Optimal IV estimation of systems with stochastic regressors and var disturbances with applications to dynamic systems

This paper considers the general problem of Feasible Generalized Least Squares Instrumental Variables (FG LS IV) estimation using optimal instruments. First we summarize the sufficient conditions for the FG LS IV estimator to be asymptotic ally equivalent to an optimal G LS IV estimator. Then we specialize to stationary dynamic systems with stationary VAR errors, and use the sufficient conditions to derive new moment conditions for these models. These moment conditions produce useful IVs from the lagged endogenous variables, despite the correlation between errors and endogenous variables. This use of the information contained in the lagged endogenous variables expands the class of IV estimators under consideration and there by potentially improves both asymptotic and small-sample efficiency of the optimal IV estimator in the class. Some Monte Carlo experiments compare the new methods with those of Hatanaka [1976]. For the DG P used in the Monte Carlo experiments, asymptotic efficiency is strictly improved by the new IVs, and experimental small-sample efficiency is improved as well.

A dynamic model of price competition with switching and search costs

Em modelos de competição de preços, somente um custo de procura positivo por parte do consumidor não gera equilíbrio com dispersão de preços. Já modelos dinâmicos de switching cost consistentemente geram este fenômeno bastante documentado para preços no varejo. Embora ambas as literaturas sejam vastas, poucos modelos tentaram combinar as duas fricções em um só modelo. Este trabalho apresenta um modelo dinâmico de competição de preços em que consumidores idênticos enfrentam custos de procura e de switching. O equilíbrio gera dispersão nos preços. Ainda, como os consumidores são obrigados a se comprometer com uma amostra fixa de firmas antes dos preços serem definidos, somente dois preços serão considerados antes de cada compra. Este resultado independe do tamanho do custo de procura individual do consumidor.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

A contribution for developing more efficient dynamic modelling algorithms of parallel robots

Parallel kinematic structures are considered very adequate architectures for positioning and orienti ng the tools of robotic mechanisms. However, developing dynamic models for this kind of systems is sometimes a difficult task. In fact, the direct application of traditional methods of robotics, for modelling and analysing such systems, usually does not lead to efficient and systematic algorithms. This work addre sses this issue: to present a modular approach to generate the dynamic model and through some convenient modifications, how we can make these methods more applicable to parallel structures as well. Kane’s formulati on to obtain the dynamic equations is shown to be one of the easiest ways to deal with redundant coordinates and kinematic constraints, so that a suitable c hoice of a set of coordinates allows the remaining of the modelling procedure to be computer aided. The advantages of this approach are discussed in the modelling of a 3-dof parallel asymmetric mechanisms.

Dynamic computer simulations of electrophoresis: a versatile research and teaching tool

Software is available, which simulates all basic electrophoretic systems, including moving boundary electrophoresis, zone electrophoresis, ITP, IEF and EKC, and their combinations under almost exactly the same conditions used in the laboratory. These dynamic models are based upon equations derived from the transport concepts such as electromigration, diffusion, electroosmosis and imposed hydrodynamic buffer flow that are applied to user-specified initial distributions of analytes and electrolytes. They are able to predict the evolution of electrolyte systems together with associated properties such as pH and conductivity profiles and are as such the most versatile tool to explore the fundamentals of electrokinetic separations and analyses. In addition to revealing the detailed mechanisms of fundamental phenomena that occur in electrophoretic separations, dynamic simulations are useful for educational purposes. This review includes a list of current high-resolution simulators, information on how a simulation is performed, simulation examples for zone electrophoresis, ITP, IEF and EKC and a comprehensive discussion of the applications and achievements.

Dynamic computer simulations of electrophoresis: three decades of active research

Dynamic models for electrophoresis are based upon model equations derived from the transport concepts in solution together with user-inputted conditions. They are able to predict theoretically the movement of ions and are as such the most versatile tool to explore the fundamentals of electrokinetic separations. Since its inception three decades ago, the state of dynamic computer simulation software and its use has progressed significantly and Electrophoresis played a pivotal role in that endeavor as a large proportion of the fundamental and application papers were published in this periodical. Software is available that simulates all basic electrophoretic systems, including moving boundary electrophoresis, zone electrophoresis, ITP, IEF and EKC, and their combinations under almost exactly the same conditions used in the laboratory. This has been employed to show the detailed mechanisms of many of the fundamental phenomena that occur in electrophoretic separations. Dynamic electrophoretic simulations are relevant for separations on any scale and instrumental format, including free-fluid preparative, gel, capillary and chip electrophoresis. This review includes a historical overview, a survey of current simulators, simulation examples and a discussion of the applications and achievements of dynamic simulation.

Dynamic behaviour of underspanned suspension road bridges under traffic loads

Underspanned suspension bridges are structures with important economical and aesthetic advantages, due to their high structural efficiency. However, road bridges of this typology are still uncommon because of limited knowledge about this structural system. In particular, there remains some uncertainty over the dynamic behaviour of these bridges, due to their extreme lightness. The vibrations produced by vehicles crossing the viaduct are one of the main concerns. In this work, traffic-induced dynamic effects on this kind of viaduct are addressed by means of vehicle-bridge dynamic interaction models. A finite element method is used for the structure, and multibody dynamic models for the vehicles, while interaction is represented by means of the penalty method. Road roughness is included in this model in such a way that the fact that profiles under left and right tyres are different, but not independent, is taken into account. In addition, free software {PRPgenerator) to generate these profiles is presented in this paper. The structural dynamic sensitivity of underspanned suspension bridges was found to be considerable, as well as the dynamic amplification factors and deck accelerations. It was also found that vehicle speed has a relevant influence on the results. In addition, the impact of bridge deformation on vehicle vibration was addressed, and the effect on the comfort of vehicle users was shown to be negligible.

Neural network enhanced self tuning adaptive control application for non-linear control of dynamic systems

The main theme of research of this project concerns the study of neutral networks to control uncertain and non-linear control systems. This involves the control of continuous time, discrete time, hybrid and stochastic systems with input, state or output constraints by ensuring good performances. A great part of this project is devoted to the opening of frontiers between several mathematical and engineering approaches in order to tackle complex but very common non-linear control problems. The objectives are: 1. Design and develop procedures for neutral network enhanced self-tuning adaptive non-linear control systems; 2. To design, as a general procedure, neural network generalised minimum variance self-tuning controller for non-linear dynamic plants (Integration of neural network mapping with generalised minimum variance self-tuning controller strategies); 3. To develop a software package to evaluate control system performances using Matlab, Simulink and Neural Network toolbox. An adaptive control algorithm utilising a recurrent network as a model of a partial unknown non-linear plant with unmeasurable state is proposed. Appropriately, it appears that structured recurrent neural networks can provide conveniently parameterised dynamic models for many non-linear systems for use in adaptive control. Properties of static neural networks, which enabled successful design of stable adaptive control in the state feedback case, are also identified. A survey of the existing results is presented which puts them in a systematic framework showing their relation to classical self-tuning adaptive control application of neural control to a SISO/MIMO control. Simulation results demonstrate that the self-tuning design methods may be practically applicable to a reasonably large class of unknown linear and non-linear dynamic control systems.

Advances in Dynamic Modeling and Computation for Count Data

A class of multi-process models is developed for collections of time indexed count data. Autocorrelation in counts is achieved with dynamic models for the natural parameter of the binomial distribution. In addition to modeling binomial time series, the framework includes dynamic models for multinomial and Poisson time series. Markov chain Monte Carlo (MCMC) and Po ́lya-Gamma data augmentation (Polson et al., 2013) are critical for fitting multi-process models of counts. To facilitate computation when the counts are high, a Gaussian approximation to the P ́olya- Gamma random variable is developed.

Three applied analyses are presented to explore the utility and versatility of the framework. The first analysis develops a model for complex dynamic behavior of themes in collections of text documents. Documents are modeled as a “bag of words”, and the multinomial distribution is used to characterize uncertainty in the vocabulary terms appearing in each document. State-space models for the natural parameters of the multinomial distribution induce autocorrelation in themes and their proportional representation in the corpus over time.

The second analysis develops a dynamic mixed membership model for Poisson counts. The model is applied to a collection of time series which record neuron level firing patterns in rhesus monkeys. The monkey is exposed to two sounds simultaneously, and Gaussian processes are used to smoothly model the time-varying rate at which the neuron’s firing pattern fluctuates between features associated with each sound in isolation.

The third analysis presents a switching dynamic generalized linear model for the time-varying home run totals of professional baseball players. The model endows each player with an age specific latent natural ability class and a performance enhancing drug (PED) use indicator. As players age, they randomly transition through a sequence of ability classes in a manner consistent with traditional aging patterns. When the performance of the player significantly deviates from the expected aging pattern, he is identified as a player whose performance is consistent with PED use.

All three models provide a mechanism for sharing information across related series locally in time. The models are fit with variations on the P ́olya-Gamma Gibbs sampler, MCMC convergence diagnostics are developed, and reproducible inference is emphasized throughout the dissertation.

Explaining dinophysis cf. acuminata abundance in Antifer (Normandy, France) using dynamic linear regression

Classical regression analysis can be used to model time series. However, the assumption that model parameters are constant over time is not necessarily adapted to the data. In phytoplankton ecology, the relevance of time-varying parameter values has been shown using a dynamic linear regression model (DLRM). DLRMs, belonging to the class of Bayesian dynamic models, assume the existence of a non-observable time series of model parameters, which are estimated on-line, i.e. after each observation. The aim of this paper was to show how DLRM results could be used to explain variation of a time series of phytoplankton abundance. We applied DLRM to daily concentrations of Dinophysis cf. acuminata, determined in Antifer harbour (French coast of the English Channel), along with physical and chemical covariates (e.g. wind velocity, nutrient concentrations). A single model was built using 1989 and 1990 data, and then applied separately to each year. Equivalent static regression models were investigated for the purpose of comparison. Results showed that most of the Dinophysis cf. acuminata concentration variability was explained by the configuration of the sampling site, the wind regime and tide residual flow. Moreover, the relationships of these factors with the concentration of the microalga varied with time, a fact that could not be detected with static regression. Application of dynamic models to phytoplankton time series, especially in a monitoring context, is discussed.

Assessing mackerel scad, Decapterus macarellus, in Cape Verde: using a Bayesian approach to biomass dynamic modelling in a data-limited situation

The fisheries for mackerel scad, Decapterus macarellus, are particularly important in Cape Verde, constituting almost 40% of total catches at the peak of the fishery in 1997 and 1998 ( 3700 tonnes). Catches have been stable at a much lower level of about 2 100 tonnes in recent years. Given the importance of mackerel scad in terms of catch weight and local food security, there is an urgent need for updated assessment. Stock assessment was carried out using a Bayesian approach to biomass dynamic modelling. In order to tackle the problem of a non-informative CPUE series, the intrinsic rate of increase, r, was estimated separately, and the ratio B-0/X, initial biomass relative to carrying capacity, was assumed based on available information. The results indicated that the current level of fishing is sustainable. The probability of collapse is low, particularly in the short-term, and it is likely that biomass may increase further above B-msy, indicating a healthy stock level. It would appear that it is relatively safe to increase catches even up to 4000 tonnes. However, the marginal posterior of r was almost identical to the prior, indicating that there is relatively low information content in CPUE. This was also the case in relation to B-0/X There have been substantial increases in fishing efficiency, which have not been adequately captured by the measure used for effort (days or trips), implying that the results may be overly optimistic and should be considered preliminary. (c) 2006 Elsevier B.V. All rights reserved.

Dynamic Modeling and Seasonal Performance Evaluation of Air-to-Water Heat Pump Systems

In this Thesis a series of numerical models for the evaluation of the seasonal performance of reversible air-to-water heat pump systems coupled to residential and non-residential buildings are presented. The exploitation of the energy saving potential linked to the adoption of heat pumps is a hard task for designers due to the influence on their energy performance of several factors, like the external climate variability, the heat pump modulation capacity, the system control strategy and the hydronic loop configuration. The aim of this work is to study in detail all these aspects. In the first part of this Thesis a series of models which use a temperature class approach for the prediction of the seasonal performance of reversible air source heat pumps are shown. An innovative methodology for the calculation of the seasonal performance of an air-to-water heat pump has been proposed as an extension of the procedure reported by the European standard EN 14825. This methodology can be applied not only to air-to-water single-stage heat pumps (On-off HPs) but also to multi-stage (MSHPs) and inverter-driven units (IDHPs). In the second part, dynamic simulation has been used with the aim to optimize the control systems of the heat pump and of the HVAC plant. A series of dynamic models, developed by means of TRNSYS, are presented to study the behavior of On-off HPs, MSHPs and IDHPs. The main goal of these dynamic simulations is to show the influence of the heat pump control strategies and of the lay-out of the hydronic loop used to couple the heat pump to the emitters on the seasonal performance of the system. A particular focus is given to the modeling of the energy losses linked to on-off cycling.

A method for setting the size of plant conservation target areas

Realistic time frames in which management decisions are made often preclude the completion of the detailed analyses necessary for conservation planning. Under these circumstances, efficient alternatives may assist in approximating the results of more thorough studies that require extensive resources and time. We outline a set of concepts and formulas that may be used in lieu of detailed population viability analyses and habitat modeling exercises to estimate the protected areas required to provide desirable conservation outcomes for a suite of threatened plant species. We used expert judgment of parameters and assessment of a population size that results in a specified quasiextinction risk based on simple dynamic models The area required to support a population of this size is adjusted to take into account deterministic and stochastic human influences, including small-scale disturbance deterministic trends such as habitat loss, and changes in population density through processes such as predation and competition. We set targets for different disturbance regimes and geographic regions. We applied our methods to Banksia cuneata, Boronia keysii, and Parsonsia dorrigoensis, resulting in target areas for conservation of 1102, 733, and 1084 ha, respectively. These results provide guidance on target areas and priorities for conservation strategies.

A 2D numerical model for simulating the physics of fault systems

Simulations provide a powerful means to help gain the understanding of crustal fault system physics required to progress towards the goal of earthquake forecasting. Cellular Automata are efficient enough to probe system dynamics but their simplifications render interpretations questionable. In contrast, sophisticated elasto-dynamic models yield more convincing results but are too computationally demanding to explore phase space. To help bridge this gap, we develop a simple 2D elastodynamic model of parallel fault systems. The model is discretised onto a triangular lattice and faults are specified as split nodes along horizontal rows in the lattice. A simple numerical approach is presented for calculating the forces at medium and split nodes such that general nonlinear frictional constitutive relations can be modeled along faults. Single and multi-fault simulation examples are presented using a nonlinear frictional relation that is slip and slip-rate dependent in order to illustrate the model.