Abstract: Traditional techniques for analyzing time series are based on the notion of stationarity of phenomena under study, but in reality most economic and financial series do not verify this hypothesis, which implies the implementation of specific tools for the detection of such behavior. In this paper, we study nonstationary non-seasonal time series tests in a non-exhaustive manner. We formalize the problem of nonstationary processes with numerical simulations and take stock of their statistical characteristics. The theoretical aspects of some of the most common unit root tests will be discussed. We detail the specification of the tests, showing the advantages and disadvantages of each. The empirical study focuses on the application of these tests to the exchange rate (USD/TND) and the Consumer Price Index (CPI) in Tunisia, in order to compare the Power of these tests with the characteristics of the series.
Abstract: At present, vibrations of rotors of gas transmittal unit evade sustainable forecasting. This paper describes elastic oscillation modes in resilient supports and rotor impellers modeled during computational experiments with regard to interference in the system of gas-dynamic flow and compressor rotor. Verification of aeroelastic approach was done on model problem of interaction between supersonic jet in shock tube with deformed plate. ANSYS 15.0 engineering analysis system was used as a modeling tool of numerical simulation in this paper. Finite volume method for gas dynamics and finite elements method for assessment of the strain stress state (SSS) components were used as research methods. Rotation speed and material’s elasticity modulus varied during calculations, and SSS components and gas-dynamic parameters in the dynamic system of gas-dynamic flow and compressor rotor were evaluated. The analysis of time dependence demonstrated that gas-dynamic parameters near the rotor blades oscillate at 200 Hz, and SSS parameters at the upper blade edge oscillate four times higher, i.e. with blade frequency. It has been detected that vibration amplitudes correction in the test points at magnetic bearings by aeroelasticity may correspond up to 50%, and about -π/4 for phases.
Abstract: The Random Coefficient Dynamic Regression (RCDR)
model is to developed from Random Coefficient Autoregressive
(RCA) model and Autoregressive (AR) model. The RCDR model
is considered by adding exogenous variables to RCA model. In this
paper, the concept of the Maximum Likelihood (ML) method is used
to estimate the parameter of RCDR(1,1) model. Simulation results
have shown the AIC and BIC criterion to compare the performance of
the the RCDR(1,1) model. The variables as the stationary and weakly
stationary data are good estimates where the exogenous variables
are weakly stationary. However, the model selection indicated that
variables are nonstationarity data based on the stationary data of the
exogenous variables.
Abstract: In this paper, we propose a modified version of the
Constant Modulus Algorithm (CMA) tailored for blind Decision
Feedback Equalizer (DFE) of first order Markovian time varying
channels. The proposed NonStationary CMA (NSCMA) is designed
so that it explicitly takes into account the Markovian structure of
the channel nonstationarity. Hence, unlike the classical CMA, the
NSCMA is not blind with respect to the channel time variations.
This greatly helps the equalizer in the case of realistic channels, and
avoids frequent transmissions of training sequences.
This paper develops a theoretical analysis of the steady state
performance of the CMA and the NSCMA for DFEs within a time
varying context. Therefore, approximate expressions of the mean
square errors are derived. We prove that in the steady state, the
NSCMA exhibits better performance than the classical CMA. These
new results are confirmed by simulation.
Through an experimental study, we demonstrate that the Bit Error
Rate (BER) is reduced by the NSCMA-DFE, and the improvement
of the BER achieved by the NSCMA-DFE is as significant as the
channel time variations are severe.