Forecasting and turning point predictions in a Bayesian panel VAR model

We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.

A finite-population revenue management model and a risk-ratio procedure for the joint estimation of population size and parameters

Many dynamic revenue management models divide the sale period into a finite number of periods T and assume, invoking a fine-enough grid of time, that each period sees at most one booking request. These Poisson-type assumptions restrict the variability of the demand in the model, but researchers and practitioners were willing to overlook this for the benefit of tractability of the models. In this paper, we criticize this model from another angle. Estimating the discrete finite-period model poses problems of indeterminacy and non-robustness: Arbitrarily fixing T leads to arbitrary control values and on the other hand estimating T from data adds an additional layer of indeterminacy. To counter this, we first propose an alternate finite-population model that avoids this problem of fixing T and allows a wider range of demand distributions, while retaining the useful marginal-value properties of the finite-period model. The finite-population model still requires jointly estimating market size and the parameters of the customer purchase model without observing no-purchases. Estimation of market-size when no-purchases are unobservable has rarely been attempted in the marketing or revenue management literature. Indeed, we point out that it is akin to the classical statistical problem of estimating the parameters of a binomial distribution with unknown population size and success probability, and hence likely to be challenging. However, when the purchase probabilities are given by a functional form such as a multinomial-logit model, we propose an estimation heuristic that exploits the specification of the functional form, the variety of the offer sets in a typical RM setting, and qualitative knowledge of arrival rates. Finally we perform simulations to show that the estimator is very promising in obtaining unbiased estimates of population size and the model parameters.

Model selection and error estimation

We study model selection strategies based on penalized empirical loss minimization. We point out a tight relationship between error estimation and data-based complexity penalization: any good error estimate may be converted into a data-based penalty function and the performance of the estimate is governed by the quality of the error estimate. We consider several penalty functions, involving error estimates on independent test data, empirical {\sc vc} dimension, empirical {\sc vc} entropy, andmargin-based quantities. We also consider the maximal difference between the error on the first half of the training data and the second half, and the expected maximal discrepancy, a closely related capacity estimate that can be calculated by Monte Carlo integration. Maximal discrepancy penalty functions are appealing for pattern classification problems, since their computation is equivalent to empirical risk minimization over the training data with some labels flipped.

On the inclusion of channel's time dependence in a hidden Markov model for blind channel estimation

In this paper, the theory of hidden Markov models (HMM) isapplied to the problem of blind (without training sequences) channel estimationand data detection. Within a HMM framework, the Baum–Welch(BW) identification algorithm is frequently used to find out maximum-likelihood (ML) estimates of the corresponding model. However, such a procedureassumes the model (i.e., the channel response) to be static throughoutthe observation sequence. By means of introducing a parametric model fortime-varying channel responses, a version of the algorithm, which is moreappropriate for mobile channels [time-dependent Baum-Welch (TDBW)] isderived. Aiming to compare algorithm behavior, a set of computer simulationsfor a GSM scenario is provided. Results indicate that, in comparisonto other Baum–Welch (BW) versions of the algorithm, the TDBW approachattains a remarkable enhancement in performance. For that purpose, onlya moderate increase in computational complexity is needed.

Model-based estimation of liquid flows in the blast furnace hearth and taphole

This thesis presents a set of methods and models for estimation of iron and slag flows in the blast furnace hearth and taphole. The main focus was put on predicting taphole flow patterns and estimating the effects of various taphole conditions on the drainage behavior of the blast furnace hearth. All models were based on a general understanding of the typical tap cycle of an industrial blast furnace. Some of the models were evaluated on short-term process data from the reference furnace. A computational fluid dynamics (CFD) model was built and applied to simulate the complicated hearth flows and thus to predict the regions of the hearth exerted to erosion under various operating conditions. Key boundary variables of the CFD model were provided by a simplified drainage model based on the first principles. By examining the evolutions of liquid outflow rates measured from the furnace studied, the drainage model was improved to include the effects of taphole diameter and length. The estimated slag delays showed good agreement with the observed ones. The liquid flows in the taphole were further studied using two different models and the results of both models indicated that it is more likely that separated flow of iron and slag occurs in the taphole when the liquid outflow rates are comparable during tapping. The drainage process was simulated with an integrated model based on an overall balance analysis: The high in-furnace overpressure can compensate for the resistances induced by the liquid flows in the hearth and through the taphole. Finally, a recently developed multiphase CFD model including interfacial forces between immiscible liquids was developed and both the actual iron-slag system and a water-oil system in laboratory scale were simulated. The model was demonstrated to be a useful tool for simulating hearth flows for gaining understanding of the complex phenomena in the drainage of the blast furnace.

A simple model for the estimation of congenital malformation frequency in racially mixed populations

A simple model is proposed, using the method of maximum likelihood to estimate malformation frequencies in racial groups based on data obtained from hospital services. This model uses the proportions of racial admixture, and the observed malformation frequency. It was applied to two defects: postaxial polydactyly and cleft lip, the frequencies of which are recognizedly heterogeneous among racial groups. The frequencies estimated in each racial group were those expected for these malformations, which proves the applicability of the method.

Net working capital estimation model in project business

The objective of this Master’s thesis is to develop a model which estimates net working capital (NWC) monthly in a year period. The study is conducted by a constructive research which uses a case study. The estimation model is designed in the need of one case company which operates in project business. Net working capital components should be linked together by an automatic model and estimated individually, including advanced components of NWC for example POC receivables. Net working capital estimation model of this study contains three parts: output template, input template and calculation model. The output template gets estimate values automatically from the input template and the calculation model. Into the input template estimate values of more stable NWC components are inputted manually. The calculate model gets estimate values for major affecting components automatically from the systems of a company by using a historical data and made plans. As a precondition for the functionality of the estimation calculation is that sales are estimated in one year period because the sales are linked to all NWC components.

Comparison of Model-Based Flow Rate Estimation Methods in Frequency-Converter-Driven Pumps and Fans

Fluid handling systems such as pump and fan systems are found to have a significant potential for energy efficiency improvements. To deliver the energy saving potential, there is a need for easily implementable methods to monitor the system output. This is because information is needed to identify inefficient operation of the fluid handling system and to control the output of the pumping system according to process needs. Model-based pump or fan monitoring methods implemented in variable speed drives have proven to be able to give information on the system output without additional metering; however, the current model-based methods may not be usable or sufficiently accurate in the whole operation range of the fluid handling device. To apply model-based system monitoring in a wider selection of systems and to improve the accuracy of the monitoring, this paper proposes a new method for pump and fan output monitoring with variable-speed drives. The method uses a combination of already known operating point estimation methods. Laboratory measurements are used to verify the benefits and applicability of the improved estimation method, and the new method is compared with five previously introduced model-based estimation methods. According to the laboratory measurements, the new estimation method is the most accurate and reliable of the model-based estimation methods.

Estimation of the Polak Model for a Developing Country Utilising the Currency Board : Case of Estonia.

Rapport de recherche

Learning-Based Approach to Estimation of Morphable Model Parameters

We describe the key role played by partial evaluation in the Supercomputing Toolkit, a parallel computing system for scientific applications that effectively exploits the vast amount of parallelism exposed by partial evaluation. The Supercomputing Toolkit parallel processor and its associated partial evaluation-based compiler have been used extensively by scientists at MIT, and have made possible recent results in astrophysics showing that the motion of the planets in our solar system is chaotically unstable.

Estimation of electronic coupling in π -stacked donor-bridge-acceptor systems: correction of the two-state model

Comparison of donor-acceptor electronic couplings calculated within two-state and three-state models suggests that the two-state treatment can provide unreliable estimates of Vda because of neglecting the multistate effects. We show that in most cases accurate values of the electronic coupling in a π stack, where donor and acceptor are separated by a bridging unit, can be obtained as Ṽ da = (E2 - E1) μ12 Rda + (2 E3 - E1 - E2) 2 μ13 μ23 Rda2, where E1, E2, and E3 are adiabatic energies of the ground, charge-transfer, and bridge states, respectively, μij is the transition dipole moments between the states i and j, and Rda is the distance between the planes of donor and acceptor. In this expression based on the generalized Mulliken-Hush approach, the first term corresponds to the coupling derived within a two-state model, whereas the second term is the superexchange correction accounting for the bridge effect. The formula is extended to bridges consisting of several subunits. The influence of the donor-acceptor energy mismatch on the excess charge distribution, adiabatic dipole and transition moments, and electronic couplings is examined. A diagnostic is developed to determine whether the two-state approach can be applied. Based on numerical results, we showed that the superexchange correction considerably improves estimates of the donor-acceptor coupling derived within a two-state approach. In most cases when the two-state scheme fails, the formula gives reliable results which are in good agreement (within 5%) with the data of the three-state generalized Mulliken-Hush model

Variational data assimilation for parameter estimation: application to a simple morphodynamic model

Data assimilation is a sophisticated mathematical technique for combining observational data with model predictions to produce state and parameter estimates that most accurately approximate the current and future states of the true system. The technique is commonly used in atmospheric and oceanic modelling, combining empirical observations with model predictions to produce more accurate and well-calibrated forecasts. Here, we consider a novel application within a coastal environment and describe how the method can also be used to deliver improved estimates of uncertain morphodynamic model parameters. This is achieved using a technique known as state augmentation. Earlier applications of state augmentation have typically employed the 4D-Var, Kalman filter or ensemble Kalman filter assimilation schemes. Our new method is based on a computationally inexpensive 3D-Var scheme, where the specification of the error covariance matrices is crucial for success. A simple 1D model of bed-form propagation is used to demonstrate the method. The scheme is capable of recovering near-perfect parameter values and, therefore, improves the capability of our model to predict future bathymetry. Such positive results suggest the potential for application to more complex morphodynamic models.