Search results for "Time series"
showing 10 items of 247 documents
Introducing the DYNAMICS framework of moment-to-moment development in achievement motivation
2022
This article introduces a new theoretical and psychometric framework describing moment-to-moment development and inter-dependencies of achievement motivation in terms of the situated expectancy-value theory, by introducing dynamical systems concepts into this line of research. As a first empirical example of a study using this framework, we examined whether task values, costs, and success expectancies measured in a learning situation (time point t) predicted themselves and each other at the next situation (t + 1; 27 min later) within a weekly university lecture. Situational task values, expectancies, and costs were assessed using the experience sampling method in 155 university teacher trai…
Modeling foreign exchange market activity around macroeconomic news: Hawkes-process approach
2015
We present a Hawkes-model approach to the foreign exchange market in which the high-frequency price dynamics is affected by a self-exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By focusing on time windows around the news announcement, we find that the model is able to capture the increase of trading activity after the news, both when the news has a sizable effect on volatility and when this effect is negligible, either because the news in not important or because the announcement is in line with the forecast by analysts. We extend the model by considering noncausal effects, due to the fact that the existence of the news (but not…
Noise Reduction and Gap Filling of fAPAR Time Series Using an Adapted Local Regression Filter
2014
Time series of remotely sensed data are an important source of information for understanding land cover dynamics. In particular, the fraction of absorbed photosynthetic active radiation (fAPAR) is a key variable in the assessment of vegetation primary production over time. However, the fAPAR series derived from polar orbit satellites are not continuous and consistent in space and time. Filtering methods are thus required to fill in gaps and produce high-quality time series. This study proposes an adapted (iteratively reweighted) local regression filter (LOESS) and performs a benchmarking intercomparison with four popular and generally applicable smoothing methods: Double Logistic (DLOG), sm…
ICA and stochastic volatility models
2016
We consider multivariate time series where each component series is an unknown linear combination of latent mutually independent stationary time series. Multivariate financial time series have often periods of low volatility followed by periods of high volatility. This kind of time series have typically non-Gaussian stationary distributions, and therefore standard independent component analysis (ICA) tools such as fastICA can be used to extract independent component series even though they do not utilize any information on temporal dependence. In this paper we review some ICA methods used in the context of stochastic volatility models. We also suggest their modifications which use nonlinear…
Wiener-Granger Causality in Network Physiology with Applications to Cardiovascular Control and Neuroscience
2016
Since the operative definition given by C. W. J. Granger of an idea expressed by N. Wiener, the Wiener–Granger causality (WGC) has been one of the most relevant concepts exploited by modern time series analysis. Indeed, in networks formed by multiple components, working according to the notion of segregation and interacting with each other according to the principle of integration, inferring causality has opened a window on the effective connectivity of the network and has linked experimental evidences to functions and mechanisms. This tutorial reviews predictability improvement, information-based and frequency domain methods for inferring WGC among physiological processes from multivariate…
Synergy of Sentinel-1 and Sentinel-2 Time Series for Cloud-Free Vegetation Water Content Mapping with Multi-Output Gaussian Processes
2023
Optical Earth Observation is often limited by weather conditions such as cloudiness. Radar sensors have the potential to overcome these limitations, however, due to the complex radar-surface interaction, the retrieving of crop biophysical variables using this technology remains an open challenge. Aiming to simultaneously benefit from the optical domain background and the all-weather imagery provided by radar systems, we propose a data fusion approach focused on the cross-correlation between radar and optical data streams. To do so, we analyzed several multiple-output Gaussian processes (MOGP) models and their ability to fuse efficiently Sentinel-1 (S1) Radar Vegetation Index (RVI) and Senti…
Exploring a large dataset : typical behavior of UHF signal propagation
2020
Radioverkon suunnittelua ja käyttöä varten täytyy radio aaltojen eteneminen ymmärtää hyvin. Tässä tutkimuksessa tutustutaan laajaan mittausaineistoon hetkellisiä tehoja maanlaajuisesta UHF verkosta. Spektrianalyysillä todettiin mitatussa tehossa olevan jaksollista vaihtelua taajuuksilla kerran ja kahdesti päivässä. Myös nopeampaa vaihtelua välillä 0:1 mHz ja 1:4 mHz todettiin 34% yhteyksistä. Hierarkisella ryhmittelyllä etsittiin tyypilliset mittausten arvojakaumat. Saaduissa arvojakaumien ryhmissä oli eri levyisiä vasemmalle tai oikealle vinoja tai symmetrisiä jakaumia. The design and operation of radio networks requires good understanding of radio propagation. This study explores a datase…
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…
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…
Gap Filling of Biophysical Parameter Time Series with Multi-Output Gaussian Processes
2018
In this work we evaluate multi-output (MO) Gaussian Process (GP) models based on the linear model of coregionalization (LMC) for estimation of biophysical parameter variables under a gap filling setup. In particular, we focus on LAI and fAPAR over rice areas. We show how this problem cannot be solved with standard single-output (SO) GP models, and how the proposed MO-GP models are able to successfully predict these variables even in high missing data regimes, by implicitly performing an across-domain information transfer. CICYT TIN2015-64210-R In this work we evaluate multi-output (MO) Gaussian Process (GP) models based on the linear model of coregionalization (LMC) for estimation of biophy…