On SETAR non-linearity and forecasting

We compare linear autoregressive (AR) models and self-exciting threshold autoregressive (SETAR) models in terms of their point forecast performance, and their ability to characterize the uncertainty surrounding those forecasts, i.e. interval or density forecasts. A two-regime SETAR process is used as the data-generating process in an extensive set of Monte Carlo simulations, and we consider the discriminatory power of recently developed methods of forecast evaluation for different degrees of non-linearity. We find that the interval and density evaluation methods are unlikely to show the linear model to be deficient on samples of the size typical for macroeconomic data

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Testing for non-linearity in daily sterling exchange rates

A number of tests for non-linear dependence in time series are presented and implemented on a set of 10 daily sterling exchange rates covering the entire post Bretton-Woods era until the present day. Irrefutable evidence of non-linearity is shown in many of the series, but most of this dependence can apparently be explained by reference to the GARCH family of models. It is suggested that the literature in this area has reached an impasse, with the presence of ARCH effects clearly demonstrated in a large number of papers, but with the tests for non-linearity which are currently available being unable to classify any additional non-linear structure.

Motion sharpening and contrast:Gain control precedes compressive non-linearity?

Blurred edges appear sharper in motion than when they are stationary. We (Vision Research 38 (1998) 2108) have previously shown how such distortions in perceived edge blur may be accounted for by a model which assumes that luminance contrast is encoded by a local contrast transducer whose response becomes progressively more compressive as speed increases. If the form of the transducer is fixed (independent of contrast) for a given speed, then a strong prediction of the model is that motion sharpening should increase with increasing contrast. We measured the sharpening of periodic patterns over a large range of contrasts, blur widths and speeds. The results indicate that whilst sharpening increases with speed it is practically invariant with contrast. The contrast invariance of motion sharpening is not explained by an early, static compressive non-linearity alone. However, several alternative explanations are also inconsistent with these results. We show that if a dynamic contrast gain control precedes the static non-linear transducer then motion sharpening, its speed dependence, and its invariance with contrast, can be predicted with reasonable accuracy. © 2003 Elsevier Science Ltd. All rights reserved.

A study of magnetic non-linearity and finite length effects in solid iron subjected to a travelling MMF wave

This thesis describes an experimental and analytic study of the effects of magnetic non-linearity and finite length on the loss and field distribution in solid iron due to a travelling mmf wave. In the first half of the thesis, a two-dimensional solution is developed which accounts for the effects of both magnetic non-linearity and eddy-current reaction; this solution is extended, in the second half, to a three-dimensional model. In the two-dimensional solution, new equations for loss and flux/pole are given; these equations contain the primary excitation, the machine parameters and factors describing the shape of the normal B-H curve. The solution applies to machines of any air-gap length. The conditions for maximum loss are defined, and generalised torque/frequency curves are obtained. A relationship between the peripheral component of magnetic field on the surface of the iron and the primary excitation is given. The effects of magnetic non-linearity and finite length are combined analytically by introducing an equivalent constant permeability into a linear three-dimensional analysis. The equivalent constant permeability is defined from the non-linear solution for the two-dimensional magnetic field at the axial centre of the machine to avoid iterative solutions. In the linear three-dimensional analysis, the primary excitation in the passive end-regions of the machine is set equal to zero and the secondary end faces are developed onto the air-gap surface. The analyses, and the assumptions on which they are based, were verified on an experimental machine which consists of a three-phase rotor and alternative solid iron stators, one with copper end rings, and one without copper end rings j the main dimensions of the two stators are identical. Measurements of torque, flux /pole, surface current density and radial power flow were obtained for both stators over a range of frequencies and excitations. Comparison of the measurements on the two stators enabled the individual effects of finite length and saturation to be identified, and the definition of constant equivalent permeability to be verified. The penetration of the peripheral flux into the stator with copper end rings was measured and compared with theoretical penetration curves. Agreement between measured and theoretical results was generally good.

Monte Carlo Algorithm for Solving Integral Equations with Polynomial Non-Linearity. Parallel Implementation

An iterative Monte Carlo algorithm for evaluating linear functionals of the solution of integral equations with polynomial non-linearity is proposed and studied. The method uses a simulation of branching stochastic processes. It is proved that the mathematical expectation of the introduced random variable is equal to a linear functional of the solution. The algorithm uses the so-called almost optimal density function. Numerical examples are considered. Parallel implementation of the algorithm is also realized using the package ATHAPASCAN as an environment for parallel realization.The computational results demonstrate high parallel efficiency of the presented algorithm and give a good solution when almost optimal density function is used as a transition density.

Constitutive laws for strong geometric non-linearity

This paper is divided into two different parts. The first one provides a brief introduction to the fractal geometry with some simple illustrations in fluid mechanics. We thought it would be helpful to introduce the reader into this relatively new approach to mechanics that has not been sufficiently explored by engineers yet. Although in fluid mechanics, mainly in problems of percolation and binary flows, the use of fractals has gained some attention, the same is not true for solid mechanics, from the best of our knowledge. The second part deals with the mechanical behavior of thin wires subjected to very large deformations. It is shown that starting to a plausible conjecture it is possible to find global constitutive equations correlating geometrical end energy variables with the fractal dimension of the solid subjected to large deformations. It is pointed out the need to complement the present proposal with experimental work.

Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

This paper proposes and implements a new methodology for forecasting time series, based on bicorrelations and cross-bicorrelations. It is shown that the forecasting technique arises as a natural extension of, and as a complement to, existing univariate and multivariate non-linearity tests. The formulations are essentially modified autoregressive or vector autoregressive models respectively, which can be estimated using ordinary least squares. The techniques are applied to a set of high-frequency exchange rate returns, and their out-of-sample forecasting performance is compared to that of other time series models

Heat transfer in fixed bed: a model non-linearity approach

Studies have been carried out on the heat transfer in a packed bed of glass beads percolated by air at moderate flow rates. Rigorous statistic analysis of the experimental data was carried out and the traditional two parameter model was used to represent them. The parameters estimated were the effective radial thermal conductivity, k, and the wall coefficient, h, through the least squares method. The results were evaluated as to the boundary bed inlet temperature, T-o, number of terms of the solution series and number of experimental points used in the estimate. Results indicated that a small difference in T-o was sufficient to promote great modifications in the estimated parameters and in the statistical properties of the model. The use of replicas at points of high parametric information of the model improved the results, although analysis of the residuals has resulted in the rejection of this alternative. In order to evaluate cion-linearity of the model, Bates and Watts (1988) curvature measurements and the Box (1971) biases of the coefficients were calculated. The intrinsic curvatures of the model (IN) tend to be concentrated at low bed heights and those due to parameter effects (PE) are spread all over the bed. The Box biases indicated both parameters as responsible for the curvatures PE, h being somewhat more problematic. (C) 2000 Elsevier B.V. Ltd. All rights reserved.

Fatigue apparatus for geometrically complex non-standardized specimens

Standard Test Methods (e.g. ASTM, DIN) for materials characterization in general, and for fatigue in particular, do not contemplate specimens with complex geometries, as well as the combination of axial and in-plane bending loads in their methodologies. The present study refers to some patents and the new configuration or configurations of specimens (non-standardized by the status quo of test methods) and a device developed to induce axial and bending combined forces resultants from axial loads applied by any one test equipment (dynamic or monotonic) which possesses such limitation, towards obtaining more realistic results on the fatigue behavior, or even basic mechanical properties, from geometrically complex structures. Motivated by a specific and geometrically complex aeronautic structure (motor-cradle), non-standardized welded tubular specimens made from AISI 4130 steel were fatigue-tested at room temperature, by using a constant amplitude sinusoidal load of 20 Hz frequency, load ratio R = 0.1 with and without the above referred auxiliary fatigue apparatus. The results showed the fatigue apparatus was efficient for introducing higher stress concentration factor at the welded specimen joints, consequently reducing the fatigue strength when compared to other conditions. From the obtained results it is possible to infer that with small modifications the proposed apparatus will be capable to test a great variety of specimen configurations such as: squared tubes and plates with welded or melted junctions, as well as other materials such as aluminum, titanium, composites, polymeric, plastics, etc. © 2009 Bentham Science Publishers Ltd.

Water transport in complex, non-wetting porous layers with applications to water management in low temperature fuel cells

An experimental setup was designed to visualize water percolation inside the porous transport layer, PTL, of proton exchange membrane, PEM, fuel cells and identify the relevant characterization parameters. In parallel with the observation of the water movement, the injection pressure (pressure required to transport water through the PTL) was measured. A new scaling for the drainage in porous media has been proposed based on the ratio between the input and the dissipated energies during percolation. A proportional dependency was obtained between the energy ratio and a non-dimensional time and this relationship is not dependent on the flow regime; stable displacement or capillary fingering. Experimental results show that for different PTL samples (from different manufacturers) the proportionality is different. The identification of this proportionality allows a unique characterization of PTLs with respect to water transport. This scaling has relevance in porous media flows ranging far beyond fuel cells. In parallel with the experimental analysis, a two-dimensional numerical model was developed in order to simulate the phenomena observed in the experiments. The stochastic nature of the pore size distribution, the role of the PTL wettability and morphology properties on the water transport were analyzed. The effect of a second porous layer placed between the porous transport layer and the catalyst layer called microporous layer, MPL, was also studied. It was found that the presence of the MPL significantly reduced the water content on the PTL by enhancing fingering formation. Moreover, the presence of small defects (cracks) within the MPL was shown to enhance water management. Finally, a corroboration of the numerical simulation was carried out. A threedimensional version of the network model was developed mimicking the experimental conditions. The morphology and wettability of the PTL are tuned to the experiment data by using the new energy scaling of drainage in porous media. Once the fit between numerical and experimental data is obtained, the computational PTL structure can be used in different types of simulations where the conditions are representative of the fuel cell operating conditions.

Complexity and non-linearity in earth surface processes - concepts, methods and applications

Complexity has long been recognized and is increasingly becoming mainstream in geomorphology. However, the relative novelty of various concepts and techniques associated to it means that ambiguity continues to surround complexity. In this commentary, we present and discuss a variety of recent contributions that have the potential to help clarify issues and advance the use of complexity in geomorphology.