Specification and testing of multiplicative time-varying GARCH models with applications

In this article, we develop a specification technique for building multiplicative time-varying GARCH models of Amado and Teräsvirta (2008, 2013). The variance is decomposed into an unconditional and a conditional component such that the unconditional variance component is allowed to evolve smoothly over time. This nonstationary component is defined as a linear combination of logistic transition functions with time as the transition variable. The appropriate number of transition functions is determined by a sequence of specification tests. For that purpose, a coherent modelling strategy based on statistical inference is presented. It is heavily dependent on Lagrange multiplier type misspecification tests. The tests are easily implemented as they are entirely based on auxiliary regressions. Finite-sample properties of the strategy and tests are examined by simulation. The modelling strategy is illustrated in practice with two real examples: an empirical application to daily exchange rate returns and another one to daily coffee futures returns.

Integrated management systems as complex adaptive systems

It is a difficult task to avoid the “smart systems” topic when discussing smart prevention and, similarly, it is a difficult task to address smart systems without focusing their ability to learn. Following the same line of thought, in the current reality, it seems a Herculean task (or an irreparable omission) to approach the topic of certified occupational health and safety management systems (OHSMS) without discussing the integrated management systems (IMSs). The available data suggest that seldom are the OHSMS operating as the single management system (MS) in a company so, any statement concerning OHSMS should mainly be interpreted from an integrated perspective. A major distinction between generic systems can be drawn between those that learn, i.e., those systems that have “memory” and those that have not. These former systems are often depicted as adaptive since they take into account past events to deal with novel, similar and future events modifying their structure to enable success in its environment. Often, these systems, present a nonlinear behavior and a huge uncertainty related to the forecasting of some events. This paper seeks to portray, for the first time as we were able to find out, the IMSs as complex adaptive systems (CASs) by listing their properties and dissecting the features that enable them to evolve and self-organize in order to, holistically, fulfil the requirements from different stakeholders and thus thrive by assuring the successful sustainability of a company. Based on the revision of literature carried out, this is the first time that IMSs are pointed out as CASs which may develop fruitful synergies both for the MSs and for CASs communities. By performing a thorough revision of literature and based on some concepts embedded in the “DNA” of the subsystems implementation standards it is intended, specifically, to identify, determine and discuss the properties of a generic IMS that should be considered to classify it as a CAS.

New control algorithm for single-phase series active power filter

This paper presents a single-phase Series Active Power Filter (Series APF) for mitigation of the load voltage harmonic content, while maintaining the voltage on the DC side regulated without the support of a voltage source. The proposed series active power filter control algorithm eliminates the additional voltage source to regulate the DC voltage, and with the adopted topology it is not used a coupling transformer to interface the series active power filter with the electrical power grid. The paper describes the control strategy which encapsulates the grid synchronization scheme, the compensation voltage calculation, the damping algorithm and the dead-time compensation. The topology and control strategy of the series active power filter have been evaluated in simulation software and simulations results are presented. Experimental results, obtained with a developed laboratorial prototype, validate the theoretical assumptions, and are within the harmonic spectrum limits imposed by the international recommendations of the IEEE-519 Standard.

Pervasive adaptive data acquisition gateway for critical healthcare

The data acquisition process in real-time is fundamental to provide appropriate services and improve health professionals decision. In this paper a pervasive adaptive data acquisition architecture of medical devices (e.g. vital signs, ventilators and sensors) is presented. The architecture was deployed in a real context in an Intensive Care Unit. It is providing clinical data in real-time to the INTCare system. The gateway is composed by several agents able to collect a set of patients’ variables (vital signs, ventilation) across the network. The paper shows as example the ventilation acquisition process. The clients are installed in a machine near the patient bed. Then they are connected to the ventilators and the data monitored is sent to a multithreading server which using Health Level Seven protocols records the data in the database. The agents associated to gateway are able to collect, analyse, interpret and store the data in the repository. This gateway is composed by a fault tolerant system that ensures a data store in the database even if the agents are disconnected. The gateway is pervasive, universal, and interoperable and it is able to adapt to any service using streaming data.