Robust modelling of noisy ARMA signals

In this paper methods are developed for enhancement and analysis of autoregressive moving average (ARMA) signals observed in additive noise which can be represented as mixtures of heavy-tailed non-Gaussian sources and a Gaussian background component. Such models find application in systems such as atmospheric communications channels or early sound recordings which are prone to intermittent impulse noise. Markov Chain Monte Carlo (MCMC) simulation techniques are applied to the joint problem of signal extraction, model parameter estimation and detection of impulses within a fully Bayesian framework. The algorithms require only simple linear iterations for all of the unknowns, including the MA parameters, which is in contrast with existing MCMC methods for analysis of noise-free ARMA models. The methods are illustrated using synthetic data and noise-degraded sound recordings.

Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

The design of an agent for modelling supply chain network dynamics

A useful insight into managerial decision making can be found from simulation of business systems, but existing work on simulation of supply chain behaviour has largely considered non-competitive chains. Where competitive agents have been examined, they have generally had a simple structure and been used for fundamental examination of stability and equilibria rather than providing practical guidance to managers. In this paper, a new agent for the study of competitive supply chain network dynamics is proposed. The novel features of the agent include the ability to select between competing vendors, distribute orders preferentially among many customers, manage production and inventory, and determine price based on competitive behaviour. The structure of the agent is related to existing business models and sufficient details are provided to allow implementation. The agent is tested to demonstrate that it recreates the main results of the existing modelling and management literature on supply chain dynamics. A brief exploration of competitive dynamics is given to confirm that the proposed agent can respond to competition. The results demonstrate that overall profitability for a supply chain network is maximised when businesses operate collectively. It is possible for an individual business to achieve higher profits by adopting a more competitive stance, but the consequence of this is that the overall profitability of the network is reduced. The agent will be of use for a broad range of studies on the long-run effect of management decisions on their network of suppliers and customers.

Assessing the road-damaging potential of heavy vehicles

The relative influence of various heavy vehicle design features on road-damaging potential is discussed. Testing procedures that could be used to measure the road-damaging potential of heavy vehicles are examined. A validated vehicle simulation is used to examine some of the characteristics of dynamic tyre forces generated by typical leaf sprung and air sprung articulated heavy vehicles for typical highway conditions. The proposed EC suspension test is simulated and the results compared with dynamic tyre forces generated under highway conditions. It is concluded that the road-damaging potential of a vehicle cannot be assessed by the simplistic parametric measurement of the proposed EC test. It is questionable whether a vehicle that passes the test will be any more 'road friendly' than one that fails.

Spatial repeatability of dynamic tyre forces generated by heavy vehicles

Road damage due to heavy vehicles is thought to be dependent on the extent to which lorries in normal traffic apply peak forces to the same locations along the road. A validated vehicle simulation is used to simulate 37 leaf-sprung articulated vehicles with parametric variations typical of vehicles in one weight class in the highway vehicle fleet. The spatial distribution of tyre forces generated by each vehicle is compared with the distribution generated by a reference vehicle, and the conditions are established for which repeated heavy loading occurs at specific points along the road. It is estimated that approximately two-thirds of vehicles in this class (a large proportion of all heavy vehicles) may contribute to a repeated pattern of road loading. It is concluded that dynamic tyre forces are a significant factor influencing road damage, compared to other factors such as tyre configuration and axle spacing.