One‐sided runs‐rules schemes to monitor autocorrelated time series data using a first‐order autoregressive model with skip sampling strategies

2019 ◽  
Vol 35 (6) ◽  
pp. 1973-1997 ◽  
Author(s):  
Sandile Charles Shongwe ◽  
Jean‐Claude Malela‐Majika ◽  
Thapelo Molahloe
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Time Series Data ◽  
Series Data ◽  
Sampling Strategies ◽  
First Order ◽  
Runs Rules ◽  
Skip Sampling

scholarly journals First-Order Random Coefficient Multinomial Autoregressive Model for Finite-Range Time Series of Counts

Symmetry ◽  
2021 ◽  
Vol 13 (12) ◽  
pp. 2271
Author(s):  
Jie Zhang ◽  
Dehui Wang ◽  
Kai Yang ◽  
Xiaogang Dong
Keyword(s):  
Time Series ◽  
Least Squares ◽  
Autoregressive Model ◽  
Time Series Data ◽  
Random Coefficient ◽  
Series Data ◽  
Model Parameters ◽  
Finite Range ◽  
First Order ◽  
Conditional Least Squares

In view of the complexity and asymmetry of finite range multi-state integer-valued time series data, we propose a first-order random coefficient multinomial autoregressive model in this paper. Basic probabilistic and statistical properties of the model are discussed. Conditional least squares (CLS) and weighted conditional least squares (WCLS) estimators of the model parameters are derived, and their asymptotic properties are established. In simulation studies, we compare these two methods with the conditional maximum likelihood (CML) method to verify the proposed procedure. A real example is applied to illustrate the advantages of our model.

scholarly journals Time Series Modeling on Monthly Data of Tourist Arrivals in Nepal: An Alternative Approach

2017 ◽  
Vol 1 ◽  
pp. 41-54 ◽  
Author(s):  
Amrit Subedi
Keyword(s):  
Time Series ◽  
Autoregressive Model ◽  
Time Series Data ◽  
Polynomial Function ◽  
Seasonal Fluctuation ◽  
Ar Model ◽  
Series Data ◽  
Monthly Data ◽  
Annual Trend ◽  
Alternative Approach

Background: There are various approaches of modeling on time series data. Most of the studies conducted regarding time series data are based on annual trend whereas very few concerned with data having monthly fluctuation. The data of tourist arrivals is an example of time series data with monthly fluctuation which reveals that there is higher number of tourist arrivals in some months/seasons whereas others have less number. Starting from January, it makes a complete cycle in every 12 months with 3 bends indicating that it can be captured by biquadratic function.Objective: To provide an alternative approach of modeling i.e. combination of Autoregressive model with polynomial (biquadratic) function on time series data with monthly/seasonal fluctuation and compare its adequacy with widely used cyclic autoregressive model i.e. AR (12).Materials and Methods: This study is based on monthly data of tourist arrivals in Nepal. Firstly, usual time series model AR (12) has been adopted and an alternative approach of modeling has been attempted combining AR and biquadratic function. The first part of the model i.e. AR represents annual trend whereas biquadratic part does for monthly fluctuation.Results: The fitted cyclic autoregressive model on monthly data of tourist arrivals is Est. Ym = 3614.33 + 0.9509Ym-12, (R2=0.80); Est. Ym indicates predicted tourist arrivals for mth month and Ym-12 indicates observed tourist arrivals in (m-12)th month and the combined model of AR and biquadratic function is Est. Yt(m) = -46464.6 + 1.000Yt-1 + 52911.56m - 17177m2 + 2043.95m3 - 79.43m4, (R2=0.78); Est. Yt(m) indicates predicted tourist arrivals for mth month of tth year and Yt-1 indicates average tourist arrivals in (t-1)th year. The AR model combined with polynomial function reveals normal and homoscedastic residuals more accurately compared to first one.Conclusion: The use of polynomial function combined with autoregressive model can be useful for time series data having seasonal fluctuation. It can be an alternative approach for picking up a good model for such type of data. Nepalese Journal of Statistics, 2017,  Vol. 1, 41-54

Correlation analysis of continuous emotional response to music: Correcting for the effects of serial correlation

2001 ◽  
Vol 5 (1_suppl) ◽  
pp. 213-236 ◽  
Author(s):  
Emery Schubert
Keyword(s):  
Time Series ◽  
Correlation Analysis ◽  
Emotional Response ◽  
Serial Correlation ◽  
Time Series Data ◽  
Second Order ◽  
Series Data ◽  
First Order ◽  
The Relationship ◽  
Pearson Correlations

Publications of research concerning continuous emotional responses to music are increasing. The developing interest brings with it a need to understand the problems associated with the analysis of time series data. This article investigates growing concern in the use of conventional Pearson correlations for comparing time series data. Using continuous data collected in response to selected pieces of music, with two emotional dimensions for each piece, two falsification studies were conducted. The first study consisted of a factor analysis of the individual responses using the original data set and its first-order differenced transformation. The differenced data aligned according to theoretical constraints better than the untransformed data, supporting the use of first-order difference transformations. Using a similar method, the second study specifically investigated the relationship between Pearson correlations, difference transformations and the critical correlation coefficient above which the conventional correlation analysis remains internally valid. A falsification table was formulated and quantified through a hypothesis index function. The study revealed that correlations of undifferenced data must be greater than 0.75 for a valid interpretation of the relationship between bivariate emotional response time series data. First and second-order transformations were also investigated and found to be valid for correlation coefficients as low as 0.24. Of the three version of the data (untransformed, first-order differenced, and second-order differenced), first-order differenced data produced the fewest problems with serial correlation, whilst remaining a simple and meaningful transformation.

scholarly journals Did an Ebola outbreak influence the 2014 U.S. federal elections? (Hint: Only if you ignore autocorrelation)

2016 ◽  
Author(s):  
Leonid Tiokhin ◽  
Daniel Hruschka
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Time Series Data ◽  
Series Data ◽  
Online Search ◽  
First Order ◽  
Search Volume ◽  
Temporal Autocorrelation ◽  
Analytical Strategies ◽  
Existing Data

In a recent paper, Beall, Hofer, and Schaller (2016) use observational time series data to test the hypothesis that the 2014 Ebola outbreak influenced the 2014 U.S. Federal Elections. They find substantial associations between online search volume for Ebola and people’s tendency to vote Republican, an effect observed primarily in states with norms favoring Republican candidates. However, the analyses do not deal with the well-known problem of temporal autocorrelation in time series. We show that all variables analyzed exhibit extremely high levels of temporal autocorrelation (i.e. similarity in data-point values across time). After appropriately removing first-order autocorrelation, the observed relationships are attenuated and non-significant. This suggests that either no real associations exist, or that existing data are insufficiently powered to test the proposed hypotheses. We conclude by highlighting other pitfalls of observational data analysis, and draw attention to analytical strategies developed in related disciplines for avoiding these errors.

scholarly journals Did an Ebola outbreak influence the 2014 U.S. federal elections? (Hint: Only if you ignore autocorrelation)

2016 ◽  
Author(s):  
Leonid Tiokhin ◽  
Daniel Hruschka
Keyword(s):  
Time Series ◽  
Data Analysis ◽  
Time Series Data ◽  
Series Data ◽  
Online Search ◽  
First Order ◽  
Search Volume ◽  
Temporal Autocorrelation ◽  
Analytical Strategies ◽  
Existing Data

In a recent paper, Beall, Hofer, and Schaller (2016) use observational time series data to test the hypothesis that the 2014 Ebola outbreak influenced the 2014 U.S. Federal Elections. They find substantial associations between online search volume for Ebola and people’s tendency to vote Republican, an effect observed primarily in states with norms favoring Republican candidates. However, the analyses do not deal with the well-known problem of temporal autocorrelation in time series. We show that all variables analyzed exhibit extremely high levels of temporal autocorrelation (i.e. similarity in data-point values across time). After appropriately removing first-order autocorrelation, the observed relationships are attenuated and non-significant. This suggests that either no real associations exist, or that existing data are insufficiently powered to test the proposed hypotheses. We conclude by highlighting other pitfalls of observational data analysis, and draw attention to analytical strategies developed in related disciplines for avoiding these errors.

On the Autoregressive Time Series Model Using Real and Complex Analysis

Forecasting ◽  
2021 ◽  
Vol 3 (4) ◽  
pp. 716-728
Author(s):  
Torsten Ullrich
Keyword(s):  
Time Series ◽  
Model Selection ◽  
Closed Form ◽  
Autoregressive Model ◽  
Complex Analysis ◽  
Time Series Data ◽  
Selection Process ◽  
Global Structure ◽  
Series Data ◽  
Time Step

The autoregressive model is a tool used in time series analysis to describe and model time series data. Its main structure is a linear equation using the previous values to compute the next time step; i.e., the short time relationship is the core component of the autoregressive model. Therefore, short-term effects can be modeled in an easy way, but the global structure of the model is not obvious. However, this global structure is a crucial aid in the model selection process in data analysis. If the global properties are not reflected in the data, a corresponding model is not compatible. This helpful knowledge avoids unsuccessful modeling attempts. This article analyzes the global structure of the autoregressive model through the derivation of a closed form. In detail, the closed form of an autoregressive model consists of the basis functions of a fundamental system of an ordinary differential equation with constant coefficients; i.e., it consists of a combination of polynomial factors with sinusoidal, cosinusoidal, and exponential functions. This new insight supports the model selection process.

scholarly journals Soft Computation Vector Autoregressive Neural Network (VAR-NN) GUI-Based

2018 ◽  
Vol 73 ◽  
pp. 13008 ◽  
Author(s):  
Hasbi Yasin ◽  
Budi Warsito ◽  
Rukun Santoso ◽  
Suparti
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Autoregressive Model ◽  
Stock Price ◽  
Time Series Data ◽  
Multivariate Time Series ◽  
Series Data ◽  
Percentage Error ◽  
Vector Autoregressive ◽  
Price Data

Vector autoregressive model proposed for multivariate time series data. Neural Network, including Feed Forward Neural Network (FFNN), is the powerful tool for the nonlinear model. In autoregressive model, the input layer is the past values of the same series up to certain lag and the output layers is the current value. So, VAR-NN is proposed to predict the multivariate time series data using nonlinear approach. The optimal lag time in VAR are used as aid of selecting the input in VAR-NN. In this study we develop the soft computation tools of VAR-NN based on Graphical User Interface. In each number of neurons in hidden layer, the looping process is performed several times in order to get the best result. The best one is chosen by the least of Mean Absolute Percentage Error (MAPE) criteria. In this study, the model is applied in the two series of stock price data from Indonesia Stock Exchange. Evaluation of VAR-NN performance was based on train-validation and test-validation sample approach. Based on the empirical stock price data it can be concluded that VAR-NN yields perfect performance both in in-sample and in out-sample for non-linear function approximation. This is indicated by the MAPE value that is less than 1% .

scholarly journals Statistical analysis of night radiance RH using VIIRS day/night band satellite time series data

2019 ◽  
Vol 8 (3) ◽  
pp. 249
Author(s):  
Jyoti U. Devkota
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Physical Capital ◽  
Arithmetic Mean ◽  
Rate Of Change ◽  
Series Data ◽  
Observation Data ◽  
Order Difference ◽  
First Order ◽  
Night Lights

<p class="SAP-AffiliationLastline">Amount of night lights in an area is a proxy indicator of electricity consumption. This is interlinked to indicators of economic growth such as socio-economic activities, urban population size, physical capital, incidence of poverty. These night lights are generated by renewable and non renewable energy source. In this paper the behavior of night radiance RH data was minutely analyzed over a period of 28 hour; Visible Infrared Imaging Radiometer Suite Day/Night Band (VIIRS DNB) satellite earth observation data were used. These 28 hours and 8936 observations time series data is from 2 September 2018 to 4 September 2018. The behavior of night radiance RH data over 122 time intervals was analyzed using box plots. It was seen that the arithmetic mean of RH data is more sensitive than the arithmetic mean of first order difference of RH data. The first order difference of night radiance RH was regressed on night radiance over 110 intervals of time. The box plot of slope and intercept of this linear regression showed the behavior of these regression parameters over 110 intervals of time. It is seen that the data are more scattered with respect to slope than with respect to intercept. This implies that the rate of change in RH with respect to change in time has more variability that the intrinsic value of RH data at the sampled point of time.</p>

scholarly journals Statistical analysis of night radiance RH using VIIRS day/night band satellite time series data

2019 ◽  
Vol 8 (1) ◽  
pp. 26
Author(s):  
Jyoti U. Devkota
Keyword(s):  
Time Series ◽  
Infrared Imaging ◽  
Time Series Data ◽  
Physical Capital ◽  
Arithmetic Mean ◽  
Series Data ◽  
Observation Data ◽  
Order Difference ◽  
First Order ◽  
Night Lights

<p class="SAP-AffiliationLastline">Amount of night lights in an area is a proxy indicator of electricity consumption. This is interlinked to indicators of economic growth such as socio-economic activities, urban population size, physical capital, incidence of poverty. These night lights are generated by renewable and non renewable energy source. In this paper the behavior of night radiance RH data was minutely analyzed over a period of 28 hour; Visible Infrared Imaging Radiometer Suite Day/Night Band (VIIRS DNB) satellite earth observation data were used. These 28 hours and 8936 observations time series data is from 2 September 2018 to 4 September 2018. The behavior of night radiance RH data over 122 time intervals was analyzed using box plots. It was seen that the arithmetic mean of RH data is more sensitive than the arithmetic mean of first order difference of RH data. The first order difference of night radiance RH was regressed on night radiance over 110 intervals of time. The box plot of slope and intercept of this linear regression showed the behavior of these regression parameters over 110 intervals of time. It is seen that the data are more scattered with respect to slope than with respect to intercept. </p>

Use of Vector Autoregressive Model for Anomaly Detection in Utility Gas Turbines

2019 ◽  
Author(s):  
Vipul Goyal ◽  
Mengyu Xu ◽  
Jayanta Kapat
Keyword(s):  
Time Series ◽  
Anomaly Detection ◽  
Autoregressive Model ◽  
Gas Turbines ◽  
Time Series Data ◽  
Combined Cycle ◽  
Series Data ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive ◽  
Multi Stage

Abstract This study is based on time-series data from the combined cycle utility gas turbines consisting of three-gas turbine units and one steam turbine unit. We construct a multi-stage vector autoregressive model for the nominal operation of powerplant assuming sparsity in the association among variables and use this as a basis for anomaly detection and prediction. This prediction is compared with the time-series data of the plant-operation containing anomalies. Granger causality networks, which are based on the associations between the time series streams, are learned as an important implication from the vector autoregressive modelling. Anomaly is detected by comparing the observed measurements against their predicted value.

Sign in / Sign up

Export Citation Format

Share Document