874 resultados para Forecasting Volatility
Resumo:
Agricultural ecosystems and their associated business and government systems are diverse and varied. They range from farms, to input supply businesses, to marketing and government policy systems, among others. These systems are dynamic and responsive to fluctuations in climate. Skill in climate prediction offers considerable opportunities to managers via its potential to realise system improvements (i.e. increased food production and profit and/or reduced risks). Realising these opportunities, however, is not straightforward as the forecasting skill is imperfect and approaches to applying the existing skill to management issues have not been developed and tested extensively. While there has been much written about impacts of climate variability, there has been relatively little done in relation to applying knowledge of climate predictions to modify actions ahead of likely impacts. However, a considerable body of effort in various parts of the world is now being focused on this issue of applying climate predictions to improve agricultural systems. In this paper, we outline the basis for climate prediction, with emphasis on the El Nino-Southern Oscillation phenomenon, and catalogue experiences at field, national and global scales in applying climate predictions to agriculture. These diverse experiences are synthesised to derive general lessons about approaches to applying climate prediction in agriculture. The case studies have been selected to represent a diversity of agricultural systems and scales of operation. They also represent the on-going activities of some of the key research and development groups in this field around the world. The case studies include applications at field/farm scale to dryland cropping systems in Australia, Zimbabwe, and Argentina. This spectrum covers resource-rich and resource-poor farming with motivations ranging from profit to food security. At national and global scale we consider possible applications of climate prediction in commodity forecasting (wheat in Australia) and examine implications on global wheat trade and price associated with global consequences of climate prediction. In cataloguing these experiences we note some general lessons. Foremost is the value of an interdisciplinary systems approach in connecting disciplinary Knowledge in a manner most suited to decision-makers. This approach often includes scenario analysis based oil simulation with credible models as a key aspect of the learning process. Interaction among researchers, analysts and decision-makers is vital in the development of effective applications all of the players learn. Issues associated with balance between information demand and supply as well as appreciation of awareness limitations of decision-makers, analysts, and scientists are highlighted. It is argued that understanding and communicating decision risks is one of the keys to successful applications of climate prediction. We consider that advances of the future will be made by better connecting agricultural scientists and practitioners with the science of climate prediction. Professions involved in decision making must take a proactive role in the development of climate forecasts if the design and use of climate predictions are to reach their full potential. (C) 2001 Elsevier Science Ltd. All rights reserved.
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Observations of accelerating seismic activity prior to large earthquakes in natural fault systems have raised hopes for intermediate-term eartquake forecasting. If this phenomena does exist, then what causes it to occur? Recent theoretical work suggests that the accelerating seismic release sequence is a symptom of increasing long-wavelength stress correlation in the fault region. A more traditional explanation, based on Reid's elastic rebound theory, argues that an accelerating sequence of seismic energy release could be a consequence of increasing stress in a fault system whose stress moment release is dominated by large events. Both of these theories are examined using two discrete models of seismicity: a Burridge-Knopoff block-slider model and an elastic continuum based model. Both models display an accelerating release of seismic energy prior to large simulated earthquakes. In both models there is a correlation between the rate of seismic energy release with the total root-mean-squared stress and the level of long-wavelength stress correlation. Furthermore, both models exhibit a systematic increase in the number of large events at high stress and high long-wavelength stress correlation levels. These results suggest that either explanation is plausible for the accelerating moment release in the models examined. A statistical model based on the Burridge-Knopoff block-slider is constructed which indicates that stress alone is sufficient to produce accelerating release of seismic energy with time prior to a large earthquake.
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Forecasting category or industry sales is a vital component of a company's planning and control activities. Sales for most mature durable product categories are dominated by replacement purchases. Previous sales models which explicitly incorporate a component of sales due to replacement assume there is an age distribution for replacements of existing units which remains constant over time. However, there is evidence that changes in factors such as product reliability/durability, price, repair costs, scrapping values, styling and economic conditions will result in changes in the mean replacement age of units. This paper develops a model for such time-varying replacement behaviour and empirically tests it in the Australian automotive industry. Both longitudinal census data and the empirical analysis of the replacement sales model confirm that there has been a substantial increase in the average aggregate replacement age for motor vehicles over the past 20 years. Further, much of this variation could be explained by real price increases and a linear temporal trend. Consequently, the time-varying model significantly outperformed previous models both in terms of fitting and forecasting the sales data. Copyright (C) 2001 John Wiley & Sons, Ltd.
Resumo:
Objectives: This study examines human scalp electroencephalographic (EEG) data for evidence of non-linear interdependence between posterior channels. The spectral and phase properties of those epochs of EEG exhibiting non-linear interdependence are studied. Methods: Scalp EEG data was collected from 40 healthy subjects. A technique for the detection of non-linear interdependence was applied to 2.048 s segments of posterior bipolar electrode data. Amplitude-adjusted phase-randomized surrogate data was used to statistically determine which EEG epochs exhibited non-linear interdependence. Results: Statistically significant evidence of non-linear interactions were evident in 2.9% (eyes open) to 4.8% (eyes closed) of the epochs. In the eyes-open recordings, these epochs exhibited a peak in the spectral and cross-spectral density functions at about 10 Hz. Two types of EEG epochs are evident in the eyes-closed recordings; one type exhibits a peak in the spectral density and cross-spectrum at 8 Hz. The other type has increased spectral and cross-spectral power across faster frequencies. Epochs identified as exhibiting non-linear interdependence display a tendency towards phase interdependencies across and between a broad range of frequencies. Conclusions: Non-linear interdependence is detectable in a small number of multichannel EEG epochs, and makes a contribution to the alpha rhythm. Non-linear interdependence produces spatially distributed activity that exhibits phase synchronization between oscillations present at different frequencies. The possible physiological significance of these findings are discussed with reference to the dynamical properties of neural systems and the role of synchronous activity in the neocortex. (C) 2002 Elsevier Science Ireland Ltd. All rights reserved.
Resumo:
Management are keen to maximize the life span of an information system because of the high cost, organizational disruption, and risk of failure associated with the re-development or replacement of an information system. This research investigates the effects that various factors have on an information system's life span by understanding how the factors affect an information system's stability. The research builds on a previously developed two-stage model of information system change whereby an information system is either in a stable state of evolution in which the information system's functionality is evolving, or in a state of revolution, in which the information system is being replaced because it is not providing the functionality expected by its users. A case study surveyed a number of systems within one organization. The aim was to test whether a relationship existed between the base value of the volatility index (a measure of the stability of an information system) and certain system characteristics. Data relating to some 3000 user change requests covering 40 systems over a 10-year period were obtained. The following factors were hypothesized to have significant associations with the base value of the volatility index: language level (generation of language of construction), system size, system age, and the timing of changes applied to a system. Significant associations were found in the hypothesized directions except that the timing of user changes was not associated with any change in the value of the volatility index. Copyright (C) 2002 John Wiley Sons, Ltd.
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In modeling expectation formation, economic agents are usually viewed as forming expectations adaptively or in accordance with some rationality postulate. We offer an alternative nonlinear model where agents exchange their opinions and information with each other. Such a model yields multiple equilibria, or attracting distributions, that are persistent but subject to sudden large jumps. Using German Federal Statistical Office economic indicators and German IFO Poll expectational data, we show that this kind of model performs well in simulation experiments. Focusing upon producers' expectations in the consumption goods sector, we also discover evidence that structural change in the interactive process occurred over the period of investigation (1970-1998). Specifically, interactions in expectation formation seem to have become less important over time.
Resumo:
Local scale windfield and air mass characteristics during the onset of two foehn wind events in an alpine hydro-catchment are presented. Grounding of the topographically modified foehn was found to be dependent on daytime surface heating and topographic channelling of flow. The foehn front was observed to advance down-valley until the valley widened significantly. The foehn wind appeared to decouple from the surface downstream of the accelerated flow associated with the valley constriction. and to be lifted above local thermally generated circulations including a lake breeze. Towards evening. the foehn front retreated up valley in response to reduced surface heating and the intrusion into the study area of a deep and cool air mass associated with a regional scale mountain-plain circulation. Differences in the local windfield observed during both case study events reflect the importance of different thermal and dynamic forcings on airflow in complex terrain. These are the result of variation in surface energy exchanges, channelling and blocking of airflow. Observations presented here have both theoretical and applied implications with regard to forecasting foehn onset, wind hazard management, recreational activities and air quality management in alpine settings.
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Spatial and temporal variability in wheat production in Australia is dominated by rainfall occurrence. The length of historical production records is inadequate, however, to analyse spatial and temporal patterns conclusively. In this study we used modelling and simulation to identify key spatial patterns in Australian wheat yield, identify groups of years in the historical record in which spatial patterns were similar, and examine association of those wheat yield year groups with indicators of the El Nino Southern Oscillation (ENSO). A simple stress index model was trained on 19 years of Australian Bureau of Statistics shire yield data (1975-93). The model was then used to simulate shire yield from 1901 to 1999 for all wheat-producing shires. Principal components analysis was used to determine the dominating spatial relationships in wheat yield among shires. Six major components of spatial variability were found. Five of these represented near spatially independent zones across the Australian wheatbelt that demonstrated coherent temporal (annual) variability in wheat yield. A second orthogonal component was required to explain the temporal variation in New South Wales. The principal component scores were used to identify high- and low-yielding years in each zone. Year type groupings identified in this way were tested for association with indicators of ENSO. Significant associations were found for all zones in the Australian wheatbelt. Associations were as strong or stronger when ENSO indicators preceding the wheat season (April-May phases of the Southern Oscillation Index) were used rather than indicators based on classification during the wheat season. Although this association suggests an obvious role for seasonal climate forecasting in national wheat crop forecasting, the discriminatory power of the ENSO indicators, although significant, was not strong. By examining the historical years forming the wheat yield analog sets within each zone, it may be possible to identify novel climate system or ocean-atmosphere features that may be causal and, hence, most useful in improving seasonal forecasting schemes.
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It has been argued that power-law time-to-failure fits for cumulative Benioff strain and an evolution in size-frequency statistics in the lead-up to large earthquakes are evidence that the crust behaves as a Critical Point (CP) system. If so, intermediate-term earthquake prediction is possible. However, this hypothesis has not been proven. If the crust does behave as a CP system, stress correlation lengths should grow in the lead-up to large events through the action of small to moderate ruptures and drop sharply once a large event occurs. However this evolution in stress correlation lengths cannot be observed directly. Here we show, using the lattice solid model to describe discontinuous elasto-dynamic systems subjected to shear and compression, that it is for possible correlation lengths to exhibit CP-type evolution. In the case of a granular system subjected to shear, this evolution occurs in the lead-up to the largest event and is accompanied by an increasing rate of moderate-sized events and power-law acceleration of Benioff strain release. In the case of an intact sample system subjected to compression, the evolution occurs only after a mature fracture system has developed. The results support the existence of a physical mechanism for intermediate-term earthquake forecasting and suggest this mechanism is fault-system dependent. This offers an explanation of why accelerating Benioff strain release is not observed prior to all large earthquakes. The results prove the existence of an underlying evolution in discontinuous elasto-dynamic, systems which is capable of providing a basis for forecasting catastrophic failure and earthquakes.
Resumo:
We introduce a conceptual model for the in-plane physics of an earthquake fault. The model employs cellular automaton techniques to simulate tectonic loading, earthquake rupture, and strain redistribution. The impact of a hypothetical crustal elastodynamic Green's function is approximated by a long-range strain redistribution law with a r(-p) dependance. We investigate the influence of the effective elastodynamic interaction range upon the dynamical behaviour of the model by conducting experiments with different values of the exponent (p). The results indicate that this model has two distinct, stable modes of behaviour. The first mode produces a characteristic earthquake distribution with moderate to large events preceeded by an interval of time in which the rate of energy release accelerates. A correlation function analysis reveals that accelerating sequences are associated with a systematic, global evolution of strain energy correlations within the system. The second stable mode produces Gutenberg-Richter statistics, with near-linear energy release and no significant global correlation evolution. A model with effectively short-range interactions preferentially displays Gutenberg-Richter behaviour. However, models with long-range interactions appear to switch between the characteristic and GR modes. As the range of elastodynamic interactions is increased, characteristic behaviour begins to dominate GR behaviour. These models demonstrate that evolution of strain energy correlations may occur within systems with a fixed elastodynamic interaction range. Supposing that similar mode-switching dynamical behaviour occurs within earthquake faults then intermediate-term forecasting of large earthquakes may be feasible for some earthquakes but not for others, in alignment with certain empirical seismological observations. Further numerical investigation of dynamical models of this type may lead to advances in earthquake forecasting research and theoretical seismology.
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The Agricultural Production Systems Simulator (APSIM) is a modular modelling framework that has been developed by the Agricultural Production Systems Research Unit in Australia. APSIM was developed to simulate biophysical process in farming systems, in particular where there is interest in the economic and ecological outcomes of management practice in the face of climatic risk. The paper outlines APSIM's structure and provides details of the concepts behind the different plant, soil and management modules. These modules include a diverse range of crops, pastures and trees, soil processes including water balance, N and P transformations, soil pH, erosion and a full range of management controls. Reports of APSIM testing in a diverse range of systems and environments are summarised. An example of model performance in a long-term cropping systems trial is provided. APSIM has been used in a broad range of applications, including support for on-farm decision making, farming systems design for production or resource management objectives, assessment of the value of seasonal climate forecasting, analysis of supply chain issues in agribusiness activities, development of waste management guidelines, risk assessment for government policy making and as a guide to research and education activity. An extensive citation list for these model testing and application studies is provided. Crown Copyright (C) 2002 Published by Elsevier Science B.V. All rights reserved.
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Objectives: The present study describes the natural history of Porphyromonas gingivalis, Actinobacillus actinomycetemcomitans and Prevotella intermedia over a 5-year period and the effect of a triclosan/copolymer dentifrice on these organisms in a normal adult population. Material and Methods: Subgingival plaque samples were collected from 504 adult volunteers. Probing pocket depths (PPD) and relative attachment levels were measured using an automated probe. Participants were matched for disease status (CPI), plaque index, age and gender, and allocated to receive either a triclosan/copolymer or placebo dentifrice. Re-examination and subgingival plaque sampling was repeated after 1, 2, 3, 4 and 5 years. P. gingivalis, A. actinomycetemcomitans and P. intermedia were detected and quantitated using an enzyme linked immunosorbent assay. Logistic regression and generalised linear modelling were used to analyse the data. Results: This 5-year longitudinal study showed considerable volatility in acquisition and loss (below the level of detection) of all three organisms in this population. Relatively few subjects had these organisms on multiple occasions. While P. gingivalis was related to loss of attachment and to PPD greater than or equal to3.5 mm, there was no relationship between A. actinomycetemcomitans or P. intermedia and disease progression over the 5 years of the study. Smokers with P. gingivalis had more PPD greater than or equal to3.5 mm than smokers without this organism. There was no significant effect of the triclosan dentifrice on P. gingivalis or A. actinomycetemcomitans . Subjects using triclosan were more likely to have P. intermedia than those not using the dentifrice; however this did not translate into these subjects having higher levels of P. intermedia and its presence was uniform showing no signs of increasing over the course of the study. Conclusion: The present 5-year longitudinal study has shown the transient nature of colonisation with P. gingivalis , A. actinomycetemcomitans and P. intermedia in a normal adult population. The use of a triclosan-containing dentifrice did not lead to an overgrowth of these organisms. The clinical effect of the dentifrice would appear to be independent of its antimicrobial properties.
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This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.
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Regional commodity forecasts are being used increasingly in agricultural industries to enhance their risk management and decision-making processes. These commodity forecasts are probabilistic in nature and are often integrated with a seasonal climate forecast system. The climate forecast system is based on a subset of analogue years drawn from the full climatological distribution. In this study we sought to measure forecast quality for such an integrated system. We investigated the quality of a commodity (i.e. wheat and sugar) forecast based on a subset of analogue years in relation to a standard reference forecast based on the full climatological set. We derived three key dimensions of forecast quality for such probabilistic forecasts: reliability, distribution shift, and change in dispersion. A measure of reliability was required to ensure no bias in the forecast distribution. This was assessed via the slope of the reliability plot, which was derived from examination of probability levels of forecasts and associated frequencies of realizations. The other two dimensions related to changes in features of the forecast distribution relative to the reference distribution. The relationship of 13 published accuracy/skill measures to these dimensions of forecast quality was assessed using principal component analysis in case studies of commodity forecasting using seasonal climate forecasting for the wheat and sugar industries in Australia. There were two orthogonal dimensions of forecast quality: one associated with distribution shift relative to the reference distribution and the other associated with relative distribution dispersion. Although the conventional quality measures aligned with these dimensions, none measured both adequately. We conclude that a multi-dimensional approach to assessment of forecast quality is required and that simple measures of reliability, distribution shift, and change in dispersion provide a means for such assessment. The analysis presented was also relevant to measuring quality of probabilistic seasonal climate forecasting systems. The importance of retaining a focus on the probabilistic nature of the forecast and avoiding simplifying, but erroneous, distortions was discussed in relation to applying this new forecast quality assessment paradigm to seasonal climate forecasts. Copyright (K) 2003 Royal Meteorological Society.
Resumo:
O principal objetivo deste trabalho foi identificar e caracterizar a evolução diária da Camada Limite Atmosférica (CLA) na Região da Grande Vitória (RGV), Estado do Espírito Santo, Brasil e na Região de Dunkerque (RD), Departamento Nord Pas-de-Calais, França, avaliando a acurácia de parametrizações usadas no modelo meteorológico Weather Research and Forecasting (WRF) em detectar a formação e atributos da Camada Limite Interna (CLI) que é formada pelas brisas marítimas. A RGV tem relevo complexo, em uma região costeira de topografia acidentada e uma cadeia de montanhas paralela à costa. A RD tem relevo simples, em uma região costeira com pequenas ondulações que não chegam a ultrapassar 150 metros, ao longo do domínio de estudos. Para avaliar os resultados dos prognósticos feitos pelo modelo, foram utilizados os resultados de duas campanhas: uma realizada na cidade de Dunkerque, no norte da França, em Julho de 2009, utilizando um sistema light detection and ranging (LIDAR), um sonic detection and ranging (SODAR) e dados de uma estação meteorológica de superfície (EMS); outra realizada na cidade de Vitória – Espírito Santo, no mês de julho de 2012, também usando um LIDAR, um SODAR e dados de uma EMS. Foram realizadas simulações usando três esquemas de parametrizações para a CLA, dois de fechamento não local, Yonsei University (YSU) e Asymmetric Convective Model 2 (ACM2) e um de fechamento local, Mellor Yamada Janjic (MYJ) e dois esquemas de camada superficial do solo (CLS), Rapid Update Cycle (RUC) e Noah. Tanto para a RGV quanto para a RD, foram feitas simulações com as seis possíveis combinações das três parametrizações de CLA e as duas de CLS, para os períodos em que foram feitas as campanhas, usando quatro domínios aninhados, sendo os três maiores quadrados com dimensões laterais de 1863 km, 891 km e 297 km, grades de 27 km, 9 km e 3 km, respectivamente, e o domínio de estudo, com dimensões de 81 km na direção Norte-Sul e 63 km na Leste-Oeste, grade de 1 km, com 55 níveis verticais, até um máximo de, aproximadamente, 13.400 m, mais concentrados próximos ao solo. Os resultados deste trabalho mostraram que: a) dependendo da configuração adotada, o esforço computacional pode aumentar demasiadamente, sem que ocorra um grande aumento na acurácia dos resultados; b) para a RD, a simulação usando o conjunto de parametrizações MYJ para a CLA com a parametrização Noah produziu a melhor estimativa captando os fenômenos da CLI. As simulações usando as parametrizações ACM2 e YSU inferiram a entrada da brisa com atraso de até três horas; c) para a RGV, a simulação que usou as parametrizações YSU para a CLA em conjunto com a parametrização Noah para CLS foi a que conseguiu fazer melhores inferências sobre a CLI. Esses resultados sugerem a necessidade de avaliações prévias do esforço computacional necessário para determinadas configurações, e sobre a acurácia de conjuntos de parametrizações específicos para cada região pesquisada. As diferenças estão associadas com a capacidade das diferentes parametrizações em captar as informações superficiais provenientes das informações globais, essenciais para determinar a intensidade de mistura turbulenta vertical e temperatura superficial do solo, sugerindo que uma melhor representação do uso de solo é fundamental para melhorar as estimativas sobre a CLI e demais parâmetros usados por modelos de dispersão de poluentes atmosféricos.