The influence of market deregulation on fast food consumption and body mass index:A cross-national time series analysis

Objective
To investigate the effect of fast food consumption on mean population body mass index (BMI) and explore the possible influence of market deregulation on fast food consumption and BMI.

Methods
The within-country association between fast food consumption and BMI in 25 high-income member countries of the Organisation for Economic Co-operation and Development between 1999 and 2008 was explored through multivariate panel regression models, after adjustment for per capita gross domestic product, urbanization, trade openness, lifestyle indicators and other covariates. The possible mediating effect of annual per capita intake of soft drinks, animal fats and total calories on the association between fast food consumption and BMI was also analysed. Two-stage least squares regression models were conducted, using economic freedom as an instrumental variable, to study the causal effect of fast food consumption on BMI.

Findings
After adjustment for covariates, each 1-unit increase in annual fast food transactions per capita was associated with an increase of 0.033 kg/m2 in age-standardized BMI (95% confidence interval, CI: 0.013–0.052). Only the intake of soft drinks – not animal fat or total calories – mediated the observed association (β: 0.030; 95% CI: 0.010–0.050). Economic freedom was an independent predictor of fast food consumption (β: 0.27; 95% CI: 0.16–0.37). When economic freedom was used as an instrumental variable, the association between fast food and BMI weakened but remained significant (β: 0.023; 95% CI: 0.001–0.045).

Conclusion
Fast food consumption is an independent predictor of mean BMI in high-income countries. Market deregulation policies may contribute to the obesity epidemic by facilitating the spread of fast food.

Income ineqaulity from 1960-2012: a brief time-series history of capital and labour

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Bandwidth selection by cross-validation for forecasting long memory financial time series

The paper addresses the issue of choice of bandwidth in the application of semiparametric estimation of the long memory parameter in a univariate time series process. The focus is on the properties of forecasts from the long memory model. A variety of cross-validation methods based on out of sample forecasting properties are proposed. These procedures are used for the choice of bandwidth and subsequent model selection. Simulation evidence is presented that demonstrates the advantage of the proposed new methodology.

Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

Learning from time series:Supervised Aggregative Feature Extraction

Many modeling problems require to estimate a scalar output from one or more time series. Such problems are usually tackled by extracting a fixed number of features from the time series (like their statistical moments), with a consequent loss in information that leads to suboptimal predictive models. Moreover, feature extraction techniques usually make assumptions that are not met by real world settings (e.g. uniformly sampled time series of constant length), and fail to deliver a thorough methodology to deal with noisy data. In this paper a methodology based on functional learning is proposed to overcome the aforementioned problems; the proposed Supervised Aggregative Feature Extraction (SAFE) approach allows to derive continuous, smooth estimates of time series data (yielding aggregate local information), while simultaneously estimating a continuous shape function yielding optimal predictions. The SAFE paradigm enjoys several properties like closed form solution, incorporation of first and second order derivative information into the regressor matrix, interpretability of the generated functional predictor and the possibility to exploit Reproducing Kernel Hilbert Spaces setting to yield nonlinear predictive models. Simulation studies are provided to highlight the strengths of the new methodology w.r.t. standard unsupervised feature selection approaches. © 2012 IEEE.

An ultra-short-term wind power prediction method using “offline classification and optimization, online model matching” based on time series features

The applicability of ultra-short-term wind power prediction (USTWPP) models is reviewed. The USTWPP method proposed extracts featrues from historical data of wind power time series (WPTS), and classifies every short WPTS into one of several different subsets well defined by stationary patterns. All the WPTS that cannot match any one of the stationary patterns are sorted into the subset of nonstationary pattern. Every above WPTS subset needs a USTWPP model specially optimized for it offline. For on-line application, the pattern of the last short WPTS is recognized, then the corresponding prediction model is called for USTWPP. The validity of the proposed method is verified by simulations.

Open Source Telecommunications Framework for Time-Series Data from Smart Grid Sensors.

This paper presents a framework for a telecommunications interface which allows data from sensors embedded in Smart Grid applications to reliably archive data in an appropriate time-series database. The challenge in doing so is two-fold, firstly the various formats in which sensor data is represented, secondly the problems of telecoms reliability. A prototype of the authors' framework is detailed which showcases the main features of the framework in a case study featuring Phasor Measurement Units (PMU) as the application. Useful analysis of PMU data is achieved whenever data from multiple locations can be compared on a common time axis. The prototype developed highlights its reliability, extensibility and adoptability; features which are largely deferred from industry standards for data representation to proprietary database solutions. The open source framework presented provides link reliability for any type of Smart Grid sensor and is interoperable with existing proprietary database systems, and open database systems. The features of the authors' framework allow for researchers and developers to focus on the core of their real-time or historical analysis applications, rather than having to spend time interfacing with complex protocols.

Supervised Aggregative Feature Extraction for Big Data Time Series Regression

In many applications, and especially those where batch processes are involved, a target scalar output of interest is often dependent on one or more time series of data. With the exponential growth in data logging in modern industries such time series are increasingly available for statistical modeling in soft sensing applications. In order to exploit time series data for predictive modelling, it is necessary to summarise the information they contain as a set of features to use as model regressors. Typically this is done in an unsupervised fashion using simple techniques such as computing statistical moments, principal components or wavelet decompositions, often leading to significant information loss and hence suboptimal predictive models. In this paper, a functional learning paradigm is exploited in a supervised fashion to derive continuous, smooth estimates of time series data (yielding aggregated local information), while simultaneously estimating a continuous shape function yielding optimal predictions. The proposed Supervised Aggregative Feature Extraction (SAFE) methodology can be extended to support nonlinear predictive models by embedding the functional learning framework in a Reproducing Kernel Hilbert Spaces setting. SAFE has a number of attractive features including closed form solution and the ability to explicitly incorporate first and second order derivative information. Using simulation studies and a practical semiconductor manufacturing case study we highlight the strengths of the new methodology with respect to standard unsupervised feature extraction approaches.

Parallel Time Series Analysis and Income Inequality: A New Approach to Comparative Case Studies

This case study deals with the role of time series analysis in sociology, and its relationship with the wider literature and methodology of comparative case study research. Time series analysis is now well-represented in top-ranked sociology journals, often in the form of ‘pooled time series’ research designs. These studies typically pool multiple countries together into a pooled time series cross-section panel, in order to provide a larger sample for more robust and comprehensive analysis. This approach is well suited to exploring trans-national phenomena, and for elaborating useful macro-level theories specific to social structures, national policies, and long-term historical processes. It is less suited however, to understanding how these global social processes work in different countries. As such, the complexities of individual countries - which often display very different or contradictory dynamics than those suggested in pooled studies – are subsumed. Meanwhile, a robust literature on comparative case-based methods exists in the social sciences, where researchers focus on differences between cases, and the complex ways in which they co-evolve or diverge over time. A good example of this is the inequality literature, where although panel studies suggest a general trend of rising inequality driven by the weakening power of labour, marketisation of welfare, and the rising power of capital, some countries have still managed to remain resilient. This case study takes a closer look at what can be learned by applying the insights of case-based comparative research to the method of time series analysis. Taking international income inequality as its point of departure, it argues that we have much to learn about the viability of different combinations of policy options by examining how they work in different countries over time. By taking representative cases from different welfare systems (liberal, social democratic, corporatist, or antipodean), we can better sharpen our theories of how policies can be more specifically engineered to offset rising inequality. This involves a fundamental realignment of the strategy of time series analysis, grounding it instead in a qualitative appreciation of the historical context of cases, as a basis for comparing effects between different countries.

Optimal alarms systems and its application to financial time series

This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking into consideration the particular characteristics of the APARCH(p; q) representation for financial time series, the introduction of a possible counterpart for modelling time series of counts is proposed: the INteger-valued Asymmetric Power ARCH, INAPARCH(p; q). The probabilistic properties of the INAPARCH(1; 1) model are comprehensively studied, the conditional maximum likelihood (ML) estimation method is applied and the asymptotic properties of the conditional ML estimator are obtained. The final part of the work consists on the implementation of an optimal alarm system to the INAPARCH(1; 1) model. An application is presented to real data series.

Integer-valued APARCH processes in the analysis of time series of counts

The Asymmetric Power Arch representation for the volatility was introduced by Ding et al.(1993) in order to account for asymmetric responses in the volatility in the analysis of continuous-valued financial time series like, for instance, the log-return series of foreign exchange rates, stock indices or share prices. As reported by Brannas and Quoreshi (2010), asymmetric responses in volatility are also observed in time series of counts such as the number of intra-day transactions in stocks. In this work, an asymmetric power autoregressive conditional Poisson model is introduced for the analysis of time series of counts exhibiting asymmetric overdispersion. Basic probabilistic and statistical properties are summarized and parameter estimation is discussed. A simulation study is presented to illustrate the proposed model. Finally, an empirical application to a set of data concerning the daily number of stock transactions is also presented to attest for its practical applicability in data analysis.