Early marketing matters:a time-varying parameter approach to persistence modeling

Are persistent marketing effects most likely to appear right after the introduction of a product? The authors give an affirmative answer to this question by developing a model that explicitly reports how persistent and transient marketing effects evolve over time. The proposed model provides managers with a valuable tool to evaluate their allocation of marketing expenditures over time. An application of the model to many pharmaceutical products, estimated through (exact initial) Kalman filtering, indicates that both persistent and transient effects occur predominantly immediately after a brand's introduction. Subsequently, the size of the effects declines. The authors theoretically and empirically compare their methodology with methodology based on unit root testing and demonstrate that the need for unit root tests creates difficulties in applying conventional persistence modeling. The authors recommend that marketing models should either accommodate persistent effects that change over time or be applied to mature brands or limited time windows only.

Parameter-dependent H∞ control for time varying delay polytopic systems

This paper addresses the robust stabilization and H_∞ control problem for a class of linear polytopic systems with continuously distributed delays. The control objective is to design a robust H_∞ controller that satisfies some exponential stability constraints on the closed-loop poles. Using improved parameter-dependent Lyapunov Krasovskii functionals, new delay-dependent conditions for the robust H_∞ control are established in terms of linear matrix inequalities.

Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Capturability of Augmented Pure Proportional Navigation Guidance Against Time-Varying Target Maneuvers

This paper proposes a variation of the pure proportional navigation guidance law, called augmented pure proportional navigation, to account for target maneuvers, in a realistic nonlinear engagement geometry, and presents its capturability analysis. These results are in contrast to most work in the literature on augmented proportional navigation laws that consider a linearized geometry imposed upon the true proportional navigation guidance law. Because pure proportional navigation guidance law is closer to a realistic implementation of proportional navigation than true proportional navigation law, and any engagement process is predominantly nonlinear, the results obtained in this paper are more realistic than any available in the literature. Sufficient conditions on speed ratio, navigation gain, and augmentation parameter for capturability, and boundedness of lateral acceleration, against targets executing piecewise continuous maneuvers with time, are obtained. Further, based on a priori knowledge of the maximum maneuver capability of the target, a significant simplification of the guidance law is proposed in this paper. The proposed guidance law is also shown to require a shorter time of interception than standard pure proportional navigation and augmented proportional navigation. To remove chattering in the interceptor maneuver at the end phase of the engagement, a hybrid guidance law using augmented pure proportional navigation and pure proportional navigation is also proposed. Finally, the guaranteed capture zones of standard and augmented pure proportional navigation guidance laws against maneuvering targets are analyzed and compared in the normalized relative velocity space. It is shown that the guaranteed capture zone expands significantly when augmented pure proportional navigation is used instead of pure proportional navigation. Simulation results are given to support the theoretical findings.

TIME VARYING LINEAR PREDICTION USING SPARSITY CONSTRAINTS

Time-varying linear prediction has been studied in the context of speech signals, in which the auto-regressive (AR) coefficients of the system function are modeled as a linear combination of a set of known bases. Traditionally, least squares minimization is used for the estimation of model parameters of the system. Motivated by the sparse nature of the excitation signal for voiced sounds, we explore the time-varying linear prediction modeling of speech signals using sparsity constraints. Parameter estimation is posed as a 0-norm minimization problem. The re-weighted 1-norm minimization technique is used to estimate the model parameters. We show that for sparsely excited time-varying systems, the formulation models the underlying system function better than the least squares error minimization approach. Evaluation with synthetic and real speech examples show that the estimated model parameters track the formant trajectories closer than the least squares approach.

Response of linear, viscous damped systems to excitations having time-varying frequency

The response of linear, viscous damped systems to excitations having time-varying frequency is the subject of exact and approximate analyses, which are supplemented by an analog computer study of single degree of freedom system response to excitations having frequencies depending linearly and exponentially on time.

The technique of small perturbations and the methods of stationary phase and saddle-point integration, as well as a novel bounding procedure, are utilized to derive approximate expressions characterizing the system response envelope—particularly near resonances—for the general time-varying excitation frequency.

Descriptive measurements of system resonant behavior recorded during the course of the analog study—maximum response, excitation frequency at which maximum response occurs, and the width of the response peak at the half-power level—are investigated to determine dependence upon natural frequency, damping, and the functional form of the excitation frequency.

The laboratory problem of determining the properties of a physical system from records of its response to excitations of this class is considered, and the transient phenomenon known as “ringing” is treated briefly.

It is shown that system resonant behavior, as portrayed by the above measurements and expressions, is relatively insensitive to the specifics of the excitation frequency-time relation and may be described to good order in terms of parameters combining system properties with the time derivative of excitation frequency evaluated at resonance.

One of these parameters is shown useful for predicting whether or not a given excitation having a time-varying frequency will produce strong or subtle changes in the response envelope of a given system relative to the steady-state response envelope. The parameter is shown, additionally, to be useful for predicting whether or not a particular response record will exhibit the “ringing” phenomenon.

Adaptive calibration of a three-microphone system for acoustic waveguide characterization under time-varying conditions

The pressure and velocity field in a one-dimensional acoustic waveguide can be sensed in a non-intrusive manner using spatially distributed microphones. Experimental characterization with sensor arrangements of this type has many applications in measurement and control. This paper presents a method for measuring the acoustic variables in a duct under fluctuating propagation conditions with specific focus on in-system calibration and tracking of the system parameters of a three-microphone measurement configuration. The tractability of the non-linear optimization problem that results from taking a parametric approach is investigated alongside the influence of extraneous measurement noise on the parameter estimates. The validity and accuracy of the method are experimentally assessed in terms of the ability of the calibrated system to separate the propagating waves under controlled conditions. The tracking performance is tested through measurements with a time-varying mean flow, including an experiment conducted under propagation conditions similar to those in a wind instrument during playing.

New delay-dependent stability criteria for uncertain neutral systems with mixed time-varying delays and nonlinear perturbations

The problem of stability analysis for a class of neutral systems with mixed time-varying neutral, discrete and distributed delays and nonlinear parameter perturbations is addressed. By introducing a novel Lyapunov-Krasovskii functional and combining the descriptor model transformation, the Leibniz-Newton formula, some free-weighting matrices, and a suitable change of variables, new sufficient conditions are established for the stability of the considered system, which are neutral-delay-dependent, discrete-delay-range dependent, and distributeddelay-dependent. The conditions are presented in terms of linear matrix inequalities (LMIs) and can be efficiently solved using convex programming techniques. Two numerical examples are given to illustrate the efficiency of the proposed method

New H∞ control design for polytopic systems with mixed time-varying delays in state and input

This paper concerns with the problem of state-feedback H∞ control design for a class of linear systems with polytopic uncertainties and mixed time-varying delays in state and input. Our approach can be described as follows. We first construct a state-feedback controller based on the idea of parameter-dependent controller design. By constructing a new parameter-dependent Lyapunov-Krasovskii functional (LKF), we then derive new delay-dependent conditions in terms of linear matrix inequalities ensuring the exponential stability of the corresponding closed-loop system with a H∞ disturbance attenuation level. The effectiveness and applicability of the obtained results are demonstrated by practical examples.

Delay-dependent robust H-infinity control for uncertain systems with time-varying delay

This paper proposes a new approach for delay-dependent robust H-infinity stability analysis and control synthesis of uncertain systems with time-varying delay. The key features of the approach include the introduction of a new Lyapunov–Krasovskii functional, the construction of an augmented matrix with uncorrelated terms, and the employment of a tighter bounding technique. As a result, significant performance improvement is achieved in system analysis and synthesis without using either free weighting matrices or model transformation. Examples are given to demonstrate the effectiveness of the proposed approach.

New Approach on Robust Delay-Dependent H∞ Control for Uncertain T-S Fuzzy Systems With Interval Time-Varying Delay

This paper investigates the robust H∞ control for Takagi-Sugeno (T-S) fuzzy systems with interval time-varying delay. By employing a new and tighter integral inequality and constructing an appropriate type of Lyapunov functional, delay-dependent stability criteria are derived for the control problem. Because neither any model transformation nor free weighting matrices are employed in our theoretical derivation, the developed stability criteria significantly improve and simplify the existing stability conditions. Also, the maximum allowable upper delay bound and controller feedback gains can be obtained simultaneously from the developed approach by solving a constrained convex optimization problem. Numerical examples are given to demonstrate the effectiveness of the proposed methods.