scholarly journals Designing Bivariate Auto-Regressive Timeseries with Controlled Granger Causality

Entropy ◽  
2021 ◽  
Vol 23 (6) ◽  
pp. 742
Author(s):  
Shohei Hidaka ◽  
Takuma Torii
Keyword(s):  
Granger Causality ◽  
Stationary Distribution ◽  
Design Principle ◽  
Transfer Entropy ◽  
Var Model ◽  
Trade Off ◽  
Statistical Interaction ◽  
Auto Regressive ◽  
The Stability

In this manuscript, we analyze a bivariate vector auto-regressive (VAR) model in order to draw the design principle of a timeseries with a controlled statistical inter-relationship. We show how to generate bivariate timeseries with given covariance and Granger causality (or, equivalently, transfer entropy), and show the trade-off relationship between these two types of statistical interaction. In principle, covariance and Granger causality are independently controllable, but the feasible ranges of their values which allow the VAR to be proper and have a stationary distribution are constrained by each other. Thus, our analysis identifies the essential tri-lemma structure among the stability and properness of VAR, the controllability of covariance, and that of Granger causality.

scholarly journals Designing bivariate timeseries with controlled Granger causality

2021 ◽  
Author(s):  
Shohei Hidaka ◽  
Takuma Torii
Keyword(s):  
Granger Causality ◽  
Stationary Distribution ◽  
Design Principle ◽  
Var Model ◽  
Trade Off ◽  
Statistical Interaction ◽  
Auto Regressive ◽  
The Stability

In this manuscript, we analyzed vector auto-regressive (VAR) model in order to draw a design principle for bivariate timeseries with a controlled statistical inter-relationship. We show how to generate bivariate timeseries with given covariance and Granger causality, and showed the trade-off relationship between these two types of statistical interaction. In principle, covariance and Granger causality are controllable independently, but the ranges of their values, which let VAR be proper and have stationary distribution, are constrained by each other. Thus, there is an essential tri-lemma among the stability and properness of VAR, the controllability of covariance, and that of Granger causality.

scholarly journals Black Hole Algorithm for Sustainable Design of Counterfort Retaining Walls

2020 ◽  
Vol 12 (7) ◽  
pp. 2767 ◽  
Author(s):  
Víctor Yepes ◽  
José V. Martí ◽  
José García
Keyword(s):  
Black Hole ◽  
Sustainable Design ◽  
Retaining Walls ◽  
The Other ◽  
Trade Off ◽  
Construction Company ◽  
Geometric Variables ◽  
The Stability ◽  
The Cost ◽  
Black Hole Algorithm

The optimization of the cost and CO 2 emissions in earth-retaining walls is of relevance, since these structures are often used in civil engineering. The optimization of costs is essential for the competitiveness of the construction company, and the optimization of emissions is relevant in the environmental impact of construction. To address the optimization, black hole metaheuristics were used, along with a discretization mechanism based on min–max normalization. The stability of the algorithm was evaluated with respect to the solutions obtained; the steel and concrete values obtained in both optimizations were analyzed. Additionally, the geometric variables of the structure were compared. Finally, the results obtained were compared with another algorithm that solved the problem. The results show that there is a trade-off between the use of steel and concrete. The solutions that minimize CO 2 emissions prefer the use of concrete instead of those that optimize the cost. On the other hand, when comparing the geometric variables, it is seen that most remain similar in both optimizations except for the distance between buttresses. When comparing with another algorithm, the results show a good performance in optimization using the black hole algorithm.

scholarly journals Reciprocity and behavioral heterogeneity govern the stability of social networks

2020 ◽  
Vol 117 (6) ◽  
pp. 2993-2999 ◽  
Author(s):  
Roslyn Dakin ◽  
T. Brandt Ryder
Keyword(s):  
Social Networks ◽  
Social Connectedness ◽  
Social Dynamics ◽  
Social Systems ◽  
Bird Species ◽  
Network Stability ◽  
Apparent Paradox ◽  
Trade Off ◽  
Behavioral Heterogeneity ◽  
The Stability

The dynamics of social networks can determine the transmission of information, the spread of diseases, and the evolution of behavior. Despite this broad importance, a general framework for predicting social network stability has not been proposed. Here we present longitudinal data on the social dynamics of a cooperative bird species, the wire-tailed manakin, to evaluate the potential causes of temporal network stability. We find that when partners interact less frequently and when social connectedness increases, the network is subsequently less stable. Social connectivity was also negatively associated with the temporal persistence of coalition partnerships on an annual timescale. This negative association between connectivity and stability was surprising, especially given that individual manakins who were more connected also had more stable partnerships. This apparent paradox arises from a within-individual behavioral trade-off between partnership quantity and quality. Crucially, this trade-off is easily masked by behavioral variation among individuals. Using a simulation, we show that these results are explained by a simple model that combines among-individual behavioral heterogeneity and reciprocity within the network. As social networks become more connected, individuals face a trade-off between partnership quantity and maintenance. This model also demonstrates how among-individual behavioral heterogeneity, a ubiquitous feature of natural societies, can improve social stability. Together, these findings provide unifying principles that are expected to govern diverse social systems.

scholarly journals Linkages and performance comparison among Eastern Europe stock markets

2014 ◽  
Author(s):  
José Soares Da Fonseca
Keyword(s):  
Stock Markets ◽  
Performance Comparison ◽  
Market Model ◽  
Var Model ◽  
Time Varying ◽  
Comparative Performance ◽  
Regional Market ◽  
Auto Regressive ◽  
And Performance ◽  
The Empirical Analysis

This article studies the linkages among the stock markets of Bulgaria, Czech Republic, Estonia, Hungary, Poland, Romania, Russia, Serbia, Slovenia and Ukraine. The empirical analysis begins with the estimation of a regional market model, whose beta parameters depend on predetermined information variables. Those parameters support the calculation of time‑varying Treynor ratios used on a comparative performance analysis. A Vector Auto Regressive Model (VAR) is used to estimate the performance causality within this group of markets. The VAR model results provide evidence that there is reciprocal performance across the majority of the selected stock markets.

A DARWINIAN DYNAMIC MODEL FOR THE EVOLUTION OF POST-REPRODUCTION SURVIVAL

2021 ◽  
pp. 1-18
Author(s):  
J. M. CUSHING ◽  
KATHRYN STEFANKO
Keyword(s):  
Natural Selection ◽  
Dynamic Model ◽  
Discrete Time ◽  
Population Model ◽  
Bifurcation Theory ◽  
Allee Effect ◽  
Phenotypic Trait ◽  
Trade Off ◽  
The Stability ◽  
Low Dimensional

We derive and study a Darwinian dynamic model based on a low-dimensional discrete- time population model focused on two features: density-dependent fertility and a trade-off between inherent (density free) fertility and post-reproduction survival. Both features are assumed to be dependent on a phenotypic trait subject to natural selection. The model tracks the dynamics of the population coupled with that of the population mean trait. We study the stability properties of equilibria by means of bifurcation theory. Whether post-reproduction survival at equilibrium is low or high is shown, in this model, to depend significantly on the nature of the trait dependence of the density effects. An Allee effect can also play a significant role.

The Relationship Between Stock Market Indices of the Biggest Six Economies of the European Union and BIST 100

2020 ◽  
pp. 257-275
Author(s):  
Serdar Ögel ◽  
Fatih Temizel
Keyword(s):  
European Union ◽  
Stock Market ◽  
Granger Causality ◽  
Granger Causality Test ◽  
Var Model ◽  
The European Union ◽  
Causality Test ◽  
Integration Test ◽  
Causality Relationship ◽  
The Relationship

This chapter examines the relationship between stock market indices of the biggest six economies of the European Union and BIST 100. In this context, this study used the daily time series regarding indices of DAX for Germany, CAC 40 for France, FTSE MIB for Italy, IBEX 35 for Spain, AEX for Holland, FTSE 100 for United Kingdom, and BIST 100 for Turkey from 2014 to 2018. To test whether there is a co-integration relationship among indices, Johansen co-integration test was used. Since a co-integration relationship was not found between series, causality relationship between the European stock market indices and Turkey was tested with Granger causality test by establishing standard VAR model. As a result, a unidirectional Granger causality relationship was found from DAX, FTSE 100, CAC 40, IBEX 35, and AEX to BIST 100 according to lag length 1 and 2. However, a unidirectional Granger causality relationship was only found from FTSE MIB to BIST 100 for lag length 1. For lag length 1 and 2, no causality relationship was found from BIST 100 to the selected European stock market indices.

scholarly journals Do DJIA Firms Reflect Stationary Debt Ratios?

Economies ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 76
Author(s):  
Feng-Li Lin
Keyword(s):  
Capital Structure ◽  
Stationary Processes ◽  
Debt Ratio ◽  
Pecking Order ◽  
Trade Off ◽  
Listed Firms ◽  
Growth Opportunity ◽  
Dow Jones Industrial Average ◽  
The Mean ◽  
The Stability

To form optimum firm capital structure strategies to face unanticipated economic events, firm managers should understand the stability of a firm’s capital structure. The aim of this research was to study whether the debt ratio is stationary in listed firms on the Dow Jones Industrial Average (DJIA). Two vital capital structure concepts regarding pecking order and trade-off theory are fairly contradictory. Using opposing theoretical contexts, the Sequential Panel Selection Method apparently categorizes which and how many series are stationary processes in the panel. This method was used to test the mean reverting properties of the 25 companies listed on Dow Jones Industrial Average between 2001 and 2017 in this study, which is expected to fill the current gap in the literature. The overall results show that stationary debt ratios exist in 10 of the 25 studied firms, supporting the trade-off theory. Moreover, the 10 firms utilizing trade-off theory are affected by firm size, profitability, growth opportunity, and dividend payout ratio. These results provide vital information for firms to certify strategies to optimize capital structure.

scholarly journals Entropic Equilibria Selection of Stationary Extrema in Finite Populations

Entropy ◽  
2018 ◽  
Vol 20 (9) ◽  
pp. 631
Author(s):  
Marc Harper ◽  
Dashiell Fryer
Keyword(s):  
Markov Process ◽  
Population Size ◽  
Mutation Rate ◽  
Stationary Distribution ◽  
Markov Processes ◽  
Local Maxima ◽  
Moran Process ◽  
The Stability ◽  
Definition Of ◽  
Selection Of

We propose the entropy of random Markov trajectories originating and terminating at the same state as a measure of the stability of a state of a Markov process. These entropies can be computed in terms of the entropy rates and stationary distributions of Markov processes. We apply this definition of stability to local maxima and minima of the stationary distribution of the Moran process with mutation and show that variations in population size, mutation rate, and strength of selection all affect the stability of the stationary extrema.

Stability Improvement of Turbocharger Centrifugal Compressor by Asymmetric Vaneless Diffuser Treatment

2013 ◽  
Author(s):  
Xinqian Zheng ◽  
Yun Lin ◽  
Weilin Zhuge ◽  
Yangjun Zhang ◽  
Hideaki Tamaki ◽  
...  
Keyword(s):  
Centrifugal Compressor ◽  
Design Principle ◽  
Static Pressure ◽  
Vaneless Diffuser ◽  
Asymmetric Flow ◽  
Flow Asymmetry ◽  
Negative Effect ◽  
Width Distribution ◽  
The Stability ◽  
Stable Flow

The asymmetric flow field induced by the volute has considerable influence on the performance of a turbocharger centrifugal compressor, especially through its effect on the stability. In this paper, a novel asymmetric vaneless diffuser treatment with a circumferentially non-axisymmetric diffuser width distribution was firstly developed to enhance the stability of a centrifugal compressor for turbocharger. Design principle of the asymmetric diffuser was proposed based on the asymmetric flow in the compressor. The objective of the asymmetric vaneless diffuser design is to alleviate the flow asymmetry in the diffuser, which requires that the phase of the maximal diffuser width is coincident with the phase of the minimum static pressure in the diffuser. The results of the numerical simulation showed that the designed asymmetric diffuser was able to decrease the magnitude of the pressure distortion induced by the volute and therefore alleviated the negative effect of the volute on compressor stability. Experimental results showed that the designed asymmetric diffuser extended the stable flow range by 28.3% at designed speed compared to the prototype with symmetric diffuser.

scholarly journals The Trivariate Causality among Education, Health, and Economic Growth in Zimbabwe

2020 ◽  
Vol 12 (4) ◽  
pp. 1357
Author(s):  
Michael Takudzwa Pasara ◽  
Tapiwa Kelvin Mutambirwa ◽  
Nolutho Diko
Keyword(s):  
Economic Growth ◽  
Granger Causality ◽  
Transmission Mechanism ◽  
Feedback Effect ◽  
Health Policies ◽  
Var Model ◽  
Vector Autoregressive ◽  
Education And Health ◽  
Causality Tests ◽  
Granger Causality Tests

This study investigated the causality among education, health, and economic growth in Zimbabwe. Causality effects are a thinly explored area in literature, with most studies focusing on bidirectional relationships. Granger causality tests were employed in a Vector autoregressive (VAR) model. Results showed that education Granger causes health improvements, with health improvements in turn fairly associating to Granger cause economic growth in Zimbabwe. Thus, the effect of education on economic growth is not direct, but works through improved health, pointing to the conclusion that health is a transmission mechanism through which education drives economic growth. No feedback effect was established from health to education and from economic growth to education and health. Thus, results suggest the need for a holistic policy approach which integrates education and health policies in a bid to drive economic growth, since education has no effect on economic growth in its own domain, but through health.

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