Abstract: The driven processes of Wiener and Lévy are known
self-standing Gaussian-Markov processes for fitting non-linear
dynamical Vasciek model. In this paper, a coincidental Gaussian
density stationarity condition and autocorrelation function of the
two driven processes were established. This led to the conflation
of Wiener and Lévy processes so as to investigate the efficiency
of estimates incorporated into the one-dimensional Vasciek model
that was estimated via the Maximum Likelihood (ML) technique.
The conditional laws of drift, diffusion and stationarity process
was ascertained for the individual Wiener and Lévy processes as
well as the commingle of the two processes for a fixed effect
and Autoregressive like Vasciek model when subjected to financial
series; exchange rate of Naira-CFA Franc. In addition, the model
performance error of the sub-merged driven process was miniature
compared to the self-standing driven process of Wiener and Lévy.
Abstract: This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.
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: A non-stationary stochastic optimization methodology
is applied to an OWC (oscillating water column) to find the design
that maximizes the wave energy extraction. Different temporal cycles
are considered to represent the long-term variability of the wave
climate at the site in the optimization problem. The results of the
non-stationary stochastic optimization problem are compared against
those obtained by a stationary stochastic optimization problem. The
comparative analysis reveals that the proposed non-stationary
optimization provides designs with a better fit to reality. However,
the stationarity assumption can be adequate when looking at averaged
system response.
Abstract: The purpose of this paper is to investigate the relationship among the key macroeconomic variables and Islamic stock market in India. This study is based on the time series data of financial years 2009-2015 to explore the consistency of relationship between macroeconomic variables and Shariah Indices. The ADF (Augmented Dickey–Fuller Test Statistic) and PP (Phillips–Perron Test Statistic) tests are employed to check stationarity of the data. The study depicts the long run relationship between Shariah indices and macroeconomic variables by using the Johansen Co-integration test. BSE Shariah and Nifty Shariah have uni-direct Granger causality. The outcome of VECM is significantly confirming the applicability of best fitted model. Thus, Islamic stock indices are proficiently working for the development of Indian economy. It suggests that by keeping eyes on Islamic stock market which will be more interactive in the future with other macroeconomic variables.
Abstract: Remotely sensed data are a significant source for monitoring and updating databases for land use/cover. Nowadays, changes detection of urban area has been a subject of intensive researches. Timely and accurate data on spatio-temporal changes of urban areas are therefore required. The data extracted from multi-temporal satellite images are usually non-stationary. In fact, the changes evolve in time and space. This paper is an attempt to propose a methodology for changes detection in urban area by combining a non-stationary decomposition method and stochastic modeling. We consider as input of our methodology a sequence of satellite images I1, I2, … In at different periods (t = 1, 2, ..., n). Firstly, a preprocessing of multi-temporal satellite images is applied. (e.g. radiometric, atmospheric and geometric). The systematic study of global urban expansion in our methodology can be approached in two ways: The first considers the urban area as one same object as opposed to non-urban areas (e.g. vegetation, bare soil and water). The objective is to extract the urban mask. The second one aims to obtain a more knowledge of urban area, distinguishing different types of tissue within the urban area. In order to validate our approach, we used a database of Tres Cantos-Madrid in Spain, which is derived from Landsat for a period (from January 2004 to July 2013) by collecting two frames per year at a spatial resolution of 25 meters. The obtained results show the effectiveness of our method.
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: This study investigates the relationship between external debt and military spending in case of India over the period of 1970–2012. In doing so, we have applied the structural break unit root tests to examine stationarity properties of the variables. The Auto-Regressive Distributed Lag (ARDL) bounds testing approach is used to test whether cointegration exists in presence of structural breaks stemming in the series. Our results indicate the cointegration among external debt, military spending, debt servicing, and economic growth. Moreover, military spending and debt servicing add in external debt. Economic growth helps in lowering external debt. The Vector Error Correction Model (VECM) analysis and Granger causality test reveal that military spending and economic growth cause external debt. The feedback effect also exists between external debt and debt servicing in case of India.
Abstract: As the Malaysian residential electricity consumption continued to increase rapidly, effective energy policies, which address factors affecting residential electricity consumption, is urgently needed. This study attempts to investigate the relationship between residential electricity consumption (EC), real disposable income (Y), price of electricity (Pe) and population (Po) in Malaysia for 1978-2011 period. Unlike previous studies on Malaysia, the current study focuses on the residential sector, a sector that is important for the contemplation of energy policy. The Phillips-Perron (P-P) unit root test is employed to infer the stationarity of each variable while the bound test is executed to determine the existence of co-integration relationship among the variables, modelled in an Autoregressive Distributed Lag (ARDL) framework. The CUSUM and CUSUM of squares tests are applied to ensure the stability of the model. The results suggest the existence of long-run equilibrium relationship and bidirectional Granger causality between EC and the macroeconomic variables. The empirical findings will help policy makers of Malaysia in developing new monitoring standards of energy consumption. As it is the major contributing factor in economic growth and CO2 emission, there is a need for more proper planning in Malaysia to attain future targets in order to cut emissions.
Abstract: This paper aims to examine whether a bubble is present in the housing market of China. Thus, we use the housing price-to-income ratios and housing price-to-rent ratios of 35 cities from 1998 to 2010. The methods of the panel KSS unit root test with a Fourier function and the SPSM process are likewise used. The panel KSS unit root test with a Fourier function considers the problem of non-linearity and structural changes, and the SPSM process can avoid the stationary time series from dominating the result-generated bias. Through a rigorous empirical study, we determine that the housing price-to-income ratios are stationary in 34 of the 35 cities in China. Only Xining is non-stationary. The housing price-to-rent ratios are stationary in 32 of the 35 cities in China. Chengdu, Fuzhou, and Zhengzhou are non-stationary. Overall, the housing bubbles are not a serious problem in China at the time.
Abstract: In clinical practice, the selection of an antidepressant often degrades to lengthy trial-and-error. In this work we employ a normalized wavelet power of alpha waves as a biomarker of antidepressant treatment response. This novel EEG metric takes into account both non-stationarity and intersubject variability of alpha waves. We recorded resting, 19-channel EEG (closed eyes) in 22 inpatients suffering from unipolar (UD, n=10) or bipolar (BD, n=12) depression. The EEG measurement was done at the end of the short washout period which followed previously unsuccessful pharmacotherapy. The normalized alpha wavelet power of 11 responders was markedly different than that of 11 nonresponders at several, mostly temporoparietal sites. Using the prediction of treatment response based on the normalized alpha wavelet power, we achieved 81.8% sensitivity and 81.8% specificity for channel T4.
Abstract: Extreme rainfall frequency analysis for Meteorological Sub-Division 4 of India was analyzed using L-moments approach. Serial Correlation and Mann Kendall tests were conducted for checking serially independent and stationarity of the observations. The discordancy measure for the sites was conducted to detect the discordant sites. The regional homogeneity was tested by comparing with 500 generated homogeneous regions using a 4 parameter Kappa distribution. The best fit distribution was selected based on ZDIST statistics and L-moments ratio diagram from the five extreme value distributions GPD, GLO, GEV, P3 and LP3. The LN3 distribution was selected and regional rainfall frequency relationship was established using index-rainfall procedure. A regional mean rainfall relationship was developed using multiple linear regression with latitude and longitude of the sites as variables.
Abstract: In this paper the core objective is to apply discrete wavelet transform and maximal overlap discrete wavelet transform functions namely Haar, Daubechies2, Symmlet4, Coiflet2 and discrete approximation of the Meyer wavelets in non stationary financial time series data from Dow Jones index (DJIA30) of US stock market. The data consists of 2048 daily data of closing index from December 17, 2004 to October 23, 2012. Unit root test affirms that the data is non stationary in the level. A comparison between the results to transform non stationary data to stationary data using aforesaid transforms is given which clearly shows that the decomposition stock market index by discrete wavelet transform is better than maximal overlap discrete wavelet transform for original data.
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.
Abstract: The problem of estimating time-varying regression is
inevitably concerned with the necessity to choose the appropriate
level of model volatility - ranging from the full stationarity of instant
regression models to their absolute independence of each other. In the
stationary case the number of regression coefficients to be estimated
equals that of regressors, whereas the absence of any smoothness
assumptions augments the dimension of the unknown vector by the
factor of the time-series length. The Akaike Information Criterion
is a commonly adopted means of adjusting a model to the given
data set within a succession of nested parametric model classes,
but its crucial restriction is that the classes are rigidly defined by
the growing integer-valued dimension of the unknown vector. To
make the Kullback information maximization principle underlying the
classical AIC applicable to the problem of time-varying regression
estimation, we extend it onto a wider class of data models in which
the dimension of the parameter is fixed, but the freedom of its values
is softly constrained by a family of continuously nested a priori
probability distributions.
Abstract: This study applies the sequential panel selection
method (SPSM) procedure proposed by Chortareas and Kapetanios
(2009) to investigate the time-series properties of energy
consumption in 50 US states from 1963 to 2009. SPSM involves the
classification of the entire panel into a group of stationary series and
a group of non-stationary series to identify how many and which
series in the panel are stationary processes. Empirical results obtained
through SPSM with the panel KSS unit root test developed by Ucar
and Omay (2009) combined with a Fourier function indicate that
energy consumption in all the 50 US states are stationary. The results
of this study have important policy implications for the 50 US states.
Abstract: In cognitive radio (CR) systems, the primary user (PU) signal would randomly depart or arrive during the sensing period of a CR user, which is referred to as the high traffic environment. In this paper, we propose a novel spectrum sensing scheme based
on the cyclostationarity of PU signals in high traffic environments. Specifically, we obtain a test statistic by applying an estimate of spectral autocoherence function of the PU signal to the generalized- likelihood ratio. From numerical results, it is confirmed that the proposed scheme provides a better spectrum sensing performance compared with the conventional spectrum sensing scheme based on the energy of the PU signals in high traffic environments.