Double sampling (x)over-bar control chart for a first-order autoregressive moving average process model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Export commodity price projections: a study of autoregressive-moving average projections methods: preliminary version

Includes bibliography

The specification of vector autoregressive moving average models

In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.

ARMA modeling of time series based on rational approximation of spectral density function

This study is concerned with Autoregressive Moving Average (ARMA) models of time series. ARMA models form a subclass of the class of general linear models which represents stationary time series, a phenomenon encountered most often in practice by engineers, scientists and economists. It is always desirable to employ models which use parameters parsimoniously. Parsimony will be achieved by ARMA models because it has only finite number of parameters. Even though the discussion is primarily concerned with stationary time series, later we will take up the case of homogeneous non stationary time series which can be transformed to stationary time series. Time series models, obtained with the help of the present and past data is used for forecasting future values. Physical science as well as social science take benefits of forecasting models. The role of forecasting cuts across all fields of management-—finance, marketing, production, business economics, as also in signal process, communication engineering, chemical processes, electronics etc. This high applicability of time series is the motivation to this study.

Discrete time representation of continuous time ARMA processes

This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.

Precision of yule-walker methods for the arma spectral model

In this work a new method is proposed of separated estimation for the ARMA spectral model based on the modified Yule-Walker equations and on the least squares method. The proposal of the new method consists of performing an AR filtering in the random process generated obtaining a new random estimate, which will reestimate the ARMA model parameters, given a better spectrum estimate. Some numerical examples will be presented in order to ilustrate the performance of the method proposed, which is evaluated by the relative error and the average variation coefficient.

Methods for the analysis of two dimensional measurement data of paper web

This work is devoted to the problem of reconstructing the basis weight structure at paper web with black{box techniques. The data that is analyzed comes from a real paper machine and is collected by an o®-line scanner. The principal mathematical tool used in this work is Autoregressive Moving Average (ARMA) modelling. When coupled with the Discrete Fourier Transform (DFT), it gives a very flexible and interesting tool for analyzing properties of the paper web. Both ARMA and DFT are independently used to represent the given signal in a simplified version of our algorithm, but the final goal is to combine the two together. Ljung-Box Q-statistic lack-of-fit test combined with the Root Mean Squared Error coefficient gives a tool to separate significant signals from noise.

Orthogonal function method in modelling paper web quality variation

This work is devoted to the analysis of signal variation of the Cross-Direction and Machine-Direction measurements from paper web. The data that we possess comes from the real paper machine. Goal of the work is to reconstruct the basis weight structure of the paper and to predict its behaviour to the future. The resulting synthetic data is needed for simulation of paper web. The main idea that we used for describing the basis weight variation in the Cross-Direction is Empirical Orthogonal Functions (EOF) algorithm, which is closely related to Principal Component Analysis (PCA) method. Signal forecasting in time is based on Time-Series analysis. Two principal mathematical procedures that we used in the work are Autoregressive-Moving Average (ARMA) modelling and Ornstein–Uhlenbeck (OU) process.

Stochastic variability of output levels in a pulp mill

Quite often, in the construction of a pulp mill involves establishing the size of tanks which will accommodate the material from the various processes in which case estimating the right tank size a priori would be vital. Hence, simulation of the whole production process would be worthwhile. Therefore, there is need to develop mathematical models that would mimic the behavior of the output from the various production units of the pulp mill to work as simulators. Markov chain models, Autoregressive moving average (ARMA) model, Mean reversion models with ensemble interaction together with Markov regime switching models are proposed for that purpose.

Uncovering the dynamics of cardiac systems using stochastic pacing and frequency domain analyses

Alternans of cardiac action potential duration (APD) is a well-known arrhythmogenic mechanism which results from dynamical instabilities. The propensity to alternans is classically investigated by examining APD restitution and by deriving APD restitution slopes as predictive markers. However, experiments have shown that such markers are not always accurate for the prediction of alternans. Using a mathematical ventricular cell model known to exhibit unstable dynamics of both membrane potential and Ca2+ cycling, we demonstrate that an accurate marker can be obtained by pacing at cycle lengths (CLs) varying randomly around a basic CL (BCL) and by evaluating the transfer function between the time series of CLs and APDs using an autoregressive-moving-average (ARMA) model. The first pole of this transfer function corresponds to the eigenvalue (λalt) of the dominant eigenmode of the cardiac system, which predicts that alternans occurs when λalt≤−1. For different BCLs, control values of λalt were obtained using eigenmode analysis and compared to the first pole of the transfer function estimated using ARMA model fitting in simulations of random pacing protocols. In all versions of the cell model, this pole provided an accurate estimation of λalt. Furthermore, during slow ramp decreases of BCL or simulated drug application, this approach predicted the onset of alternans by extrapolating the time course of the estimated λalt. In conclusion, stochastic pacing and ARMA model identification represents a novel approach to predict alternans without making any assumptions about its ionic mechanisms. It should therefore be applicable experimentally for any type of myocardial cell.

Dynamic Chemical Shift Imaging for Image-Guided Thermal Therapy

Magnetic resonance temperature imaging (MRTI) is recognized as a noninvasive means to provide temperature imaging for guidance in thermal therapies. The most common method of estimating temperature changes in the body using MR is by measuring the water proton resonant frequency (PRF) shift. Calculation of the complex phase difference (CPD) is the method of choice for measuring the PRF indirectly since it facilitates temperature mapping with high spatiotemporal resolution. Chemical shift imaging (CSI) techniques can provide the PRF directly with high sensitivity to temperature changes while minimizing artifacts commonly seen in CPD techniques. However, CSI techniques are currently limited by poor spatiotemporal resolution. This research intends to develop and validate a CSI-based MRTI technique with intentional spectral undersampling which allows relaxed parameters to improve spatiotemporal resolution. An algorithm based on autoregressive moving average (ARMA) modeling is developed and validated to help overcome limitations of Fourier-based analysis allowing highly accurate and precise PRF estimates. From the determined acquisition parameters and ARMA modeling, robust maps of temperature using the k-means algorithm are generated and validated in laser treatments in ex vivo tissue. The use of non-PRF based measurements provided by the technique is also investigated to aid in the validation of thermal damage predicted by an Arrhenius rate dose model.

Estimation of computer waste quantities using forecasting techniques

Technology changes rapidly over years providing continuously more options for computer alternatives and making life easier for economic, intra-relation or any other transactions. However, the introduction of new technology “pushes” old Information and Communication Technology (ICT) products to non-use. E-waste is defined as the quantities of ICT products which are not in use and is bivariate function of the sold quantities, and the probability that specific computers quantity will be regarded as obsolete. In this paper, an e-waste generation model is presented, which is applied to the following regions: Western and Eastern Europe, Asia/Pacific, Japan/Australia/New Zealand, North and South America. Furthermore, cumulative computer sales were retrieved for selected countries of the regions so as to compute obsolete computer quantities. In order to provide robust results for the forecasted quantities, a selection of forecasting models, namely (i) Bass, (ii) Gompertz, (iii) Logistic, (iv) Trend model, (v) Level model, (vi) AutoRegressive Moving Average (ARMA), and (vii) Exponential Smoothing were applied, depicting for each country that model which would provide better results in terms of minimum error indices (Mean Absolute Error and Mean Square Error) for the in-sample estimation. As new technology does not diffuse in all the regions of the world with the same speed due to different socio-economic factors, the lifespan distribution, which provides the probability of a certain quantity of computers to be considered as obsolete, is not adequately modeled in the literature. The time horizon for the forecasted quantities is 2014-2030, while the results show a very sharp increase in the USA and United Kingdom, due to the fact of decreasing computer lifespan and increasing sales.

A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate

Ever since the appearance of the ARCH model [Engle(1982a)], an impressive array of variance specifications belonging to the same class of models has emerged [i.e. Bollerslev's (1986) GARCH; Nelson's (1990) EGARCH]. This recent domain has achieved very successful developments. Nevertheless, several empirical studies seem to show that the performance of such models is not always appropriate [Boulier(1992)]. In this paper we propose a new specification: the Quadratic Moving Average Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators (Method of Moments and Maximum Likelihood) are studied. Two statistical tests are presented, the first one tests for homoskedasticity and the second one, discriminates between ARCH and QMACH specification. A Monte Carlo study is presented in order to illustrate some of the theoretical results. An empirical study is undertaken for the DM-US exchange rate.

Linear least squares estimation of the first order moving average parameter

We propose an iterative procedure to minimize the sum of squares function which avoids the nonlinear nature of estimating the first order moving average parameter and provides a closed form of the estimator. The asymptotic properties of the method are discussed and the consistency of the linear least squares estimator is proved for the invertible case. We perform various Monte Carlo experiments in order to compare the sample properties of the linear least squares estimator with its nonlinear counterpart for the conditional and unconditional cases. Some examples are also discussed