Observations of the solar wind-magnetosphere-ionosphere coupling

In this thesis, the solar wind-magnetosphere-ionosphere coupling is studied observationally, with the main focus on the ionospheric currents in the auroral region. The thesis consists of five research articles and an introductory part that summarises the most important results reached in the articles and places them in a wider context within the field of space physics. Ionospheric measurements are provided by the International Monitor for Auroral Geomagnetic Effects (IMAGE) magnetometer network, by the low-orbit CHAllenging Minisatellite Payload (CHAMP) satellite, by the European Incoherent SCATter (EISCAT) radar, and by the Imager for Magnetopause-to-Aurora Global Exploration (IMAGE) satellite. Magnetospheric observations, on the other hand, are acquired from the four spacecraft of the Cluster mission, and solar wind observations from the Advanced Composition Explorer (ACE) and Wind spacecraft. Within the framework of this study, a new method for determining the ionospheric currents from low-orbit satellite-based magnetic field data is developed. In contrast to previous techniques, all three current density components can be determined on a matching spatial scale, and the validity of the necessary one-dimensionality approximation, and thus, the quality of the results, can be estimated directly from the data. The new method is applied to derive an empirical model for estimating the Hall-to-Pedersen conductance ratio from ground-based magnetic field data, and to investigate the statistical dependence of the large-scale ionospheric currents on solar wind and geomagnetic parameters. Equations describing the amount of field-aligned current in the auroral region, as well as the location of the auroral electrojets, as a function of these parameters are derived. Moreover, the mesoscale (10-1000 km) ionospheric equivalent currents related to two magnetotail plasma sheet phenomena, bursty bulk flows and flux ropes, are studied. Based on the analysis of 22 events, the typical equivalent current pattern related to bursty bulk flows is established. For the flux ropes, on the other hand, only two conjugate events are found. As the equivalent current patterns during these two events are not similar, it is suggested that the ionospheric signatures of a flux rope depend on the orientation and the length of the structure, but analysis of additional events is required to determine the possible ionospheric connection of flux ropes.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.