Search results for: time series data.

Authors: Abdolamir Nekoubin

Abstract:

In this paper the behavior of fixed series compensated extra high voltage transmission lines during faults is simulated. Many over-voltage protection schemes for series capacitors are limited in terms of size and performance, and are easily affected by environmental conditions. While the need for more compact and environmentally robust equipment is required. use of series capacitors for compensating part of the inductive reactance of long transmission lines increases the power transmission capacity. Emphasis is given on the impact of modern capacitor protection techniques (MOV protection). The simulation study is performed using MATLAB/SIMULINK®and results are given for a three phase and a single phase to ground fault.

Keywords: Series compensation, MOV - protected series capacitors, balanced and unbalanced faults

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Authors: Nicholas Milburn, Yu Liang, Dalei Wu

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Athlete performance scoring within the climbing domain presents interesting challenges as the sport does not have an objective way to assign skill. Assessing skill levels within any sport is valuable as it can be used to mark progress while training, and it can help an athlete choose appropriate climbs to attempt. Machine learning-based methods are popular for complex problems like this. The dataset available was composed of dynamic force data recorded during climbing; however, this dataset came with challenges such as data scarcity, imbalance, and it was temporally heterogeneous. Investigated solutions to these challenges include data augmentation, temporal normalization, conversion of time series to the spectral domain, and cross validation strategies. The investigated solutions to the classification problem included light weight machine classifiers KNN and SVM as well as the deep learning with CNN. The best performing model had an 80% accuracy. In conclusion, there seems to be enough information within climbing force data to accurately categorize climbers by skill.

Keywords: Classification, climbing, data imbalance, data scarcity, machine learning, time sequence.

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Authors: Andreas Theissler, Ian Dear

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In the automotive industry test drives are being conducted during the development of new vehicle models or as a part of quality assurance of series-production vehicles. The communication on the in-vehicle network, data from external sensors, or internal data from the electronic control units is recorded by automotive data loggers during the test drives. The recordings are used for fault analysis. Since the resulting data volume is tremendous, manually analysing each recording in great detail is not feasible. This paper proposes to use machine learning to support domainexperts by preventing them from contemplating irrelevant data and rather pointing them to the relevant parts in the recordings. The underlying idea is to learn the normal behaviour from available recordings, i.e. a training set, and then to autonomously detect unexpected deviations and report them as anomalies. The one-class support vector machine “support vector data description” is utilised to calculate distances of feature vectors. SVDDSUBSEQ is proposed as a novel approach, allowing to classify subsequences in multivariate time series data. The approach allows to detect unexpected faults without modelling effort as is shown with experimental results on recordings from test drives.

Keywords: Anomaly detection, fault detection, test drive analysis, machine learning.

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Authors: Saad Al-Baddai, Karema Al-Subari, Elmar Lang, Bernd Ludwig

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Empirical mode decomposition (EMD), a new data-driven of time-series decomposition, has the advantage of supposing that a time series is non-linear or non-stationary, as is implicitly achieved in Fourier decomposition. However, the EMD suffers of mode mixing problem in some cases. The aim of this paper is to present a solution for a common type of signals causing of EMD mode mixing problem, in case a signal suffers of an intermittency. By an artificial example, the solution shows superior performance in terms of cope EMD mode mixing problem comparing with the conventional EMD and Ensemble Empirical Mode decomposition (EEMD). Furthermore, the over-sifting problem is also completely avoided; and computation load is reduced roughly six times compared with EEMD, an ensemble number of 50.

Keywords: Empirical mode decomposition, mode mixing, sifting process, over-sifting.

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Authors: Indra Budi, Rizal Fathoni Aji, Agus Widodo

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Prediction of future research topics by using time series analysis either statistical or machine learning has been conducted previously by several researchers. Several methods have been proposed to combine the forecasting results into single forecast. These methods use fixed combination of individual forecast to get the final forecast result. In this paper, quite different approach is employed to select the forecasting methods, in which every point to forecast is calculated by using the best methods used by similar validation dataset. The dataset used in the experiment is time series derived from research report in Garuda, which is an online sites belongs to the Ministry of Education in Indonesia, over the past 20 years. The experimental result demonstrates that the proposed method may perform better compared to the fix combination of predictors. In addition, based on the prediction result, we can forecast emerging research topics for the next few years.

Keywords: Combination, emerging topics, ensemble, forecasting, machine learning, prediction, research topics, similarity measure, time series.

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Authors: J. Arneric, E. Jurun, L. Kordic

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This paper deals with econometric analysis of real retail trade turnover. It is a part of an extensive scientific research about modern trends in Croatian national economy. At the end of the period of transition economy, Croatia confronts with challenges and problems of high consumption society. In such environment as crucial economic variables: real retail trade turnover, average monthly real wages and household loans are chosen for consequence analysis. For the purpose of complete procedure of multiple econometric analysis data base adjustment has been provided. Namely, it has been necessary to deflate original national statistics data of retail trade turnover using consumer price indices, as well as provide process of seasonally adjustment of its contemporary behavior. In model establishment it has been necessary to involve the overcoming procedure for the autocorrelation and colinearity problems. Moreover, for case of time-series shift a specific appropriate econometric instrument has been applied. It would be emphasize that the whole methodology procedure is based on the real Croatian national economy time-series.

Keywords: Consumption society, multiple econometric model, real retail trade turnover, second order autocorrelation.

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Authors: Muhammad Imran, Iqra Basit, Mobushir Riaz Khan, Sajid Rasheed Ahmad

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The present study investigates the space-time impact of climate change on the rice crop calendar in tropical Gujranwala, Pakistan. The climate change impact was quantified through the climatic variables, whereas the existing calendar of the rice crop was compared with the phonological stages of the crop, depicted through the time series of the Normalized Difference Vegetation Index (NDVI) derived from Landsat data for the decade 2005-2015. Local maxima were applied on the time series of NDVI to compute the rice phonological stages. Panel models with fixed and cross-section fixed effects were used to establish the relation between the climatic parameters and the time-series of NDVI across villages and across rice growing periods. Results show that the climatic parameters have significant impact on the rice crop calendar. Moreover, the fixed effect model is a significant improvement over cross-sectional fixed effect models (R-squared equal to 0.673 vs. 0.0338). We conclude that high inter-annual variability of climatic variables cause high variability of NDVI, and thus, a shift in the rice crop calendar. Moreover, inter-annual (temporal) variability of the rice crop calendar is high compared to the inter-village (spatial) variability. We suggest the local rice farmers to adapt this change in the rice crop calendar.

Keywords: Landsat NDVI, panel models, temperature, rainfall.

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Authors: Ilaria Lucrezia Amerise

Abstract:

Electricity markets throughout the world have undergone substantial changes. Accurate, reliable, clear and comprehensible modeling and forecasting of different variables (loads and prices in the first instance) have achieved increasing importance. In this paper, we describe the actual state of the art focusing on reg-SARMA methods, which have proven to be flexible enough to accommodate the electricity price/load behavior satisfactory. More specifically, we will discuss: 1) The dichotomy between point and interval forecasts; 2) The difficult choice between stochastic (e.g. climatic variation) and non-deterministic predictors (e.g. calendar variables); 3) The confrontation between modelling a single aggregate time series or creating separated and potentially different models of sub-series. The noteworthy point that we would like to make it emerge is that prices and loads require different approaches that appear irreconcilable even though must be made reconcilable for the interests and activities of energy companies.

Keywords: Forecasting problem, interval forecasts, time series, electricity prices, reg-plus-SARMA methods.

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Authors: Gen Sakoda, Hideki Takayasu, Misako Takayasu

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Waste reduction is a fundamental problem for sustainability. Methods for waste reduction with point-of-sales (POS) data are proposed, utilizing the knowledge of a recent econophysics study on a statistical property of POS data. Concretely, the non-stationary time series analysis method based on the Particle Filter is developed, which considers abnormal fluctuation scaling known as Taylor's law. This method is extended for handling incomplete sales data because of stock-outs by introducing maximum likelihood estimation for censored data. The way for optimal stock determination with pricing the cost of waste reduction is also proposed. This study focuses on the examination of the methods for large sales numbers where Taylor's law is obvious. Numerical analysis using aggregated POS data shows the effectiveness of the methods to reduce food waste maintaining a high profit for large sales numbers. Moreover, the way of pricing the cost of waste reduction reveals that a small profit loss realizes substantial waste reduction, especially in the case that the proportionality constant  of Taylor’s law is small. Specifically, around 1% profit loss realizes half disposal at =0.12, which is the actual  value of processed food items used in this research. The methods provide practical and effective solutions for waste reduction keeping a high profit, especially with large sales numbers.

Keywords: Food waste reduction, particle filter, point of sales, sustainable development goals, Taylor's Law, time series analysis.

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Authors: B. S. Raghavendra, D. Narayana Dutt

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Many recent electrophysiological studies have revealed the importance of investigating meditation state in order to achieve an increased understanding of autonomous control of cardiovascular functions. In this paper, we characterize heart rate variability (HRV) time series acquired during meditation using nonlinear dynamical parameters. We have computed minimum embedding dimension (MED), correlation dimension (CD), largest Lyapunov exponent (LLE), and nonlinearity scores (NLS) from HRV time series of eight Chi and four Kundalini meditation practitioners. The pre-meditation state has been used as a baseline (control) state to compare the estimated parameters. The chaotic nature of HRV during both pre-meditation and meditation is confirmed by MED. The meditation state showed a significant decrease in the value of CD and increase in the value of LLE of HRV, in comparison with premeditation state, indicating a less complex and less predictable nature of HRV. In addition, it was shown that the HRV of meditation state is having highest NLS than pre-meditation state. The study indicated highly nonlinear dynamic nature of cardiac states as revealed by HRV during meditation state, rather considering it as a quiescent state.

Keywords: Correlation dimension, Embedding dimension, Heartrate variability, Largest Lyapunov exponent, Meditation, Nonlinearity score.

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Authors: Sandeep Kaur Chouhan, Jatinderdeep Kaur, S. S. Bhatia

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The existence of sine and cosine series as a Fourier series, their L1-convergence seems to be one of the difficult question in theory of convergence of trigonometric series in L1-metric norm. In the literature so far available, various authors have studied the L1-convergence of cosine and sine trigonometric series with special coefficients. In this paper, we present a modified cosine and sine sums and criterion for L1-convergence of these modified sums is obtained. Also, a necessary and sufficient condition for the L1-convergence of the cosine and sine series is deduced as corollaries.

Keywords: Conjugate Dirichlet kernel, Dirichlet kernel, L1-convergence, modified sums.

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Authors: Rong-Terng Juang

Abstract:

Autonomous vehicles offer the possibility of significant benefits to social welfare. However, fully automated cars might not be going to happen in the near further. To speed the adoption of the self-driving technologies, many governments worldwide are passing laws requiring data recorders for the testing of autonomous vehicles. Currently, the self-driving vehicle, (e.g., shuttle bus) has to be monitored from a remote control center. When an autonomous vehicle encounters an unexpected driving environment, such as road construction or an obstruction, it should request assistance from a remote operator. Nevertheless, large amounts of data, including images, radar and lidar data, etc., have to be transmitted from the vehicle to the remote center. Therefore, this paper proposes a data compression method of in-vehicle networks for remote monitoring of autonomous vehicles. Firstly, the time-series data are rearranged into a multi-dimensional signal space. Upon the arrival, for controller area networks (CAN), the new data are mapped onto a time-data two-dimensional space associated with the specific CAN identity. Secondly, the data are sampled based on differential sampling. Finally, the whole set of data are encoded using existing algorithms such as Huffman, arithmetic and codebook encoding methods. To evaluate system performance, the proposed method was deployed on an in-house built autonomous vehicle. The testing results show that the amount of data can be reduced as much as 1/7 compared to the raw data.

Keywords: Autonomous vehicle, data recording, remote monitoring, controller area network.

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Authors: Jatinderdeep Kaur

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In this paper, the results of Kano from one dimensional cosine and sine series are extended to two dimensional cosine and sine series. To extend these results, some classes of coefficient sequences such as class of semi convexity and class R are extended from one dimension to two dimensions. Further, the function f(x, y) is two dimensional Fourier Cosine and Sine series or equivalently it represents an integrable function or not, has been studied. Moreover, some results are obtained which are generalization of Moricz’s results.

Keywords: Conjugate Dirichlet kernel, conjugate Fejer kernel, Fourier series, Semi-convexity.

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Authors: Wiem Gadri

Abstract:

This study delves into the intriguing properties of Pisot and Salem numbers within the framework of formal Laurent series over finite fields, a domain where these numbers’ spectral characteristics, Λm(β) and lm(β), have yet to be fully explored. Utilizing a methodological approach that combines algebraic number theory with the analysis of power series, we extend the foundational work of Erdos, Joo, and Komornik to this setting. Our research uncovers bounds for lm(β), revealing how these depend on the degree of the minimal polynomial of β and thus offering a characterization of Pisot and Salem formal power series. The findings significantly contribute to our understanding of these numbers, highlighting their distribution and properties in the context of formal power series. This investigation not only bridges number theory with formal power series analysis but also sets the stage for further interdisciplinary research in these areas.

Keywords: Pisot numbers, Salem numbers, Formal power series, Minimal polynomial degree.

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Authors: Harish Krishnamurthy, Anna Lafontant, Ren Yi

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Unidentified Flying Objects (UFOs) have been an interesting topic for most enthusiasts and hence people all over the United States report such findings online at the National UFO Report Center (NUFORC). Some of these reports are a hoax and among those that seem legitimate, our task is not to establish that these events confirm that they indeed are events related to flying objects from aliens in outer space. Rather, we intend to identify if the report was a hoax as was identified by the UFO database team with their existing curation criterion. However, the database provides a wealth of information that can be exploited to provide various analyses and insights such as social reporting, identifying real-time spatial events and much more. We perform analysis to localize these time-series geospatial events and correlate with known real-time events. This paper does not confirm any legitimacy of alien activity, but rather attempts to gather information from likely legitimate reports of UFOs by studying the online reports. These events happen in geospatial clusters and also are time-based. We look at cluster density and data visualization to search the space of various cluster realizations to decide best probable clusters that provide us information about the proximity of such activity. A random forest classifier is also presented that is used to identify true events and hoax events, using the best possible features available such as region, week, time-period and duration. Lastly, we show the performance of the scheme on various days and correlate with real-time events where one of the UFO reports strongly correlates to a missile test conducted in the United States.

Keywords: Time-series clustering, feature extraction, hoax prediction, geospatial events.

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Authors: Cheon Sik Min, Hyeong Wook Song, Sook Yeon Shim, Hoon Chang

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The purpose of this study was to analyze the correlation between permitted building areas and housing distribution ratios and their fluctuation, and test a distribution model during 3 successive governments in 5 cities including Bucheon in reference to the time series administrative data, and thereby, interpret the results of the analysis in association with the policies pursued by the successive governments to examine the structural fluctuation of permitted building areas and housing distribution ratios. In order to analyze the fluctuation of permitted building areas and housing distribution ratios during 3 successive governments and examine the cycles of the time series data, the spectral analysis was performed, and in order to analyze the correlation between permitted building areas and housing distribution ratios, the tabulation was performed to describe the correlations statistically, and in order to explain about differences of fluctuation distribution of permitted building areas and housing distribution ratios among 3 governments, the goodness of fit test was conducted.

Keywords: The Permitted Building Areas, Housing Distribution Ratios, the Structural Fluctuation.

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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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Authors: Carla Layana Luis Diambra

Abstract:

Microarrays technique allows the simultaneous measurements of the expression levels of thousands of mRNAs. By mining this data one can identify the dynamics of the gene expression time series. By recourse of principal component analysis, we uncover the circadian rhythmic patterns underlying the gene expression profiles from Cyanobacterium Synechocystis. We applied PCA to reduce the dimensionality of the data set. Examination of the components also provides insight into the underlying factors measured in the experiments. Our results suggest that all rhythmic content of data can be reduced to three main components.

Keywords: circadian rhythms, clustering, gene expression, PCA.

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Authors: Wen-Chi Liu

Abstract:

This study applies the sequential panel selection method (SPSM) procedure proposed by Chortareas and Kapetanios (2009) to investigate the time-series properties of energy consumption in 50 US states from 1963 to 2009. SPSM involves the classification of the entire panel into a group of stationary series and a group of non-stationary series to identify how many and which series in the panel are stationary processes. Empirical results obtained through SPSM with the panel KSS unit root test developed by Ucar and Omay (2009) combined with a Fourier function indicate that energy consumption in all the 50 US states are stationary. The results of this study have important policy implications for the 50 US states.

Keywords: Energy Consumption, Panel Unit Root, Sequential Panel Selection Method, Fourier Function, US states.

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Authors: JaeHwan Yang, Da-Woon Jeong, Seung-Young Kho, Dong-Kyu Kim

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In terms of ITS, information on link characteristic is an essential factor for plan or operation. But in practical cases, not every link has installed sensors on it. The link that does not have data on it is called “Missing Link”. The purpose of this study is to impute data of these missing links. To get these data, this study applies the machine learning method. With the machine learning process, especially for the deep learning process, missing link data can be estimated from present link data. For deep learning process, this study uses “Recurrent Neural Network” to take time-series data of road. As input data, Dedicated Short-range Communications (DSRC) data of Dalgubul-daero of Daegu Metropolitan Area had been fed into the learning process. Neural Network structure has 17 links with present data as input, 2 hidden layers, for 1 missing link data. As a result, forecasted data of target link show about 94% of accuracy compared with actual data.

Keywords: Data Estimation, link data, machine learning, road network.

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Authors: Farhad Asadi, Hossein Sadati

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In fields such as neuroscience and especially in cognition modeling of mental processes, uncertainty processing in temporal zone of signal is vital. In this paper, Bayesian online inferences in estimation of change-points location in signal are constructed. This method separated the observed signal into independent series and studies the change and variation of the regime of data locally with related statistical characteristics. We give conditions on simulations of the method when the data characteristics of signals vary, and provide empirical evidence to show the performance of method. It is verified that correlation between series around the change point location and its characteristics such as Signal to Noise Ratios and mean value of signal has important factor on fluctuating in finding proper location of change point. And one of the main contributions of this study is related to representing of these influences of signal statistical characteristics for finding abrupt variation in signal. There are two different structures for simulations which in first case one abrupt change in temporal section of signal is considered with variable position and secondly multiple variations are considered. Finally, influence of statistical characteristic for changing the location of change point is explained in details in simulation results with different artificial signals.

Keywords: Time series, fluctuation in statistical characteristics, optimal learning.

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Authors: S. Mahmoodzadeh, J. Shahrabi, M. A. Torkamani, J. Sabaghzadeh Ghomi

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Recognizing behavioral patterns of financial markets is essential for traders. Japanese candlestick chart is a common tool to visualize and analyze such patterns in an economic time series. Since the world was introduced to Japanese candlestick charting, traders saw how combining this tool with intelligent technical approaches creates a powerful formula for the savvy investors. This paper propose a generalization to box counting method of Grassberger-Procaccia, which is based on computing the correlation dimension of Japanese candlesticks instead commonly used 'close' points. The results of this method applied on several foreign exchange rates vs. IRR (Iranian Rial). Satisfactorily show lower chaotic dimension of Japanese candlesticks series than regular Grassberger-Procaccia method applied merely on close points of these same candles. This means there is some valuable information inside candlesticks.

Keywords: Chaos, Japanese candlestick, generalized box counting, strange attractor.

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Authors: Aritra Acharyya, Moumita Mukherjee, J. P. Banerjee

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A generalized method for small-signal simulation of avalanche noise in Mixed Tunneling Avalanche Transit Time (MITATT) device is presented in this paper where the effect of series resistance is taken into account. The method is applied to a millimeter-wave Double Drift Region (DDR) MITATT device based on Silicon to obtain noise spectral density and noise measure as a function of frequency for different values of series resistance. It is found that noise measure of the device at the operating frequency (122 GHz) with input power density of 1010 Watt/m2 is about 35 dB for hypothetical parasitic series resistance of zero ohm (estimated junction temperature = 500 K). Results show that the noise measure increases as the value of parasitic resistance increases.

Keywords: Noise Analysis, Silicon MITATT, Admittancecharacteristics, Noise spectral density.

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Authors: Liping Li, Changchun Liu, Ke Li, Chengyu Liu

Abstract:

Non-stationary trend in R-R interval series is considered as a main factor that could highly influence the evaluation of spectral analysis. It is suggested to remove trends in order to obtain reliable results. In this study, three detrending methods, the smoothness prior approach, the wavelet and the empirical mode decomposition, were compared on artificial R-R interval series with four types of simulated trends. The Lomb-Scargle periodogram was used for spectral analysis of R-R interval series. Results indicated that the wavelet method showed a better overall performance than the other two methods, and more time-saving, too. Therefore it was selected for spectral analysis of real R-R interval series of thirty-seven healthy subjects. Significant decreases (19.94±5.87% in the low frequency band and 18.97±5.78% in the ratio (p<0.001)) were found. Thus the wavelet method is recommended as an optimal choice for use.

Keywords: empirical mode decomposition, heart rate variability, signal detrending, smoothness priors, wavelet

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

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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.

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Authors: Elena Ezhova, Vadim Mottl, Olga Krasotkina

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The problem of estimating time-varying regression is inevitably concerned with the necessity to choose the appropriate level of model volatility - ranging from the full stationarity of instant regression models to their absolute independence of each other. In the stationary case the number of regression coefficients to be estimated equals that of regressors, whereas the absence of any smoothness assumptions augments the dimension of the unknown vector by the factor of the time-series length. The Akaike Information Criterion is a commonly adopted means of adjusting a model to the given data set within a succession of nested parametric model classes, but its crucial restriction is that the classes are rigidly defined by the growing integer-valued dimension of the unknown vector. To make the Kullback information maximization principle underlying the classical AIC applicable to the problem of time-varying regression estimation, we extend it onto a wider class of data models in which the dimension of the parameter is fixed, but the freedom of its values is softly constrained by a family of continuously nested a priori probability distributions.

Keywords: Time varying regression, time-volatility of regression coefficients, Akaike Information Criterion (AIC), Kullback information maximization principle.

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Authors: Claudineia Brazil, Elison Eduardo Jardim Bierhals, Luciane Teresa Salvi, Rafael Haag

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Renewable energy sources are dependent on climatic variability, so for adequate energy planning, observations of the meteorological variables are required, preferably representing long-period series. Despite the scientific and technological advances that meteorological measurement systems have undergone in the last decades, there is still a considerable lack of meteorological observations that form series of long periods. The reanalysis is a system of assimilation of data prepared using general atmospheric circulation models, based on the combination of data collected at surface stations, ocean buoys, satellites and radiosondes, allowing the production of long period data, for a wide gamma. The third generation of reanalysis data emerged in 2010, among them is the Climate Forecast System Reanalysis (CFSR) developed by the National Centers for Environmental Prediction (NCEP), these data have a spatial resolution of 0.50 x 0.50. In order to overcome these difficulties, it aims to evaluate the performance of solar radiation estimation through alternative data bases, such as data from Reanalysis and from meteorological satellites that satisfactorily meet the absence of observations of solar radiation at global and/or regional level. The results of the analysis of the solar radiation data indicated that the reanalysis data of the CFSR model presented a good performance in relation to the observed data, with determination coefficient around 0.90. Therefore, it is concluded that these data have the potential to be used as an alternative source in locations with no seasons or long series of solar radiation, important for the evaluation of solar energy potential.

Keywords: Climate, reanalysis, renewable energy, solar radiation.

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Authors: Ivo Jánský, Milan Rippel

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The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of GARCH, EGARCH or TARCH processes with up to two lags. The models are estimated on the data from the in-sample period and their forecasting accuracy is evaluated on the out-of-sample data, which are more volatile. The main aim of the paper is to test whether a model estimated on data with lower volatility can be used in periods with higher volatility. The evaluation is based on the conditional coverage test and is performed on each stock index separately. The primary result of the paper is that the volatility is best modelled using a GARCH process and that an ARMA process pattern cannot be found in analyzed time series.

Keywords: VaR, risk analysis, conditional volatility, garch, egarch, tarch, moving average process, autoregressive process

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Authors: Amel Abdoullah Ahmed Dghais, Mohd Tahir Ismail

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In this paper the core objective is to apply discrete wavelet transform and maximal overlap discrete wavelet transform functions namely Haar, Daubechies2, Symmlet4, Coiflet2 and discrete approximation of the Meyer wavelets in non stationary financial time series data from Dow Jones index (DJIA30) of US stock market. The data consists of 2048 daily data of closing index from December 17, 2004 to October 23, 2012. Unit root test affirms that the data is non stationary in the level. A comparison between the results to transform non stationary data to stationary data using aforesaid transforms is given which clearly shows that the decomposition stock market index by discrete wavelet transform is better than maximal overlap discrete wavelet transform for original data.

Keywords: Discrete wavelet transform, maximal overlap discrete wavelet transform, stationarity, autocorrelation function.

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Authors: Hiba Hasan, Khalid Raza

Abstract:

Reverse engineering of genetic regulatory network involves the modeling of the given gene expression data into a form of the network. Computationally it is possible to have the relationships between genes, so called gene regulatory networks (GRNs), that can help to find the genomics and proteomics based diagnostic approach for any disease. In this paper, clustering based method has been used to reconstruct genetic regulatory network from time series gene expression data. Supercoiled data set from Escherichia coli has been taken to demonstrate the proposed method.

Keywords: Gene expression, gene regulatory networks (GRNs), clustering, data preprocessing, network visualization.

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