Search results for: Vector Autoregressive

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: Emrah Bulut, Okan Duru, Shigeru Yoshida

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

Abstract:

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: 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: 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: Erna T. Herdiani, Maman A. Djauhari

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In recent years, the use of vector variance as a measure of multivariate variability has received much attention in wide range of statistics. This paper deals with a more economic measure of multivariate variability, defined as vector variance minus all duplication elements. For high dimensional data, this will increase the computational efficiency almost 50 % compared to the original vector variance. Its sampling distribution will be investigated to make its applications possible.

Keywords: Asymptotic distribution, covariance matrix, likelihood ratio test, vector variance.

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Authors: Bhupendra C. S. Chauhan, P. S. Bisht, O. P. S. Negi

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According to celebrated Hurwitz theorem, there exists four division algebras consisting of R (real numbers), C (complex numbers), H (quaternions) and O (octonions). Keeping in view the utility of octonion variable we have tried to extend the three dimensional vector analysis to seven dimensional one. Starting with the scalar and vector product in seven dimensions, we have redefined the gradient, divergence and curl in seven dimension. It is shown that the identity n(n - 1)(n - 3)(n - 7) = 0 is satisfied only for 0, 1, 3 and 7 dimensional vectors. We have tried to write all the vector inequalities and formulas in terms of seven dimensions and it is shown that same formulas loose their meaning in seven dimensions due to non-associativity of octonions. The vector formulas are retained only if we put certain restrictions on octonions and split octonions.

Keywords: Octonions, Vector Space and seven dimensions

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Authors: Süha Yılmaz, Emin Özyılmaz, Melih Turgut, Şuur Nizamoğlu

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In this paper, position vector of a partially null unit speed curve with respect to standard frame of Minkowski space-time is studied. First, it is proven that position vector of every partially null unit speed curve satisfies a vector differential equation of fourth order. In terms of solution of the differential equation, position vector of a partially null unit speed curve is expressed.

Keywords: Frenet Equations, Partially Null Curves, Minkowski Space-time, Vector Differential Equation.

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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: 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: 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: Susannah G. Fleming Lionel Tarassenko

Abstract:

The photoplethysmogram (PPG) is the pulsatile waveform produced by the pulse oximeter, which is widely used for monitoring arterial oxygen saturation in patients. Various methods for extracting the breathing rate from the PPG waveform have been compared using a consistent data set, and a novel technique using autoregressive modelling is presented. This novel technique is shown to outperform the existing techniques, with a mean error in breathing rate of 0.04 breaths per minute.

Keywords: Autoregressive modelling, breathing rate, photoplethysmogram, pulse oximetry.

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Authors: Prof. Chokri SLIM

Abstract:

A Novel fuzzy neural network combining with support vector learning mechanism called support-vector-based fuzzy neural networks (SVBFNN) is proposed. The SVBFNN combine the capability of minimizing the empirical risk (training error) and expected risk (testing error) of support vector learning in high dimensional data spaces and the efficient human-like reasoning of FNN.

Keywords: Neural network, fuzzy inference, machine learning, fuzzy modeling and rule extraction, support vector regression.

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Authors: Mei Li, Fahui Zhai

Abstract:

In this paper, the definitions of the quaternion measure and the quaternion vector measure are introduced. The relation between the quaternion measure and the complex vector measure as well as the relation between the quaternion linear functional and the complex linear functional are discussed respectively. By using these relations, the necessary and sufficient condition to determine the quaternion vector measure is given.

Keywords: Quaternion, Quaternion measure, Quaternion vector measure, Quaternion Banach space, Quaternion linear functional.

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Authors: Emin Özyılmaz

Abstract:

In this work, position vector of a time-like dual curve according to standard frame of D31 is investigated. First, it is proven that position vector of a time-like dual curve satisfies a dual vector differential equation of fourth order. The general solution of this dual vector differential equation has not yet been found. Due to this, in terms of special solutions, position vectors of some special time-like dual curves with respect to standard frame of D31 are presented.

Keywords: Classical Differential Geometry, Dual Numbers, DualFrenet Equations, Time-like Dual Curve, Position Vector, DualLorentzian Space.

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Authors: Ju-Hong Lee, Ching-Wei Liao, Kun-Che Lee

Abstract:

This paper deals with the problem of using antenna sensors for adaptive beamforming in the presence of random steering mismatch. We present an efficient adaptive array beamformer with robustness to deal with the considered problem. The robustness of the proposed beamformer comes from the efficient designation of the steering vector. Using the received array data vector, we construct an appropriate correlation matrix associated with the received array data vector and a correlation matrix associated with signal sources. Then, the eigenvector associated with the largest eigenvalue of the constructed signal correlation matrix is designated as an appropriate estimate of the steering vector. Finally, the adaptive weight vector required for adaptive beamforming is obtained by using the estimated steering vector and the constructed correlation matrix of the array data vector. Simulation results confirm the effectiveness of the proposed method.

Keywords: Adaptive beamforming, antenna array, linearly constrained minimum variance, robustness, steering vector.

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

Abstract:

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 (MSSVQ), which is a hybrid of Multi, switched, split vector quantization techniques. The spectral distortion performance, computational complexity, and memory requirements of MSSVQ are compared to split vector quantization (SVQ), multi stage vector quantization(MSVQ) and switched split vector quantization (SSVQ) techniques. It has been proved from results that MSSVQ has better spectral distortion performance, lower computational complexity and lower memory requirements when compared to all the above mentioned product code vector quantization techniques. Computational complexity is measured in floating point operations (flops), and memory requirements is measured in (floats).

Keywords: Linear predictive Coding, Multi stage vectorquantization, Switched Split vector quantization, Split vectorquantization, Line Spectral Frequencies (LSF).

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Authors: Fenglong Guo, Dingcheng Wang

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This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities.

Keywords: Lundberg inequality, NWUC, Renewal recursive technique, Ruin probability

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Authors: S.Esakkirajan, T. Veerakumar, V. Senthil Murugan, P.Navaneethan

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In this paper, image compression using hybrid vector quantization scheme such as Multistage Vector Quantization (MSVQ) and Pyramid Vector Quantization (PVQ) are introduced. A combined MSVQ and PVQ are utilized to take advantages provided by both of them. In the wavelet decomposition of the image, most of the information often resides in the lowest frequency subband. MSVQ is applied to significant low frequency coefficients. PVQ is utilized to quantize the coefficients of other high frequency subbands. The wavelet coefficients are derived using lifting scheme. The main aim of the proposed scheme is to achieve high compression ratio without much compromise in the image quality. The results are compared with the existing image compression scheme using MSVQ.

Keywords: Lifting Scheme, Multistage Vector Quantization and Pyramid Vector Quantization.

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Authors: Nagi Mekhiel

Abstract:

Many applications use vector operations by applying single instruction to multiple data that map to different locations in conventional memory. Transferring data from memory is limited by access latency and bandwidth affecting the performance gain of vector processing. We present a memory system that makes all of its content available to processors in time so that processors need not to access the memory, we force each location to be available to all processors at a specific time. The data move in different orbits to become available to other processors in higher orbits at different time. We use this memory to apply parallel vector operations to data streams at first orbit level. Data processed in the first level move to upper orbit one data element at a time, allowing a processor in that orbit to apply another vector operation to deal with serial code limitations inherited in all parallel applications and interleaved it with lower level vector operations.

Keywords: Memory organization, parallel processors, serial code, vector processing.

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

Abstract:

In this paper, novel techniques in increasing the accuracy and speed of convergence of a Feed forward Back propagation Artificial Neural Network (FFBPNN) with polynomial activation function reported in literature is presented. These technique was subsequently used to determine the coefficients of Autoregressive Moving Average (ARMA) and Autoregressive (AR) system. The results obtained by introducing sequential and batch method of weight initialization, batch method of weight and coefficient update, adaptive momentum and learning rate technique gives more accurate result and significant reduction in convergence time when compared t the traditional method of back propagation algorithm, thereby making FFBPNN an appropriate technique for online ARMA coefficient determination.

Keywords: Adaptive Learning rate, Adaptive momentum, Autoregressive, Modeling, Neural Network.

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Authors: Ramaswamy Palaniappan

Abstract:

This paper reports a new approach on identifying the individuality of persons by using parametric classification of multiple mental thoughts. In the approach, electroencephalogram (EEG) signals were recorded when the subjects were thinking of one or more (up to five) mental thoughts. Autoregressive features were computed from these EEG signals and classified by Linear Discriminant classifier. The results here indicate that near perfect identification of 400 test EEG patterns from four subjects was possible, thereby opening up a new avenue in biometrics.

Keywords: Autoregressive, Biometrics, Electroencephalogram, Linear discrimination, Mental thoughts.

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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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