Seasonal Dynamic Factor Analysis and Bootstrap Inference: Application to Electricity Market Forecasting

In this work, we propose the Seasonal Dynamic Factor Analysis (SeaDFA), an extension of Nonstationary Dynamic Factor Analysis, through which one can deal with dimensionality reduction in vectors of time series in such a way that both common and specific components are extracted. Furthermore, common factors are able to capture not only regular dynamics (stationary or not) but also seasonal ones, by means of the common factors following a multiplicative seasonal VARIMA(p, d, q) × (P, D, Q)s model. Additionally, a bootstrap procedure that does not need a backward representation of the model is proposed to be able to make inference for all the parameters in the model. A bootstrap scheme developed for forecasting includes uncertainty due to parameter estimation, allowing enhanced coverage of forecasting intervals. A challenging application is provided. The new proposed model and a bootstrap scheme are applied to an innovative subject in electricity markets: the computation of long-term point forecasts and prediction intervals of electricity prices. Several appendices with technical details, an illustrative example, and an additional table are available online as Supplementary Materials.

A dynamic factor model for mid-term forecasting of wind power generation

The main objective of this paper is the development and application of multivariate time series models for forecasting aggregated wind power production in a country or region. Nowadays, in Spain, Denmark or Germany there is an increasing penetration of this kind of renewable energy, somehow to reduce energy dependence on the exterior, but always linked with the increaseand uncertainty affecting the prices of fossil fuels. The disposal of accurate predictions of wind power generation is a crucial task both for the System Operator as well as for all the agents of the Market. However, the vast majority of works rarely onsider forecasting horizons longer than 48 hours, although they are of interest for the system planning and operation. In this paper we use Dynamic Factor Analysis, adapting and modifying it conveniently, to reach our aim: the computation of accurate forecasts for the aggregated wind power production in a country for a forecasting horizon as long as possible, particularly up to 60 days (2 months). We illustrate this methodology and the results obtained for real data in the leading country in wind power production: Denmark

Factor Analysis of a Large DSGE Model

We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allow us to shed some light on the practical benefits and limitations of using factor analysis techniques on economic data. We explain in what sense the artificial data can be thought of having a factor structure, study the theoretical and finite sample properties of the principal components estimates of the factor space, investigate the substantive reason(s) for the good performance of di¤usion index forecasts, and assess the quality of the factor analysis of highly dissagregated data. In all our exercises, we explain the precise relationship between the factors and the basic macroeconomic shocks postulated by the model.

Q method factor analysis of stakeholder social perspectives of the effectiveness of Environmental Impact Assessment public participation in the Western Cape, South Africa

Public participation is an integral part of Environmental Impact Assessment (EIA), and as such, has been incorporated into regulatory norms. Assessment of the effectiveness of public participation has remained elusive however. This is partly due to the difficulty in identifying appropriate effectiveness criteria. This research uses Q methodology to discover and analyze stakeholder's social perspectives of the effectiveness of EIAs in the Western Cape, South Africa. It considers two case studies (Main Road and Saldanha Bay EIAs) for contextual participant perspectives of the effectiveness based on their experience. It further considers the more general opinion of provincial consent regulator staff at the Department of Environmental Affairs and the Department of Planning (DEA&DP). Two main themes of investigation are drawn from the South African National Environmental Management Act imperative for effectiveness: firstly, the participation procedure, and secondly, the stakeholder capabilities necessary for effective participation. Four theoretical frameworks drawn from planning, politics and EIA theory are adapted to public participation and used to triangulate the analysis and discussion of the revealed social perspectives. They consider citizen power in deliberation, Habermas' preconditions for the Ideal Speech Situation (ISS), a Foucauldian perspective of knowledge, power and politics, and a Capabilities Approach to public participation effectiveness. The empirical evidence from this research shows that the capacity and contextual constraints faced by participants demand the legislative imperatives for effective participation set out in the NEMA. The implementation of effective public participation has been shown to be a complex, dynamic and sometimes nebulous practice. The functional level of participant understanding of the process was found to be significantly wide-ranging with consequences of unequal and dissatisfied stakeholder engagements. Furthermore, the considerable variance of stakeholder capabilities in the South African social context, resulted in inequalities in deliberation. The social perspectives revealed significant differences in participant experience in terms of citizen power in deliberation. The ISS preconditions are highly contested in both the Saldanha EIA case study and the DEA&DP social perspectives. Only one Main Road EIA case study social perspective considered Foucault's notion of governmentality as a reality in EIA public participation. The freedom of control of ones environment, based on a Capabilities approach, is a highly contested notion. Although agreed with in principle, all of the social perspectives indicate that contextual and capacity realities constrain its realisation. This research has shown that Q method can be applied to EIA public participation in South Africa and, with the appropriate research or monitoring applications it could serve as a useful feedback tool to inform best practice public participation.

Long-term social recognition memory in adult male rats: factor analysis of the social and non-social behaviors

A modified version of the intruder-resident paradigm was used to investigate if social recognition memory lasts at least 24 h. One hundred and forty-six adult male Wistar rats were used. Independent groups of rats were exposed to an intruder for 0.083, 0.5, 2, 24, or 168 h and tested 24 h after the first encounter with the familiar or a different conspecific. Factor analysis was employed to identify associations between behaviors and treatments. Resident rats exhibited a 24-h social recognition memory, as indicated by a 3- to 5-fold decrease in social behaviors in the second encounter with the same conspecific compared to those observed for a different conspecific, when the duration of the first encounter was 2 h or longer. It was possible to distinguish between two different categories of social behaviors and their expression depended on the duration of the first encounter. Sniffing the anogenital area (49.9% of the social behaviors), sniffing the body (17.9%), sniffing the head (3%), and following the conspecific (3.1%), exhibited mostly by resident rats, characterized social investigation and revealed long-term social recognition memory. However, dominance (23.8%) and mild aggression (2.3%), exhibited by both resident and intruders, characterized social agonistic behaviors and were not affected by memory. Differently, sniffing the environment (76.8% of the non-social behaviors) and rearing (14.3%), both exhibited mostly by adult intruder rats, characterized non-social behaviors. Together, these results show that social recognition memory in rats may last at least 24 h after a 2-h or longer exposure to the conspecific.

Assessing food dietary intakes in Japanese-Brazilians using factor analysis

We describe the use of factor analysis for assessing food habits in Japanese-Brazilians. Dietary data from 1,283 participants of a cross-sectional study were used. Besides statistical criteria, we also used the conceptual meaning of identified profiles to obtain scores for dietary patterns (Japanese or Western profile). Paired Student t test, linear regression and Poisson models were used to verify the existence of relationship between these scores and generation, body mass index (BMI), waist circumference and presence of metabolic syndrome, respectively. First generation subjects had higher mean Japanese profile scores and lower Western profile scores than those of second generation. The Western dietary pattern was associated with BMI (p = 0.001), waist circumference (p = 0.023) and metabolic syndrome (p < 0.05). We concluded that these scores were able to discriminate subjects who maintained their traditional Japanese lifestyle or otherwise, and that the incorporation of a Western lifestyle is associated to high values of BMI, waist circumference and presence of metabolic syndrome.

Dynamic behavior analysis of drill-threading process when machining AISI Al-Si-Cu(4) alloy

Conventional threading operations involve two distinct machining processes: drilling and threading. Therefore, it is time consuming for the tools must be changed and the workpiece has to be moved to another machine. This paper presents an analysis of the combined process (drilling followed by threading) using a single tool for both operations: the tap-milling tool. Before presenting the methodology used to evaluate this hybrid tool, the ODS (operating deflection shapes) basics is shortly described. ODS and finite element modeling (FEM) were used during this research to optimize the process aiming to achieve higher stable machining conditions and increasing the tool life. Both methods allowed the determination of the natural frequencies and displacements of the machining center and optimize the workpiece fixture system. The results showed that there is an excellent correlation between the dynamic stability of the machining center-tool holder and the tool life, avoiding a tool premature catastrophic failure. Nevertheless, evidence showed that the tool is very sensitive to work conditions. Undoubtedly, the use of ODS and FEM eliminate empiric decisions concerning the optimization of machining conditions and increase drastically the tool life. After the ODS and FEM studies, it was possible to optimize the process and work material fixture system and machine more than 30,000 threaded holes without reaching the tool life limit and catastrophic fail.

Assessing alternative models of individualism and collectivism: A confirmatory factor analysis

Six alternative structural models of individualism-collectivism are reviewed and empirically compared in a confirmatory factor analysis of questionnaire data from an Australian student sample (N=340). Central to the debate about the structure of this broad social attitude are the issues of (I) polarity (are individualism and collectivism bipolar opposites, or orthogonal factors?) and (2) dimensionality (are individualism and collectivism themselves higher-order constructs subsuming several more specific factors and, if so, what are they?). The data from this Australian sample support a model that represents individualism and collectivism as a higher-order bipolar factor hierarchically subsuming several bipolar reference-group-specific individualisms and collectivisms. Copyright (C) 2001 John Wiley & Sons, Ltd.

An SPSS R-Menu for Ordinal Factor Analysis

Exploratory factor analysis is a widely used statistical technique in the social sciences. It attempts to identify underlying factors that explain the pattern of correlations within a set of observed variables. A statistical software package is needed to perform the calcula- tions. However, there are some limitations with popular statistical software packages, like SPSS. The R programming language is a free software package for statistical and graphical computing. It o ers many packages written by contributors from all over the world and programming resources that allow it to overcome the dialog limitations of SPSS. This paper o ers an SPSS dialog written in the R programming language with the help of some packages, so that researchers with little or no knowledge in programming, or those who are accustomed to making their calculations based on statistical dialogs, have more options when applying factor analysis to their data and hence can adopt a better approach when dealing with ordinal, Likert-type data.

Confirmatory Factor Analysis of the Behavioural Regulation in Exercise Questionnaire – Portuguese Version

Exercise constitutes one of the pillars of a healthy lifestyle (USDHHS, 1996). Paradoxically, more than 40% of Europeans are sedentary (Eurobarometer 213, 2004), although some interventions, at both community and individual levels, have been established to improve this situation. Some of these interventions are based on Self-Determination Theory (SDT: Deci & Ryan, 1985), which state that more internalized types of behaviour regulation lead to feelings of selfdetermination in one’s chosen activities and, consequently, to greater likelihood of behavioural adherence. Today, SDT is one of the most popular approaches to the study of exercise, thus the cross-cultural validation of instruments that can measure its constructs is a necessary step to further advance in the study of exercise motivation.

Mapping non-suicidal self-injury in adolescence: Development and confirmatory factor analysis of the impulse, self-harm and sucidal ideation questionnaire for adolescents (ISSIQ-A)

Non-suicidal self-injury (NSSI) is the deliberate, self-inflicted destruction of body tissue without suicidal intent and an important clinical phenomenon. Rates of NSSI appear to be disproportionately high in adolescents and young adults, and is a risk factor for suicidal ideation and behavior. The present study reports the psychometric properties of the Impulse, Self-harm and Suicide Ideation Questionnaire for Adolescents (ISSIQ-A), a measure designed to comprehensively assess the impulsivity, NSSI behaviors and suicide ideation. An additional module of this questionnaire assesses the functions of NSSI. Results of Confirmatory Factor Analysis (CFA) of the scale on 1722 youths showed items' suitability and confirmed a model of four different dimensions (Impulse, Self-harm, Risk-behavior and Suicide ideation) with good fit and validity. Further analysis showed that youth׳s engagement in self-harm may exert two different functions: to create or alleviate emotional states, and to influence social relationships. Our findings contribute to research and assessment on non-suicidal self-injury, suggesting that the ISSIQ-A is a valid and reliable measure to assess impulse, self-harm and suicidal thoughts, in adolescence.

Factor analysis in the stock market: An application to statistical arbitrage

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Urinary tract infection in full-term newborn infants: risk factor analysis

OBJECTIVE: To analyze the correlation of risk factors to the occurrence of urinary tract infection in full-term newborn infants. PATIENTS AND METHODS: Retrospective study (1997) including full-term infants having a positive urine culture by bag specimen. Urine collection was based on: fever, weight loss > 10% of birth weight, nonspecific symptoms (feeding intolerance, failure to thrive, hypoactivity, debilitate suction, irritability), or renal and urinary tract malformations. In these cases, another urine culture by suprapubic bladder aspiration was collected to confirm the diagnosis. To compare and validate the risk factors in each group, the selected cases were divided into two groups: Group I - positive urine culture by bag specimen collection and negative urine culture by suprapubic aspiration, and Group II - positive urine culture by bag specimen collection and positive urine culture by suprapubic aspiration . RESULTS: Sixty one infants were studied, Group I, n = 42 (68.9%) and Group II, n = 19 (31.1%). The selected risk factors (associated infectious diseases, use of broad-spectrum antibiotics, renal and urinary tract malformations, mechanical ventilation, parenteral nutrition and intravascular catheter) were more frequent in Group II (p<0.05). Through relative risk analysis, risk factors were, in decreasing importance: parenteral nutrition, intravascular catheter, associated infectious diseases, use of broad-spectrum antibiotics, mechanical ventilation, and renal and urinary tract malformations. CONCLUSION: The results showed that parenteral nutrition, intravascular catheter, and associated infectious diseases contributed to increase the frequency of neonatal urinary tract infection, and in the presence of more than one risk factor, the occurrence of urinary tract infection rose up to 11 times.

Wound infection after excision and primary midline closure for pilonidal disease: risk factor analysis to improve patient selection.

BACKGROUND: Excision and primary midline closure for pilonidal disease (PD) is a simple procedure; however, it is frequently complicated by infection and prolonged healing. The aim of this study was to analyze risk factors for surgical site infection (SSI) in this context. METHODS: All consecutive patients undergoing excision and primary closure for PD from January 2002 through October 2008 were retrospectively assessed. The end points were SSI, as defined by the Center for Disease Control, and time to healing. Univariable and multivariable risk factor analyses were performed. RESULTS: One hundred thirty-one patients were included [97 men (74%), median age = 24 (range 15-66) years]. SSI occurred in 41 (31%) patients. Median time to healing was 20 days (range 12-76) in patients without SSI and 62 days (range 20-176) in patients with SSI (P < 0.0001). In univariable and multivariable analyses, smoking [OR = 2.6 (95% CI 1.02, 6.8), P = 0.046] and lack of antibiotic prophylaxis [OR = 5.6 (95% CI 2.5, 14.3), P = 0.001] were significant predictors for SSI. Adjusted for SSI, age over 25 was a significant predictor of prolonged healing. CONCLUSION: This study suggests that the rate of SSI after excision and primary closure of PD is higher in smokers and could be reduced by antibiotic prophylaxis. SSI significantly prolongs healing time, particularly in patients over 25 years.