958 resultados para Time Series Model
Resumo:
This note develops a flexible methodology for splicing economic time series that avoids the extreme assumptions implicit in the procedures most commonly used in the literature. It allows the user to split the required correction to the older of the series being linked between its levels and growth rates on the basis what he knows or conjectures about the persistence of the factors that account for the discrepancy between the two series that emerges at their linking point. The time profile of the correction is derived from the assumption that the error in the older series reflects the inadequate coverage of emerging sectors or activities that grow faster than the aggregate.
Resumo:
Time series regression models are especially suitable in epidemiology for evaluating short-term effects of time-varying exposures on health. The problem is that potential for confounding in time series regression is very high. Thus, it is important that trend and seasonality are properly accounted for. Our paper reviews the statistical models commonly used in time-series regression methods, specially allowing for serial correlation, make them potentially useful for selected epidemiological purposes. In particular, we discuss the use of time-series regression for counts using a wide range Generalised Linear Models as well as Generalised Additive Models. In addition, recently critical points in using statistical software for GAM were stressed, and reanalyses of time series data on air pollution and health were performed in order to update already published. Applications are offered through an example on the relationship between asthma emergency admissions and photochemical air pollutants
Resumo:
A compositional time series is obtained when a compositional data vector is observed atdifferent points in time. Inherently, then, a compositional time series is a multivariatetime series with important constraints on the variables observed at any instance in time.Although this type of data frequently occurs in situations of real practical interest, atrawl through the statistical literature reveals that research in the field is very much in itsinfancy and that many theoretical and empirical issues still remain to be addressed. Anyappropriate statistical methodology for the analysis of compositional time series musttake into account the constraints which are not allowed for by the usual statisticaltechniques available for analysing multivariate time series. One general approach toanalyzing compositional time series consists in the application of an initial transform tobreak the positive and unit sum constraints, followed by the analysis of the transformedtime series using multivariate ARIMA models. In this paper we discuss the use of theadditive log-ratio, centred log-ratio and isometric log-ratio transforms. We also presentresults from an empirical study designed to explore how the selection of the initialtransform affects subsequent multivariate ARIMA modelling as well as the quality ofthe forecasts
Resumo:
We present simple procedures for the prediction of a real valued sequence. The algorithms are based on a combinationof several simple predictors. We show that if the sequence is a realization of a bounded stationary and ergodic random process then the average of squared errors converges, almost surely, to that of the optimum, given by the Bayes predictor. We offer an analog result for the prediction of stationary gaussian processes.
Resumo:
Condence intervals in econometric time series regressions suffer fromnotorious coverage problems. This is especially true when the dependencein the data is noticeable and sample sizes are small to moderate, as isoften the case in empirical studies. This paper suggests using thestudentized block bootstrap and discusses practical issues, such as thechoice of the block size. A particular data-dependent method is proposedto automate the method. As a side note, it is pointed out that symmetricconfidence intervals are preferred over equal-tailed ones, since theyexhibit improved coverage accuracy. The improvements in small sampleperformance are supported by a simulation study.
Resumo:
We present a simple randomized procedure for the prediction of a binary sequence. The algorithm uses ideas from recent developments of the theory of the prediction of individual sequences. We show that if thesequence is a realization of a stationary and ergodic random process then the average number of mistakes converges, almost surely, to that of the optimum, given by the Bayes predictor.
Resumo:
This work proposes novel network analysis techniques for multivariate time series.We define the network of a multivariate time series as a graph where verticesdenote the components of the process and edges denote non zero long run partialcorrelations. We then introduce a two step LASSO procedure, called NETS, toestimate high dimensional sparse Long Run Partial Correlation networks. This approachis based on a VAR approximation of the process and allows to decomposethe long run linkages into the contribution of the dynamic and contemporaneousdependence relations of the system. The large sample properties of the estimatorare analysed and we establish conditions for consistent selection and estimation ofthe non zero long run partial correlations. The methodology is illustrated with anapplication to a panel of U.S. bluechips.
Resumo:
This study presents new evidence concerning the uneven processes of industrialization innineteenth century Spain and Italy based on a disaggregate analysis of the productivesectors from which the behaviour of the aggregate indices is comprised. The use of multivariate time-series analysis techniques can aid our understanding and characterization of these two processes of industrialization. The identification of those sectors with key rolesin leading industrial growth provides new evidence concerning the factors that governed thebehaviour of the aggregates in the two economies. In addition, the analysis of the existenceof interindustry linkages reveals the scale of the industrialization process, and wheresignificant differences exist, accounts for many of the divergences recorded in the historiography for the period 1850-1913.
Resumo:
The sandstone-hosted Beverley uranium deposit is located in terrestrial sediments in the Lake Frome basin in the North Flinders Ranges, South Australia. The deposit is 13 km from the U-rich Mesoproterozoic basement of the Mount Painter inlier, which is being uplifted 100 to 200 m above the basin by neotectonic activity that probably initiated in the early Pliocene. The mineralization was deposited mainly in organic matter-poor Miocene lacustrine sands and partly in the underlying reductive strata comprising organic matter-rich clays and silts. The bulk of the mineralization consists of coffinite and/or uraninite nodules, growing around Co-rich pyrite with an S isotope composition (delta S-34 = 1.0 +/- 0.3 parts per thousand), suggestive of an early diagenetic lacustrine origin. In contrast, authigenic sulfides in the bulk of the sediments have a negative S isotope signature (delta S-34 ranges from -26.2 to -35.5 parts per thousand), indicative of an origin via bacterially mediated sulfate reduction. Minor amounts of Zn-bearing native copper and native lead also support the presence of specific, reducing microenvironments in the ore zone. Small amounts of carnotite are associated with the coffinite ore and also occur beneath a paleosoil horizon overlying the uranium deposit. Provenance studies suggest that the host Miocene sediments were derived from the reworking of Early Cretaceous glacial or glaciolacustrine sediments ultimately derived from Paleozoic terranes in eastern Australia. In contrast, the overlying Pliocene strata were in part derived from the Mesoproterozoic basement inlier. Mass-balance and geochemical data confirm that granites of the Mount Painter domain were the ultimate source of U and BEE at Beverley. U-Pb dating of coffinite and carnotite suggest that the U mineralization is Pliocene (6.7-3.4 Ma). The suitability of the Beverley deposit for efficient mining via in situ leaching, and hence its economic value, are determined by the nature of the hosting sand unit, which provides the permeability and low reactivity required for high fluid flow and low chemical consumption. These favorable sedimentologic and geometrical features result from a complex conjunction of factors, including deposition in lacustrine shore environment, reworking of angular sands of glacial origin, deep Pliocene weathering, and proximity to an active fault exposing extremely U rich rocks.
Resumo:
The induction of fungal metabolites by fungal co-cultures grown on solid media was explored using multi-well co-cultures in 2 cm diameter Petri dishes. Fungi were grown in 12-well plates to easily and rapidly obtain the large number of replicates necessary for employing metabolomic approaches. Fungal culture using such a format accelerated the production of metabolites by several weeks compared with using the large-format 9 cm Petri dishes. This strategy was applied to a co-culture of a Fusarium and an Aspergillus strain. The metabolite composition of the cultures was assessed using ultra-high pressure liquid chromatography coupled to electrospray ionisation and time-of-flight mass spectrometry, followed by automated data mining. The de novo production of metabolites was dramatically increased by nutriment reduction. A time-series study of the induction of the fungal metabolites of interest over nine days revealed that they exhibited various induction patterns. The concentrations of most of the de novo induced metabolites increased over time. However, interesting patterns were observed, such as with the presence of some compounds only at certain time points. This result indicates the complexity and dynamic nature of fungal metabolism. The large-scale production of the compounds of interest was verified by co-culture in 15 cm Petri dishes; most of the induced metabolites of interest (16/18) were found to be produced as effectively as on a small scale, although not in the same time frames. Large-scale production is a practical solution for the future production, identification and biological evaluation of these metabolites.
Resumo:
This study presents new evidence concerning the uneven processes of industrialization innineteenth century Spain and Italy based on a disaggregate analysis of the productivesectors from which the behaviour of the aggregate indices is comprised. The use of multivariate time-series analysis techniques can aid our understanding and characterization of these two processes of industrialization. The identification of those sectors with key rolesin leading industrial growth provides new evidence concerning the factors that governed thebehaviour of the aggregates in the two economies. In addition, the analysis of the existenceof interindustry linkages reveals the scale of the industrialization process, and wheresignificant differences exist, accounts for many of the divergences recorded in the historiography for the period 1850-1913.
Resumo:
The objective of this work was to evaluate a simple, semi‑automated methodology for mapping cropland areas in the state of Mato Grosso, Brazil. A Fourier transform was applied over a time series of vegetation index products from the moderate resolution imaging spectroradiometer (Modis) sensor. This procedure allows for the evaluation of the amplitude of the periodic changes in vegetation response through time and the identification of areas with strong seasonal variation related to crop production. Annual cropland masks from 2006 to 2009 were generated and municipal cropland areas were estimated through remote sensing. We observed good agreement with official statistics on planted area, especially for municipalities with more than 10% of cropland cover (R² = 0.89), but poor agreement in municipalities with less than 5% crop cover (R² = 0.41). The assessed methodology can be used for annual cropland mapping over large production areas in Brazil.