Search results for "Time serie"
showing 10 items of 261 documents
Economic policy uncertainty effects for forecasting future real economic activity
2018
Recently introduced measures for Economic Policy Uncertainty (EPU) included in the data from 1997 - 2016 have a role in forecasting out-of-sample values for the future real economic activity for both the euro area and the UK economies. The inclusion of EPU measures, either for the US, the UK or for overall European economies, improves the forecasting ability of models based on standard financial market information, especially for the period before the 2008 global crisis. However, during and after the crisis period, the slope of the yield curve and excess stock market returns improves the out-of-sample forecast performance the most compared to an AR-benchmark model. Hence, the EPU informatio…
A Dirichlet Autoregressive Model for the Analysis of Microbiota Time-Series Data
2021
Growing interest in understanding microbiota dynamics has motivated the development of different strategies to model microbiota time series data. However, all of them must tackle the fact that the available data are high-dimensional, posing strong statistical and computational challenges. In order to address this challenge, we propose a Dirichlet autoregressive model with time-varying parameters, which can be directly adapted to explain the effect of groups of taxa, thus reducing the number of parameters estimated by maximum likelihood. A strategy has been implemented which speeds up this estimation. The usefulness of the proposed model is illustrated by application to a case study.
Théorie de système et séries temporelles
1994
The aim of this paper is to present a different representation of state space models, (innovation state space representation) which is relatively new and apparently unknown in the economics and econometrics literature and to describe some of its properties. state space representation is a very flexible form for time series and the approach taken in this paper therefore allows a broad class of models it does not impose a priori the decomposition of data series into trend and cycle
Holt–Winters Forecasting: An Alternative Formulation Applied to UK Air Passenger Data
2007
Abstract This paper provides a formulation for the additive Holt–Winters forecasting procedure that simplifies both obtaining maximum likelihood estimates of all unknowns, smoothing parameters and initial conditions, and the computation of point forecasts and reliable predictive intervals. The stochastic component of the model is introduced by means of additive, uncorrelated, homoscedastic and Normal errors, and then the joint distribution of the data vector, a multivariate Normal distribution, is obtained. In the case where a data transformation was used to improve the fit of the model, cumulative forecasts are obtained here using a Monte-Carlo approximation. This paper describes the metho…
Kullback-Leibler distance as a measure of the information filtered from multivariate data
2007
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrices of multivariate Gaussian variables we analytically determine the expected values of the Kullback-Leibler distance of a sample correlation matrix from a reference model and we show that the expected values are known also when the specific model is unknown. We propose to make use of the Kullback-Leibler distance to estimate the information extracted from a correlation matrix by correlation filtering procedures. We also show how to use this distance to measure the stability of filtering procedures with respect to s…
Conditional Entropy-Based Evaluation of Information Dynamics in Physiological Systems
2014
We present a framework for quantifying the dynamics of information in coupled physiological systems based on the notion of conditional entropy (CondEn). First, we revisit some basic concepts of information dynamics, providing definitions of self entropy (SE), cross entropy (CE) and transfer entropy (TE) as measures of information storage and transfer in bivariate systems. We discuss also the generalization to multivariate systems, showing the importance of SE, CE and TE as relevant factors in the decomposition of the system predictive information. Then, we show how all these measures can be expressed in terms of CondEn, and devise accordingly a framework for their data-efficient estimation.…
Land-use changes in an agro-pastoral area (Djougou, Benin) from Landsat archive images (1984 and 2012): a regressive approach combining remote sensin…
2018
Extended abstract:The vegetation of the district of Djougou is affected by large changes due to tree logging, crop field clearing and grazing by increasing numbers of livestock. The dynamics of the landscape is analyzed with a time series of Landsat satellite images (1984-2012). A regressive approach, exploiting the field observations and semi-structured interviews conducted in 2012-2013 in the Bakou-Wewe territory, documents the evolution of land use and facilitates the analysis of Landsat images. An original procedure targets the building of Region of interest (ROIs) for the historic images for which no available field observations exists. The study area is located in central Benin (Plate…
Interaction between seismicity and deformation on different time scales in volcanic areas: Campi Flegrei and Stromboli
2019
We study oscillations recorded at Stromboli and Campi Flegrei by different sensors: seismometers, strainmeters and tiltmeters. We examine both the high-frequency (>0.5 Hz) portion of the spectrum and very long period signals up to tidal scales. In this context, seismicity and deformation are investigated on different time scales (from minutes to days/years) in order to identify the basic elements of their interaction, whose understanding should provide new insights on the predictive models. In this work, the strict relation of tides and volcanic processes is shown. At Stromboli, indeed the transition from the stationary phase to the non-stationary phase seems to have a tidal precu…
Effect of a distal weight-bearing implant on visual analog scale scores in 23 transfemoral amputees.
2018
The objective of this interrupted time series clinical trial was to evaluate the effect of a distal weight-bearing implant on well-being in patients with transfemoral amputations using the visual analog scale (VAS). A total of 29 patients from five hospitals with previous transfemoral amputations were surgically implanted with an osseoanchored implant with a distal spacer that allows a direct load on the residuum over the distal surface of the socket. Patients were followed for a 14-month period and assessed presurgically and postsurgically using the VAS. The Wilcoxon test was used to evaluate the differences between variables. VAS mean scores improved significantly after intervention. Sign…
Ten years surface-atmosphere water budget from the ISAC micrometeorological base in Salento peninsula and comments on the aquifer balance
2016
Data from a ten years (2003-2013) period of activity of the ISAC-Lecce micrometeorological station have been discussed focusing on the atmosphere-surface exchange. Some suitable indices have been calculated such as the precipitation intensity, the aridity index and the ground water infiltration fraction (ratio of the difference between precipitation and real evapotranspiration and the precipitation). Possible trends of annual averages in the decadal period are considered, trying to take also into account the statistical uncertainty associated to measurement errors and missing data. The results indicate a significant increasing in the precipitation intensity together with an experimental evi…