Dynamic Factor Models and Forecasting Finnish Macroeconomic Variables

In recent years, thanks to developments in information technology, large-dimensional datasets have been increasingly available. Researchers now have access to thousands of economic series and the information contained in them can be used to create accurate forecasts and to test economic theories. To exploit this large amount of information, researchers and policymakers need an appropriate econometric model.Usual time series models, vector autoregression for example, cannot incorporate more than a few variables. There are two ways to solve this problem: use variable selection procedures or gather the information contained in the series to create an index model. This thesis focuses on one of the most widespread index model, the dynamic factor model (the theory behind this model, based on previous literature, is the core of the first part of this study), and its use in forecasting Finnish macroeconomic indicators (which is the focus of the second part of the thesis). In particular, I forecast economic activity indicators (e.g. GDP) and price indicators (e.g. consumer price index), from 3 large Finnish datasets. The first dataset contains a large series of aggregated data obtained from the Statistics Finland database. The second dataset is composed by economic indicators from Bank of Finland. The last dataset is formed by disaggregated data from Statistic Finland, which I call micro dataset. The forecasts are computed following a two steps procedure: in the first step I estimate a set of common factors from the original dataset. The second step consists in formulating forecasting equations including the factors extracted previously. The predictions are evaluated using relative mean squared forecast error, where the benchmark model is a univariate autoregressive model. The results are dataset-dependent. The forecasts based on factor models are very accurate for the first dataset (the Statistics Finland one), while they are considerably worse for the Bank of Finland dataset. The forecasts derived from the micro dataset are still good, but less accurate than the ones obtained in the first case. This work leads to multiple research developments. The results here obtained can be replicated for longer datasets. The non-aggregated data can be represented in an even more disaggregated form (firm level). Finally, the use of the micro data, one of the major contributions of this thesis, can be useful in the imputation of missing values and the creation of flash estimates of macroeconomic indicator (nowcasting).

Understorey vegetation as an indicator of forest site potential in Southern Finland.

The relationship between site characteristics and understorey vegetation composition was analysed with quantitative methods, especially from the viewpoint of site quality estimation. Theoretical models were applied to an empirical data set collected from the upland forests of southern Finland comprising 104 sites dominated by Scots pine (Pinus sylvestris L.), and 165 sites dominated by Norway spruce (Picea abies (L.) Karsten). Site index H100 was used as an independent measure of site quality. A new model for the estimation of site quality at sites with a known understorey vegetation composition was introduced. It is based on the application of Bayes' theorem to the density function of site quality within the study area combined with the species-specific presence-absence response curves. The resulting posterior probability density function may be used for calculating an estimate for the site variable. Using this method, a jackknife estimate of site index H100 was calculated separately for pine- and spruce-dominated sites. The results indicated that the cross-validation root mean squared error (RMSEcv) of the estimates improved from 2.98 m down to 2.34 m relative to the "null" model (standard deviation of the sample distribution) in pine-dominated forests. In spruce-dominated forests RMSEcv decreased from 3.94 m down to 3.16 m. In order to assess these results, four other estimation methods based on understorey vegetation composition were applied to the same data set. The results showed that none of the methods was clearly superior to the others. In pine-dominated forests, RMSEcv varied between 2.34 and 2.47 m, and the corresponding range for spruce-dominated forests was from 3.13 to 3.57 m.

A Novel, Balanced, and Energy-Efficient Training Method for Receive Antenna Selection

In receive antenna selection (AS), only signals from a subset of the antennas are processed at any time by the limited number of radio frequency (RF) chains available at the receiver. Hence, the transmitter needs to send pilots multiple times to enable the receiver to estimate the channel state of all the antennas and select the best subset. Conventionally, the sensitivity of coherent reception to channel estimation errors has been tackled by boosting the energy allocated to all pilots to ensure accurate channel estimates for all antennas. Energy for pilots received by unselected antennas is mostly wasted, especially since the selection process is robust to estimation errors. In this paper, we propose a novel training method uniquely tailored for AS that transmits one extra pilot symbol that generates accurate channel estimates for the antenna subset that actually receives data. Consequently, the transmitter can selectively boost the energy allocated to the extra pilot. We derive closed-form expressions for the proposed scheme's symbol error probability for MPSK and MQAM, and optimize the energy allocated to pilot and data symbols. Through an insightful asymptotic analysis, we show that the optimal solution achieves full diversity and is better than the conventional method.

Estimation of soil hydraulic properties and their uncertainty: comparison between laboratory and field experiment

Often the soil hydraulic parameters are obtained by the inversion of measured data (e.g. soil moisture, pressure head, and cumulative infiltration, etc.). However, the inverse problem in unsaturated zone is ill-posed due to various reasons, and hence the parameters become non-unique. The presence of multiple soil layers brings the additional complexities in the inverse modelling. The generalized likelihood uncertainty estimate (GLUE) is a useful approach to estimate the parameters and their uncertainty when dealing with soil moisture dynamics which is a highly non-linear problem. Because the estimated parameters depend on the modelling scale, inverse modelling carried out on laboratory data and field data may provide independent estimates. The objective of this paper is to compare the parameters and their uncertainty estimated through experiments in the laboratory and in the field and to assess which of the soil hydraulic parameters are independent of the experiment. The first two layers in the field site are characterized by Loamy sand and Loamy. The mean soil moisture and pressure head at three depths are measured with an interval of half hour for a period of 1 week using the evaporation method for the laboratory experiment, whereas soil moisture at three different depths (60, 110, and 200 cm) is measured with an interval of 1 h for 2 years for the field experiment. A one-dimensional soil moisture model on the basis of the finite difference method was used. The calibration and validation are approximately for 1 year each. The model performance was found to be good with root mean square error (RMSE) varying from 2 to 4 cm(3) cm(-3). It is found from the two experiments that mean and uncertainty in the saturated soil moisture (theta(s)) and shape parameter (n) of van Genuchten equations are similar for both the soil types. Copyright (C) 2010 John Wiley & Sons, Ltd.

Some nonstandard error analysis of discontinuous Galerkin methods for elliptic problems

An a priori error analysis of discontinuous Galerkin methods for a general elliptic problem is derived under a mild elliptic regularity assumption on the solution. This is accomplished by using some techniques from a posteriori error analysis. The model problem is assumed to satisfy a GAyenrding type inequality. Optimal order L (2) norm a priori error estimates are derived for an adjoint consistent interior penalty method.

Error-free matrix symmetrizers and equivalent symmetric matrices

A symmetrizer of the matrix A is a symmetric solution X that satisfies the matrix equation XA=AprimeX. An exact matrix symmetrizer is computed by obtaining a general algorithm and superimposing a modified multiple modulus residue arithmetic on this algorithm. A procedure based on computing a symmetrizer to obtain a symmetric matrix, called here an equivalent symmetric matrix, whose eigenvalues are the same as those of a given real nonsymmetric matrix is presented.

Finite-State Spell-Checking with Weighted Language and Error Models

In this paper we present simple methods for construction and evaluation of finite-state spell-checking tools using an existing finite-state lexical automaton, freely available finite-state tools and Internet corpora acquired from projects such as Wikipedia. As an example, we use a freely available open-source implementation of Finnish morphology, made with traditional finite-state morphology tools, and demonstrate rapid building of Northern Sámi and English spell checkers from tools and resources available from the Internet.

Seasonal and short-term variation in denitrification and anammox at a coastal station on the Gulf of Finland, Baltic Sea

Benthic processes were measured at a coastal deposition area in the northern Baltic Sea, covering all seasons. The N-2 production rates, 90-400 mu mol N m(-2) d(-1), were highest in autumn-early winter and lowest in spring. Heterotrophic bacterial production peaked unexpectedly late in the year, indicating that in addition to the temperature, the availability of carbon compounds suitable for the heterotrophic bacteria also plays a major role in regulating the denitrification rate. Anaerobic ammonium oxidation (anammox) was measured in spring and autumn and contributed 10% and 15%, respectively, to the total N-2 production. The low percentage did, however, result in a significant error in the total N-2 production rate estimate, calculated using the isotope pairing technique. Anammox must be taken into account in the Gulf of Finland in future sediment nitrogen cycling research.

Novel approach to estimate fringe order in Moire profilometry

A novel approach to estimate fringe order in Moire topography is proposed. Along with the light source used to create shadow of the grating on the object (as in conventional moire), proposed method uses a second light source which illuminates the object with color bands from the side. Width of each colored band is set to match that height which leads to a 2 pi phase shift in moire fringes. This facilitates one to rule the object with colored bands, which can be used to estimate fringe order using a color camera with relatively low spatial resolution with out any compromise in height sensitivity. Current proposal facilitates one to extract 3D profile of objects with surface discontinuities. It also deals with the possible usage of moire topography (when combined with the proposed method) in extracting 3D surface profile of many objects with height discontinuities using a single 2D image. Present article deals with theory and simulations of this novel side illumination based approach.

Novel signal demodulation technique to estimate the amount of chirp in fiber Bragg gratings

A novel detection technique to estimate the amount of chirp in fiber Bragg gratings (FBGs) is proposed. This method is based on the fact that reflectivity at central wavelength of FBG reflection changes with strain/temperature gradient (linear chirp) applied to the same. Transfer matrix approach was used to vary different grating parameters (length, strength and apodization) to optimize variation of reflectivity with linear chirp. Analysis is done for different sets of `FBG length-refractive index strength' combinations for which reflectivity vary linearly with linear chirp over a decent measurement range. This article acts as a guideline to choose appropriate grating parameters in designing sensing apparatus based on change in reflectivity at central wavelength of FBG reflection.

BER Analysis of Weighted Interference Cancellation in Multicarrier DS-CDMA Systems

In this paper, we present the design and bit error performance analysis of weighted linear parallel interference cancellers (LPIC) for multicarrier (MC) DS-CDMA systems. We propose an LPIC scheme where we estimate (and cancel) the multiple access interference (MAI) based on the soft outputs on individual subcarriers, and the interference cancelled outputs on different subcarriers are combined to form the final decision statistic. We scale the MAI estimate on individual subcarriers by a weight before cancellation; these weights are so chosen to maximize the signal-to-interference ratios at the individual subcarrier outputs. For this weighted LPIC scheme, using an approach involving the characteristic function of the decision variable, we derive exact bit error rate (BER) expressions for different cancellation stages. Using the same approach, we also derive exact BER expressions for the matched filter (MF) and decorrelating detectors for the considered MC DS-CDMA system. We show that the proposed weighted LPIC scheme performs better than the MF detector and the conventional LPIC (where the weights are taken to be unity), and close to the decorrelating detector.

Study Of Acoustic Source Localization Algorithm For Planar Arrays

The source localization algorithms in the earlier works, mostly used non-planar arrays. If we consider scenarios like human-computer communication, or human-television communication where the microphones need to be placed on the computer monitor or television front panel, i.e we need to use the planar arrays. The algorithm proposed in 1], is a Linear Closed Form source localization algorithm (LCF algorithm) which is based on Time Difference of Arrivals (TDOAs) that are obtained from the data collected using the microphones. It assumes non-planar arrays. The LCF algorithm is applied to planar arrays in the current work. The relationship between the error in the source location estimate and the perturbation in the TDOAs is derived using first order perturbation analysis and validated using simulations. If the TDOAs are erroneous, both the coefficient matrix and the data matrix used for obtaining source location will be perturbed. So, the Total least squares solution for source localization is proposed in the current work. The sensitivity analysis of the source localization algorithm for planar arrays and non-planar arrays is done by introducing perturbation in the TDOAs and the microphone locations. It is shown that the error in the source location estimate is less when we use planar array instead of the particular non-planar array considered for same perturbation in the TDOAs or microphone location. The location of the reference microphone is proved to be important for getting an accurate source location estimate if we are using the LCF algorithm.

On Network-Error Correcting Convolutional Codes under the BSC Edge Error Model

Convolutional network-error correcting codes (CNECCs) are known to provide error correcting capability in acyclic instantaneous networks within the network coding paradigm under small field size conditions. In this work, we investigate the performance of CNECCs under the error model of the network where the edges are assumed to be statistically independent binary symmetric channels, each with the same probability of error pe(0 <= p(e) < 0.5). We obtain bounds on the performance of such CNECCs based on a modified generating function (the transfer function) of the CNECCs. For a given network, we derive a mathematical condition on how small p(e) should be so that only single edge network-errors need to be accounted for, thus reducing the complexity of evaluating the probability of error of any CNECC. Simulations indicate that convolutional codes are required to possess different properties to achieve good performance in low p(e) and high p(e) regimes. For the low p(e) regime, convolutional codes with good distance properties show good performance. For the high p(e) regime, convolutional codes that have a good slope ( the minimum normalized cycle weight) are seen to be good. We derive a lower bound on the slope of any rate b/c convolutional code with a certain degree.

Bayesian Learning for Joint Sparse OFDM Channel Estimation and Data Detection

The impulse response of a typical wireless multipath channel can be modeled as a tapped delay line filter whose non-zero components are sparse relative to the channel delay spread. In this paper, a novel method of estimating such sparse multipath fading channels for OFDM systems is explored. In particular, Sparse Bayesian Learning (SBL) techniques are applied to jointly estimate the sparse channel and its second order statistics, and a new Bayesian Cramer-Rao bound is derived for the SBL algorithm. Further, in the context of OFDM channel estimation, an enhancement to the SBL algorithm is proposed, which uses an Expectation Maximization (EM) framework to jointly estimate the sparse channel, unknown data symbols and the second order statistics of the channel. The EM-SBL algorithm is able to recover the support as well as the channel taps more efficiently, and/or using fewer pilot symbols, than the SBL algorithm. To further improve the performance of the EM-SBL, a threshold-based pruning of the estimated second order statistics that are input to the algorithm is proposed, and its mean square error and symbol error rate performance is illustrated through Monte-Carlo simulations. Thus, the algorithms proposed in this paper are capable of obtaining efficient sparse channel estimates even in the presence of a small number of pilots.