Threshold Autoregressive Model for a Time Series Data

In this paper we try to fit a threshold autoregressive (TAR) model to time series data of monthly coconut oil prices at Cochin market. The procedure proposed by Tsay [7] for fitting the TAR model is briefly presented. The fitted model is compared with a simple autoregressive (AR) model. The results are in favour of TAR process. Thus the monthly coconut oil prices exhibit a type of non-linearity which can be accounted for by a threshold model.

Modeling gene expression regulatory networks with the sparse vector autoregressive model

Abstract Background To understand the molecular mechanisms underlying important biological processes, a detailed description of the gene products networks involved is required. In order to define and understand such molecular networks, some statistical methods are proposed in the literature to estimate gene regulatory networks from time-series microarray data. However, several problems still need to be overcome. Firstly, information flow need to be inferred, in addition to the correlation between genes. Secondly, we usually try to identify large networks from a large number of genes (parameters) originating from a smaller number of microarray experiments (samples). Due to this situation, which is rather frequent in Bioinformatics, it is difficult to perform statistical tests using methods that model large gene-gene networks. In addition, most of the models are based on dimension reduction using clustering techniques, therefore, the resulting network is not a gene-gene network but a module-module network. Here, we present the Sparse Vector Autoregressive model as a solution to these problems. Results We have applied the Sparse Vector Autoregressive model to estimate gene regulatory networks based on gene expression profiles obtained from time-series microarray experiments. Through extensive simulations, by applying the SVAR method to artificial regulatory networks, we show that SVAR can infer true positive edges even under conditions in which the number of samples is smaller than the number of genes. Moreover, it is possible to control for false positives, a significant advantage when compared to other methods described in the literature, which are based on ranks or score functions. By applying SVAR to actual HeLa cell cycle gene expression data, we were able to identify well known transcription factor targets. Conclusion The proposed SVAR method is able to model gene regulatory networks in frequent situations in which the number of samples is lower than the number of genes, making it possible to naturally infer partial Granger causalities without any a priori information. In addition, we present a statistical test to control the false discovery rate, which was not previously possible using other gene regulatory network models.

Early detection of action potential duration alternans using an autoregressive model

Annual Meeting of the Biophysical Society, San Diego, USA

Using an adaptive autoregressive model for the early detection of action potential duration alternans

Cardiostim 2012, Nice, France

Experimental characterization and implementation of an integrated autoregressive model to predict the thermal performance of vegetal façades

Experimental characterization and implementation of an integrated autoregressive model to predict the thermal performance of vegetal façades

Optimal selection of autoregressive model coefficients for early damage detectability with an application to wind turbine blades

Piotr Omenzetter and Simon Hoell's work within the Lloyd's Register Foundation Centre for Safety and Reliability Engineering at the University of Aberdeen is supported by Lloyd’s Register Foundation. The Foundation helps to protect life and property by supporting engineering-related education, public engagement and the application of research.

Optimal selection of autoregressive model coefficients for early damage detectability with an application to wind turbine blades

Piotr Omenzetter and Simon Hoell's work within the Lloyd's Register Foundation Centre for Safety and Reliability Engineering at the University of Aberdeen is supported by Lloyd’s Register Foundation. The Foundation helps to protect life and property by supporting engineering-related education, public engagement and the application of research.

Automatic diagnosis of liver steatosis by ultrasound using autoregressive tissue characterization

Liver steatosis is mainly a textural abnormality of the hepatic parenchyma due to fat accumulation on the hepatic vesicles. Today, the assessment is subjectively performed by visual inspection. Here a classifier based on features extracted from ultrasound (US) images is described for the automatic diagnostic of this phatology. The proposed algorithm estimates the original ultrasound radio-frequency (RF) envelope signal from which the noiseless anatomic information and the textural information encoded in the speckle noise is extracted. The features characterizing the textural information are the coefficients of the first order autoregressive model that describes the speckle field. A binary Bayesian classifier was implemented and the Bayes factor was calculated. The classification has revealed an overall accuracy of 100%. The Bayes factor could be helpful in the graphical display of the quantitative results for diagnosis purposes.

Critical analysis of autoregressive and fast Fourier transform markers of cardiovascular variability in rats and humans

The autonomic nervous system plays an important role in physiological and pathological conditions, and has been extensively evaluated by parametric and non-parametric spectral analysis. To compare the results obtained with fast Fourier transform (FFT) and the autoregressive (AR) method, we performed a comprehensive comparative study using data from humans and rats during pharmacological blockade (in rats), a postural test (in humans), and in the hypertensive state (in both humans and rats). Although postural hypotension in humans induced an increase in normalized low-frequency (LFnu) of systolic blood pressure, the increase in the ratio was detected only by AR. In rats, AR and FFT analysis did not agree for LFnu and high frequency (HFnu) under basal conditions and after vagal blockade. The increase in the LF/HF ratio of the pulse interval, induced by methylatropine, was detected only by FFT. In hypertensive patients, changes in LF and HF for systolic blood pressure were observed only by AR; FFT was able to detect the reduction in both blood pressure variance and total power. In hypertensive rats, AR presented different values of variance and total power for systolic blood pressure. Moreover, AR and FFT presented discordant results for LF, LFnu, HF, LF/HF ratio, and total power for pulse interval. We provide evidence for disagreement in 23% of the indices of blood pressure and heart rate variability in humans and 67% discordance in rats when these variables are evaluated by AR and FFT under physiological and pathological conditions. The overall disagreement between AR and FFT in this study was 43%.

Asymptotic Approximations in the Near-Integrated Model with a Non-Zero Initial Condition

This paper considers various asymptotic approximations in the near-integrated firstorder autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial condition, to derive the expansion of the relevant joint moment generating function in this more general framework. We also consider, as alternative approximations, the stochastic expansion of Phillips (1987c) and the continuous time approximation of Perron (1991). We assess how these alternative methods provide or not an adequate approximation to the finite-sample distribution of the least-squares estimator in a first-order autoregressive model. The results show that, when the initial condition is non-zero, Perron's (1991) continuous time approximation performs very well while the others only offer improvements when the initial condition is zero.

Product autoregressive models for non-negative variables

When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution

Threshold autoregressive and Markov switching models: an application to commercial real estate

Although financial theory rests heavily upon the assumption that asset returns are normally distributed, value indices of commercial real estate display significant departures from normality. In this paper, we apply and compare the properties of two recently proposed regime switching models for value indices of commercial real estate in the US and the UK, both of which relax the assumption that observations are drawn from a single distribution with constant mean and variance. Statistical tests of the models' specification indicate that the Markov switching model is better able to capture the non-stationary features of the data than the threshold autoregressive model, although both represent superior descriptions of the data than the models that allow for only one state. Our results have several implications for theoretical models and empirical research in finance.

Autoregressive decomposition and pole tracking applied to vocal fold nodule signals

This letter describes a novel algorithm that is based on autoregressive decomposition and pole tracking used to recognize two patterns of speech data: normal voice and disphonic voice caused by nodules. The presented method relates the poles and the peaks of the signal spectrum which represent the periodic components of the voice. The results show that the perturbation contained in the signal is clearly depicted by pole's positions. Their variability is related to jitter and shimmer. The pole dispersion for pathological voices is about 20% higher than for normal voices, therefore, the proposed approach is a more trustworthy measure than the classical ones. © 2007.