scholarly journals A simple scheme for semi-recursive identification of Hammerstein system nonlinearity by Haar wavelets

2013 ◽  
Vol 23 (3) ◽  
pp. 507-520 ◽  
Author(s):  
Przemysław Śliwiński ◽  
Zygmunt Hasiewicz ◽  
Paweł Wachel
Keyword(s):  
Numerical Stability ◽  
Haar Wavelet ◽  
Recursive Identification ◽  
Simulation Experiments ◽  
Simple Scheme ◽  
Output Data ◽  
Hammerstein System ◽  
Identification Scheme ◽  
Moderate Number ◽  
System Nonlinearity

Abstract A simple semi-recursive routine for nonlinearity recovery in Hammerstein systems is proposed. The identification scheme is based on the Haar wavelet kernel and possesses a simple and compact form. The convergence of the algorithm is established and the asymptotic rate of convergence (independent of the input density smoothness) is shown for piecewise- Lipschitz nonlinearities. The numerical stability of the algorithm is verified. Simulation experiments for a small and moderate number of input-output data are presented and discussed to illustrate the applicability of the routine.

The effect of government spending innovations on the Ethiopian economy

2019 ◽  
Vol 11 (1) ◽  
pp. 109-121
Author(s):  
Hayelom Yrgaw Gereziher ◽  
Naser Yenus Nuru
Keyword(s):  
Open Economy ◽  
Government Spending ◽  
Small Open Economy ◽  
Recursive Identification ◽  
Impulse Response Functions ◽  
Size Of Government ◽  
Content Type ◽  
Identification Scheme ◽  
Real Gdp ◽  
Capital Spending

Purpose The purpose of this paper is to estimate the size of government spending components’ multipliers for the Ethiopian economy over the sample period of 2001Q1 up to 2017Q4. Design/methodology/approach The effects of government spending are analyzed by applying short-run contemporaneous restrictions for the identification of shocks in an SVAR in order to estimate multipliers for the small open economy. Accordingly, recursive identification scheme is used in this study. Findings From the impulse response functions, the authors found that aggregate government spending is less effective in stimulating the economy for the study period as evidenced by almost zero multipliers. This can be due to many structural and conjunctural factors that tend to lower the multiplier effects. At a disaggregate level, real GDP responds negatively to capital spending while its effect on recurrent spending is positive and insignificant on impact. The variation to real GDP is best explained by the variation in capital spending as compared to recurrent spending. Originality/value Though almost none in number, little research has been conducted in Ethiopia related to the effect of government spending shock on output. But this research deviates from the previous study by introducing a new methodology which is SVAR with cholesky decomposition. The previous study, however, used Bayesian VAR. Besides to that, using cholesky identification scheme, government spending is decomposed in to recurrent and capital spending to see the effect of government spending components on output and government spending multipliers are also computed both at an aggregate and disaggregate level.

scholarly journals An Exploration of a Balanced Up-downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids

2018 ◽  
Author(s):  
Chong Sun ◽  
Qin Sheng
Keyword(s):  
Finite Difference ◽  
Stochastic Volatility ◽  
Numerical Stability ◽  
Two Dimensional ◽  
Pricing Model ◽  
Simulation Experiments ◽  
First Order ◽  
Volatility Model ◽  
Option Pricing Model ◽  
Model Equations

This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyzed. Semi-discretized and spatially nonuniform platforms are utilized. The numerical method comprised is simple, straightforward with reliable first order overall approximations. The spectral norm is used throughout the investigation and numerical stability is proven. Simulation experiments are given to illustrate our results.

scholarly journals Case of Staphylococcus schleiferi Endocarditis and a Simple Scheme To Identify Clumping Factor-Positive Staphylococci

1999 ◽  
Vol 37 (10) ◽  
pp. 3353-3356 ◽  
Author(s):  
Michael J. Leung ◽  
Nichalas Nuttall ◽  
Margaret Mazur ◽  
Tania L. Taddei ◽  
Michael McComish ◽  
...  
Keyword(s):  
Prosthetic Valve ◽  
Prosthetic Valve Endocarditis ◽  
Coagulase Negative Staphylococcus ◽  
Human Pathogen ◽  
Simple Scheme ◽  
Identification Scheme

Staphylococcus schleiferi is a coagulase-negative staphylococcus infrequently reported as a human pathogen. We report a case of prosthetic valve endocarditis attributed to this organism, contrast it to another Staphylococcus species that gives similar clumping factor results (S. lugdunensis), and propose a simple, effective identification scheme for identification of clumping factor-positive staphylococci.

Recursive least squares identification of heat exchanger system using block-structured models

2021 ◽  
pp. 095965182110549
Author(s):  
Saurav Gupta ◽  
Subhransu Padhee ◽  
Libor Pekar
Keyword(s):  
Heat Exchanger ◽  
Least Squares ◽  
Goodness Of Fit ◽  
Estimation Method ◽  
Recursive Least Squares ◽  
Saturated Steam ◽  
Hammerstein Model ◽  
Recursive Identification ◽  
Identification Scheme ◽  
Block Structured

This study provides a recursive parametric identification scheme for a liquid-saturated steam heat exchanger system. The recursive identification scheme uses block-structured Wiener and Hammerstein models as model structure and recursive least squares estimation scheme as the parameter estimation method. The estimated block-oriented model provides higher accuracy of estimation than linear models provided in the literature. From the simulation results, it is observed that the Wiener model can provide 88% goodness-of-FIT, whereas Hammerstein model can provide 96% goodness-of-FIT using the said technique.

GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES

2017 ◽  
Vol 22 (6) ◽  
pp. 1613-1651 ◽  
Author(s):  
Emanuele Bacchiocchi ◽  
Efrem Castelnuovo ◽  
Luca Fanelli
Keyword(s):  
Monetary Policy ◽  
Break Point ◽  
The United States ◽  
Recursive Identification ◽  
Vector Autoregressive ◽  
Identification Scheme ◽  
Identification Schemes ◽  
Alternative Break ◽  
Short Run ◽  
Monetary Policy Shock

We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVAR) model for the US post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative break-point, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed.

Model Selection of Hammerstein System Nonlinearity under Heavy Noise

2013 ◽  
Vol 46 (11) ◽  
pp. 378-383
Author(s):  
Zygmunt Hasiewicz ◽  
Grzegorz Mzyk ◽  
Przemysław śliwiński ◽  
Paweł Wachel
Keyword(s):  
Model Selection ◽  
Hammerstein System ◽  
System Nonlinearity ◽  
Selection Of
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