in the sense of increasing the permeate production and lowering the salt concentration. The proposed control system can attain its objective with arbitrary set point for the controlled outputs. Successful results were also obtained in the presence of modeling errors.

Keywords: Reverse osmosis, water desalination, periodic control, model predictive control.

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Authors: B. Tomczyk, R. Mania

Abstract:

Thin linear-elastic cylindrical circular shells having a micro-periodic structure along two directions tangent to the shell midsurface (biperiodic shells) are object of considerations. The aim of this paper is twofold. First, we formulate an averaged nonasymptotic model for the analysis of parametric vibrations or dynamical stability of periodic shells under consideration, which has constant coefficients and takes into account the effect of a cell size on the overall shell behavior (a length-scale effect). This model is derived employing the tolerance modeling procedure. Second we apply the obtained model to derivation of frequency equation being a starting point in the analysis of parametric vibrations. The effect of the microstructure length oh this frequency equation is discussed.

Keywords: Micro-periodic shells, mathematical modeling, length-scale effect, parametric vibrations

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Authors: Xiaoyan Dou, Yongkun Li

Abstract:

In this paper, we consider a food-limited population model with delay and feedback control. By applying the comparison theorem of the differential equation and constructing a suitable Lyapunov functional, sufficient conditions which guarantee the permanence and existence of a unique globally attractive positive almost periodic solution of the system are obtained.

Keywords: Almost periodic solution, food-limited population, feedback control, permanence.

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Authors: Zhaohui Wen

Abstract:

In this paper, a food chain model with Holling type II functional response on time scales is investigated. By using the Mawhin-s continuation theorem in coincidence degree theory, sufficient conditions for existence of periodic solutions are obtained.

Keywords: Periodic solutions, food chain model, coincidence degree, time scales.

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Authors: Yanling Zhu, Kai Wang

Abstract:

In this paper, by utilizing the coincidence degree theorem a predator-prey model with modified Leslie-Gower Hollingtype II schemes and a deviating argument is studied. Some sufficient conditions are obtained for the existence of positive periodic solutions of the model.

Keywords: Predator-prey model, Holling II type functional response, positive periodic solution, coincidence degree theorem.

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Authors: Changjin Xu, Peiluan Li

Abstract:

In this paper, a nonlinear delay population model is investigated. Choosing the delay as a bifurcation parameter, we demonstrate that Hopf bifurcation will occur when the delay exceeds a critical value. Global existence of bifurcating periodic solutions is established. Numerical simulations supporting the theoretical findings are included.

Keywords: Population model, Stability, Hopf bifurcation, Delay, Global Hopf bifurcation.

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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: Changjin Xu

Abstract:

In this paper, a delayed prototype model is studied. Regarding the delay as a bifurcation parameter, we prove that a sequence of Hopf bifurcations will occur at the positive equilibrium when the delay increases. Using the normal form method and center manifold theory, some explicit formulae are worked out for determining the stability and the direction of the bifurcated periodic solutions. Finally, Computer simulations are carried out to explain some mathematical conclusions.

Keywords: Prototype model, Stability, Hopf bifurcation, Delay, Periodic solution.

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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: Changjin Xu

Abstract:

In this paper, using the Gaines and Mawhin,s continuation theorem of coincidence degree theory on time scales, the existence of periodic solutions for a two-prey one-predator system is studied. Some sufficient conditions for the existence of positive periodic solutions are obtained. The results provide unified existence theorems of periodic solution for the continuous differential equations and discrete difference equations.

Keywords: Time scales, competitive system, periodic solution, coincidence degree, topological degree.

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Authors: Antonio Mauricio F. L. Miranda de Sá

Abstract:

Partial coherence between two signals removing the contribution of a periodic, deterministic signal is proposed for evaluating the interrelationship in multivariate systems. The estimator expression was derived and shown to be independent of such periodic signal. Simulations were used for obtaining its critical value, which were found to be the same as those for Gaussian signals, as well as for evaluating the technique. An Illustration with eletroencephalografic (EEG) signals during photic stimulation is also provided. The application of the proposed technique in both simulation and real EEG data indicate that it seems to be very specific in removing the contribution of periodic sources. The estimate independence of the periodic signal may widen partial coherence application to signal analysis, since it could be used together with simple coherence to test for contamination in signals by a common, periodic noise source.

Keywords: Partial coherence, periodic input, spectral analysis, statistical signal processing.

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

Abstract:

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: Ling Liu, Yuan Ye

Abstract:

In this paper, a discrete-time SIR epidemic model with nonlinear incidence rate, time delays and impulses is investigated. Sufficient conditions for the existence and uniqueness of periodic solutions are obtained by using contraction theorem and inequality techniques. An example is employed to illustrate our results.

Keywords: Discrete-time SIR epidemic model, time delay, nonlinear incidence rate, impulse.

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Authors: Kejun Zhuang

Abstract:

With the help of coincidence degree theory, sufficient conditions for existence of periodic solutions for a food chain model with functional responses on time scales are established.

Keywords: time scales, food chain model, coincidence degree, periodic solutions.

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Authors: Lili Wang, Meng Hu

Abstract:

In this paper, based on almost periodic functional hull theory and M-matrix theory, some sufficient conditions are established for the existence and uniqueness of positive almost periodic solution for a class of BAM neural networks with time-varying delays. An example is given to illustrate the main results.

Keywords: Delayed BAM neural networks, Hull theorem, Mmatrix, Almost periodic solution, Global exponential stability.

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Authors: Panudet Saengseedam, Nanthachai Kantanantha

Abstract:

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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