Search results for "Time serie"

Price convergence of peripheral European countries on the way to the EMU: A time series approach

2000

This paper examines price and inflation convergence between three European countries (Italy, Spain and the U.K.) and a European average and, alternatively, between them and Germany from the beginning of the 80's.

Evaluating currency crises: the case of the European monetary system

2007

In this paper we examine the nature of currency crises. We ascertain whether the currency crises of the European Monetary System (EMS) were based either on fundamentals, or on self-fulfilling market expectations driven by extrinsic uncertainty. In particular, we extend previous work of Jeanne and Masson (J Int Econ 50:327–350, 2000) regarding the evaluation of currency crisis. We contribute to the existing literature proposing the use of Markov regime-switching with time-varying transition probability model. Our empirical results suggest that the currency crises of the EMS were not due only to market expectations driven by external uncertainty, or ‘sunspots’, but also to fundamental variabl…

Deflation-based separation of uncorrelated stationary time series

2014

In this paper we assume that the observed pp time series are linear combinations of pp latent uncorrelated weakly stationary time series. The problem is then to find an estimate for an unmixing matrix that transforms the observed time series back to uncorrelated time series. The so called SOBI (Second Order Blind Identification) estimate aims at a joint diagonalization of the covariance matrix and several autocovariance matrices with varying lags. In this paper, we propose a novel procedure that extracts the latent time series one by one. The limiting distribution of this deflation-based SOBI is found under general conditions, and we show how the results can be used for the comparison of es…

Dimension reduction for time series in a blind source separation context using r

2021

Funding Information: The work of KN was supported by the CRoNoS COST Action IC1408 and the Austrian Science Fund P31881-N32. The work of ST was supported by the CRoNoS COST Action IC1408. The work of JV was supported by Academy of Finland (grant 321883). We would like to thank the anonymous reviewers for their comments which improved the paper and package considerably. Publisher Copyright: © 2021, American Statistical Association. All rights reserved. Multivariate time series observations are increasingly common in multiple fields of science but the complex dependencies of such data often translate into intractable models with large number of parameters. An alternative is given by first red…

2015

Abstract. The coupling of Earth system model components, which work on different grids, into an Earth System Model (ESM) provokes the necessity to transfer data from one grid to another. Additionally, each of these model components might require data import onto its specific grid. Usually, one of two approaches is used: Either all input data is preprocessed to the employed grid, or the imported data is interpolated on-line, i.e. during model integration to the required grid. For the former, each change in the model resolution requires the re-preprocessing of all data. The latter option implies that in each model integration computing time is required for the grid mapping. If all components …

Information-theoretic assessment of cardiovascular variability during postural and mental stress

2016

This study was aimed at investigating the individual and combined effects of postural and mental stress on short-term cardiovascular regulation. To this end, we applied measures taken from the emerging framework of information dynamics on the beat-to-beat spontaneous variability of RR interval and systolic arterial pressure (SAP) measured from healthy subjects in the resting supine position and during the separate and simultaneous execution of experimental protocols performing head-up tilt (HUT) and mental arithmetics (MA). The information stored in RR interval variability, a measure inversely related to the complexity of the time series, increased significantly during HUT and HUT+MA compar…

An identifiable model to assess frequency-domain Granger causality in the presence of significant instantaneous interactions

2010

We present a new approach for the investigation of Granger causality in the frequency domain by means of the partial directed coherence (PDC). The approach is based on the utilization of an extended multivariate autoregressive (MVAR) model, including instantaneous effects in addition to the lagged effects traditionally studied, to fit the observed multiple time series prior to PDC computation. Model identification is performed combining standard MVAR coefficient estimation with a recent technique for instantaneous causal modeling based on independent component analysis. The approach is first validated on simulated MVAR processes showing that, in the presence of instantaneous effects, only t…

A new framework for the time- and frequency-domain assessment of high-order interactions in networks of random processes

2022

While the standard network description of complex systems is based on quantifying the link between pairs of system units, higher-order interactions (HOIs) involving three or more units often play a major role in governing the collective network behavior. This work introduces a new approach to quantify pairwise and HOIs for multivariate rhythmic processes interacting across multiple time scales. We define the so-called O-information rate (OIR) as a new metric to assess HOIs for multivariate time series, and present a framework to decompose the OIR into measures quantifying Granger-causal and instantaneous influences, as well as to expand all measures in the frequency domain. The framework ex…

Short term Dynamics of tourist Arrivals: What do destination have in common?

2012

This work aims to detect the common short term dynamics to yearly time series of 413 Italian tourist areas. We adopt the clustering technique of Abraham et al. (Scand J Stat. 30:581–595, 2003) who propose a two-stage method which fits the data by B-splines and partitions the estimated model coefficients using a k-means algorithm. The description of each cluster, which identifies a specific kind of dynamics, is made through simple descriptive cross tabulations in order to study how the location of the areas across the regions or their prevailing typology of tourism characterize each group.

A time domain triangle method approach to estimate actual evapotranspiration: Application in a Mediterranean region using MODIS and MSG-SEVIRI produc…

2016

Abstract In this study, spatially distributed estimates of regional actual evapotranspiration (ET) were obtained using a revised procedure of the so called “triangle method” to parameterize the Priestley–Taylor ϕ coefficient. In the procedure herein proposed, named Time-Domain Triangle Method (TDTM), the triangular feature space was parameterized considering pairs of T s –VI values obtained by exploring, for each pixel, only their temporal dynamics. This new method was developed using time series products provided by MODIS and MSG-SEVIRI sensors. Moreover the proposed procedure does not depend on ancillary data, and it is only based on remotely sensed vegetation indices and day–night time l…