Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the empirical relevance of this property, Monte Carlo simulations are conducted for a set of non–nested data generating processes (DGPs) with the set of candidate models consisting of all types of model used as DGPs. In addition, not only is the best model considered but also those with similar values of the information criterion, called close competitors, thus forming a portfolio of eligible models. To supplement the simulations, the criteria are applied to a set of economic and financial series. In the simulations, the criteria are largely ineffective at identifying the correct model, either as best or a close competitor, the parsimonious GARCH(1, 1) model being preferred for most DGPs. In contrast, asymmetric models are generally selected to represent actual data. This leads to the conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined and that more attention needs to be paid to the behaviour of the standardized disturbances of such models, both in simulation exercises and in empirical modelling.

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Package models and the information crisis of prebiotic evolution

The coexistence between different types of templates has been the choice solution to the information crisis of prebiotic evolution, triggered by the finding that a single RNA-like template cannot carry enough information to code for any useful replicase. In principle, confining d distinct templates of length L in a package or protocell, whose Survival depends on the coexistence of the templates it holds in, could resolve this crisis provided that d is made sufficiently large. Here we review the prototypical package model of Niesert et al. [1981. Origin of life between Scylla and Charybdis. J. Mol. Evol. 17, 348-353] which guarantees the greatest possible region of viability of the protocell population, and show that this model, and hence the entire package approach, does not resolve the information crisis. In particular, we show that the total information stored in a viable protocell (Ld) tends to a constant value that depends only on the spontaneous error rate per nucleotide of the template replication mechanism. As a result, an increase of d must be followed by a decrease of L, so that the net information gain is null. (C) 2008 Elsevier Ltd. All rights reserved.

Are CGE Models still useful in economic policy making?

This paper develops background considerations to help better framing the results of a CGE exercise. Three main criticisms are usually addressed to CGE efforts. First, they are too aggregate, their conclusions failing to shed light on relevant sectors or issues. Second, they imply huge data requirements. Timeliness is frequently jeopardised by out-dated sources, benchmarks referring to realities gone by. Finally, results are meaningless, as they answer wrong or ill-posed questions. Modelling demands end up by creating a rather artificial context, where the original questions lose content. In spite of a positive outlook on the first two, crucial questions lie in the third point. After elaborating such questions, and trying to answer some, the text argues that CGE models can come closer to reality. If their use is still scarce to give way to a fruitful symbiosis between negotiations and simulation results, they remain the only available technique providing a global, inter-related way of capturing economy-wide effects of several different policies. International organisations can play a major role supporting and encouraging improvements. They are also uniquely positioned to enhance information and data sharing, as well as putting people from various origins together, to share their experiences. A serious and complex homework is however required, to correct, at least, the most dangerous present shortcomings of the technique.

Weather-based prediction of anthracnose severity using artificial neural network models

Data were collected and analysed from seven field sites in Australia, Brazil and Colombia on weather conditions and the severity of anthracnose disease of the tropical pasture legume Stylosanthes scabra caused by Colletotrichum gloeosporioides. Disease severity and weather data were analysed using artificial neural network (ANN) models developed using data from some or all field sites in Australia and/or South America to predict severity at other sites. Three series of models were developed using different weather summaries. of these, ANN models with weather for the day of disease assessment and the previous 24 h period had the highest prediction success, and models trained on data from all sites within one continent correctly predicted disease severity in the other continent on more than 75% of days; the overall prediction error was 21.9% for the Australian and 22.1% for the South American model. of the six cross-continent ANN models trained on pooled data for five sites from two continents to predict severity for the remaining sixth site, the model developed without data from Planaltina in Brazil was the most accurate, with >85% prediction success, and the model without Carimagua in Colombia was the least accurate, with only 54% success. In common with multiple regression models, moisture-related variables such as rain, leaf surface wetness and variables that influence moisture availability such as radiation and wind on the day of disease severity assessment or the day before assessment were the most important weather variables in all ANN models. A set of weights from the ANN models was used to calculate the overall risk of anthracnose for the various sites. Sites with high and low anthracnose risk are present in both continents, and weather conditions at centres of diversity in Brazil and Colombia do not appear to be more conducive than conditions in Australia to serious anthracnose development.

Evaluation and identification of lightning models by artificial neural networks

This paper describes a novel approach for mapping lightning models using artificial neural networks. The networks acts as identifier of structural features of the lightning models so that output parameters can be estimated and generalized from an input parameter set. Simulation examples are presented to validate the proposed approach. More specifically, the neural networks are used to compute electrical field intensity and critical disruptive voltage taking into account several atmospheric and structural factors, such as pressure, temperature, humidity, distance between phases, height of bus bars, and wave forms. A comparative analysis with other approaches is also provided to illustrate this new methodology.

Information and mechanical models of intelligence: What can we learn from cognitive science?

The impact of new advanced technology on issues that concern meaningful information and its relation to studies of intelligence constitutes the main topic of the present paper. The advantages, disadvantages and implications of the synthetic methodology developed by cognitive scientists, according to which mechanical models of the mind, such as computer simulations or self-organizing robots, may provide good explanatory tools to investigate cognition, are discussed. A difficulty with this methodology is pointed out, namely the use of meaningless information to explain intelligent behavior that incorporates meaningful information. In this context, it is inquired what are the contributions of cognitive science to contemporary studies of intelligent behavior and how technology may play a role in the analysis of the relationships established by organisms in their natural and social environments. © John Benjamins Publishing Company.

Information-entropic measure of energy-degenerate kinks in two-field models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Artificial neural networks applied to bandsawing process control

In the search for productivity increase, industry has invested on the development of intelligent, flexible and self-adjusting method, capable of controlling processes through the assistance of autonomous systems, independently whether they are hardware or software. Notwithstanding, simulating conventional computational techniques is rather challenging, regarding the complexity and non-linearity of the production systems. Compared to traditional models, the approach with Artificial Neural Networks (ANN) performs well as noise suppression and treatment of non-linear data. Therefore, the challenges in the wood industry justify the use of ANN as a tool for process improvement and, consequently, add value to the final product. Furthermore, Artificial Intelligence techniques such as Neuro-Fuzzy Networks (NFNs) have proven effective, since NFNs combine the ability to learn from previous examples and generalize the acquired information from the ANNs with the capacity of Fuzzy Logic to transform linguistic variables in rules.

Design-based random permutation models with auxiliary information

We extend the random permutation model to obtain the best linear unbiased estimator of a finite population mean accounting for auxiliary variables under simple random sampling without replacement (SRS) or stratified SRS. The proposed method provides a systematic design-based justification for well-known results involving common estimators derived under minimal assumptions that do not require specification of a functional relationship between the response and the auxiliary variables.