Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

Microstructural modelling in friction stir welding of 2000 series aluminium alloys

Simple process models are applied to predict microstructural changes due to the thermal cycle imposed in friction stir welding. A softening model developed for heat-treatable aluminium alloys of the 6000 series is applied to the aerospace alloy 2014 in the peak-aged (T6) condition. It is found that the model is not readily applicable to alloy 2024 in the naturally aged (T3) temper, but the softening behaviour can still be described semi-empirically. Both analytical and numerical (finite element) thermal models are used to predict the thermal histories in trial welds. These are coupled to the microstructural model to investigate: (a) the hardness profile across the welded plate; (b) alloy softening ahead of the approaching welding tool. By incorporating the softening model applied to 6082-T6 alloy, the hardness profile of friction stir welds in dissimilar alloys is also predicted. © AFM, EDP Sciences 2005.

Predicting chaotic time-series with wavelet networks

A new technique, wavelet network, is introduced to predict chaotic time series. By using this technique, firstly, we make accurate short-term predictions of the time series from chaotic attractors. Secondly, we make accurate predictions of the values and bifurcation structures of the time series from dynamical systems whose parameter values are changing with time. Finally we predict chaotic attractors by making long-term predictions based on remarkably few data points, where the correlation dimensions of predicted attractors are calculated and are found to be almost identical to those of actual attractors.

Direct dynamical test for deterministic chaos and optimal embedding of a chaotic time-series

We propose here a local exponential divergence plot which is capable of providing an alternative means of characterizing a complex time series. The suggested plot defines a time-dependent exponent and a ''plus'' exponent. Based on their changes with the embedding dimension and delay time, a criterion for estimating simultaneously the minimal acceptable embedding dimension, the proper delay time, and the largest Lyapunov exponent has been obtained. When redefining the time-dependent exponent LAMBDA(k) curves on a series of shells, we have found that whether a linear envelope to the LAMBDA(k) curves exists can serve as a direct dynamical method of distinguishing chaos from noise.

Local exponential divergence plot and optimal embedding of a chaotic time-series

we propose here a local exponential divergence plot which is capable of providing a new means of characterizing chaotic time series. The suggested plot defines a time dependent exponent LAMBDA and a ''plus'' exponent LAMBDA+ which serves as a criterion for estimating simultaneously the minimal acceptable embedding dimension, the proper delay time and the largest Lyapunov exponent.

Singularity criteria for perturbation series

This paper is concerned with some mathematical aspects of the Van Dyke method inperturbation theory, i.e. the singularity criteria of perturbation series. The author suggestsa sign criterion and a Domb-syke plot for the cases with complex conjugate singularities, thussucceeding in extending the conclusions of Van Dyke's. Subsequently. effects of singularitiesof the lower order upon the criteria are taken into account. In addition, a method of locat-ing singular points is developed by analysing the new perturbation series derived by the Eulertransformation.