Structural time series models and the Kalman filter: A concise review

The continued increase in availability of economic data in recent years and, more importantly, the possibility to construct larger frequency time series, have fostered the use (and development) of statistical and econometric techniques to treat them more accurately. This paper presents an exposition of structural time series models by which a time series can be decomposed as the sum of a trend, seasonal and irregular components. In addition to a detailled analysis of univariate speci fications we also address the SUTSE multivariate case and the issue of cointegration. Finally, the recursive estimation and smoothing by means of the Kalman filter algorithm is described taking into account its different stages, from initialisation to parameter s estimation.

A New Test of the Real Interest Rate Parity Hypothesis: Bounds Approach and Structural Breaks

We test the real interest rate parity hypothesis using data for the G7 countries over the period 1970-2008. Our contribution is two-fold. First, we utilize the ARDL bounds approach of Pesaran et al. (2001) which allows us to overcome uncertainty about the order of integration of real interest rates. Second, we test for structural breaks in the underlying relationship using the multiple structural breaks test of Bai and Perron (1998, 2003). Our results indicate significant parameter instability and suggest that, despite the advances in economic and financial integration, real interest rate parity has not fully recovered from a breakdown in the 1980s.

Compositional and structural variabilities of Mg-rich iron oxide spinels from tuffite

Maghemite (γFe2O3) from tuffite is exceptionally rich in Mg, relatively to most of those reportedly found in other mafic lithosystems. To investigate in detail the compositional and structural variabilities of this natural magnetic iron oxide, sets of crystals were isolated from samples collected at different positions in a tuffite weathering mantle. These sets of crystal were individually powdered and studied by X-ray diffractometry, Mössbauer spectroscopy, magnetization measurements and chemical analysis. Lattice parameter of the cubic cell (a0) was found to vary from 0.834(1) to 0.8412(1) nm. Lower a0-values are characteristic of maghemite whereas higher ones are related to a magnetite precursor. FeO content ranges up to 17 mass % and spontaneous magnetization ranges from 8 to 32 J T-1 kg-1. Zero-field room temperature Mössbauer spectra are rather complex, indicating that the hyperfine field distributions due to Fe3+ and mixed valence Fe3+/2+ overlap. The structural variabilities of the (Mg, Ti)-rich iron oxide spinels is essentially related to the range of chemical composition of its precursor (Mg, Ti)-rich magnetite, and probably to the extent to which it has been oxidized during transformation in soil.

Structural and optical properties of dilute InAsN grown by molecular beam epitaxy

We perform a structural and optical characterization of InAs1¿xNx epilayers grown by molecular beam epitaxy on InAs substrates x 2.2% . High-resolution x-ray diffraction HRXRD is used to obtain information about the crystal quality and the strain state of the samples and to determine the N content of the films. The composition of two of the samples investigated is also obtained with time-of-flight secondary ion mass spectroscopy ToF-SIMS measurements. The combined analysis of the HRXRD and ToF-SIMS data suggests that the lattice parameter of InAsN might significantly deviate from Vegard"s law. Raman scattering and far-infrared reflectivity measurements have been carried out to investigate the incorporation of N into the InAsN alloy. N-related local vibrational modes are detected in the samples with higher N content. The origin of the observed features is discussed. We study the compositional dependence of the room-temperature band gap energy of the InAsN alloy. For this purpose, photoluminescence and optical absorption measurements are presented. The results are analyzed in terms of the band-anticrossing BAC model. We find that the room-temperature coupling parameter for InAsN within the BAC model is CNM=2.0 0.1 eV.

Improved segmentation of deep brain grey matter structures using magnetization transfer (MT) parameter maps.

Basal ganglia and brain stem nuclei are involved in the pathophysiology of various neurological and neuropsychiatric disorders. Currently available structural T1-weighted (T1w) magnetic resonance images do not provide sufficient contrast for reliable automated segmentation of various subcortical grey matter structures. We use a novel, semi-quantitative magnetization transfer (MT) imaging protocol that overcomes limitations in T1w images, which are mainly due to their sensitivity to the high iron content in subcortical grey matter. We demonstrate improved automated segmentation of putamen, pallidum, pulvinar and substantia nigra using MT images. A comparison with segmentation of high-quality T1w images was performed in 49 healthy subjects. Our results show that MT maps are highly suitable for automated segmentation, and so for multi-subject morphometric studies with a focus on subcortical structures.

Structural assessment of single amino acid mutations: application to TP53 function.

Single amino acid substitution is the type of protein alteration most related to human diseases. Current studies seek primarily to distinguish neutral mutations from harmful ones. Very few methods offer an explanation of the final prediction result in terms of the probable structural or functional effect on the protein. In this study, we describe the use of three novel parameters to identify experimentally-verified critical residues of the TP53 protein (p53). The first two parameters make use of a surface clustering method to calculate the protein surface area of highly conserved regions or regions with high nonlocal atomic interaction energy (ANOLEA) score. These parameters help identify important functional regions on the surface of a protein. The last parameter involves the use of a new method for pseudobinding free-energy estimation to specifically probe the importance of residue side-chains to the stability of protein fold. A decision tree was designed to optimally combine these three parameters. The result was compared to the functional data stored in the International Agency for Research on Cancer (IARC) TP53 mutation database. The final prediction achieved a prediction accuracy of 70% and a Matthews correlation coefficient of 0.45. It also showed a high specificity of 91.8%. Mutations in the 85 correctly identified important residues represented 81.7% of the total mutations recorded in the database. In addition, the method was able to correctly assign a probable functional or structural role to the residues. Such information could be critical for the interpretation and prediction of the effect of missense mutations, as it not only provided the fundamental explanation of the observed effect, but also helped design the most appropriate laboratory experiment to verify the prediction results.

On the effects of welding parameters on weld quality of plasma arc keyhole welding of structural steels

The possibility and the usefulness of applying plasma keyhole welding to structural steels with different compositions and material thicknesses, and in various welding positions has been examinated. Single pass butt welding with I groove in flat, horizontal vertical and vertical positions and root welding with V , Y and U grooves of thick plate material in flat position have been studied and the welds with high quality has been obtained. The technological conditions for successful welding are presented. The single and interactive effects of welding parameters on weld quality, especially on surface weld defects, geometrical form errors, internal defects and mechanical properties (strength, ductility, impact toughness, hardness and bendability) of weld joint, are presented. Welding parameter combinations providing the best quality welds are also presented.

Structural and operational optimisation : applications in energy systems

In this work mathematical programming models for structural and operational optimisation of energy systems are developed and applied to a selection of energy technology problems. The studied cases are taken from industrial processes and from large regional energy distribution systems. The models are based on Mixed Integer Linear Programming (MILP), Mixed Integer Non-Linear Programming (MINLP) and on a hybrid approach of a combination of Non-Linear Programming (NLP) and Genetic Algorithms (GA). The optimisation of the structure and operation of energy systems in urban regions is treated in the work. Firstly, distributed energy systems (DES) with different energy conversion units and annual variations of consumer heating and electricity demands are considered. Secondly, district cooling systems (DCS) with cooling demands for a large number of consumers are studied, with respect to a long term planning perspective regarding to given predictions of the consumer cooling demand development in a region. The work comprises also the development of applications for heat recovery systems (HRS), where paper machine dryer section HRS is taken as an illustrative example. The heat sources in these systems are moist air streams. Models are developed for different types of equipment price functions. The approach is based on partitioning of the overall temperature range of the system into a number of temperature intervals in order to take into account the strong nonlinearities due to condensation in the heat recovery exchangers. The influence of parameter variations on the solutions of heat recovery systems is analysed firstly by varying cost factors and secondly by varying process parameters. Point-optimal solutions by a fixed parameter approach are compared to robust solutions with given parameter variation ranges. In the work enhanced utilisation of excess heat in heat recovery systems with impingement drying, electricity generation with low grade excess heat and the use of absorption heat transformers to elevate a stream temperature above the excess heat temperature are also studied.

GLS Detrending, Efficient Unit Root Tests and Structural Change

We extend the class of M-tests for a unit root analyzed by Perron and Ng (1996) and Ng and Perron (1997) to the case where a change in the trend function is allowed to occur at an unknown time. These tests M(GLS) adopt the GLS detrending approach of Dufour and King (1991) and Elliott, Rothenberg and Stock (1996) (ERS). Following Perron (1989), we consider two models : one allowing for a change in slope and the other for both a change in intercept and slope. We derive the asymptotic distribution of the tests as well as that of the feasible point optimal tests PT(GLS) suggested by ERS. The asymptotic critical values of the tests are tabulated. Also, we compute the non-centrality parameter used for the local GLS detrending that permits the tests to have 50% asymptotic power at that value. We show that the M(GLS) and PT(GLS) tests have an asymptotic power function close to the power envelope. An extensive simulation study analyzes the size and power in finite samples under various methods to select the truncation lag for the autoregressive spectral density estimator. An empirical application is also provided.

Factor models, VARMA processes and parameter instability with applications in macroeconomics

Avec les avancements de la technologie de l'information, les données temporelles économiques et financières sont de plus en plus disponibles. Par contre, si les techniques standard de l'analyse des séries temporelles sont utilisées, une grande quantité d'information est accompagnée du problème de dimensionnalité. Puisque la majorité des séries d'intérêt sont hautement corrélées, leur dimension peut être réduite en utilisant l'analyse factorielle. Cette technique est de plus en plus populaire en sciences économiques depuis les années 90. Étant donnée la disponibilité des données et des avancements computationnels, plusieurs nouvelles questions se posent. Quels sont les effets et la transmission des chocs structurels dans un environnement riche en données? Est-ce que l'information contenue dans un grand ensemble d'indicateurs économiques peut aider à mieux identifier les chocs de politique monétaire, à l'égard des problèmes rencontrés dans les applications utilisant des modèles standards? Peut-on identifier les chocs financiers et mesurer leurs effets sur l'économie réelle? Peut-on améliorer la méthode factorielle existante et y incorporer une autre technique de réduction de dimension comme l'analyse VARMA? Est-ce que cela produit de meilleures prévisions des grands agrégats macroéconomiques et aide au niveau de l'analyse par fonctions de réponse impulsionnelles? Finalement, est-ce qu'on peut appliquer l'analyse factorielle au niveau des paramètres aléatoires? Par exemple, est-ce qu'il existe seulement un petit nombre de sources de l'instabilité temporelle des coefficients dans les modèles macroéconomiques empiriques? Ma thèse, en utilisant l'analyse factorielle structurelle et la modélisation VARMA, répond à ces questions à travers cinq articles. Les deux premiers chapitres étudient les effets des chocs monétaire et financier dans un environnement riche en données. Le troisième article propose une nouvelle méthode en combinant les modèles à facteurs et VARMA. Cette approche est appliquée dans le quatrième article pour mesurer les effets des chocs de crédit au Canada. La contribution du dernier chapitre est d'imposer la structure à facteurs sur les paramètres variant dans le temps et de montrer qu'il existe un petit nombre de sources de cette instabilité. Le premier article analyse la transmission de la politique monétaire au Canada en utilisant le modèle vectoriel autorégressif augmenté par facteurs (FAVAR). Les études antérieures basées sur les modèles VAR ont trouvé plusieurs anomalies empiriques suite à un choc de la politique monétaire. Nous estimons le modèle FAVAR en utilisant un grand nombre de séries macroéconomiques mensuelles et trimestrielles. Nous trouvons que l'information contenue dans les facteurs est importante pour bien identifier la transmission de la politique monétaire et elle aide à corriger les anomalies empiriques standards. Finalement, le cadre d'analyse FAVAR permet d'obtenir les fonctions de réponse impulsionnelles pour tous les indicateurs dans l'ensemble de données, produisant ainsi l'analyse la plus complète à ce jour des effets de la politique monétaire au Canada. Motivée par la dernière crise économique, la recherche sur le rôle du secteur financier a repris de l'importance. Dans le deuxième article nous examinons les effets et la propagation des chocs de crédit sur l'économie réelle en utilisant un grand ensemble d'indicateurs économiques et financiers dans le cadre d'un modèle à facteurs structurel. Nous trouvons qu'un choc de crédit augmente immédiatement les diffusions de crédit (credit spreads), diminue la valeur des bons de Trésor et cause une récession. Ces chocs ont un effet important sur des mesures d'activité réelle, indices de prix, indicateurs avancés et financiers. Contrairement aux autres études, notre procédure d'identification du choc structurel ne requiert pas de restrictions temporelles entre facteurs financiers et macroéconomiques. De plus, elle donne une interprétation des facteurs sans restreindre l'estimation de ceux-ci. Dans le troisième article nous étudions la relation entre les représentations VARMA et factorielle des processus vectoriels stochastiques, et proposons une nouvelle classe de modèles VARMA augmentés par facteurs (FAVARMA). Notre point de départ est de constater qu'en général les séries multivariées et facteurs associés ne peuvent simultanément suivre un processus VAR d'ordre fini. Nous montrons que le processus dynamique des facteurs, extraits comme combinaison linéaire des variables observées, est en général un VARMA et non pas un VAR comme c'est supposé ailleurs dans la littérature. Deuxièmement, nous montrons que même si les facteurs suivent un VAR d'ordre fini, cela implique une représentation VARMA pour les séries observées. Alors, nous proposons le cadre d'analyse FAVARMA combinant ces deux méthodes de réduction du nombre de paramètres. Le modèle est appliqué dans deux exercices de prévision en utilisant des données américaines et canadiennes de Boivin, Giannoni et Stevanovic (2010, 2009) respectivement. Les résultats montrent que la partie VARMA aide à mieux prévoir les importants agrégats macroéconomiques relativement aux modèles standards. Finalement, nous estimons les effets de choc monétaire en utilisant les données et le schéma d'identification de Bernanke, Boivin et Eliasz (2005). Notre modèle FAVARMA(2,1) avec six facteurs donne les résultats cohérents et précis des effets et de la transmission monétaire aux États-Unis. Contrairement au modèle FAVAR employé dans l'étude ultérieure où 510 coefficients VAR devaient être estimés, nous produisons les résultats semblables avec seulement 84 paramètres du processus dynamique des facteurs. L'objectif du quatrième article est d'identifier et mesurer les effets des chocs de crédit au Canada dans un environnement riche en données et en utilisant le modèle FAVARMA structurel. Dans le cadre théorique de l'accélérateur financier développé par Bernanke, Gertler et Gilchrist (1999), nous approximons la prime de financement extérieur par les credit spreads. D'un côté, nous trouvons qu'une augmentation non-anticipée de la prime de financement extérieur aux États-Unis génère une récession significative et persistante au Canada, accompagnée d'une hausse immédiate des credit spreads et taux d'intérêt canadiens. La composante commune semble capturer les dimensions importantes des fluctuations cycliques de l'économie canadienne. L'analyse par décomposition de la variance révèle que ce choc de crédit a un effet important sur différents secteurs d'activité réelle, indices de prix, indicateurs avancés et credit spreads. De l'autre côté, une hausse inattendue de la prime canadienne de financement extérieur ne cause pas d'effet significatif au Canada. Nous montrons que les effets des chocs de crédit au Canada sont essentiellement causés par les conditions globales, approximées ici par le marché américain. Finalement, étant donnée la procédure d'identification des chocs structurels, nous trouvons des facteurs interprétables économiquement. Le comportement des agents et de l'environnement économiques peut varier à travers le temps (ex. changements de stratégies de la politique monétaire, volatilité de chocs) induisant de l'instabilité des paramètres dans les modèles en forme réduite. Les modèles à paramètres variant dans le temps (TVP) standards supposent traditionnellement les processus stochastiques indépendants pour tous les TVPs. Dans cet article nous montrons que le nombre de sources de variabilité temporelle des coefficients est probablement très petit, et nous produisons la première évidence empirique connue dans les modèles macroéconomiques empiriques. L'approche Factor-TVP, proposée dans Stevanovic (2010), est appliquée dans le cadre d'un modèle VAR standard avec coefficients aléatoires (TVP-VAR). Nous trouvons qu'un seul facteur explique la majorité de la variabilité des coefficients VAR, tandis que les paramètres de la volatilité des chocs varient d'une façon indépendante. Le facteur commun est positivement corrélé avec le taux de chômage. La même analyse est faite avec les données incluant la récente crise financière. La procédure suggère maintenant deux facteurs et le comportement des coefficients présente un changement important depuis 2007. Finalement, la méthode est appliquée à un modèle TVP-FAVAR. Nous trouvons que seulement 5 facteurs dynamiques gouvernent l'instabilité temporelle dans presque 700 coefficients.

Effect of mechanical milling on the structural, magnetic and dielectric properties of coprecipitated ultrafine zinc ferrite

Nanosized ZnFe2O4 particles containing traces of a-Fe2O3 by intent were produced by low temperature chemical coprecipitation methods. These particles were subjected to high-energy ball milling. These were then characterised using X-ray diffraction, magnetisation and dielectric studies. The effect of milling on zinc ferrite particles have been studied with a view to ascertaining the anomalous behaviour of these materials in the nanoregime. X-ray diffraction and magnetisation studies carried out show that these particles are associated with strains and it is the surface effects that contribute to the magnetisation. Hematite percentage, probably due to decomposition of zinc ferrite, increases with milling. Dielectric behaviour of these particles is due to interfacial polarisation as proposed by Koops. Also the defects caused by the milling produce traps in the surface layer contributes to dielectric permittivity via spin polarised electron tunnelling between grains. The ionic mechanism is enhanced in dielectrics with the rise in temperature which results in the increase of dielectric permittivity with temperature.

On the crystallization kinetics and micro-structural transformations of Fe40Ni38B18Mo4 alloys

Activation energy for crystallization (Ec) is a pertinent parameter that decides the application potential of many metallic glasses and is proportional to the crystallization temperature. Higher crystallization temperatures are desirable for soft magnetic applications, while lower values for data storage purposes. In this investigation, from the heating rate dependence of peak crystallization temperature Tp, the Ec values have been evaluated by three different methods for metglas 2826 MB (Fe40Ni38B18Mo4) accurately. The Ec values are correlated with the morphological changes, and the structural evolution associated with annealing temperatures is discussed.

Theoretical study of the structural dependence of nuclear quadrupole frequencies in high-T_c superconductors

The remarkable difference between the nuclear quadrupole frequencies v_Q of Cu(1) and Cu(2) in YBa_2Cu_3O_6 and YBa_2Cu_3O_7 is analyzed. We calculate the ionic contribution to the electric field gradients and estimate, by using experimental results for Cu_2O and La_2CuO_4, the contribution of the d valence electrons. Thus, we determine v_Q1, v_Q2, and the asymmetry parameter η for YBa_2Cu_3O_6 and YBa_2Cu_3O_7. The number of holes in dthe Cu-O planes and chains is found to be important for the different behavior of v_Q1 and v_Q2.

Syntheses, structural analyses, and magneto-structural correlations of three polymeric Fe(II) complexes with azide ligand

Three new metal-organic polymeric complexes, [Fe(N-3)(2)(bPP)(2)] (1), [Fe(N-3)(2)(bpe)] (2), and [Fe(N-3)(2)(phen)] (3) [bpp = (1,3-bis(4-pyridyl)-propane), bpe = (1,2-bis(4-pyridyl)-ethane), phen = 1,10-phenanthroline], have been synthesized and characterized by single-crystal X-ray diffraction studies and low-temperature magnetic measurements in the range 300-2 K. Complexes 1 and 2 crystallize in the monoclinic system, space group C2/c, with the following cell parameters: a = 19.355(4) Angstrom, b = 7.076(2) Angstrom, c = 22.549(4) Angstrom, beta = 119.50(3)degrees, Z = 4, and a = 10.007(14) Angstrom, b = 13.789(18) Angstrom, c = 10.377(14) Angstrom, beta = 103.50(1)degrees, Z = 4, respectively. Complex 3 crystallizes in the triclinic system, space group P (1) over bar, with a = 7.155(12) Angstrom, b = 10.066(14) Angstrom, c = 10.508(14) Angstrom, alpha = 109.57(1)degrees, beta = 104.57(1)degrees, gamma = 105.10(1)degrees, and Z = 2. All coordination polymers exhibit octahedral Fe(II) nodes. The structural determination of 1 reveals a parallel interpenetrated structure of 2D layers of (4,4) topology, formed by Fe(II) nodes linked through bpp ligands, while mono-coordinated azide anions are pendant from the corrugated sheet. Complex 2 has a 2D arrangement constructed through 1D double end-to-end azide bridged iron(11) chains interconnected through bpe ligands. Complex 3 shows a polymeric arrangement where the metal ions are interlinked through pairs of end-on and end-to-end azide ligands exhibiting a zigzag arrangement of metals (Fe-Fe-Fe angle of 111.18degrees) and an intermetallic separation of 3.347 Angstrom (through the EO azide) and of 5.229 Angstrom (EE azide). Variable-temperature magnetic susceptibility data suggest that there is no magnetic interaction between the metal centers in 1, whereas in 2 there is an antiferromagnetic interaction through the end-to-end azide bridge. Complex 3 shows ferro- as well as anti-ferromagnetic interactions between the metal centers generated through the alternating end-on and end-to-end azide bridges. Complex I has been modeled using the D parameter (considering distorted octahedral Fe(II) geometry and with any possible J value equal to zero) and complex 2 has been modeled as a one-dimensional system with classical and/or quantum spin where we have used two possible full diagonalization processes: without and with the D parameter, considering the important distortions of the Fe(II) ions. For complex 3, the alternating coupling model impedes a mathematical solution for the modeling as classical spins. With quantum spin, the modeling has been made as in 2.

Strong structural controllability and the multi-link inverted pendulum

This technical note investigates the controllability of the linearized dynamics of the multilink inverted pendulum as the number of links and the number and location of actuators changes. It is demonstrated that, in some instances, there exist sets of parameter values that render the system uncontrollable and so usual methods for assessing controllability are difficult to employ. To assess the controllability, a theorem on strong structural controllability for single-input systems is extended to the multiinput case.