scholarly journals Forecasting transaction counts with integer-valued GARCH models

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Abdelhakim Aknouche ◽  
Bader S. Almohaimeed ◽  
Stefanos Dimitrakopoulos

Abstract Using numerous transaction data on the number of stock trades, we conduct a forecasting exercise with INGARCH models, governed by various conditional distributions; the Poisson, the linear and quadratic negative binomial, the double Poisson and the generalized Poisson. The model parameters are estimated with efficient Markov Chain Monte Carlo methods, while forecast evaluation is done by calculating point and density forecasts.

2008 ◽  
Vol 10 (2) ◽  
pp. 153-162 ◽  
Author(s):  
B. G. Ruessink

When a numerical model is to be used as a practical tool, its parameters should preferably be stable and consistent, that is, possess a small uncertainty and be time-invariant. Using data and predictions of alongshore mean currents flowing on a beach as a case study, this paper illustrates how parameter stability and consistency can be assessed using Markov chain Monte Carlo. Within a single calibration run, Markov chain Monte Carlo estimates the parameter posterior probability density function, its mode being the best-fit parameter set. Parameter stability is investigated by stepwise adding new data to a calibration run, while consistency is examined by calibrating the model on different datasets of equal length. The results for the present case study indicate that various tidal cycles with strong (say, >0.5 m/s) currents are required to obtain stable parameter estimates, and that the best-fit model parameters and the underlying posterior distribution are strongly time-varying. This inconsistent parameter behavior may reflect unresolved variability of the processes represented by the parameters, or may represent compensational behavior for temporal violations in specific model assumptions.


2013 ◽  
Vol 10 (88) ◽  
pp. 20130650 ◽  
Author(s):  
Samik Datta ◽  
James C. Bull ◽  
Giles E. Budge ◽  
Matt J. Keeling

We investigate the spread of American foulbrood (AFB), a disease caused by the bacterium Paenibacillus larvae , that affects bees and can be extremely damaging to beehives. Our dataset comes from an inspection period carried out during an AFB epidemic of honeybee colonies on the island of Jersey during the summer of 2010. The data include the number of hives of honeybees, location and owner of honeybee apiaries across the island. We use a spatial SIR model with an underlying owner network to simulate the epidemic and characterize the epidemic using a Markov chain Monte Carlo (MCMC) scheme to determine model parameters and infection times (including undetected ‘occult’ infections). Likely methods of infection spread can be inferred from the analysis, with both distance- and owner-based transmissions being found to contribute to the spread of AFB. The results of the MCMC are corroborated by simulating the epidemic using a stochastic SIR model, resulting in aggregate levels of infection that are comparable to the data. We use this stochastic SIR model to simulate the impact of different control strategies on controlling the epidemic. It is found that earlier inspections result in smaller epidemics and a higher likelihood of AFB extinction.


2017 ◽  
Vol 14 (18) ◽  
pp. 4295-4314 ◽  
Author(s):  
Dan Lu ◽  
Daniel Ricciuto ◽  
Anthony Walker ◽  
Cosmin Safta ◽  
William Munger

Abstract. Calibration of terrestrial ecosystem models is important but challenging. Bayesian inference implemented by Markov chain Monte Carlo (MCMC) sampling provides a comprehensive framework to estimate model parameters and associated uncertainties using their posterior distributions. The effectiveness and efficiency of the method strongly depend on the MCMC algorithm used. In this work, a differential evolution adaptive Metropolis (DREAM) algorithm is used to estimate posterior distributions of 21 parameters for the data assimilation linked ecosystem carbon (DALEC) model using 14 years of daily net ecosystem exchange data collected at the Harvard Forest Environmental Measurement Site eddy-flux tower. The calibration of DREAM results in a better model fit and predictive performance compared to the popular adaptive Metropolis (AM) scheme. Moreover, DREAM indicates that two parameters controlling autumn phenology have multiple modes in their posterior distributions while AM only identifies one mode. The application suggests that DREAM is very suitable to calibrate complex terrestrial ecosystem models, where the uncertain parameter size is usually large and existence of local optima is always a concern. In addition, this effort justifies the assumptions of the error model used in Bayesian calibration according to the residual analysis. The result indicates that a heteroscedastic, correlated, Gaussian error model is appropriate for the problem, and the consequent constructed likelihood function can alleviate the underestimation of parameter uncertainty that is usually caused by using uncorrelated error models.


2002 ◽  
Vol 6 (5) ◽  
pp. 883-898 ◽  
Author(s):  
K. Engeland ◽  
L. Gottschalk

Abstract. This study evaluates the applicability of the distributed, process-oriented Ecomag model for prediction of daily streamflow in ungauged basins. The Ecomag model is applied as a regional model to nine catchments in the NOPEX area, using Bayesian statistics to estimate the posterior distribution of the model parameters conditioned on the observed streamflow. The distribution is calculated by Markov Chain Monte Carlo (MCMC) analysis. The Bayesian method requires formulation of a likelihood function for the parameters and three alternative formulations are used. The first is a subjectively chosen objective function that describes the goodness of fit between the simulated and observed streamflow, as defined in the GLUE framework. The second and third formulations are more statistically correct likelihood models that describe the simulation errors. The full statistical likelihood model describes the simulation errors as an AR(1) process, whereas the simple model excludes the auto-regressive part. The statistical parameters depend on the catchments and the hydrological processes and the statistical and the hydrological parameters are estimated simultaneously. The results show that the simple likelihood model gives the most robust parameter estimates. The simulation error may be explained to a large extent by the catchment characteristics and climatic conditions, so it is possible to transfer knowledge about them to ungauged catchments. The statistical models for the simulation errors indicate that structural errors in the model are more important than parameter uncertainties. Keywords: regional hydrological model, model uncertainty, Bayesian analysis, Markov Chain Monte Carlo analysis


2018 ◽  
Author(s):  
R.L. Harms ◽  
A. Roebroeck

AbstractIn diffusion MRI analysis, advances in biophysical multi-compartment modeling have gained popularity over the conventional Diffusion Tensor Imaging (DTI), because they possess greater specificity in relating the dMRI signal to underlying cellular microstructure. Biophysical multi-compartment models require parameter estimation, typically performed using either Maximum Likelihood Estimation (MLE) or using Monte Carlo Markov Chain (MCMC) sampling. Whereas MLE provides only a point estimate of the fitted model parameters, MCMC recovers the entire posterior distribution of the model parameters given the data, providing additional information such as parameter uncertainty and correlations. MCMC sampling is currently not routinely applied in dMRI microstructure modeling because it requires adjustments and tuning specific to each model, particularly in the choice of proposal distributions, burn-in length, thinning and the number of samples to store. In addition, sampling often takes at least an order of magnitude more time than non-linear optimization. Here we investigate the performance of MCMC algorithm variations over multiple popular diffusion microstructure models to see whether a single well performing variation could be applied efficiently and robustly to many models. Using an efficient GPU-based implementation, we show that run times can be removed as a prohibitive constraint for sampling of diffusion multi-compartment models. Using this implementation, we investigated the effectiveness of different adaptive MCMC algorithms, burn-in, initialization and thinning. Finally we apply the theory of Effective Sample Size to diffusion multi-compartment models as a way of determining a relatively general target for the number of samples needed to characterize parameter distributions for different models and datasets. We conclude that robust and fast sampling is achieved in most diffusion microstructure models with the Adaptive Metropolis-Within-Gibbs (AMWG) algorithm initialized with an MLE point estimate, in which case 100 to 200 samples are sufficient as a burn-in and thinning is mostly unnecessary. As a relatively general target for the number of samples, we recommend a multivariate Effective Sample Size of 2200.


2016 ◽  
Author(s):  
Martin L. Rennie ◽  
Richard L Kingston

AbstractThe association and dissociation of protein oligomers is frequently coupled to the binding of ligands, facilitating the regulation of many biological processes. Equilibrium thermodynamic models are needed to describe the linkage between ligand binding and homo-oligomerization. These models must be parameterized in a way that makes physical interpretation straightforward, and allows elaborations or simplifications to be readily incorporated. We propose a systematic framework for the equilibrium analysis of ligand-linked oligomerization, treating in detail the case of a homo-oligomer with cyclic point group symmetry, where each subunit binds a ligand at a single site. Exploiting the symmetry of the oligomer, in combination with a nearest-neighbors approximation, we derive a class of site-specific ligand binding models involving only four parameters, irrespective of the size of the oligomer. The model parameters allow direct quantitative assessment of ligand binding cooperativity, and the influence of ligand binding on protein oligomerization, which are the key questions of biological interest. These models, which incorporate multiple types of linkage, are practically applicable, and we show how Markov Chain Monte Carlo (MCMC) methods can be used to characterize the agreement of the model with experimental data. Simplifications to the model emerge naturally, as its parameters take on extremal values. The nearest-neighbors approximation underpinning the model is transparent, and the model could be augmented in obvious fashion if the approximation were inadequate. The approach is generalizable, and could be used to treat more complex situations, involving more than a single kind of ligand, or a different protein symmetry.Author SummaryThe assembly and disassembly of protein complexes in response to the binding of ligands is a ubiquitous biological phenomenon. This is often linked, in turn, to the activation or deactivation of protein function. Methods are therefore needed to quantitate the linkage or coupling between protein assembly and effector binding, requiring the development of mathematical models describing the coupled binding processes. As proteins usually assemble in a symmetric fashion, the nature of any symmetry present has to be considered during model construction. We have developed a class of models than can effectively describe the coupling between effector binding and protein assembly into symmetric ring-like structures of any size. Despite the relatively complex mathematical form of the models, they are practically applicable. Markov Chain Monte Carlo methods, a form of Bayesian statistical analysis, can be used to analyze the fit of the models to experimental data, and recover the model parameters. This allows the direct assessment of the nature and magnitude of the coupling between effector binding and protein assembly, as well as other relevant characteristics of the system.


2010 ◽  
Vol 62 (6) ◽  
pp. 1393-1400 ◽  
Author(s):  
D. T. McCarthy ◽  
A. Deletic ◽  
V. G. Mitchell ◽  
C. Diaper

This paper presents the sensitivity analysis of a newly developed model which predicts microorganism concentrations in urban stormwater (MOPUS—MicroOrganism Prediction in Urban Stormwater). The analysis used Escherichia coli data collected from four urban catchments in Melbourne, Australia. The MICA program (Model Independent Markov Chain Monte Carlo Analysis), used to conduct this analysis, applies a carefully constructed Markov Chain Monte Carlo procedure, based on the Metropolis-Hastings algorithm, to explore the model's posterior parameter distribution. It was determined that the majority of parameters in the MOPUS model were well defined, with the data from the MCMC procedure indicating that the parameters were largely independent. However, a sporadic correlation found between two parameters indicates that some improvements may be possible in the MOPUS model. This paper identifies the parameters which are the most important during model calibration; it was shown, for example, that parameters associated with the deposition of microorganisms in the catchment were more influential than those related to microorganism survival processes. These findings will help users calibrate the MOPUS model, and will help the model developer to improve the model, with efforts currently being made to reduce the number of model parameters, whilst also reducing the slight interaction identified.


Author(s):  
Q. H. Zhao ◽  
Y. Li ◽  
Y. Wang

This paper presents a novel segmentation method for automatically determining the number of classes in Synthetic Aperture Radar (SAR) images by combining Voronoi tessellation and Reversible Jump Markov Chain Monte Carlo (RJMCMC) strategy. Instead of giving the number of classes <i>a priori</i>, it is considered as a random variable and subject to a Poisson distribution. Based on Voronoi tessellation, the image is divided into homogeneous polygons. By Bayesian paradigm, a posterior distribution which characterizes the segmentation and model parameters conditional on a given SAR image can be obtained up to a normalizing constant; Then, a Revisable Jump Markov Chain Monte Carlo(RJMCMC) algorithm involving six move types is designed to simulate the posterior distribution, the move types including: splitting or merging real classes, updating parameter vector, updating label field, moving positions of generating points, birth or death of generating points and birth or death of an empty class. Experimental results with real and simulated SAR images demonstrate that the proposed method can determine the number of classes automatically and segment homogeneous regions well.


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