Hysteretic Poisson INGARCH model for integer-valued time series

2017 ◽  
Vol 17 (6) ◽  
pp. 401-422 ◽  
Author(s):  
Buu-Chau Truong ◽  
Cathy WS Chen ◽  
Songsak Sriboonchitta
Keyword(s):  
Time Series ◽  
Model Comparison ◽  
Monte Carlo Sampling ◽  
Information Criteria ◽  
Model Parameters ◽  
Modelling Framework ◽  
South Wales ◽  
Proposed Model ◽  
Over Dispersion ◽  
Ingarch Model

This study proposes a new model for integer-valued time series—the hysteretic Poisson integer-valued generalized autoregressive conditionally heteroskedastic (INGARCH) model—which has an integrated hysteresis zone in the switching mechanism of the conditional expectation. Our modelling framework provides a parsimonious representation of the salient features of integer-valued time series, such as discreteness, over-dispersion, asymmetry and structural change. We adopt Bayesian methods with a Markov chain Monte Carlo sampling scheme to estimate model parameters and utilize the Bayesian information criteria for model comparison. We then apply the proposed model to five real time series of criminal incidents recorded by the New South Wales Police Force in Australia. Simulation results and empirical analysis highlight the better performance of hysteresis in modelling the integer-valued time series.

scholarly journals Rumor Detection Based on Attention CNN and Time Series of Context Information

2021 ◽  
Vol 13 (11) ◽  
pp. 267
Author(s):  
Yun Peng ◽  
Jianmei Wang
Keyword(s):  
Time Series ◽  
Life Cycles ◽  
Attention Mechanism ◽  
Model Parameters ◽  
Proposed Model ◽  
Svm Algorithm ◽  
Model Training ◽  
Rumor Detection ◽  
Whole Life Cycle ◽  
Better Than

This study aims to explore the time series context and sentiment polarity features of rumors’ life cycles, and how to use them to optimize the CNN model parameters and improve the classification effect. The proposed model is a convolutional neural network embedded with an attention mechanism of sentiment polarity and time series information. Firstly, the whole life cycle of rumors is divided into 20 groups by the time series algorithm and each group of texts is trained by Doc2Vec to obtain the text vector. Secondly, the SVM algorithm is used to obtain the sentiment polarity features of each group. Lastly, the CNN model with the spatial attention mechanism is used to obtain the rumors’ classification. The experiment results show that the proposed model introduced with features of time series and sentiment polarity is very effective for rumor detection, and can greatly reduce the number of iterations for model training as well. The accuracy, precision, recall and F1 of the attention CNN are better than the latest benchmark model.

scholarly journals A New Bivariate Random Coefficient INAR(1) Model with Applications

Symmetry ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 39
Author(s):  
Qi Li ◽  
Huaping Chen ◽  
Xiufang Liu
Keyword(s):  
Time Series ◽  
Random Coefficient ◽  
Finite Sample ◽  
Time Series Of Counts ◽  
New Model ◽  
Excess Zeros ◽  
Proposed Model ◽  
Over Dispersion ◽  
Conditional Maximum ◽  
Stochastic Properties

Excess zeros is a common phenomenon in time series of counts, but it is not well studied in asymmetrically structured bivariate cases. To fill this gap, we first considered a new first-order, bivariate, random coefficient, integer-valued autoregressive model with a bivariate innovation, which follows the asymmetric Hermite distuibution with five parameters. An attractive advantage of the new model is that the dependence between series is achieved by innovative parts and the cross-dependence of the series. In addition, the time series of counts are modeled with excess zeros, low counts and low over-dispersion. Next, we established the stationarity and ergodicity of the new model and found its stochastic properties. We discuss the conditional maximum likelihood (CML) estimate and its asymptotic property. We assessed finite sample performances of estimators through a simulation study. Finally, we demonstrate the superiority of the proposed model by analyzing an artificial dataset and a real dataset.

scholarly journals Study the Trend Pattern in COVID-19 using Spline-Based Time Series Model: A Bayesian Paradigm

2020 ◽  
Author(s):  
Varun Agiwal ◽  
Jitendra Kumar ◽  
Yau Chun Yip
Keyword(s):  
Time Series ◽  
Time Trend ◽  
Spline Function ◽  
Linear Time ◽  
Linear Trend ◽  
Model Parameters ◽  
Linear Pattern ◽  
Linear Time Trend ◽  
Proposed Model ◽  
Non Linear

A vast majority of the countries is under the economic and health crises due to the current epidemic of coronavirus disease 2019 (COVID-19). The present study analyzes the COVID-19 using time series, which is an essential gizmo for knowing the enlargement of infection and its changing behavior, especially the trending model. We have considered an autoregressive model with a non-linear time trend component that approximately converted into the linear trend using the spline function. The spline function split the COVID-19 series into different piecewise segments between respective knots and fitted the linear time trend. First, we obtain the number of knots with its locations in the COVID-19 series and then the estimation of the best-fitted model parameters are determined under Bayesian setup. The results advocate that the proposed model/methodology is a useful procedure to convert the non-linear time trend into a linear pattern of newly coronavirus case for various countries in the pandemic situation of COVID-19.

scholarly journals Threshold Stochastic Conditional Duration Model for Financial Transaction Data

2019 ◽  
Vol 12 (2) ◽  
pp. 88 ◽  
Author(s):  
Zhongxian Men ◽  
Adam W. Kolkiewicz ◽  
Tony S. Wirjanto
Keyword(s):  
Parameter Estimation ◽  
Autoregressive Process ◽  
Information Criteria ◽  
Model Parameters ◽  
Data Sets ◽  
Transaction Data ◽  
Threshold Distribution ◽  
Proposed Model ◽  
Positive Support ◽  
Auxiliary Particle Filter

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent first-order autoregressive process of the log conditional durations switches between two regimes. The regimes are determined by the levels of the observed durations and the TSCD model is specified to be self-excited. A novel Markov-Chain Monte Carlo method (MCMC) is developed for parameter estimation of the model. For model discrimination, we employ deviance information criteria, which does not depend on the number of model parameters directly. Duration forecasting is constructed by using an auxiliary particle filter based on the fitted models. Simulation studies demonstrate that the proposed TSCD model and MCMC method work well in terms of parameter estimation and duration forecasting. Lastly, the proposed model and method are applied to two classic data sets that have been studied in the literature, namely IBM and Boeing transaction data.

scholarly journals Model Selection for Time Series Count Data with Over-Dispersion

2021 ◽  
pp. 60-73
Author(s):  
Saleh Ibrahim Musa ◽  
N. O. Nweze
Keyword(s):  
Time Series ◽  
Count Data ◽  
Negative Binomial ◽  
Time Series Data ◽  
Statistical Modelling ◽  
Information Criteria ◽  
Series Data ◽  
Sample Sizes ◽  
Count Time Series ◽  
Over Dispersion

Time series of count with over-dispersion is the reality often encountered in many biomedical and public health applications.  Statistical modelling of this type of series has been a great challenge. Rottenly, the Poisson and negative binomial distributions have been widely used in practice for discrete count time series data, their forms are too simplistic to accommodate features such as over-dispersion. Unable to account for these associated features while analyzing such data may result in incorrect and sometimes misleading inferences as well as detection of spurious associations. Therefore, the need for further investigation of count time series models suitable to fit count time series with over-dispersion of different level. The study therefore proposed a best model that can fit and forecast time series count data with different levels of over-dispersion and sample sizes Simulation studies were conducted using R statistical package, to investigate the performances of Autoregressiove Conditional Poisson (ACP) and Poisson Autoregressive (PAR) models. The predictive ability of the models were observed at different steps ahead. The relative performance of the models were examined using Akaike Information criteria (AIC) and Hannan-Quinn Information Criteria (HQIC). Conclusively, the best model to fit was ACP at different sample sizes. The predictive abilities of the four fitted models increased as sample size and number of steps ahead were increased

In-Plane Flexible Ring Tire Model—Part 1: Modeling and Parameter Identification

2018 ◽  
Vol 46 (3) ◽  
pp. 174-219 ◽  
Author(s):  
Bin Li ◽  
Xiaobo Yang ◽  
James Yang ◽  
Yunqing Zhang ◽  
Zeyu Ma
Keyword(s):  
Static Load ◽  
Model Parameters ◽  
Tire Model ◽  
Test Results ◽  
Lumped Mass ◽  
Virtual Test ◽  
Proposed Model ◽  
Particle Swarm Method ◽  
Vehicle Dynamic Simulation ◽  
Flexible Ring

ABSTRACT The tire model is essential for accurate and efficient vehicle dynamic simulation. In this article, an in-plane flexible ring tire model is proposed, in which the tire is composed of a rigid rim, a number of discretized lumped mass belt points, and numerous massless tread blocks attached on the belt. One set of tire model parameters is identified by approaching the predicted results with ADAMS® FTire virtual test results for one particular cleat test through the particle swarm method using MATLAB®. Based on the identified parameters, the tire model is further validated by comparing the predicted results with FTire for the static load-deflection tests and other cleat tests. Finally, several important aspects regarding the proposed model are discussed.

EXPONENTIATED HALF-LOGISTIC LOMAX DISTRIBUTION WITH PROPERTIES AND APPLICATION

2019 ◽  
Vol XVI (2) ◽  
pp. 1-11
Author(s):  
Farrukh Jamal ◽  
Hesham Mohammed Reyad ◽  
Soha Othman Ahmed ◽  
Muhammad Akbar Ali Shah ◽  
Emrah Altun
Keyword(s):  
Real Data ◽  
Continuous Model ◽  
Model Parameters ◽  
Data Set ◽  
Lomax Distribution ◽  
Mathematical Properties ◽  
Proposed Model ◽  
Probability Weighted Moment ◽  
Record Statistics ◽  
Maximum Likelihood Criterion

A new three-parameter continuous model called the exponentiated half-logistic Lomax distribution is introduced in this paper. Basic mathematical properties for the proposed model were investigated which include raw and incomplete moments, skewness, kurtosis, generating functions, Rényi entropy, Lorenz, Bonferroni and Zenga curves, probability weighted moment, stress strength model, order statistics, and record statistics. The model parameters were estimated by using the maximum likelihood criterion and the behaviours of these estimates were examined by conducting a simulation study. The applicability of the new model is illustrated by applying it on a real data set.

scholarly journals A Neutrosophic Forecasting Model for Time Series Based on First-Order State and Information Entropy of High-Order Fluctuation

Entropy ◽  
2019 ◽  
Vol 21 (5) ◽  
pp. 455 ◽  
Author(s):  
Hongjun Guan ◽  
Zongli Dai ◽  
Shuang Guan ◽  
Aiwu Zhao
Keyword(s):  
Time Series ◽  
Information Entropy ◽  
Stock Exchange ◽  
Time Series Forecasting ◽  
High Order ◽  
Stock Index ◽  
Neutrosophic Set ◽  
Forecasting Model ◽  
Forecasting Models ◽  
Proposed Model

In time series forecasting, information presentation directly affects prediction efficiency. Most existing time series forecasting models follow logical rules according to the relationships between neighboring states, without considering the inconsistency of fluctuations for a related period. In this paper, we propose a new perspective to study the problem of prediction, in which inconsistency is quantified and regarded as a key characteristic of prediction rules. First, a time series is converted to a fluctuation time series by comparing each of the current data with corresponding previous data. Then, the upward trend of each of fluctuation data is mapped to the truth-membership of a neutrosophic set, while a falsity-membership is used for the downward trend. Information entropy of high-order fluctuation time series is introduced to describe the inconsistency of historical fluctuations and is mapped to the indeterminacy-membership of the neutrosophic set. Finally, an existing similarity measurement method for the neutrosophic set is introduced to find similar states during the forecasting stage. Then, a weighted arithmetic averaging (WAA) aggregation operator is introduced to obtain the forecasting result according to the corresponding similarity. Compared to existing forecasting models, the neutrosophic forecasting model based on information entropy (NFM-IE) can represent both fluctuation trend and fluctuation consistency information. In order to test its performance, we used the proposed model to forecast some realistic time series, such as the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX), the Shanghai Stock Exchange Composite Index (SHSECI), and the Hang Seng Index (HSI). The experimental results show that the proposed model can stably predict for different datasets. Simultaneously, comparing the prediction error to other approaches proves that the model has outstanding prediction accuracy and universality.

scholarly journals A General Temperature-Dependent Stress–Strain Constitutive Model for Polymer-Bonded Composite Materials

Polymers ◽  
2021 ◽  
Vol 13 (9) ◽  
pp. 1393
Author(s):  
Xiaochang Duan ◽  
Hongwei Yuan ◽  
Wei Tang ◽  
Jingjing He ◽  
Xuefei Guan
Keyword(s):  
Composite Materials ◽  
Constitutive Model ◽  
Model Parameters ◽  
Temperature Dependent ◽  
Stress Strain ◽  
Proposed Model ◽  
Single Temperature ◽  
Testing Data ◽  
Bonded Composite ◽  
Tension And Compression

This study develops a general temperature-dependent stress–strain constitutive model for polymer-bonded composite materials, allowing for the prediction of deformation behaviors under tension and compression in the testing temperature range. Laboratory testing of the material specimens in uniaxial tension and compression at multiple temperatures ranging from −40 ∘C to 75 ∘C is performed. The testing data reveal that the stress–strain response can be divided into two general regimes, namely, a short elastic part followed by the plastic part; therefore, the Ramberg–Osgood relationship is proposed to build the stress–strain constitutive model at a single temperature. By correlating the model parameters with the corresponding temperature using a response surface, a general temperature-dependent stress–strain constitutive model is established. The effectiveness and accuracy of the proposed model are validated using several independent sets of testing data and third-party data. The performance of the proposed model is compared with an existing reference model. The validation and comparison results show that the proposed model has a lower number of parameters and yields smaller relative errors. The proposed constitutive model is further implemented as a user material routine in a finite element package. A simple structural example using the developed user material is presented and its accuracy is verified.

scholarly journals A Novel Time-Sensitive Composite Similarity Model for Multivariate Time-Series Correlation Analysis

Entropy ◽  
2021 ◽  
Vol 23 (6) ◽  
pp. 731
Author(s):  
Mengxia Liang ◽  
Xiaolong Wang ◽  
Shaocong Wu
Keyword(s):  
Time Series ◽  
Correlation Analysis ◽  
Stock Price ◽  
Multivariate Time Series ◽  
Temporal Features ◽  
Proposed Model ◽  
Time Series Segmentation ◽  
Similarity Model ◽  
Dynamic Time ◽  
Investment Portfolios

Finding the correlation between stocks is an effective method for screening and adjusting investment portfolios for investors. One single temporal feature or static nontemporal features are generally used in most studies to measure the similarity between stocks. However, these features are not sufficient to explore phenomena such as price fluctuations similar in shape but unequal in length which may be caused by multiple temporal features. To research stock price volatilities entirely, mining the correlation between stocks should be considered from the point view of multiple features described as time series, including closing price, etc. In this paper, a time-sensitive composite similarity model designed for multivariate time-series correlation analysis based on dynamic time warping is proposed. First, a stock is chosen as the benchmark, and the multivariate time series are segmented by the peaks and troughs time-series segmentation (PTS) algorithm. Second, similar stocks are screened out by similarity. Finally, the rate of rising or falling together between stock pairs is used to verify the proposed model’s effectiveness. Compared with other models, the composite similarity model brings in multiple temporal features and is generalizable for numerical multivariate time series in different fields. The results show that the proposed model is very promising.

Sign in / Sign up

Export Citation Format

Share Document