Evaluating Specification Tests for Markov-Switching Time-Series Models

We evaluate the performance of several specification tests for Markov regime-switching time-series models. We consider the Lagrange multiplier (LM) and dynamic specification tests of Hamilton (1996) and Ljung–Box tests based on both the generalized residual and a standard-normal residual constructed using the Rosenblatt transformation. The size and power of the tests are studied using Monte Carlo experiments. We find that the LM tests have the best size and power properties. The Ljung–Box tests exhibit slight size distortions, though tests based on the Rosenblatt transformation perform better than the generalized residual-based tests. The tests exhibit impressive power to detect both autocorrelation and autoregressive conditional heteroscedasticity (ARCH). The tests are illustrated with a Markov-switching generalized ARCH (GARCH) model fitted to the US dollar–British pound exchange rate, with the finding that both autocorrelation and GARCH effects are needed to adequately fit the data.

A directed continuous time random walk model with jump length depending on waiting time

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x,t) of finding the walker at position at time is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.

Rank regression for accelerated failure time model with clustered and censored data

For clustered survival data, the traditional Gehan-type estimator is asymptotically equivalent to using only the between-cluster ranks, and the within-cluster ranks are ignored. The contribution of this paper is two fold: - (i) incorporating within-cluster ranks in censored data analysis, and; - (ii) applying the induced smoothing of Brown and Wang (2005, Biometrika) for computational convenience. Asymptotic properties of the resulting estimating functions are given. We also carry out numerical studies to assess the performance of the proposed approach and conclude that the proposed approach can lead to much improved estimators when strong clustering effects exist. A dataset from a litter-matched tumorigenesis experiment is used for illustration.

New Approach on Robust Delay-Dependent H∞ Control for Uncertain T-S Fuzzy Systems With Interval Time-Varying Delay

This paper investigates the robust H∞ control for Takagi-Sugeno (T-S) fuzzy systems with interval time-varying delay. By employing a new and tighter integral inequality and constructing an appropriate type of Lyapunov functional, delay-dependent stability criteria are derived for the control problem. Because neither any model transformation nor free weighting matrices are employed in our theoretical derivation, the developed stability criteria significantly improve and simplify the existing stability conditions. Also, the maximum allowable upper delay bound and controller feedback gains can be obtained simultaneously from the developed approach by solving a constrained convex optimization problem. Numerical examples are given to demonstrate the effectiveness of the proposed methods.

Effects of switching time on output voltages of a multilevel inverter used in high frequency applications

Employing multilevel inverters is a proper solution to reduce harmonic content of output voltage and electromagnetic interference in high power electronic applications. In this paper, a new pulse width modulation method for multilevel inverters is proposed in which power devices’ on-off switching times have been considered. This method can be surveyed in order to analyse the effect of switching time on harmonic contents of output voltage in high frequency applications when a switching time is not negligible compared to a switching cycle. Fast Fourier transform calculation and analysis of output voltage waveforms and harmonic contents with regard to switching time variation are presented in this paper for a single phase (3, 5)-level inverters used in high voltage and high frequency converters. Mathematical analysis and MATLAB simulation results have been carried out to validate the proposed method.

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.

A boundary preserving numerical algorithm for the Wright-Fisher model with mutation

The Wright-Fisher model is an Itô stochastic differential equation that was originally introduced to model genetic drift within finite populations and has recently been used as an approximation to ion channel dynamics within cardiac and neuronal cells. While analytic solutions to this equation remain within the interval [0,1], current numerical methods are unable to preserve such boundaries in the approximation. We present a new numerical method that guarantees approximations to a form of Wright-Fisher model, which includes mutation, remain within [0,1] for all time with probability one. Strong convergence of the method is proved and numerical experiments suggest that this new scheme converges with strong order 1/2. Extending this method to a multidimensional case, numerical tests suggest that the algorithm still converges strongly with order 1/2. Finally, numerical solutions obtained using this new method are compared to those obtained using the Euler-Maruyama method where the Wiener increment is resampled to ensure solutions remain within [0,1].

Revisiting the GameFlow model with detailed heuristics

The GameFlow model strives to be a general model of player enjoyment, applicable to all game genres and platforms. Derived from a general set of heuristics for creating enjoyable player experiences, the GameFlow model has been widely used in evaluating many types of games, as well as non-game applications. However, we recognize that more specific, low-level, and implementable criteria are potentially more useful for designing and evaluating video games. Consequently, the research reported in this paper aims to provide detailed heuristics for designing and evaluating one specific game genre, real-time strategy games. In order to develop these heuristics, we conducted a grounded theoretical analysis on a set of professional game reviews and structured the resulting heuristics using the GameFlow model. A selection of the resulting 165 heuristics are presented in this paper and discussed with respect to key evaluations of the GameFlow model.

An open pit multistage mine production scheduling model for drilling, blasting and excavating operations

This paper proposes a new multi-resource multi-stage scheduling problem for optimising the open-pit drilling, blasting and excavating operations under equipment capacity constraints. The flow process is analysed based on the real-life data from an Australian iron ore mine site. The objective of the model is to maximise the throughput and minimise the total idle times of equipment at each stage. The following comprehensive mining attributes and constraints have been considered: types of equipment; operating capacities of equipment; ready times of equipment; speeds of equipment; block-sequence-dependent movement times of equipment; equipment-assignment-dependent operation times of blocks; distances between each pair of blocks; due windows of blocks; material properties of blocks; swell factors of blocks; and slope requirements of blocks. It is formulated by mixed integer programming and solved by ILOG-CPLEX optimiser. The proposed model is validated with extensive computational experiments to improve mine production efficiency at the operational level. The model also provides an intelligent decision support tool to account for the availability and usage of equipment units for drilling, blasting and excavating stages.

An external field prior for the hidden Potts model with application to cone-beam computed tomography

In images with low contrast-to-noise ratio (CNR), the information gain from the observed pixel values can be insufficient to distinguish foreground objects. A Bayesian approach to this problem is to incorporate prior information about the objects into a statistical model. A method for representing spatial prior information as an external field in a hidden Potts model is introduced. This prior distribution over the latent pixel labels is a mixture of Gaussian fields, centred on the positions of the objects at a previous point in time. It is particularly applicable in longitudinal imaging studies, where the manual segmentation of one image can be used as a prior for automatic segmentation of subsequent images. The method is demonstrated by application to cone-beam computed tomography (CT), an imaging modality that exhibits distortions in pixel values due to X-ray scatter. The external field prior results in a substantial improvement in segmentation accuracy, reducing the mean pixel misclassification rate for an electron density phantom from 87% to 6%. The method is also applied to radiotherapy patient data, demonstrating how to derive the external field prior in a clinical context.

A new open-pit multi-stage mine production timetabling model for drilling, blasting and excavating operations

This paper proposes a new multi-resource multi-stage mine production timetabling problem for optimising the open-pit drilling, blasting and excavating operations under equipment capacity constraints. The flow process is analysed based on the real-life data from an Australian iron ore mine site. The objective of the model is to maximise the throughput and minimise the total idle times of equipment at each stage. The following comprehensive mining attributes and constraints are considered: types of equipment; operating capacities of equipment; ready times of equipment; speeds of equipment; block-sequence-dependent movement times; equipment-assignment-dependent operational times; etc. The model also provides the availability and usage of equipment units at multiple operational stages such as drilling, blasting and excavating stages. The problem is formulated by mixed integer programming and solved by ILOG-CPLEX optimiser. The proposed model is validated with extensive computational experiments to improve mine production efficiency at the operational level.

An operational-level multi-stage mine production timetabling model for optimally synchronising drilling, blasting and excavating operations

This paper proposes a new multi-stage mine production timetabling (MMPT) model to optimise open-pit mine production operations including drilling, blasting and excavating under real-time mining constraints. The MMPT problem is formulated as a mixed integer programming model and can be optimally solved for small-size MMPT instances by IBM ILOG-CPLEX. Due to NP-hardness, an improved shifting-bottleneck-procedure algorithm based on the extended disjunctive graph is developed to solve large-size MMPT instances in an effective and efficient way. Extensive computational experiments are presented to validate the proposed algorithm that is able to efficiently obtain the near-optimal operational timetable of mining equipment units. The advantages are indicated by sensitivity analysis under various real-life scenarios. The proposed MMPT methodology is promising to be implemented as a tool for mining industry because it is straightforwardly modelled as a standard scheduling model, efficiently solved by the heuristic algorithm, and flexibly expanded by adopting additional industrial constraints.

A test of the job demands : resources model with HIV/AIDS volunteers

Burnout has been identified as a significant factor in HIV/AIDS volunteering. It has been associated with depression, anxiety and the loss of volunteers from the health care delivery system. The aim of this study was to test the independence of the health and motivational processes hypothesized within the Job Demands – Resources model of burnout in HIV/AIDS volunteers. Participants were 307 HIV/AIDS volunteers from state AIDS Councils throughout Australia who completed self-report measures pertaining to role ambiguity and role conflict, social support, burnout, intrinsic and organizational satisfaction, and depression. Findings suggested that the independence of the dual processes hypothesized by the model was only partially supported. These findings provide a model for burnout which gives a framework for interventions at both the individual and organizational level which would contribute to the prevention of burnout, depression, and job dissatisfaction in HIV/AIDS volunteers.