"Oft expectation fails": a time-series analysis of construction starts in the London office market

Expectations of future market conditions are generally acknowledged to be crucial for the development decision and hence for shaping the built environment. This empirical study of the Central London office market from 1987 to 2009 tests for evidence of adaptive and naive expectations. Applying VAR models and a recursive OLS regression with one-step forecasts, we find evidence of adaptive and naïve, rather than rational expectations of developers. Although the magnitude of the errors and the length of time lags vary over time and development cycles, the results confirm that developers’ decisions are explained to a large extent by contemporaneous and past conditions in both London submarkets. The corollary of this finding is that developers may be able to generate excess profits by exploiting market inefficiencies but this may be hindered in practice by the long periods necessary for planning and construction of the asset. More generally, the results of this study suggest that real estate cycles are largely generated endogenously rather than being the result of unexpected exogenous shocks.

EMD: A novel technique for the study of tremor time series

This paper introduces the Hilbert Analysis (HA), which is a novel digital signal processing technique, for the investigation of tremor. The HA is formed by two complementary tools, i.e. the Empirical Mode Decomposition (EMD) and the Hilbert Spectrum (HS). In this work we show that the EMD can automatically detect and isolate tremulous and voluntary movements from experimental signals collected from 31 patients with different conditions. Our results also suggest that the tremor may be described by a new class of mathematical functions defined in the HA framework. In a further study, the HS was employed for visualization of the energy activities of signals. This tool introduces the concept of instantaneous frequency in the field of tremor. In addition, it could provide, in a time-frequency-energy plot, a clear visualization of local activities of tremor energy over the time. The HA demonstrated to be very useful to perform objective measurements of any kind of tremor and can therefore be used to perform functional assessment.

Application of EMD as a novel technique for the study of tremor time series

This paper introduces the Hilbert Analysis (HA), which is a novel digital signal processing technique, for the investigation of tremor. The HA is formed by two complementary tools, i.e. the Empirical Mode Decomposition (EMD) and the Hilbert Spectrum (HS). In this work we show that the EMD can automatically detect and isolate tremulous and voluntary movements from experimental signals collected from 31 patients with different conditions. Our results also suggest that the tremor may be described by a new class of mathematical functions defined in the HA framework. In a further study, the HS was employed for visualization of the energy activities of signals. This tool introduces the concept of instantaneous frequency in the field of tremor. In addition, it could provide, in a time-frequency energy plot, a clear visualization of local activities of tremor energy over the time. The HA demonstrated to be very useful to perform objective measurements of any kind of tremor and can therefore be used to perform functional assessment.

Are property prices non-linear? An investigation of the behaviour of US REITs and UK property company shares

Linear models of market performance may be misspecified if the market is subdivided into distinct regimes exhibiting different behaviour. Price movements in the US Real Estate Investment Trusts and UK Property Companies Markets are explored using a Threshold Autoregressive (TAR) model with regimes defined by the real rate of interest. In both US and UK markets, distinctive behaviour emerges, with the TAR model offering better predictive power than a more conventional linear autoregressive model. The research points to the possibility of developing trading rules to exploit the systematically different behaviour across regimes.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.

Composite control of non-linear singularly perturbed systems: a geometric approach

Using a geometric approach, a composite control—the sum of a slow control and a fast control—is derived for a general class of non-linear singularly perturbed systems. A new and simpler method of composite control design is proposed whereby the fast control is completely designed at the outset. The slow control is then free to be chosen such that the slow integral manifold of the original system approximates a desired design manifold to within any specified order of ε accuracy.

Duality, observability, and controllability for linear time-varying descriptor systems

A characterization of observability for linear time-varying descriptor systemsE(t)x(t)+F(t)x(t)=B(t)u(t), y(t)=C(t)x(t) was recently developed. NeitherE norC were required to have constant rank. This paper defines a dual system, and a type of controllability so that observability of the original system is equivalent to controllability of the dual system. Criteria for observability and controllability are given in terms of arrays of derivatives of the original coefficients. In addition, the duality results of this paper lead to an improvement on a previous fundamental structure result for solvable systems of the formE(t)x(t)+F(t)x(t)=f(tt).

Reconstruction of gusty wind speed time series from autonomous data logger records

The collection of wind speed time series by means of digital data loggers occurs in many domains, including civil engineering, environmental sciences and wind turbine technology. Since averaging intervals are often significantly larger than typical system time scales, the information lost has to be recovered in order to reconstruct the true dynamics of the system. In the present work we present a simple algorithm capable of generating a real-time wind speed time series from data logger records containing the average, maximum, and minimum values of the wind speed in a fixed interval, as well as the standard deviation. The signal is generated from a generalized random Fourier series. The spectrum can be matched to any desired theoretical or measured frequency distribution. Extreme values are specified through a postprocessing step based on the concept of constrained simulation. Applications of the algorithm to 10-min wind speed records logged at a test site at 60 m height above the ground show that the recorded 10-min values can be reproduced by the simulated time series to a high degree of accuracy.

Probabilistic evaluation of time series models : a comparison of several approaches

Several methods are examined which allow to produce forecasts for time series in the form of probability assignments. The necessary concepts are presented, addressing questions such as how to assess the performance of a probabilistic forecast. A particular class of models, cluster weighted models (CWMs), is given particular attention. CWMs, originally proposed for deterministic forecasts, can be employed for probabilistic forecasting with little modification. Two examples are presented. The first involves estimating the state of (numerically simulated) dynamical systems from noise corrupted measurements, a problem also known as filtering. There is an optimal solution to this problem, called the optimal filter, to which the considered time series models are compared. (The optimal filter requires the dynamical equations to be known.) In the second example, we aim at forecasting the chaotic oscillations of an experimental bronze spring system. Both examples demonstrate that the considered time series models, and especially the CWMs, provide useful probabilistic information about the underlying dynamical relations. In particular, they provide more than just an approximation to the conditional mean.

Decline and recovery of total column ozone using a multimodel time series analysis

Simulations of 15 coupled chemistry climate models, for the period 1960–2100, are presented. The models include a detailed stratosphere, as well as including a realistic representation of the tropospheric climate. The simulations assume a consistent set of changing greenhouse gas concentrations, as well as temporally varying chlorofluorocarbon concentrations in accordance with observations for the past and expectations for the future. The ozone results are analyzed using a nonparametric additive statistical model. Comparisons are made with observations for the recent past, and the recovery of ozone, indicated by a return to 1960 and 1980 values, is investigated as a function of latitude. Although chlorine amounts are simulated to return to 1980 values by about 2050, with only weak latitudinal variations, column ozone amounts recover at different rates due to the influence of greenhouse gas changes. In the tropics, simulated peak ozone amounts occur by about 2050 and thereafter total ozone column declines. Consequently, simulated ozone does not recover to values which existed prior to the early 1980s. The results also show a distinct hemispheric asymmetry, with recovery to 1980 values in the Northern Hemisphere extratropics ahead of the chlorine return by about 20 years. In the Southern Hemisphere midlatitudes, ozone is simulated to return to 1980 levels only 10 years ahead of chlorine. In the Antarctic, annually averaged ozone recovers at about the same rate as chlorine in high latitudes and hence does not return to 1960s values until the last decade of the simulations.

Retrieval characteristics of non-linear sea surface temperature from the Advanced Very High Resolution Radiometer

Criteria are proposed for evaluating sea surface temperature (SST) retrieved from satellite infra-red imagery: bias should be small on regional scales; sensitivity to atmospheric humidity should be small; and sensitivity of retrieved SST to surface temperature should be close to 1 K K−1. Their application is illustrated for non-linear sea surface temperature (NLSST) estimates. 233929 observations from the Advanced Very High Resolution Radiometer (AVHRR) on Metop-A are matched with in situ data and numerical weather prediction (NWP) fields. NLSST coefficients derived from these matches have regional biases from −0.5 to +0.3 K. Using radiative transfer modelling we find that a 10% increase in humidity alone can change the retrieved NLSST by between −0.5 K and +0.1 K. A 1 K increase in SST changes NLSST by <0.5 K in extreme cases. The validity of estimates of sensitivity by radiative transfer modelling is confirmed empirically.