Forecasting economic and financial time series with non-linear models

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting among non-linear forecasting models for economic and financial time series. We review theoretical and empirical issues, including predictive density, interval and point evaluation and model selection, loss functions, data-mining, and aggregation. In addition, we argue that although the evidence in favor of constructing forecasts using non-linear models is rather sparse, there is reason to be optimistic. However, much remains to be done. Finally, we outline a variety of topics for future research, and discuss a number of areas which have received considerable attention in the recent literature, but where many questions remain.

Air-earth current density measurements at Lerwick; implications for seasonality in the global electric circuit

Atmospheric electricity measurements were made at Lerwick Observatory in the Shetland Isles (60°09′N, 1°08′W) during most of the 20th century. The Potential Gradient (PG) was measured from 1926 to 84 and the air-earth conduction current (Jc) was measured during the final decade of the PG measurements. Daily Jc values (1978–1984) observed at 15 UT are presented here for the first time, with independently-obtained PG measurements used to select valid data. The 15 UT Jc (1978–1984) spans 0.5–9.5 pA/m2, with median 2.5 pA/m2; the columnar resistance at Lerwick is estimated as 70 PΩm2. Smoke measurements confirm the low pollution properties of the site. Analysis of the monthly variation of Lerwick Jc data shows that winter (DJF) Jc is significantly greater than the summer (JJA) Jc by 20%. The Lerwick atmospheric electricity seasonality differs from the global lightning seasonality, but Jc has a similar seasonal phasing to that observed in Nimbostratus clouds globally, suggesting a role for non-thunderstorm rain clouds in the seasonality of the global circuit.

Electronic structure of point defects in controlled self-doping of the TiO2 (110) surface: Combined photoemission spectroscopy and density functional theory study

Point defects in metal oxides such as TiO2 are key to their applications in numerous technologies. The investigation of thermally induced nonstoichiometry in TiO2 is complicated by the difficulties in preparing and determining a desired degree of nonstoichiometry. We study controlled self-doping of TiO2 by adsorption of 1/8 and 1/16 monolayer Ti at the (110) surface using a combination of experimental and computational approaches to unravel the details of the adsorption process and the oxidation state of Ti. Upon adsorption of Ti, x-ray and ultraviolet photoemission spectroscopy (XPS and UPS) show formation of reduced Ti. Comparison of pure density functional theory (DFT) with experiment shows that pure DFT provides an inconsistent description of the electronic structure. To surmount this difficulty, we apply DFT corrected for on-site Coulomb interaction (DFT+U) to describe reduced Ti ions. The optimal value of U is 3 eV, determined from comparison of the computed Ti 3d electronic density of states with the UPS data. DFT+U and UPS show the appearance of a Ti 3d adsorbate-induced state at 1.3 eV above the valence band and 1.0 eV below the conduction band. The computations show that the adsorbed Ti atom is oxidized to Ti2+ and a fivefold coordinated surface Ti atom is reduced to Ti3+, while the remaining electron is distributed among other surface Ti atoms. The UPS data are best fitted with reduced Ti2+ and Ti3+ ions. These results demonstrate that the complexity of doped metal oxides is best understood with a combination of experiment and appropriate computations.

Predicting mesh density for adaptive modelling of the global atmosphere

The shallow water equations are solved using a mesh of polygons on the sphere, which adapts infrequently to the predicted future solution. Infrequent mesh adaptation reduces the cost of adaptation and load-balancing and will thus allow for more accurate mapping on adaptation. We simulate the growth of a barotropically unstable jet adapting the mesh every 12 h. Using an adaptation criterion based largely on the gradient of the vorticity leads to a mesh with around 20 per cent of the cells of a uniform mesh that gives equivalent results. This is a similar proportion to previous studies of the same test case with mesh adaptation every 1–20 min. The prediction of the mesh density involves solving the shallow water equations on a coarse mesh in advance of the locally refined mesh in order to estimate where features requiring higher resolution will grow, decay or move to. The adaptation criterion consists of two parts: that resolved on the coarse mesh, and that which is not resolved and so is passively advected on the coarse mesh. This combination leads to a balance between resolving features controlled by the large-scale dynamics and maintaining fine-scale features.

Parameter sensitivity and predictive uncertainty in a new water quality model, Q(2)

A new dynamic model of water quality, Q(2), has recently been developed, capable of simulating large branched river systems. This paper describes the application of a generalized sensitivity analysis (GSA) to Q(2) for single reaches of the River Thames in southern England. Focusing on the simulation of dissolved oxygen (DO) (since this may be regarded as a proxy for the overall health of a river); the GSA is used to identify key parameters controlling model behavior and provide a probabilistic procedure for model calibration. It is shown that, in the River Thames at least, it is more important to obtain high quality forcing functions than to obtain improved parameter estimates once approximate values have been estimated. Furthermore, there is a need to ensure reasonable simulation of a range of water quality determinands, since a focus only on DO increases predictive uncertainty in the DO simulations. The Q(2) model has been applied here to the River Thames, but it has a broad utility for evaluating other systems in Europe and around the world.

Uncertainties in annual riverine phosphorus load estimation: Impact of load estimation methodology, sampling frequency, baseflow index and catchment population density

Models developed to identify the rates and origins of nutrient export from land to stream require an accurate assessment of the nutrient load present in the water body in order to calibrate model parameters and structure. These data are rarely available at a representative scale and in an appropriate chemical form except in research catchments. Observational errors associated with nutrient load estimates based on these data lead to a high degree of uncertainty in modelling and nutrient budgeting studies. Here, daily paired instantaneous P and flow data for 17 UK research catchments covering a total of 39 water years (WY) have been used to explore the nature and extent of the observational error associated with nutrient flux estimates based on partial fractions and infrequent sampling. The daily records were artificially decimated to create 7 stratified sampling records, 7 weekly records, and 30 monthly records from each WY and catchment. These were used to evaluate the impact of sampling frequency on load estimate uncertainty. The analysis underlines the high uncertainty of load estimates based on monthly data and individual P fractions rather than total P. Catchments with a high baseflow index and/or low population density were found to return a lower RMSE on load estimates when sampled infrequently than those with a tow baseflow index and high population density. Catchment size was not shown to be important, though a limitation of this study is that daily records may fail to capture the full range of P export behaviour in smaller catchments with flashy hydrographs, leading to an underestimate of uncertainty in Load estimates for such catchments. Further analysis of sub-daily records is needed to investigate this fully. Here, recommendations are given on load estimation methodologies for different catchment types sampled at different frequencies, and the ways in which this analysis can be used to identify observational error and uncertainty for model calibration and nutrient budgeting studies. (c) 2006 Elsevier B.V. All rights reserved.

Indicators of nitrate in wetland surface and soil-waters: interactions of vegetation and environmental factors

This paper describes a new bio-indicator method for assessing wetland ecosystem health: as such, the study is particularly relevant to current legislation such as the EU Water Framework Directive, which provides a baseline of the current status Of Surface waters. Seven wetland sites were monitored across northern Britain, with model construction data for predicting, eco-hydroloplical relationships collected from five sites during 1999, Two new sites and one repeat site were monitored during 2000 to provide model test data. The main growing season for the vegetation, and hence the sampling period, was May-August during both years. Seasonal mean concentrations of nitrate (NO3-) in surface and soil water samples during 1999 ranged from 0.01 to 14.07 mg N 1(-1), with a mean value of 1.01 mg N 1(-1). During 2000, concentrations ranged from trace level (<0.01 m- N 1(-1)) to 9.43 mg N 1(-1), with a mean of 2.73 mg N 1(.)(-1) Surface and soil-water nitrate concentrations did not influence plant species composition significantly across representative tall herb fen and mire communities. Predictive relationships were found between nitrate concentrations and structural characteristics of the wetland vegetation, and a model was developed which predicted nitrate concentrations from measures of plant diversity, canopy structure and density of reproductive structures. Two further models, which predicted stem density and density of reproductive structures respectively, utilised nitrate concentration as one of the independent predictor variables. Where appropriate, the models were tested using data collected during 2000. This approach is complementary to species-based monitoring, representing a useful and simple too] to assess ecological status in target wetland systems and has potential for bio-indication purposes.

Differentiating bone osteonal turnover rates by density fractionation; validation using the bomb C-14 atmospheric pulse

The density (BSG) of bone increases, at the osteon scale, during lifetime aging within the bone. In addition, post-mortem diagenetic change due to microbial attack produces denser bioapatite. Thus, fractionation of finely powdered bone on the basis of density should not only enable younger and older populations of osteons to be separated but also make it possible to separate out a less diagenetically altered component. We show that the density fractionation method can be used as a tool to investigate the isotopic history within an individual's lifetime, both in recent and archaeological contexts, and we use the bomb C-14 atmospheric pulse for validating the method.

Predictive vegetation mapping in the Mediterranean context: Considerations and methodological issues

The need to map vegetation communities over large areas for nature conservation and to predict the impact of environmental change on vegetation distributions, has stimulated the development of techniques for predictive vegetation mapping. Predictive vegetation studies start with the development of a model relating vegetation units and mapped physical data, followed by the application of that model to a geographic database and over a wide range of spatial scales. This field is particularly important for identifying sites for rare and endangered species and locations of high biodiversity such as many areas of the Mediterranean Basin. The potential of the approach is illustrated with a mapping exercise in the alti-meditterranean zone of Lefka Ori in Crete. The study established the nature of the relationship between vegetation communities and physical data including altitude, slope and geomorphology. In this way the knowledge of community distribution was improved enabling a GIS-based model capable of predicting community distribution to be constructed. The paper describes the development of the spatial model and the methodological problems of predictive mapping for monitoring Mediterranean ecosystems. The paper concludes with a discussion of the role of predictive vegetation mapping and other spatial techniques, such as fuzzy mapping and geostatistics, for improving our understanding of the dynamics of Mediterranean ecosystems and for practical management in a region that is under increasing pressure from human impact.

Surface determination of the air-earth electrical current density using co-located sensors of different geometry

A vertical conduction current flows in the atmosphere as a result of the global atmospheric electric circuit. The current at the surface consists of the conduction current and a locally generated displacement current, which are often approximately equal in magnitude. A method of separating the two currents using two collectors of different geometry is investigated. The picoammeters connected to the collectors have a RC time constant of approximately 3 s, permitting the investigation of higher frequency air-earth current changes than previously achieved. The displacement current component of the air-earth current derived from the instrument agrees with calculations using simultaneous data from a co-located fast response electric field mill. The mean value of the nondisplacement current measured over 9 h was 1.76 +/- 0.002 pA m(-2). (c) 2006 American Institute of Physics.