Time series analysis in the assessment of ICT impact at the aggregate level – lessons and implications for the new economy

The major role of information and communication technology (ICT) in the new economy is well documented: countries worldwide are pouring resources into their ICT infrastructure despite the widely acknowledged “productivity paradox”. Evaluating the contribution of ICT investments has become an elusive but important goal of IS researchers and economists. But this area of research is fraught with complexity and we have used Solow's Residual together with time-series analysis tools to overcome some methodological inadequacies of previous studies. Using this approach, we conduct a study of 20 countries to determine if there was empirical evidence to support claims that ICT investments are worthwhile. The results show that ICT contributes to economic growth in many developed countries and newly industrialized economies (NIEs), but not in developing countries. We finally suggest ICT-complementary factors, in an attempt to rectify possible flaws in ICT policies as a contribution towards improvement in global productivity.

Hidden state models for time series

Amongst all the objectives in the study of time series, uncovering the dynamic law of its generation is probably the most important. When the underlying dynamics are not available, time series modelling consists of developing a model which best explains a sequence of observations. In this thesis, we consider hidden space models for analysing and describing time series. We first provide an introduction to the principal concepts of hidden state models and draw an analogy between hidden Markov models and state space models. Central ideas such as hidden state inference or parameter estimation are reviewed in detail. A key part of multivariate time series analysis is identifying the delay between different variables. We present a novel approach for time delay estimating in a non-stationary environment. The technique makes use of hidden Markov models and we demonstrate its application for estimating a crucial parameter in the oil industry. We then focus on hybrid models that we call dynamical local models. These models combine and generalise hidden Markov models and state space models. Probabilistic inference is unfortunately computationally intractable and we show how to make use of variational techniques for approximating the posterior distribution over the hidden state variables. Experimental simulations on synthetic and real-world data demonstrate the application of dynamical local models for segmenting a time series into regimes and providing predictive distributions.

Independent component analysis and feature extraction of financial time series

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

Three-factor models versus time series models:quantifying time-dependencies of interactions between stimuli in cell biology and psychobiology for short longitudinal data

Signal integration determines cell fate on the cellular level, affects cognitive processes and affective responses on the behavioural level, and is likely to be involved in psychoneurobiological processes underlying mood disorders. Interactions between stimuli may subjected to time effects. Time-dependencies of interactions between stimuli typically lead to complex cell responses and complex responses on the behavioural level. We show that both three-factor models and time series models can be used to uncover such time-dependencies. However, we argue that for short longitudinal data the three factor modelling approach is more suitable. In order to illustrate both approaches, we re-analysed previously published short longitudinal data sets. We found that in human embryonic kidney 293 cells cells the interaction effect in the regulation of extracellular signal-regulated kinase (ERK) 1 signalling activation by insulin and epidermal growth factor is subjected to a time effect and dramatically decays at peak values of ERK activation. In contrast, we found that the interaction effect induced by hypoxia and tumour necrosis factor-alpha for the transcriptional activity of the human cyclo-oxygenase-2 promoter in HEK293 cells is time invariant at least in the first 12-h time window after stimulation. Furthermore, we applied the three-factor model to previously reported animal studies. In these studies, memory storage was found to be subjected to an interaction effect of the beta-adrenoceptor agonist clenbuterol and certain antagonists acting on the alpha-1-adrenoceptor / glucocorticoid-receptor system. Our model-based analysis suggests that only if the antagonist drug is administer in a critical time window, then the interaction effect is relevant.

Time scale analysis for fluidizedbedmeltgranulation-II: binder spreading rate

The spreading time of liquid binder droplet on the surface a primary particle is analyzed for Fluidized Bed Melt Granulation (FBMG). As discussed in the first paper of this series (Chua et al., in press) the droplet spreading rate has been identified as one of the important parameters affecting the probability of particles aggregation in FBMG. In this paper, the binder droplet spreading time has been estimated using Computational Fluid Dynamic modeling (CFD) based on Volume of Fluid approach (VOF). A simplified analytical solution has been developed and tested to explore its validity for predicting the spreading time. For the purpose of models validation, the droplet spreading evolution was recorded using a high speed video camera. Based on the validated model, a generalized correlative equation for binder spreading time is proposed. For the operating conditions considered here, the spreading time for Polyethylene Glycol (PEG1500) binder was found to fall within the range of 10-2 to 10-5 s. The study also included a number of other common binders used in FBMG. The results obtained here will be further used in paper III, where the binder solidification rate is discussed.

Time scale analysis for fluidizedbedmeltgranulation III: binder solidification rate

In series I and II of this study ([Chua et al., 2010a] and [Chua et al., 2010b]), we discussed the time scale of granule–granule collision, droplet–granule collision and droplet spreading in Fluidized Bed Melt Granulation (FBMG). In this third one, we consider the rate at which binder solidifies. Simple analytical solution, based on classical formulation for conduction across a semi-infinite slab, was used to obtain a generalized equation for binder solidification time. A multi-physics simulation package (Comsol) was used to predict the binder solidification time for various operating conditions usually considered in FBMG. The simulation results were validated with experimental temperature data obtained with a high speed infrared camera during solidification of ‘macroscopic’ (mm scale) droplets. For the range of microscopic droplet size and operating conditions considered for a FBMG process, the binder solidification time was found to fall approximately between 10-3 and 10-1 s. This is the slowest compared to the other three major FBMG microscopic events discussed in this series (granule–granule collision, granule–droplet collision and droplet spreading).

Time scale analysis for fluidized bed melt granulation I: granule-granule and granule-droplet collision rates

Fluidized bed spray granulators (FBMG) are widely used in the process industry for particle size growth; a desirable feature in many products, such as granulated food and medical tablets. In this paper, the first in a series of four discussing the rate of various microscopic events occurring in FBMG, theoretical analysis coupled with CFD simulations have been used to predict granule–granule and droplet–granule collision time scales. The granule–granule collision time scale was derived from principles of kinetic theory of granular flow (KTGF). For the droplet–granule collisions, two limiting models were derived; one is for the case of fast droplet velocity, where the granule velocity is considerable lower than that of the droplet (ballistic model) and another for the case where the droplet is traveling with a velocity similar to the velocity of the granules. The hydrodynamic parameters used in the solution of the above models were obtained from the CFD predictions for a typical spray fluidized bed system. The granule–granule collision rate within an identified spray zone was found to fall approximately within the range of 10-2–10-3 s, while the droplet–granule collision was found to be much faster, however, slowing rapidly (exponentially) when moving away from the spray nozzle tip. Such information, together with the time scale analysis of droplet solidification and spreading, discussed in part II and III of this study, are useful for probability analysis of the various event occurring during a granulation process, which then lead to be better qualitative and, in part IV, quantitative prediction of the aggregation rate.

A near real-time water surface detection method based on HSV transformation of MODIS multi-Spectral time series data

In the face of global population growth and the uneven distribution of water supply, a better knowledge of the spatial and temporal distribution of surface water resources is critical. Remote sensing provides a synoptic view of ongoing processes, which addresses the intricate nature of water surfaces and allows an assessment of the pressures placed on aquatic ecosystems. However, the main challenge in identifying water surfaces from remotely sensed data is the high variability of spectral signatures, both in space and time. In the last 10 years only a few operational methods have been proposed to map or monitor surface water at continental or global scale, and each of them show limitations. The objective of this study is to develop and demonstrate the adequacy of a generic multi-temporal and multi-spectral image analysis method to detect water surfaces automatically, and to monitor them in near-real-time. The proposed approach, based on a transformation of the RGB color space into HSV, provides dynamic information at the continental scale. The validation of the algorithm showed very few omission errors and no commission errors. It demonstrates the ability of the proposed algorithm to perform as effectively as human interpretation of the images. The validation of the permanent water surface product with an independent dataset derived from high resolution imagery, showed an accuracy of 91.5% and few commission errors. Potential applications of the proposed method have been identified and discussed. The methodology that has been developed 27 is generic: it can be applied to sensors with similar bands with good reliability, and minimal effort. Moreover, this experiment at continental scale showed that the methodology is efficient for a large range of environmental conditions. Additional preliminary tests over other continents indicate that the proposed methodology could also be applied at the global scale without too many difficulties