Search results for "Time serie"
showing 10 items of 261 documents
Factorial graphical models for dynamic networks
2015
AbstractDynamic network models describe many important scientific processes, from cell biology and epidemiology to sociology and finance. Estimating dynamic networks from noisy time series data is a difficult task since the number of components involved in the system is very large. As a result, the number of parameters to be estimated is typically larger than the number of observations. However, a characteristic of many real life networks is that they are sparse. For example, the molecular structure of genes make interactions with other components a highly-structured and, therefore, a sparse process. Until now, the literature has focused on static networks, which lack specific temporal inte…
A critical view on temperature modelling for application in weather derivatives markets
2012
Author's version of an article published in the journal: Energy Economics. Also available from the publisher at: http://dx.doi.org/10.1016/j.eneco.2011.09.012 In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
GNSS CORS NETWORK OF THE UNIVERSITY OF PALERMO: DESIGN AND FIRST ANALYSIS OF DATA
2020
Nowadays, technical and scientific researches are focused on the use of Global Navigation Satellite System (GNSS) Continuously Operating Reference Stations (CORS) networks due to their global impact on the satellite positioning. This study aims to describe the main steps developed by the University of Palermo for the realization of the GNSS CORS network distributed in the western part of Sicily (Italy). Specifically, it focuses on data availability, preliminary studies and analyses involving the GNSS CORS network, the geodetic framework used, the coordinates and displacements time series retrieved over time and the statistical analysis with the Cumulative Distribution Function (CDF). The an…
Speculative and hedging activities in the European Carbon Market
2015
Abstract We explore the dynamics of the speculative and hedging activities in European futures carbon markets by using volume and open interest data. A comparison of the three phases in the European Union Emission Trading Scheme (EU ETS) reveals that (i) Phase II of the EU ETS seems to be the most speculative phase to date and (ii) the highest degree of speculative activity for every single phase occurs at the moment of listing the contracts for the first time. A seasonality analysis identifies a higher level of speculation in the first quarter of each year, related to the schedule of deadlines of the EU ETS. In addition, a time series analysis confirms that most of the speculative activity…
Extending the spectral decomposition of Granger causality to include instantaneous influences: application to the control mechanisms of heart rate va…
2021
Assessing Granger causality (GC) intended as the influence, in terms of reduction of variance of surprise, that a driver variable exerts on a given target, requires a suitable treatment of ‘instantaneous’ effects, i.e. influences due to interactions whose time scale is much faster than the time resolution of the measurements, due to unobserved confounders or insufficient sampling rate that cannot be increased because the mechanism of generation of the variable is inherently slow (e.g. the heartbeat). We exploit a recently proposed framework for the estimation of causal influences in the spectral domain and include instantaneous interactions in the modelling, thus obtaining (i) a novel index…
Investigating effects in GNSS station coordinate time series
2014
The vertical and horizontal displacements of the Earth can be measured to a high degree of precision using GNSS. Time series of Latvian GNSS station positions of both the EUPOS®-Riga and LatPos networks have been developed at the Institute of Geodesy and Geoinformation of the University of Latvia (LU GGI). In this study the main focus is made on the noise analysis of the obtained time series and site displacement identification. The results of time series have been analysed and distinctive behaviour of EUPOS®-Riga and LatPos station coordinate changes have been identified. The possible dependences of GNSS station coordinate distribution on EPN station problems, seismic activity of some area…
CloudSim: A fair benchmark for comparison of methods for times series reconstruction from cloud and atmospheric contamination
2015
Cloud contamination of optical data is a constant and annoying feature of time series analyses, whether while using vegetation indices or surface temperatures, since it tends to decrease artificially the values taken by these parameters. Therefore, any time series analysis of optical data needs a previous step for gap-filling reconstruction of the time series. Numerous techniques have been presented in the literature to carry out this preliminary and mandatory step. However, the evaluation and comparison of these techniques is difficult, since no “truth” time series is available. We present here a probabilistic model (CloudSim) to provide global typical annual time series for NDVI (Normaliz…
Structure function as a tool in AE and Dst time series analysis
1995
A new method to analyse the structure function (SF) has been constructed and used in the analysis of the AE time series for the years 1978-85 and Dst time series for 1957-84. It is shown that this SF analysis makes a clear distinction between affine and periodicity dominated time series, and it displays the essential periodicities of the series in a range relevant to its characteristic time scale. The AE time series is found to be affine such that the scaling exponent changes at a time scale of 113 (±9) minutes. On the other hand, in the SF function analysis, the Dst data are dominated by the 24-hour and 27-day periods. The 27-day period is modulated by the annual variation.
Functional data analysis for optimizing strategies of cash flow management
2015
The cash management deals with problem of automating and managing cash flow processes. Optimization of the management processes greatly reduces overall cash handling costs. The present analysis is an empirical study of cash flows, from and to bank branches, deriving an underlying theoretical framework, which can in a reasonable way be connected with the optimal strategy. Functional data analysis is considered an appropriate framework to analyse the dynamics of the time series behavior of cash flows: since the observations are not equally spaced in time and their number is different for each series, they are converted in a collection of random curves in a space spanned by finite dimensional …
Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach
2001
Applied macroeconomists have tested for the government intertemporal solvency condition by either testing for linear stationarity in the total government deficit series or testing for linear cointegration between total government spending and total tax revenues. A number of authors have focused, in particular, on structural breaks in the government deficit process. In this paper, we use a smooth transition error correction model to test and estimate a shift in the adjustment toward a linear cointegration relationship between the government spending to output ratio and the total tax revenues to output ratio. Estimation results show that government authorities react only to large (in absolute…