Multivariate ARIMA Compositional Time Series Analysis

A compositional time series is obtained when a compositional data vector is observed atdifferent points in time. Inherently, then, a compositional time series is a multivariatetime series with important constraints on the variables observed at any instance in time.Although this type of data frequently occurs in situations of real practical interest, atrawl through the statistical literature reveals that research in the field is very much in itsinfancy and that many theoretical and empirical issues still remain to be addressed. Anyappropriate statistical methodology for the analysis of compositional time series musttake into account the constraints which are not allowed for by the usual statisticaltechniques available for analysing multivariate time series. One general approach toanalyzing compositional time series consists in the application of an initial transform tobreak the positive and unit sum constraints, followed by the analysis of the transformedtime series using multivariate ARIMA models. In this paper we discuss the use of theadditive log-ratio, centred log-ratio and isometric log-ratio transforms. We also presentresults from an empirical study designed to explore how the selection of the initialtransform affects subsequent multivariate ARIMA modelling as well as the quality ofthe forecasts

Compositional Time Series: An Application

The composition of the labour force is an important economic factor for a country.Often the changes in proportions of different groups are of interest.I this paper we study a monthly compositional time series from the Swedish LabourForce Survey from 1994 to 2005. Three models are studied: the ILR-transformed series,the ILR-transformation of the compositional differenced series of order 1, and the ILRtransformationof the compositional differenced series of order 12. For each of thethree models a VAR-model is fitted based on the data 1994-2003. We predict the timeseries 15 steps ahead and calculate 95 % prediction regions. The predictions of thethree models are compared with actual values using MAD and MSE and the predictionregions are compared graphically in a ternary time series plot.We conclude that the first, and simplest, model possesses the best predictive power ofthe three models

Monitoring switch-type sensors and powering autonomous sensors via inductive coupling: application to removable seats in vehicles

Aquesta tesi explora la possibilitat de fer servir enllaços inductius per a una aplicació de l’automòbil on el cablejat entre la centraleta (ECU) i els sensors o detectors és difícil o impossible. S’han proposat dos mètodes: 1) el monitoratge de sensors commutats (dos possibles estats) via acoblament inductiu i 2) la transmissió mitjançant el mateix principi físic de la potència necessària per alimentar els sensors autònoms remots. La detecció d'ocupació i del cinturó de seguretat per a seients desmuntables pot ser implementada amb sistemes sense fils passius basats en circuits ressonants de tipus LC on l'estat dels sensors determina el valor del condensador i, per tant, la freqüència de ressonància. Els canvis en la freqüència són detectats per una bobina situada en el terra del vehicle. S’ha conseguit provar el sistema en un marge entre 0.5 cm i 3 cm. Els experiments s’han dut a terme fent servir un analitzador d’impedàncies connectat a una bobina primària i sensors comercials connectats a un circuit remot. La segona proposta consisteix en transmetre remotament la potència des d’una bobina situada en el terra del vehicle cap a un dispositiu autònom situat en el seient. Aquest dispositiu monitorarà l'estat dels detectors (d'ocupació i de cinturó) i transmetrà les dades mitjançant un transceptor comercial de radiofreqüència o pel mateix enllaç inductiu. S’han avaluat les bobines necessàries per a una freqüència de treball inferior a 150 kHz i s’ha estudiat quin és el regulador de tensió més apropiat per tal d’aconseguir una eficiència global màxima. Quatre tipus de reguladors de tensió s’han analitzat i comparat des del punt de vista de l’eficiència de potència. Els reguladors de tensió de tipus lineal shunt proporcionen una eficiència de potència millor que les altres alternatives, els lineals sèrie i els commutats buck o boost. Les eficiències aconseguides han estat al voltant del 40%, 25% i 10% per les bobines a distàncies 1cm, 1.5cm, i 2cm. Les proves experimentals han mostrat que els sensors autònoms han estat correctament alimentats fins a distàncies de 2.5cm.

Series enlazadas de empleo y VAB para España, 1955-2010 (RegDat_Nac versión 3.0)

En este trabajo se elaboran series de distintos agregados de empleo y de VAB a precios corrientes y constantes para el conjunto de España durante el período 1955-2010. Las series se construyen mediante el enlace de diversas bases de la CNE y de la Contabilidad Trimestral, introduciéndose también una corrección tentativa para reconciliar las series de empleo de la CNE con las de la EPA.

Series enlazadas de los principales agregados nacionales de la EPA,1964-2009 (RegDat_EPA_nac_v10)

En el presente trabajo se recopilan y extienden diversas series históricas de los principales agregados nacionales de la Encuesta de Población Activa (EPA) y se construyen nuevas series anuales homogéneas de las mismas variables para el período 1964-2009 corrigiendo algunas de las rupturas que persisten en las series históricas más recientes del INE.

Series enlazadas de empleo y VAB para España, 1955-2010 (RegDat_Nac versión 3.1)

En este trabajo se elaboran series homogéneas de distintos agregados de empleo y de VAB a precios corrientes y constantes para el conjunto de España durante el período 1955-2010. Las series se construyen mediante el enlace de diversas bases de la CNE y de la Contabilidad Trimestral, introduciéndose también una corrección tentativa para reconciliar las series de empleo de la CNE con las de la EPA.

Initial convergence of the perturbation series expansion for vibrational nonlinear optical properties

Initial convergence of the perturbation series expansion for vibrational nonlinear optical (NLO) properties was analyzed. The zero-point vibrational average (ZPVA) was obtained through first-order in mechanical plus electrical anharmonicity. Results indicated that higher-order terms in electrical and mechanical anharmonicity can make substantial contributions to the pure vibrational polarizibility of typical NLO molecules

Predictability of music descriptor time series and its application to cover song detection

Intuitively, music has both predictable and unpredictable components. In this work we assess this qualitative statement in a quantitative way using common time series models fitted to state-of-the-art music descriptors. These descriptors cover different musical facets and are extracted from a large collection of real audio recordings comprising a variety of musical genres. Our findings show that music descriptor time series exhibit a certain predictability not only for short time intervals, but also for mid-term and relatively long intervals. This fact is observed independently of the descriptor, musical facet and time series model we consider. Moreover, we show that our findings are not only of theoretical relevance but can also have practical impact. To this end we demonstrate that music predictability at relatively long time intervals can be exploited in a real-world application, namely the automatic identification of cover songs (i.e. different renditions or versions of the same musical piece). Importantly, this prediction strategy yields a parameter-free approach for cover song identification that is substantially faster, allows for reduced computational storage and still maintains highly competitive accuracies when compared to state-of-the-art systems.

Distribución factorial del ingreso en América Latina, 1950-2000: nuevas series a partir de las cuentas nacionales

Este artículo presenta nuevas series de distribución factorial del ingreso entre 1950 y 2000 para 14 países de América Latina a partir de un proceso de armonización de los datos de compensación de los trabajadores recogidos en las cuentas nacionales. Además, se presentan estimaciones de la remuneración a los trabajadores autónomos, discutiéndose las diferentes metodologías de estimación posibles, y las limitaciones de datos que afectan a las mismas. El análisis de estas estimaciones coherentes nos permite llegar a algunas conclusionespreliminares. En primer lugar, las estimaciones presentan variaciones importantes entre los países. Segundo, a nivel regional, muestran variaciones tanto coyunturales como de largo plazo que apoyanlos estudios que cuestionan la estabilidad de la distribución factorial del ingreso en el largo plazo.Tercero, nuestras estimaciones de la remuneración del factor trabajo, una vez corregidas para incluir una estimación del trabajo no asalariado, siguen siendo sensiblemente inferiores a las de lospaíses desarrollados, cuestionando así los estudios que señalan que dichas variaciones desaparecen al aplicárseles esta corrección.

La construcción del espacio dramático en la ficción televisiva norteamericana. Análisis del espacio vivencial en las series dramáticas de la HBO

El presente trabajo analiza la construcción del espacio vivencial en cinco series televisivas producidas por la cadena norteamericana HBO: Carnivàle, Deadwood, The Sopranos, The Wire y Treme. La investigación parte de la convicción de una posible reelaboración de la historia del espacio doméstico norteamericano a través de la puesta en escena y de la potencialidad simbólica del espacio serial. De este modo, el trabajo propone un recorrido hermenéutico en el que se analiza la evolución del espacio narrativo, su evolución morfológica en dependencia de las necesidades diegéticas de cada una de las obras analizadas.

Strategies for sequential prediction of stationary time series

We present simple procedures for the prediction of a real valued sequence. The algorithms are based on a combinationof several simple predictors. We show that if the sequence is a realization of a bounded stationary and ergodic random process then the average of squared errors converges, almost surely, to that of the optimum, given by the Bayes predictor. We offer an analog result for the prediction of stationary gaussian processes.

On a series of Goldbach and Euler

Theorem 1 of Euler s paper of 1737 'Variae Observationes Circa Series Infinitas', states the astonishing result that the series of all unit fractions whose denominators are perfect powers of integers minus unity has sum one. Euler attributes the Theorem to Goldbach. The proof is one of those examples of misuse of divergent series to obtain correct results so frequent during the seventeenth and eighteenth centuries. We examine this proof closelyand, with the help of some insight provided by a modern (and completely dierent) proof of the Goldbach-Euler Theorem, we present a rational reconstruction in terms which could be considered rigorous by modern Weierstrassian standards. At the same time, with a few ideas borrowed from nonstandard analysis we see how the same reconstruction can be also be considered rigorous by modern Robinsonian standards. This last approach, though, is completely in tune with Goldbach and Euler s proof. We hope to convince the reader then how, a few simple ideas from nonstandard analysis, vindicate Euler's work.

Improved nonparametric confidence intervals in time series regressions

Condence intervals in econometric time series regressions suffer fromnotorious coverage problems. This is especially true when the dependencein the data is noticeable and sample sizes are small to moderate, as isoften the case in empirical studies. This paper suggests using thestudentized block bootstrap and discusses practical issues, such as thechoice of the block size. A particular data-dependent method is proposedto automate the method. As a side note, it is pointed out that symmetricconfidence intervals are preferred over equal-tailed ones, since theyexhibit improved coverage accuracy. The improvements in small sampleperformance are supported by a simulation study.

A simple randomized algorithm for consistent sequential prediction of ergodic time series

We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if thesequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor.

Nets: Network estimation for time series

This work proposes novel network analysis techniques for multivariate time series.We define the network of a multivariate time series as a graph where verticesdenote the components of the process and edges denote non zero long run partialcorrelations. We then introduce a two step LASSO procedure, called NETS, toestimate high dimensional sparse Long Run Partial Correlation networks. This approachis based on a VAR approximation of the process and allows to decomposethe long run linkages into the contribution of the dynamic and contemporaneousdependence relations of the system. The large sample properties of the estimatorare analysed and we establish conditions for consistent selection and estimation ofthe non zero long run partial correlations. The methodology is illustrated with anapplication to a panel of U.S. bluechips.