Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

Influence diagnostics for linear models with first-order autoregressive elliptical errors

We introduce in this paper the class of linear models with first-order autoregressive elliptical errors. The score functions and the Fisher information matrices are derived for the parameters of interest and an iterative process is proposed for the parameter estimation. Some robustness aspects of the maximum likelihood estimates are discussed. The normal curvatures of local influence are also derived for some usual perturbation schemes whereas diagnostic graphics to assess the sensitivity of the maximum likelihood estimates are proposed. The methodology is applied to analyse the daily log excess return on the Microsoft whose empirical distributions appear to have AR(1) and heavy-tailed errors. (C) 2008 Elsevier B.V. All rights reserved.

Time-frequency and time-scale analysis of Barkhausen noise signals

Carrying out information about the microstructure and stress behaviour of ferromagnetic steels, magnetic Barkhausen noise (MBN) has been used as a basis for effective non-destructive testing methods, opening new areas in industrial applications. One of the factors that determines the quality and reliability of the MBN analysis is the way information is extracted from the signal. Commonly, simple scalar parameters are used to characterize the information content, such as amplitude maxima and signal root mean square. This paper presents a new approach based on the time-frequency analysis. The experimental test case relates the use of MBN signals to characterize hardness gradients in a AISI4140 steel. To that purpose different time-frequency (TFR) and time-scale (TSR) representations such as the spectrogram, the Wigner-Ville distribution, the Capongram, the ARgram obtained from an AutoRegressive model, the scalogram, and the Mellingram obtained from a Mellin transform are assessed. It is shown that, due to nonstationary characteristics of the MBN, TFRs can provide a rich and new panorama of these signals. Extraction techniques of some time-frequency parameters are used to allow a diagnostic process. Comparison with results obtained by the classical method highlights the improvement on the diagnosis provided by the method proposed.

Dynamical models for computer viruses propagation

Nowadays, digital computer systems and networks are the main engineering tools, being used in planning, design, operation, and control of all sizes of building, transportation, machinery, business, and life maintaining devices. Consequently, computer viruses became one of the most important sources of uncertainty, contributing to decrease the reliability of vital activities. A lot of antivirus programs have been developed, but they are limited to detecting and removing infections, based on previous knowledge of the virus code. In spite of having good adaptation capability, these programs work just as vaccines against diseases and are not able to prevent new infections based on the network state. Here, a trial on modeling computer viruses propagation dynamics relates it to other notable events occurring in the network permitting to establish preventive policies in the network management. Data from three different viruses are collected in the Internet and two different identification techniques, autoregressive and Fourier analyses, are applied showing that it is possible to forecast the dynamics of a new virus propagation by using the data collected from other viruses that formerly infected the network. Copyright (c) 2008 J. R. C. Piqueira and F. B. Cesar. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

The impact of measurement errors in the identification of regulatory networks

Background: There are several studies in the literature depicting measurement error in gene expression data and also, several others about regulatory network models. However, only a little fraction describes a combination of measurement error in mathematical regulatory networks and shows how to identify these networks under different rates of noise. Results: This article investigates the effects of measurement error on the estimation of the parameters in regulatory networks. Simulation studies indicate that, in both time series (dependent) and non-time series (independent) data, the measurement error strongly affects the estimated parameters of the regulatory network models, biasing them as predicted by the theory. Moreover, when testing the parameters of the regulatory network models, p-values computed by ignoring the measurement error are not reliable, since the rate of false positives are not controlled under the null hypothesis. In order to overcome these problems, we present an improved version of the Ordinary Least Square estimator in independent (regression models) and dependent (autoregressive models) data when the variables are subject to noises. Moreover, measurement error estimation procedures for microarrays are also described. Simulation results also show that both corrected methods perform better than the standard ones (i.e., ignoring measurement error). The proposed methodologies are illustrated using microarray data from lung cancer patients and mouse liver time series data. Conclusions: Measurement error dangerously affects the identification of regulatory network models, thus, they must be reduced or taken into account in order to avoid erroneous conclusions. This could be one of the reasons for high biological false positive rates identified in actual regulatory network models.

A low carbohydrate diet affects autonomic modulation during heavy but not moderate exercise

The aim of this study was to examine the effects of low carbohydrate (CHO) availability on heart rate variability (HRV) responses during moderate and severe exercise intensities until exhaustion. Six healthy males (age, 26.5 +/- 6.7 years; body mass, 78.4 +/- 7.7 kg; body fat %, 11.3 +/- 4.5%; (V) over dotO(2max), 39.5 +/- 6.6 mL kg(-1) min(-1)) volunteered for this study. All tests were performed in the morning, after 8-12 h overnight fasting, at a moderate intensity corresponding to 50% of the difference between the first (LT(1)) and second (LT(2)) lactate breakpoints and at a severe intensity corresponding to 25% of the difference between the maximal power output and LT(2). Forty-eight hours before each experimental session, the subjects performed a 90-min cycling exercise followed by 5-min rest periods and subsequent 1-min cycling bouts at 125% (V) over dotO(2max) (with 1-min rest periods) until exhaustion, in order to deplete muscle glycogen. A diet providing 10% (CHO(low)) or 65% (CHO(control)) of energy as carbohydrates was consumed for the following 2 days until the experimental test. The Poicare plots (standard deviations 1 and 2: SD1 and SD2, respectively) and spectral autoregressive model (low frequency LF, and high frequency HF) were applied to obtain HRV parameters. The CHO availability had no effect on the HRV parameters or ventilation during moderate-intensity exercise. However, the SD1 and SD2 parameters were significantly higher in CHO(low) than in CHO(control), as taken at exhaustion during the severe-intensity exercise (P < 0.05). The HF and LF frequencies (ms(2)) were also significantly higher in CHO(low) than in CHO(control) (P < 0.05). In addition, ventilation measured at the 5 and 10-min was higher in CHO(low) (62.5 +/- 4.4 and 74.8 +/- 6.5 L min(-1), respectively, P < 0.05) than in CHO(control) (70.0 +/- 3.6 and 79.6 +/- 5.1 L min(-1), respectively; P < 0.05) during the severe-intensity exercise. These results suggest that the CHO availability alters the HRV parameters during severe-, but not moderate-, intensity exercise, and this was associated with an increase in ventilation volume.

MODELING THE UNVOICED COMPONENT IN THE CANONICAL REPRESENTATION OF SPEECH

The canonical representation of speech constitutes a perfect reconstruction (PR) analysis-synthesis system. Its parameters are the autoregressive (AR) model coefficients, the pitch period and the voiced and unvoiced components of the excitation represented as transform coefficients. Each set of parameters may be operated on independently. A time-frequency unvoiced excitation (TFUNEX) model is proposed that has high time resolution and selective frequency resolution. Improved time-frequency fit is obtained by using for antialiasing cancellation the clustering of pitch-synchronous transform tracks defined in the modulation transform domain. The TFUNEX model delivers high-quality speech while compressing the unvoiced excitation representation about 13 times over its raw transform coefficient representation for wideband speech.

Pricing farm-level agricultural insurance: a Bayesian approach

This paper applies Hierarchical Bayesian Models to price farm-level yield insurance contracts. This methodology considers the temporal effect, the spatial dependence and spatio-temporal models. One of the major advantages of this framework is that an estimate of the premium rate is obtained directly from the posterior distribution. These methods were applied to a farm-level data set of soybean in the State of the Parana (Brazil), for the period between 1994 and 2003. The model selection was based on a posterior predictive criterion. This study improves considerably the estimation of the fair premium rates considering the small number of observations.

Financial leverage and tangibility of assets of Brazilian companies of agribusiness in the post-real plan period

This paper aims to study the relationship between the debt level and the asset structure of Brazilian companies of the agribusiness sector, since it is considered a current and relevant discussion: to evaluate the mechanisms for fund-raising and guarantees. The methodology of Granger`s Causality test and Autoregressive Vectors was used to conduct a comparative analysis, applied to a financial database of companies with open capital of Brazilian agribusiness, in particular the agricultural sector and Fisheries and Food and Beverages in a period of 10 years (1997-2007) from quarterly series available in the database of Economatica(R). The results demonstrated that changes in leverage generate variations in the tangibility of the companies, a fact that can be explained by the large search of funding secured by fiduciary transfer of fixed assets, which facilitates access to credit by business of the Agribusiness sector, increasing the payment time and lowering interest rates.

International study of temperature, heat and urban mortality: the `ISOTHURM` project

Background This study describes heat- and cold-related mortality in 12 urban populations in low- and middle-income countries, thereby extending knowledge of how diverse populations, in non-OECD countries, respond to temperature extremes. Methods The cities were: Delhi, Monterrey, Mexico City, Chiang Mai, Bangkok, Salvador, So Paulo, Santiago, Cape Town, Ljubljana, Bucharest and Sofia. For each city, daily mortality was examined in relation to ambient temperature using autoregressive Poisson models (2- to 5-year series) adjusted for season, relative humidity, air pollution, day of week and public holidays. Results Most cities showed a U-shaped temperature-mortality relationship, with clear evidence of increasing death rates at colder temperatures in all cities except Ljubljana, Salvador and Delhi and with increasing heat in all cities except Chiang Mai and Cape Town. Estimates of the temperature threshold below which cold-related mortality began to increase ranged from 15 degrees C to 29 degrees C; the threshold for heat-related deaths ranged from 16 degrees C to 31C. Heat thresholds were generally higher in cities with warmer climates, while cold thresholds were unrelated to climate. Conclusions Urban populations, in diverse geographic settings, experience increases in mortality due to both high and low temperatures. The effects of heat and cold vary depending on climate and non-climate factors such as the population disease profile and age structure. Although such populations will undergo some adaptation to increasing temperatures, many are likely to have substantial vulnerability to climate change. Additional research is needed to elucidate vulnerability within populations.

Exercise Training Reduces Sympathetic Modulation on Cardiovascular System and Cardiac Oxidative Stress in Spontaneously Hypertensive Rats

BACKGROUND Spontaneously hypertensive rats (SHRs) show increased cardiac sympathetic activity, which could stimulate cardiomyocyte hypertrophy, cardiac damage, and apoptosis. Norepinephrine (NE)induced cardiac oxidative stress seems to be involved in SHR cardiac hypertrophy development. Because exercise training (ET) decreases sympathetic activation and oxidative stress, it may alter cardiac hypertrophy in SHR. The aim of this study was to determine, in vivo, whether ET alters cardiac sympathetic modulation on cardiovascular system and whether a correlation exists between cardiac oxidative stress and hypertrophy. METHODS Male SHRs (15-weeks old) were divided into sedentary hypertensive (SHR, n = 7) and exercise-trained hypertensive rats (SHR-T, n = 7). Moderate ET was performed on a treadmill (5 days/week, 60 min, 10 weeks). After ET, cardiopulmonary reflex responses were assessed by bolus injections of 5-HT. Autoregressive spectral estimation was performed for systolic arterial pressure (SAP) with oscillatory components quantified as low (LF: 0.2-0.75 Hz) and high (HF:0.75-4.0 Hz) frequency ranges. Cardiac NE concentration, lipid peroxidation, antioxidant enzymes activities, and total nitrates/nitrites were determined. RESULTS ET reduced mean arterial pressure, SAP variability (SAP var), LIF of SAP, and cardiac hypertrophy and increased cardiopulmonary reflex responses. Cardiac lipid peroxidation was decreased in trained SHRs and positively correlated with NE concentrations (r= 0.89, P < 0.01) and heart weight/body weight ratio (r= 0.72, P < 0.01), and inversely correlated with total nitrates/nitrites (r= -0.79, P < 0.01). Moreover, in trained SHR, cardiac total nitrates/nitrites were inversely correlated with NE concentrations (r= -0.82, P < 0.01). CONCLUSIONS ET attenuates cardiac sympathetic modulation and cardiac hypertrophy, which were associated with reduced oxidative stress and increased nitric oxide (NO) bioavailability. Am J Hypertens 2008;21:1138-1193 (C) 2008 American Journal of Hypertension, Ltd.

Heart rate and arterial pressure variability in the experimental renovascular hypertension model in rats

This study was conducted in one kidney, one clip (1K1C) Goldblatt hypertensive rats to evaluate vascular and cardiac autonomic control using different approaches: 1) evaluation of the autonomic modulation of heart rate (HR) and systolic arterial pressure (SAP) by means of autoregressive power spectral analysis 2) assessment of the cardiac baroreflex sensitivity; and 3) double blockade with methylatropine and propranolol. The 1K1C group developed hypertension and tachycardia. The 1K1C group also presented reduction in variance as well as in LF (0.23 +/- 0.1 vs. 1.32 +/- 0.2 ms(2)) and HF (6.6 +/- 0.49 vs. 15.1 +/- 0.61 ms(2)) oscillations of pulse interval. Autoregressive spectral analysis of SAP showed that 1K1C rats had an increase in variance and LF band (13.3 +/- 2.7 vs. 7.4 +/- 1.01 mmHg(2)) in comparison with the sham group. The baroreflex gain was attenuated in the hypertensive 1K1C (- 1.83 +/- 0.05 bpm/mmHg) rats in comparison with normotensive sham (-3.23 +/- 0.06 bpm/MmHg) rats. The autonomic blockade caused an increase in the intrinsic HR and sympathetic predominance on the basal HR of 1K1C rats. Overall, these data indicate that the tachycardia observed in the 1K1C group may be attributed to intrinsic cardiac mechanisms (increased intrinsic heart rate) and to a shift in the sympathovagal balance towards cardiac sympathetic over-activity and vagal suppression associated to depressed baroreflex sensitivity. Finally, the increase in the LF components of SAP also suggests an increase in sympathetic activity to peripheral vessels. (c) 2008 Elsevier B.V. All rights reserved.

Transformed generalized linear models

The estimation of data transformation is very useful to yield response variables satisfying closely a normal linear model, Generalized linear models enable the fitting of models to a wide range of data types. These models are based on exponential dispersion models. We propose a new class of transformed generalized linear models to extend the Box and Cox models and the generalized linear models. We use the generalized linear model framework to fit these models and discuss maximum likelihood estimation and inference. We give a simple formula to estimate the parameter that index the transformation of the response variable for a subclass of models. We also give a simple formula to estimate the rth moment of the original dependent variable. We explore the possibility of using these models to time series data to extend the generalized autoregressive moving average models discussed by Benjamin er al. [Generalized autoregressive moving average models. J. Amer. Statist. Assoc. 98, 214-223]. The usefulness of these models is illustrated in a Simulation study and in applications to three real data sets. (C) 2009 Elsevier B.V. All rights reserved.

Characterization of organic matter in sediment cores of the Todos os Santos Bay, Bahia, Brazil, by elemental analysis and (13)C NMR

The impact of human activity on the sediments of Todos os Santos Bay in Brazil was evaluated by elemental analysis and (13)C Nuclear Magnetic Resonance ((13)C NMR). This article reports a study of six sediment cores collected at different depths and regions of Todos os Santos Bay. The elemental profiles of cores collected on the eastern side of Frades Island suggest an abrupt change in the sedimentation regime. Auto-regressive Integrated Moving Average (ARIMA) analysis corroborates this result. The range of depths of the cores corresponds to about 50 years ago, coinciding with the implantation of major onshore industrial projects in the region. Principal Component Analysis of the (13)C NMR spectra clearly differentiates sediment samples closer to the Subae estuary, which have high contents of terrestrial organic matter, from those closer to a local oil refinery. The results presented in this article illustrate several important aspects of environmental impact of human activity on this bay. (C) 2011 Elsevier Ltd. All rights reserved.

Measuring time series predictability using support vector regression

Most studies involving statistical time series analysis rely on assumptions of linearity, which by its simplicity facilitates parameter interpretation and estimation. However, the linearity assumption may be too restrictive for many practical applications. The implementation of nonlinear models in time series analysis involves the estimation of a large set of parameters, frequently leading to overfitting problems. In this article, a predictability coefficient is estimated using a combination of nonlinear autoregressive models and the use of support vector regression in this model is explored. We illustrate the usefulness and interpretability of results by using electroencephalographic records of an epileptic patient.