Testing Seasonal Unit Roots in Data at Any Frequency, an HEGY approach

This paper generalizes the HEGY-type test to detect seasonal unit roots in data at any frequency, based on the seasonal unit root tests in univariate time series by Hylleberg, Engle, Granger and Yoo (1990). We introduce the seasonal unit roots at first, and then derive the mechanism of the HEGY-type test for data with any frequency. Thereafter we provide the asymptotic distributions of our test statistics when different test regressions are employed. We find that the F-statistics for testing conjugation unit roots have the same asymptotic distributions. Then we compute the finite-sample and asymptotic critical values for daily and hourly data by a Monte Carlo method. The power and size properties of our test for hourly data is investigated, and we find that including lag augmentations in auxiliary regression without lag elimination have the smallest size distortion and tests with seasonal dummies included in auxiliary regression have more power than the tests without seasonal dummies. At last we apply the our test to hourly wind power production data in Sweden and shows there are no seasonal unit roots in the series.

Computational study of the step size parameter of the subgradient optimization method

The subgradient optimization method is a simple and flexible linear programming iterative algorithm. It is much simpler than Newton's method and can be applied to a wider variety of problems. It also converges when the objective function is non-differentiable. Since an efficient algorithm will not only produce a good solution but also take less computing time, we always prefer a simpler algorithm with high quality. In this study a series of step size parameters in the subgradient equation is studied. The performance is compared for a general piecewise function and a specific p-median problem. We examine how the quality of solution changes by setting five forms of step size parameter.

A dislocation based theory for the deformation hardening behavior of DP steels : Impact of martensite content and ferrite grain size

A dislocation model, accurately describing the uniaxial plastic stress-strain behavior of dual phase (DP) steels, is proposed and the impact of martensite content and ferrite grain size in four commercially produced DP steels is analyzed. It is assumed that the plastic deformation process is localized to the ferrite. This is taken into account by introducing a non-homogeneity parameter, f(e), that specifies the volume fraction of ferrite taking active part in the plastic deformation process. It is found that the larger the martensite content the smaller the initial volume fraction of active ferrite which yields a higher initial deformation hardening rate. This explains the high energy absorbing capacity of DP steels with high volume fractions of martensite. Further, the effect of ferrite grain size strengthening in DP steels is important. The flow stress grain size sensitivity for DP steels is observed to be 7 times larger than that for single phase ferrite.