International Science Index

175
10011317
Temporal Signal Processing by Inference Bayesian Approach for Detection of Abrupt Variation of Statistical Characteristics of Noisy Signals
Abstract:

In fields such as neuroscience and especially in cognition modeling of mental processes, uncertainty processing in temporal zone of signal is vital. In this paper, Bayesian online inferences in estimation of change-points location in signal are constructed. This method separated the observed signal into independent series and studies the change and variation of the regime of data locally with related statistical characteristics. We give conditions on simulations of the method when the data characteristics of signals vary, and provide empirical evidence to show the performance of method. It is verified that correlation between series around the change point location and its characteristics such as Signal to Noise Ratios and mean value of signal has important factor on fluctuating in finding proper location of change point. And one of the main contributions of this study is related to representing of these influences of signal statistical characteristics for finding abrupt variation in signal. There are two different structures for simulations which in first case one abrupt change in temporal section of signal is considered with variable position and secondly multiple variations are considered. Finally, influence of statistical characteristic for changing the location of change point is explained in details in simulation results with different artificial signals.

Paper Detail
29
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174
10011273
Time Series Simulation by Conditional Generative Adversarial Net
Abstract:

Generative Adversarial Net (GAN) has proved to be a powerful machine learning tool in image data analysis and generation. In this paper, we propose to use Conditional Generative Adversarial Net (CGAN) to learn and simulate time series data. The conditions include both categorical and continuous variables with different auxiliary information. Our simulation studies show that CGAN has the capability to learn different types of normal and heavy-tailed distributions, as well as dependent structures of different time series. It also has the capability to generate conditional predictive distributions consistent with training data distributions. We also provide an in-depth discussion on the rationale behind GAN and the neural networks as hierarchical splines to establish a clear connection with existing statistical methods of distribution generation. In practice, CGAN has a wide range of applications in market risk and counterparty risk analysis: it can be applied to learn historical data and generate scenarios for the calculation of Value-at-Risk (VaR) and Expected Shortfall (ES), and it can also predict the movement of the market risk factors. We present a real data analysis including a backtesting to demonstrate that CGAN can outperform Historical Simulation (HS), a popular method in market risk analysis to calculate VaR. CGAN can also be applied in economic time series modeling and forecasting. In this regard, we have included an example of hypothetical shock analysis for economic models and the generation of potential CCAR scenarios by CGAN at the end of the paper.

Paper Detail
76
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173
10011220
Forecasting Stock Indexes Using Bayesian Additive Regression Tree
Authors:
Abstract:

Forecasting the stock market is a very challenging task. Various economic indicators such as GDP, exchange rates, interest rates, and unemployment have a substantial impact on the stock market. Time series models are the traditional methods used to predict stock market changes. In this paper, a machine learning method, Bayesian Additive Regression Tree (BART) is used in predicting stock market indexes based on multiple economic indicators. BART can be used to model heterogeneous treatment effects, and thereby works well when models are misspecified. It also has the capability to handle non-linear main effects and multi-way interactions without much input from financial analysts. In this research, BART is proposed to provide a reliable prediction on day-to-day stock market activities. By comparing the analysis results from BART and with time series method, BART can perform well and has better prediction capability than the traditional methods.

Paper Detail
84
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172
10010940
Retail Strategy to Reduce Waste Keeping High Profit Utilizing Taylor's Law in Point-of-Sales Data
Abstract:

Waste reduction is a fundamental problem for sustainability. Methods for waste reduction with point-of-sales (POS) data are proposed, utilizing the knowledge of a recent econophysics study on a statistical property of POS data. Concretely, the non-stationary time series analysis method based on the Particle Filter is developed, which considers abnormal fluctuation scaling known as Taylor's law. This method is extended for handling incomplete sales data because of stock-outs by introducing maximum likelihood estimation for censored data. The way for optimal stock determination with pricing the cost of waste reduction is also proposed. This study focuses on the examination of the methods for large sales numbers where Taylor's law is obvious. Numerical analysis using aggregated POS data shows the effectiveness of the methods to reduce food waste maintaining a high profit for large sales numbers. Moreover, the way of pricing the cost of waste reduction reveals that a small profit loss realizes substantial waste reduction, especially in the case that the proportionality constant  of Taylor’s law is small. Specifically, around 1% profit loss realizes half disposal at =0.12, which is the actual  value of processed food items used in this research. The methods provide practical and effective solutions for waste reduction keeping a high profit, especially with large sales numbers.

Paper Detail
202
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171
10010619
A Spatial Information Network Traffic Prediction Method Based on Hybrid Model
Abstract:

Compared with terrestrial network, the traffic of spatial information network has both self-similarity and short correlation characteristics. By studying its traffic prediction method, the resource utilization of spatial information network can be improved, and the method can provide an important basis for traffic planning of a spatial information network. In this paper, considering the accuracy and complexity of the algorithm, the spatial information network traffic is decomposed into approximate component with long correlation and detail component with short correlation, and a time series hybrid prediction model based on wavelet decomposition is proposed to predict the spatial network traffic. Firstly, the original traffic data are decomposed to approximate components and detail components by using wavelet decomposition algorithm. According to the autocorrelation and partial correlation smearing and truncation characteristics of each component, the corresponding model (AR/MA/ARMA) of each detail component can be directly established, while the type of approximate component modeling can be established by ARIMA model after smoothing. Finally, the prediction results of the multiple models are fitted to obtain the prediction results of the original data. The method not only considers the self-similarity of a spatial information network, but also takes into account the short correlation caused by network burst information, which is verified by using the measured data of a certain back bone network released by the MAWI working group in 2018. Compared with the typical time series model, the predicted data of hybrid model is closer to the real traffic data and has a smaller relative root means square error, which is more suitable for a spatial information network.

Paper Detail
176
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170
10010196
A Comparative Study of Regional Climate Models and Global Coupled Models over Uttarakhand
Abstract:

As a great physiographic divide, the Himalayas affecting a large system of water and air circulation which helps to determine the climatic condition in the Indian subcontinent to the south and mid-Asian highlands to the north. It creates obstacles by defending chill continental air from north side into India in winter and also defends rain-bearing southwesterly monsoon to give up maximum precipitation in that area in monsoon season. Nowadays extreme weather conditions such as heavy precipitation, cloudburst, flash flood, landslide and extreme avalanches are the regular happening incidents in the region of North Western Himalayan (NWH). The present study has been planned to investigate the suitable model(s) to find out the rainfall pattern over that region. For this investigation, selected models from Coordinated Regional Climate Downscaling Experiment (CORDEX) and Coupled Model Intercomparison Project Phase 5 (CMIP5) has been utilized in a consistent framework for the period of 1976 to 2000 (historical). The ability of these driving models from CORDEX domain and CMIP5 has been examined according to their capability of the spatial distribution as well as time series plot of rainfall over NWH in the rainy season and compared with the ground-based Indian Meteorological Department (IMD) gridded rainfall data set. It is noted from the analysis that the models like MIROC5 and MPI-ESM-LR from the both CORDEX and CMIP5 provide the best spatial distribution of rainfall over NWH region. But the driving models from CORDEX underestimates the daily rainfall amount as compared to CMIP5 driving models as it is unable to capture daily rainfall data properly when it has been plotted for time series (TS) individually for the state of Uttarakhand (UK) and Himachal Pradesh (HP). So finally it can be said that the driving models from CMIP5 are better than CORDEX domain models to investigate the rainfall pattern over NWH region.

Paper Detail
327
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169
10010294
Modelling Hydrological Time Series Using Wakeby Distribution
Abstract:
The statistical modelling of precipitation data for a given portion of territory is fundamental for the monitoring of climatic conditions and for Hydrogeological Management Plans (HMP). This modelling is rendered particularly complex by the changes taking place in the frequency and intensity of precipitation, presumably to be attributed to the global climate change. This paper applies the Wakeby distribution (with 5 parameters) as a theoretical reference model. The number and the quality of the parameters indicate that this distribution may be the appropriate choice for the interpolations of the hydrological variables and, moreover, the Wakeby is particularly suitable for describing phenomena producing heavy tails. The proposed estimation methods for determining the value of the Wakeby parameters are the same as those used for density functions with heavy tails. The commonly used procedure is the classic method of moments weighed with probabilities (probability weighted moments, PWM) although this has often shown difficulty of convergence, or rather, convergence to a configuration of inappropriate parameters. In this paper, we analyze the problem of the likelihood estimation of a random variable expressed through its quantile function. The method of maximum likelihood, in this case, is more demanding than in the situations of more usual estimation. The reasons for this lie, in the sampling and asymptotic properties of the estimators of maximum likelihood which improve the estimates obtained with indications of their variability and, therefore, their accuracy and reliability. These features are highly appreciated in contexts where poor decisions, attributable to an inefficient or incomplete information base, can cause serious damages.
Paper Detail
202
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168
10010106
An IM-COH Algorithm Neural Network Optimization with Cuckoo Search Algorithm for Time Series Samples
Abstract:
Back propagation algorithm (BP) is a widely used technique in artificial neural network and has been used as a tool for solving the time series problems, such as decreasing training time, maximizing the ability to fall into local minima, and optimizing sensitivity of the initial weights and bias. This paper proposes an improvement of a BP technique which is called IM-COH algorithm (IM-COH). By combining IM-COH algorithm with cuckoo search algorithm (CS), the result is cuckoo search improved control output hidden layer algorithm (CS-IM-COH). This new algorithm has a better ability in optimizing sensitivity of the initial weights and bias than the original BP algorithm. In this research, the algorithm of CS-IM-COH is compared with the original BP, the IM-COH, and the original BP with CS (CS-BP). Furthermore, the selected benchmarks, four time series samples, are shown in this research for illustration. The research shows that the CS-IM-COH algorithm give the best forecasting results compared with the selected samples.
Paper Detail
496
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167
10010164
Comparison of Machine Learning Models for the Prediction of System Marginal Price of Greek Energy Market
Abstract:

The Greek Energy Market is structured as a mandatory pool where the producers make their bid offers in day-ahead basis. The System Operator solves an optimization routine aiming at the minimization of the cost of produced electricity. The solution of the optimization problem leads to the calculation of the System Marginal Price (SMP). Accurate forecasts of the SMP can lead to increased profits and more efficient portfolio management from the producer`s perspective. Aim of this study is to provide a comparative analysis of various machine learning models such as artificial neural networks and neuro-fuzzy models for the prediction of the SMP of the Greek market. Machine learning algorithms are favored in predictions problems since they can capture and simulate the volatilities of complex time series.

Paper Detail
564
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166
10009912
Automatic Thresholding for Data Gap Detection for a Set of Sensors in Instrumented Buildings
Abstract:
Building systems are highly vulnerable to different kinds of faults and failures. In fact, various faults, failures and human behaviors could affect the building performance. This paper tackles the detection of unreliable sensors in buildings. Different literature surveys on diagnosis techniques for sensor grids in buildings have been published but all of them treat only bias and outliers. Occurences of data gaps have also not been given an adequate span of attention in the academia. The proposed methodology comprises the automatic thresholding for data gap detection for a set of heterogeneous sensors in instrumented buildings. Sensor measurements are considered to be regular time series. However, in reality, sensor values are not uniformly sampled. So, the issue to solve is from which delay each sensor become faulty? The use of time series is required for detection of abnormalities on the delays. The efficiency of the method is evaluated on measurements obtained from a real power plant: an office at Grenoble Institute of technology equipped by 30 sensors.
Paper Detail
431
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165
10009929
Forecasting Issues in Energy Markets within a Reg-ARIMA Framework
Abstract:
Electricity markets throughout the world have undergone substantial changes. Accurate, reliable, clear and comprehensible modeling and forecasting of different variables (loads and prices in the first instance) have achieved increasing importance. In this paper, we describe the actual state of the art focusing on reg-SARMA methods, which have proven to be flexible enough to accommodate the electricity price/load behavior satisfactory. More specifically, we will discuss: 1) The dichotomy between point and interval forecasts; 2) The difficult choice between stochastic (e.g. climatic variation) and non-deterministic predictors (e.g. calendar variables); 3) The confrontation between modelling a single aggregate time series or creating separated and potentially different models of sub-series. The noteworthy point that we would like to make it emerge is that prices and loads require different approaches that appear irreconcilable even though must be made reconcilable for the interests and activities of energy companies.
Paper Detail
364
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164
10009830
Determination of Surface Deformations with Global Navigation Satellite System Time Series
Abstract:

The development of Global Navigation Satellite System (GNSS) technology has led to increasingly widely and successful applications of GNSS surveys for monitoring crustal movements. Instead of the multi-period GNSS solutions, this study utilizes GNSS time series that are required to more precisely determine the vertical deformations in the study area. In recent years, the surface deformations that are parallel and semi-parallel to Bolvadin fault have occurred in Western Anatolia. These surface deformations have continued to occur in Bolvadin settlement area that is located mostly on alluvium ground. Due to these surface deformations, a number of cracks in the buildings located in the residential areas and breaks in underground water and sewage systems have been observed. In order to determine the amount of vertical surface deformations, two continuous GNSS stations have been established in the region. The stations have been operating since 2015 and 2017, respectively. In this study, GNSS observations from the mentioned two GNSS stations were processed with GAMIT/GLOBK (GNSS Analysis Massachusetts Institute of Technology/GLOBal Kalman) program package to create coordinate time series. With the time series analyses, the GNSS stations’ behaviour models (linear, periodical, etc.), the causes of these behaviours, and mathematical models were determined. The study results from the time series analysis of these two 2 GNSS stations show approximately 50-90 mm/yr vertical movement.

Paper Detail
384
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163
10009650
Application of Stochastic Models to Annual Extreme Streamflow Data
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.
Paper Detail
288
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162
10009471
PM10 Prediction and Forecasting Using CART: A Case Study for Pleven, Bulgaria
Abstract:
Ambient air pollution with fine particulate matter (PM10) is a systematic permanent problem in many countries around the world. The accumulation of a large number of measurements of both the PM10 concentrations and the accompanying atmospheric factors allow for their statistical modeling to detect dependencies and forecast future pollution. This study applies the classification and regression trees (CART) method for building and analyzing PM10 models. In the empirical study, average daily air data for the city of Pleven, Bulgaria for a period of 5 years are used. Predictors in the models are seven meteorological variables, time variables, as well as lagged PM10 variables and some lagged meteorological variables, delayed by 1 or 2 days with respect to the initial time series, respectively. The degree of influence of the predictors in the models is determined. The selected best CART models are used to forecast future PM10 concentrations for two days ahead after the last date in the modeling procedure and show very accurate results.
Paper Detail
270
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161
10009477
Statistical and Land Planning Study of Tourist Arrivals in Greece during 2005-2016
Abstract:

During the last 10 years, in spite of the economic crisis, the number of tourists arriving in Greece has increased, particularly during the tourist season from April to October. In this paper, the number of annual tourist arrivals is studied to explore their preferences with regard to the month of travel, the selected destinations, as well the amount of money spent. The collected data are processed with statistical methods, yielding numerical and graphical results. From the computation of statistical parameters and the forecasting with exponential smoothing, useful conclusions are arrived at that can be used by the Greek tourism authorities, as well as by tourist organizations, for planning purposes for the coming years. The results of this paper and the computed forecast can also be used for decision making by private tourist enterprises that are investing in Greece. With regard to the statistical methods, the method of Simple Exponential Smoothing of time series of data is employed. The search for a best forecast for 2017 and 2018 provides the value of the smoothing coefficient. For all statistical computations and graphics Microsoft Excel is used.

Paper Detail
306
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160
10009141
Tools for Analysis and Optimization of Standalone Green Microgrids
Abstract:
Green microgrids using mostly renewable energy (RE) for generation, are complex systems with inherent nonlinear dynamics. Among a variety of different optimization tools there are only a few ones that adequately consider this complexity. This paper evaluates applicability of two somewhat similar optimization tools tailored for standalone RE microgrids and also assesses a machine learning tool for performance prediction that can enhance the reliability of any chosen optimization tool. It shows that one of these microgrid optimization tools has certain advantages over another and presents a detailed routine of preparing input data to simulate RE microgrid behavior. The paper also shows how neural-network-based predictive modeling can be used to validate and forecast solar power generation based on weather time series data, which improves the overall quality of standalone RE microgrid analysis.
Paper Detail
478
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159
10009155
Analyzing the Impact of Spatio-Temporal Climate Variations on the Rice Crop Calendar in Pakistan
Abstract:

The present study investigates the space-time impact of climate change on the rice crop calendar in tropical Gujranwala, Pakistan. The climate change impact was quantified through the climatic variables, whereas the existing calendar of the rice crop was compared with the phonological stages of the crop, depicted through the time series of the Normalized Difference Vegetation Index (NDVI) derived from Landsat data for the decade 2005-2015. Local maxima were applied on the time series of NDVI to compute the rice phonological stages. Panel models with fixed and cross-section fixed effects were used to establish the relation between the climatic parameters and the time-series of NDVI across villages and across rice growing periods. Results show that the climatic parameters have significant impact on the rice crop calendar. Moreover, the fixed effect model is a significant improvement over cross-sectional fixed effect models (R-squared equal to 0.673 vs. 0.0338). We conclude that high inter-annual variability of climatic variables cause high variability of NDVI, and thus, a shift in the rice crop calendar. Moreover, inter-annual (temporal) variability of the rice crop calendar is high compared to the inter-village (spatial) variability. We suggest the local rice farmers to adapt this change in the rice crop calendar.

Paper Detail
469
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158
10008874
Time Series Modelling and Prediction of River Runoff: Case Study of Karkheh River, Iran
Abstract:

Rainfall and runoff phenomenon is a chaotic and complex outcome of nature which requires sophisticated modelling and simulation methods for explanation and use. Time Series modelling allows runoff data analysis and can be used as forecasting tool. In the paper attempt is made to model river runoff data and predict the future behavioural pattern of river based on annual past observations of annual river runoff. The river runoff analysis and predict are done using ARIMA model. For evaluating the efficiency of prediction to hydrological events such as rainfall, runoff and etc., we use the statistical formulae applicable. The good agreement between predicted and observation river runoff coefficient of determination (R2) display that the ARIMA (4,1,1) is the suitable model for predicting Karkheh River runoff at Iran.

Paper Detail
401
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157
10008713
Flood Predicting in Karkheh River Basin Using Stochastic ARIMA Model
Abstract:

Floods have huge environmental and economic impact. Therefore, flood prediction is given a lot of attention due to its importance. This study analysed the annual maximum streamflow (discharge) (AMS or AMD) of Karkheh River in Karkheh River Basin for flood predicting using ARIMA model. For this purpose, we use the Box-Jenkins approach, which contains four-stage method model identification, parameter estimation, diagnostic checking and forecasting (predicting). The main tool used in ARIMA modelling was the SAS and SPSS software. Model identification was done by visual inspection on the ACF and PACF. SAS software computed the model parameters using the ML, CLS and ULS methods. The diagnostic checking tests, AIC criterion, RACF graph and RPACF graphs, were used for selected model verification. In this study, the best ARIMA models for Annual Maximum Discharge (AMD) time series was (4,1,1) with their AIC value of 88.87. The RACF and RPACF showed residuals’ independence. To forecast AMD for 10 future years, this model showed the ability of the model to predict floods of the river under study in the Karkheh River Basin. Model accuracy was checked by comparing the predicted and observation series by using coefficient of determination (R2).

Paper Detail
539
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156
10008714
Empirical Roughness Progression Models of Heavy Duty Rural Pavements
Abstract:

Empirical deterministic models have been developed to predict roughness progression of heavy duty spray sealed pavements for a dataset representing rural arterial roads. The dataset provides a good representation of the relevant network and covers a wide range of operating and environmental conditions. A sample with a large size of historical time series data for many pavement sections has been collected and prepared for use in multilevel regression analysis. The modelling parameters include road roughness as performance parameter and traffic loading, time, initial pavement strength, reactivity level of subgrade soil, climate condition, and condition of drainage system as predictor parameters. The purpose of this paper is to report the approaches adopted for models development and validation. The study presents multilevel models that can account for the correlation among time series data of the same section and to capture the effect of unobserved variables. Study results show that the models fit the data very well. The contribution and significance of relevant influencing factors in predicting roughness progression are presented and explained. The paper concludes that the analysis approach used for developing the models confirmed their accuracy and reliability by well-fitting to the validation data.

Paper Detail
399
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155
10008599
Prediction on Housing Price Based on Deep Learning
Abstract:

In order to study the impact of various factors on the housing price, we propose to build different prediction models based on deep learning to determine the existing data of the real estate in order to more accurately predict the housing price or its changing trend in the future. Considering that the factors which affect the housing price vary widely, the proposed prediction models include two categories. The first one is based on multiple characteristic factors of the real estate. We built Convolution Neural Network (CNN) prediction model and Long Short-Term Memory (LSTM) neural network prediction model based on deep learning, and logical regression model was implemented to make a comparison between these three models. Another prediction model is time series model. Based on deep learning, we proposed an LSTM-1 model purely regard to time series, then implementing and comparing the LSTM model and the Auto-Regressive and Moving Average (ARMA) model. In this paper, comprehensive study of the second-hand housing price in Beijing has been conducted from three aspects: crawling and analyzing, housing price predicting, and the result comparing. Ultimately the best model program was produced, which is of great significance to evaluation and prediction of the housing price in the real estate industry.

Paper Detail
2884
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154
10008676
Comparison of Different Methods to Produce Fuzzy Tolerance Relations for Rainfall Data Classification in the Region of Central Greece
Abstract:

The aim of this paper is the comparison of three different methods, in order to produce fuzzy tolerance relations for rainfall data classification. More specifically, the three methods are correlation coefficient, cosine amplitude and max-min method. The data were obtained from seven rainfall stations in the region of central Greece and refers to 20-year time series of monthly rainfall height average. Three methods were used to express these data as a fuzzy relation. This specific fuzzy tolerance relation is reformed into an equivalence relation with max-min composition for all three methods. From the equivalence relation, the rainfall stations were categorized and classified according to the degree of confidence. The classification shows the similarities among the rainfall stations. Stations with high similarity can be utilized in water resource management scenarios interchangeably or to augment data from one to another. Due to the complexity of calculations, it is important to find out which of the methods is computationally simpler and needs fewer compositions in order to give reliable results.

Paper Detail
638
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153
10008615
Automatic Classification of Periodic Heart Sounds Using Convolutional Neural Network
Abstract:
This paper presents an automatic normal and abnormal heart sound classification model developed based on deep learning algorithm. MITHSDB heart sounds datasets obtained from the 2016 PhysioNet/Computing in Cardiology Challenge database were used in this research with the assumption that the electrocardiograms (ECG) were recorded simultaneously with the heart sounds (phonocardiogram, PCG). The PCG time series are segmented per heart beat, and each sub-segment is converted to form a square intensity matrix, and classified using convolutional neural network (CNN) models. This approach removes the need to provide classification features for the supervised machine learning algorithm. Instead, the features are determined automatically through training, from the time series provided. The result proves that the prediction model is able to provide reasonable and comparable classification accuracy despite simple implementation. This approach can be used for real-time classification of heart sounds in Internet of Medical Things (IoMT), e.g. remote monitoring applications of PCG signal.
Paper Detail
716
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152
10008340
Nonstationarity Modeling of Economic and Financial Time Series
Authors:
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.
Paper Detail
418
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151
10008406
Identification of LTI Autonomous All Pole System Using Eigenvector Algorithm
Abstract:
This paper presents a method for identification of a linear time invariant (LTI) autonomous all pole system using singular value decomposition. The novelty of this paper is two fold: First, MUSIC algorithm for estimating complex frequencies from real measurements is proposed. Secondly, using the proposed algorithm, we can identify the coefficients of differential equation that determines the LTI system by switching off our input signal. For this purpose, we need only to switch off the input, apply our complex MUSIC algorithm and determine the coefficients as symmetric polynomials in the complex frequencies. This method can be applied to unstable system and has higher resolution as compared to time series solution when, noisy data are used. The classical performance bound, Cramer Rao bound (CRB), has been used as a basis for performance comparison of the proposed method for multiple poles estimation in noisy exponential signal.
Paper Detail
525
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150
10008157
A Comparative Analysis of Artificial Neural Network and Autoregressive Integrated Moving Average Model on Modeling and Forecasting Exchange Rate
Abstract:

This paper examines the forecasting performance of Autoregressive Integrated Moving Average (ARIMA) and Artificial Neural Networks (ANN) models with the published exchange rate obtained from South African Reserve Bank (SARB). ARIMA is one of the popular linear models in time series forecasting for the past decades. ARIMA and ANN models are often compared and literature revealed mixed results in terms of forecasting performance. The study used the MSE and MAE to measure the forecasting performance of the models. The empirical results obtained reveal the superiority of ARIMA model over ANN model. The findings further resolve and clarify the contradiction reported in literature over the superiority of ARIMA and ANN models.

Paper Detail
651
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149
10007933
Forecasting the Volatility of Geophysical Time Series with Stochastic Volatility Models
Abstract:
This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.
Paper Detail
480
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148
10008202
Combined Effect of Heat Stimulation and Delay Addition of Superplasticizer with Slag on Fresh and Hardened Property of Mortar
Abstract:

The stock market can provide huge profits in a relatively short time in financial sector; however, it also has a high risk for investors and traders if they are not careful to look the factors that affect the stock market. Therefore, they should give attention to the dynamic fluctuations and movements of the stock market to optimize profits from their investment. In this paper, we present a nonlinear autoregressive exogenous model (NARX) to predict the movements of stock market; especially, the movements of the closing price index. As case study, we consider to predict the movement of the closing price in Indonesia composite index (IHSG) and choose the best structures of NARX for IHSG’s prediction.

Paper Detail
440
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147
10008802
QoS Improvement Using Intelligent Algorithm under Dynamic Tropical Weather for Earth-Space Satellite Applications
Abstract:

In this paper, the intelligent algorithm (IA) that is capable of adapting to dynamical tropical weather conditions is proposed based on fuzzy logic techniques. The IA effectively interacts with the quality of service (QoS) criteria irrespective of the dynamic tropical weather to achieve improvement in the satellite links. To achieve this, an adaptive network-based fuzzy inference system (ANFIS) has been adopted. The algorithm is capable of interacting with the weather fluctuation to generate appropriate improvement to the satellite QoS for efficient services to the customers. 5-year (2012-2016) rainfall rate of one-minute integration time series data has been used to derive fading based on ITU-R P. 618-12 propagation models. The data are obtained from the measurement undertaken by the Communication Research Group (CRG), Physics Department, Federal University of Technology, Akure, Nigeria. The rain attenuation and signal-to-noise ratio (SNR) were derived for frequency between Ku and V-band and propagation angle with respect to different transmitting power. The simulated results show a substantial reduction in SNR especially for application in the area of digital video broadcast-second generation coding modulation satellite networks.

Paper Detail
347
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146
10008187
Historical and Future Rainfall Variations in Bangladesh
Abstract:

Climate change has become a major concern across the world as the intensity along with quantity of the rainfall, mean surface temperature and other climatic parameters have been changed not only in Bangladesh but also in the entire globe. Bangladesh has already experienced many natural hazards. Among them changing of rainfall pattern, erratic and heavy rainfalls are very common. But changes of rainfall pattern and its amount is still in question to some extent. This study aimed to unfold how the historical rainfalls varied over time and how would be their future trends. In this context, historical rainfall data (1975-2014) were collected from Bangladesh Metrological Department (BMD) and then a time series model was developed using Box-Jenkins algorithm in IBM SPSS to forecast the future rainfall. From the historical data analysis, this study revealed that the amount of rainfall decreased over the time and shifted to the post monsoons. Forecasted rainfall shows that the pre-monsoon and early monsoon will get drier in future whereas late monsoon and post monsoon will show huge fluctuations in rainfall magnitudes with temporal variations which means Bangladesh will get comparatively drier seasons in future which may be a serious problem for the country as it depends on agriculture.

Paper Detail
716
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