Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

What do hydrological time series tell about climate change?

Yhteenveto: Mitä hydrologiset mallit kertovat ilmaston muutoksesta?

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

Nonlinear measures of heart rate time series: influence of posture and controlled breathing

In this study, we investigated measures of nonlinear dynamics and chaos theory in regards to heart rate variability in 27 normal control subjects in supine and standing postures, and 14 subjects in spontaneous and controlled breathing conditions. We examined minimum embedding dimension (MED), largest Lyapunov exponent (LLE) and measures of nonlinearity (NL) of heart rate time series. MED quantifies the system's complexity, LLE predictability and NL, a measure of deviation from linear processes. There was a significant decrease in complexity (P<0.00001), a decrease in predictability (P<0.00001) and an increase in nonlinearity (P=0.00001) during the change from supine to standing posture. Decrease in MED, and increases in NL score and LLE in standing posture appear to be partly due to an increase in sympathetic activity of the autonomous nervous system in standing posture. An improvement in predictability during controlled breathing appears to be due to the introduction of a periodic component. (C) 2000 published by Elsevier Science B.V.

Evolution in the time series of vortex velocity fluctuations across different regimes of vortex flow

Investigations of vortex velocity fluctuation in time domain have revealed a presence of low frequency velocity fluctuations which evolve with the different driven phases of the vortex state in a single crystal of 2H-NbSe2. The observation of velocity fluctuations with a characteristic low frequency is associated with the onset of nonlinear nature of vortex flow deep in the driven elastic vortex state. (C) 2009 Elsevier B.V. All rights reserved.

Three- and Seven-Point Optimally Weighted Recursive Median Filters for Gas Turbine Diagnostics

Measured health signals incorporate significant details about any malfunction in a gas turbine. The attenuation of noise and removal of outliers from these health signals while preserving important features is an important problem in gas turbine diagnostics. The measured health signals are a time series of sensor measurements such as the low rotor speed, high rotor speed, fuel flow, and exhaust gas temperature in a gas turbine. In this article, a comparative study is done by varying the window length of acausal and unsymmetrical weighted recursive median filters and numerical results for error minimization are obtained. It is found that optimal filters exist, which can be used for engines where data are available slowly (three-point filter) and rapidly (seven-point filter). These smoothing filters are proposed as preprocessors of measurement delta signals before subjecting them to fault detection and isolation algorithms.

Block coherence: a method for measuring the interdependence between two blocks of neurobiological time series

Multisensor recordings are becoming commonplace. When studying functional connectivity between different brain areas using such recordings, one defines regions of interest, and each region of interest is often characterized by a set (block) of time series. Presently, for two such regions, the interdependence is typically computed by estimating the ordinary coherence for each pair of individual time series and then summing or averaging the results over all such pairs of channels (one from block 1 and other from block 2). The aim of this paper is to generalize the concept of coherence so that it can be computed for two blocks of non-overlapping time series. This quantity, called block coherence, is first shown mathematically to have properties similar to that of ordinary coherence, and then applied to analyze local field potential recordings from a monkey performing a visuomotor task. It is found that an increase in block coherence between the channels from V4 region and the channels from prefrontal region in beta band leads to a decrease in response time.

Time Series Classification for Online Tamil Handwritten Character Recognition – A Kernel Based Approach

In this paper, we consider the problem of time series classification. Using piecewise linear interpolation various novel kernels are obtained which can be used with Support vector machines for designing classifiers capable of deciding the class of a given time series. The approach is general and is applicable in many scenarios. We apply the method to the task of Online Tamil handwritten character recognition with promising results.

Methods for Detecting Early Warnings of Critical Transitions in Time Series Illustrated Using Simulated Ecological Data

Many dynamical systems, including lakes, organisms, ocean circulation patterns, or financial markets, are now thought to have tipping points where critical transitions to a contrasting state can happen. Because critical transitions can occur unexpectedly and are difficult to manage, there is a need for methods that can be used to identify when a critical transition is approaching. Recent theory shows that we can identify the proximity of a system to a critical transition using a variety of so-called `early warning signals', and successful empirical examples suggest a potential for practical applicability. However, while the range of proposed methods for predicting critical transitions is rapidly expanding, opinions on their practical use differ widely, and there is no comparative study that tests the limitations of the different methods to identify approaching critical transitions using time-series data. Here, we summarize a range of currently available early warning methods and apply them to two simulated time series that are typical of systems undergoing a critical transition. In addition to a methodological guide, our work offers a practical toolbox that may be used in a wide range of fields to help detect early warning signals of critical transitions in time series data.

Combination of similarity measures for time series classification using genetic algorithms

Time series classification deals with the problem of classification of data that is multivariate in nature. This means that one or more of the attributes is in the form of a sequence. The notion of similarity or distance, used in time series data, is significant and affects the accuracy, time, and space complexity of the classification algorithm. There exist numerous similarity measures for time series data, but each of them has its own disadvantages. Instead of relying upon a single similarity measure, our aim is to find the near optimal solution to the classification problem by combining different similarity measures. In this work, we use genetic algorithms to combine the similarity measures so as to get the best performance. The weightage given to different similarity measures evolves over a number of generations so as to get the best combination. We test our approach on a number of benchmark time series datasets and present promising results.

Predictability of nonstationary time series using wavelet and EMD based ARMA models

Research has been undertaken to ascertain the predictability of non-stationary time series using wavelet and Empirical Mode Decomposition (EMD) based time series models. Methods have been developed in the past to decompose a time series into components. Forecasting of these components combined with random component could yield predictions. Using this ideology, wavelet and EMD analyses have been incorporated separately which decomposes a time series into independent orthogonal components with both time and frequency localizations. The component series are fit with specific auto-regressive models to obtain forecasts which are later combined to obtain the actual predictions. Four non-stationary streamflow sites (USGS data resources) of monthly total volumes and two non-stationary gridded rainfall sites (IMD) of monthly total rainfall are considered for the study. The predictability is checked for six and twelve months ahead forecasts across both the methodologies. Based on performance measures, it is observed that wavelet based method has better prediction capabilities over EMD based method despite some of the limitations of time series methods and the manner in which decomposition takes place. Finally, the study concludes that the wavelet based time series algorithm can be used to model events such as droughts with reasonable accuracy. Also, some modifications that can be made in the model have been discussed that could extend the scope of applicability to other areas in the field of hydrology. (C) 2013 Elesvier B.V. All rights reserved.