Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

This thesis studies binary time series models and their applications in empirical macroeconomics and finance. In addition to previously suggested models, new dynamic extensions are proposed to the static probit model commonly used in the previous literature. In particular, we are interested in probit models with an autoregressive model structure. In Chapter 2, the main objective is to compare the predictive performance of the static and dynamic probit models in forecasting the U.S. and German business cycle recession periods. Financial variables, such as interest rates and stock market returns, are used as predictive variables. The empirical results suggest that the recession periods are predictable and dynamic probit models, especially models with the autoregressive structure, outperform the static model. Chapter 3 proposes a Lagrange Multiplier (LM) test for the usefulness of the autoregressive structure of the probit model. The finite sample properties of the LM test are considered with simulation experiments. Results indicate that the two alternative LM test statistics have reasonable size and power in large samples. In small samples, a parametric bootstrap method is suggested to obtain approximately correct size. In Chapter 4, the predictive power of dynamic probit models in predicting the direction of stock market returns are examined. The novel idea is to use recession forecast (see Chapter 2) as a predictor of the stock return sign. The evidence suggests that the signs of the U.S. excess stock returns over the risk-free return are predictable both in and out of sample. The new "error correction" probit model yields the best forecasts and it also outperforms other predictive models, such as ARMAX models, in terms of statistical and economic goodness-of-fit measures. Chapter 5 generalizes the analysis of univariate models considered in Chapters 2 4 to the case of a bivariate model. A new bivariate autoregressive probit model is applied to predict the current state of the U.S. business cycle and growth rate cycle periods. Evidence of predictability of both cycle indicators is obtained and the bivariate model is found to outperform the univariate models in terms of predictive power.

Stability Analysis of Composite Skew Plates Using a Dynamic Method

Stability analysis is carried out considering free lateral vibrations of simply supported composite skew plates that are subjected to both direct and shear in-plane forces. An oblique stress component representation is used, consistent with the skew-geometry of the plate. A double series, expressed in Chebyshev polynomials, is used here as the assumed deflection surface and Ritz method of solution is employed. Numerical results for different combinations of side ratios, skew angle, and in-plane loadings that act individually or in combination are obtained. In this method, the in-plane load parameter is varied until the fundamental frequency goes to zero. The value of the in-plane load then corresponds to a critical buckling load. Plots of frequency parameter versus in-plane loading are given for a few typical cases. Details of crossings and quasi degeneracies of these curves are presented.

Formation and preservation of pedogenic carbonates in South India, links with paleo-monsoon and pedological conditions: Clues from Sr isotopes, U-Th series and REEs

The influence of the pedogenic and climatic contexts on the formation and preservation of pedogenic carbonates in a climosequence in the Western Ghats (Karnataka Plateau, South West India) has been studied. Along the climosequence, the current mean annual rainfall (MAR) varies within a 80 km transect from 6000 mm at the edge of the Plateau to 500 mm inland. Pedogenic carbonates occur in the MAR range of 500-1200 mm. In the semi-arid zone (MAR: 500-900 mm), carbonates occur (i) as rhick hardpan calcretes on pediment slopes and (ii) as nodular horizons in polygenic black soils (i.e. vertisols). In the sub-humid zone (MAR: 900-1500 mm), pedogenic carbonates are disseminated in the black soil matrices either as loose, irregular and friable nodules of millimetric size or as indurated botryoidal nodules of centimetric to pluricentimetric size. They also occur at the top layers of the saprolite either as disseminated pluricentimetric indurated nodules or carbonate-cemented lumps of centimetric to decimetric size. Chemical and isotopic (Sr-87/Sr-86) compositions of the carbonate fraction were determined after leaching with 0.25 N HCl. The corresponding residual fractions containing both primary minerals and authigenic clays were digested separately and analyzed. The trend defined by the Sr-87/Sr-86 signatures of both labile carbonate fractions and corresponding residual fractions indicates that a part of the labile carbonate fraction is genetically linked to the local soil composition. Considering the residual fraction of each sample as the most likely lithogenic source of Ca in carbonates, it is estimated that from 24% to 82% (55% on average) of Ca is derived from local bedrock weathering, leading to a consumption of an equivalent proportion of atmospheric CO2. These values indicate that climatic conditions were humid enough to allow silicate weathering: MAR at the time of carbonate formation likely ranged from 400 to 700 mm, which is 2- to 3-fold less than the current MAR at these locations. The Sr, U and Mg contents and the (U-234/U-238) activity ratio in the labile carbonate fraction help to understand the conditions of carbonate formation. The relatively high concentrations of Sr, U and Mg in black soil carbonates may indicate fast growth and accumulation compared to carbonates in saprolite, possibly due to a better confinement of the pore waters which is supported by their high (U-234/U-238) signatures, and/or to higher content of dissolved carbonates in the pore waters. The occurrence of Ce, Mn and Fe oxides in the cracks of carbonate reflects the existence of relatively humid periods after carbonate formation. The carbonate ages determined by the U-Th method range from 1.33 +/- 0.84 kyr to 7.5 +/- 2.7 kyr and to a cluster of five ages around 20 kyr, i.e. the Last Glacial Maximum period. The young occurrences are only located in the black soils, which therefore constitute sensitive environments for trapping and retaining atmospheric CO2 even on short time scales. The maximum age of carbonates depends on their location in the climatic gradient: from about 20 kyr for centimetric nodules at Mule Hole (MAR = 1100 mm/yr) to 200 kyr for the calcrete at Gundlupet (MAR = 700 mm/yr, Durand et al., 2007). The intensity of rainfall during wet periods would indeed control the lifetime of pedogenic carbonates and thus the duration of inorganic carbon storage in soils. (C) 2010 Elsevier Ltd. All rights reserved.

Oriented films of LaNiO3 and other members of the Lan+1NinO3n+1 series, LaCuO3−δ and Pb(Zr0.52Ti0.48)O3, obtained by nebulized spray pyrolysis

The technique of nebulized spray pyrolysis has been explored to find out whether oriented films of certain important oxides can be produced on single-crystal substrates by this relatively gentle method. Starting with acetylacetonate precursors, oriented films of metallic LaNiO3 containing nearly spherical grains (30 nm) have been obtained. Films of near-stoichiometric La4Ni3O10 and La3Ni2O7 showing metallic conductivity have been obtained by this method. This is indeed gratifying since it is difficult to prepare monophasic and stoichiometric bulk samples of these materials. Films of La2NiO4 show the expected semiconducting behavior. In the La-Cu-O system, starting with acetylacetonates, we have obtained films mainly comprising semiconducting La2Cu2O5, which is generally difficult to prepare in bulk form. More interestingly, nebulized spray pyrolysis gives excellent stoichiometric films of Pb(Zr0.52Ti0.48)O-3 consisting of nearly spherical grains (30 nm) which show ferroelectric behavior. The present investigation demonstrates that nebulized spray pyrolysis provides a useful and desirable route to deposite oriented films of complex oxide materials on single-crystal substrates.

Microwave heating in multiphase systems: evaluation of series solutions

The 1D electric field and heat-conduction equations are solved for a slab where the dielectric properties vary spatially in the sample. Series solutions to the electric field are obtained for systems where the spatial variation in the dielectric properties can be expressed as polynomials. The series solution is used to obtain electric-field distributions for a binary oil-water system where the dielectric properties are assumed to vary linearly within the sample. Using the finite-element method temperature distributions are computed in a three-phase oil, water and rock system where the dielectric properties vary due to the changing oil saturation in the rock. Temperature distributions predicted using a linear variation in the dielectric properties are compared with those obtained using the exact nonlinear variation.

Ground-fault-arc suppression on series-and shunt-compensated lines

An extension of Rizk's analysis to cover any type of switching is presented for calculating the residual current and recovery voltage in a singlephase switched transmission system. Equations for the determination of the current and voltage are shown, and the method has been used for the analysis of a series- and shunt-compensated line.Three possible switching methods for the effective control of the recovery voltage and residual current are discussed: normal switching, switching at the ends of the line and switching of the series capacitors.

The radiation resistance of off-set series slots in microstrip line

The radiation resistance of off-set series slots has been calculated for microstrip lines using the method proposed by Breithaupt for strip lines. A suitable transformation is made to allow for the difference in structure. Curves relating the slot resistance to the microstrip length, width and off-set distance have been obtained. Microstrip slot antenna arrays are becoming important in applications where size and weight are of significance. The radiation resistance is a very significant parameter is the design of such arrays. Oliner first calculated the radiation conductance of centered series slots in strip transmission lines and that analysis was extended by Breithaupt to the off-set series slots in stripline. The radiation resistance of off-set series slots in microstrip lines is calculated in this paper and data are obtained for different slot lengths, slot widths and off-set values. An example of the use of these data in array antenna design in shown.

Control technique for non-linear and unbalance compensation of an integrated magnetics-based three-phase series-shunt-compensated uninterruptible power supply

Handling unbalanced and non-linear loads in a three-phase AC power supply has always been a difficult issue. This has been addressed in the literature by either using fast controllers in the fundamental rotating reference frame or using separate controllers in reference frames specific to the harmonics. In the former case, the controller needs to be fast and in the latter case, besides the need for many controllers, negative-sequence components need to be extracted from the measured signal. This study proposes a control scheme for harmonic and unbalance compensation of a three-phase uninterruptible power supply wherein the problems mentioned above are addressed. The control takes place in the fundamental positive-sequence reference frame using only a set of feedback and feed-forward compensators. The harmonic components are extracted by a process of frame transformations and used as feed-forward compensation terms in the positive-sequence fundamental reference frame. This study uses a method wherein the measured signal itself is used for fundamental negative-sequence compensation. As the feed-forward compensator handles the high-bandwidth components, the feedback compensator can be a simple low-bandwidth one. This control algorithm is explained and validated experimentally.

Control technique for non-linear and unbalance compensation of an integrated magnetics-based three-phase series-shunt-compensated uninterruptible power supply

Handling unbalanced and non-linear loads in a three-phase AC power supply has always been a difficult issue. This has been addressed in the literature by either using fast controllers in the fundamental rotating reference frame or using separate controllers in reference frames specific to the harmonics. In the former case, the controller needs to be fast and in the latter case, besides the need for many controllers, negative-sequence components need to be extracted from the measured signal. This study proposes a control scheme for harmonic and unbalance compensation of a three-phase uninterruptible power supply wherein the problems mentioned above are addressed. The control takes place in the fundamental positive-sequence reference frame using only a set of feedback and feed-forward compensators. The harmonic components are extracted by a process of frame transformations and used as feed-forward compensation terms in the positive-sequence fundamental reference frame. This study uses a method wherein the measured signal itself is used for fundamental negative-sequence compensation. As the feed-forward compensator handles the high-bandwidth components, the feedback compensator can be a simple low-bandwidth one. This control algorithm is explained and validated experimentally.

Control technique for non-linear and unbalance compensation of an integrated magnetics-based three-phase series-shunt-compensated uninterruptible power supply

Handling unbalanced and non-linear loads in a three-phase AC power supply has always been a difficult issue. This has been addressed in the literature by either using fast controllers in the fundamental rotating reference frame or using separate controllers in reference frames specific to the harmonics. In the former case, the controller needs to be fast and in the lattercase, besides the need for many controllers, negative-sequence components need to be extracted from the measured signal.This study proposes a control scheme for harmonic and unbalance compensation of a three-phase uninterruptible power supply wherein the problems mentioned above are addressed. The control takes place in the fundamental positive-sequence reference frame using only a set of feedback and feed-forward compensators. The harmonic components are extracted by process of frame transformations and used as feed-forward compensation terms in the positive-sequence fundamental reference frame. This study uses a method wherein the measured signal itself is used for fundamental negative-sequence compensation. As the feed-forward compensator handles the high-bandwidth components, the feedback compensator can be a simple low-bandwidth one. This control algorithm is explained and validated experimentally.

Estimation of Series Capacitance of a Transformer Winding Based on Frequency-Response Data: An Indirect Measurement Approach

A novel procedure to determine the series capacitance of a transformer winding, based on frequency-response measurements, is reported. It is based on converting the measured driving-point impedance magnitude response into a rational function and thereafter exploiting the ratio of a specific coefficient in the numerator and denominator polynomial, which leads to the direct estimation of series capacitance. The theoretical formulations are derived for a mutually coupled ladder-network model, followed by sample calculations. The results obtained are accurate and its feasibility is demonstrated by experiments on model-coil and on actual, single, isolated transformer windings (layered, continuous disc, and interleaved disc). The authors believe that the proposed method is the closest one can get to indirectly measuring series capacitance.

Time Series Classification for Online Tamil Handwritten Character Recognition – A Kernel Based Approach

In this paper, we consider the problem of time series classification. Using piecewise linear interpolation various novel kernels are obtained which can be used with Support vector machines for designing classifiers capable of deciding the class of a given time series. The approach is general and is applicable in many scenarios. We apply the method to the task of Online Tamil handwritten character recognition with promising results.

System and Method for Temporal Datamining

A system for temporal data mining includes a computer readable medium having an application configured to receive at an input module a temporal data series and a threshold frequency. The system is further configured to identify, using a candidate identification and tracking module, one or more occurrences in the temporal data series of a candidate episode and increment a count for each identified occurrence. The system is also configured to produce at an output module an output for those episodes whose count of occurrences results in a frequency exceeding the threshold frequency.

System and Method for mining of Temporal Data

A system for temporal data mining includes a computer readable medium having an application configured to receive at an input module a temporal data series having events with start times and end times, a set of allowed dwelling times and a threshold frequency. The system is further configured to identify, using a candidate identification and tracking module, one or more occurrences in the temporal data series of a candidate episode and increment a count for each identified occurrence. The system is also configured to produce at an output module an output for those episodes whose count of occurrences results in a frequency exceeding the threshold frequency.

Perturbative expansion of the QCD Adler function improved by renormalization-group summation and analytic continuation in the Borel plane

We examine the large-order behavior of a recently proposed renormalization-group-improved expansion of the Adler function in perturbative QCD, which sums in an analytically closed form the leading logarithms accessible from renormalization-group invariance. The expansion is first written as an effective series in powers of the one-loop coupling, and its leading singularities in the Borel plane are shown to be identical to those of the standard ``contour-improved'' expansion. Applying the technique of conformal mappings for the analytic continuation in the Borel plane, we define a class of improved expansions, which implement both the renormalization-group invariance and the knowledge about the large-order behavior of the series. Detailed numerical studies of specific models for the Adler function indicate that the new expansions have remarkable convergence properties up to high orders. Using these expansions for the determination of the strong coupling from the hadronic width of the tau lepton we obtain, with a conservative estimate of the uncertainty due to the nonperturbative corrections, alpha(s)(M-tau(2)) = 0.3189(-0.0151)(+0.0173), which translates to alpha(s)(M-Z(2)) = 0.1184(-0.0018)(+0.0021). DOI: 10.1103/PhysRevD.87.014008