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Series Approach (series + approach)
Kinds of Series Approach Selected AbstractsModelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank,JOURNAL OF FORECASTING, Issue 3 2009Alberto Cabrero Abstract The main focus of this paper is to model the daily series of banknotes in circulation. The series of banknotes in circulation displays very marked seasonal patterns. To the best of our knowledge the empirical performance of two competing approaches to model seasonality in daily time series, namely the ARIMA-based approach and the Structural Time Series approach, has never been put to the test. The application presented in this paper provides valid intuition on the merits of each approach. The forecasting performance of the models is also assessed in the context of their impact on the liquidity management of the Eurosystem.,,Copyright © 2008 John Wiley & Sons, Ltd. [source] Determination of bankfull discharge magnitude and frequency: comparison of methods on 16 gravel-bed river reachesEARTH SURFACE PROCESSES AND LANDFORMS, Issue 11 2006O. Navratil Abstract Bankfull discharge is identified as an important parameter for studying river morphology, sediment motion, flood dynamics and their ecological impacts. In practice, the determination of this discharge and its hydrological characteristics is not easy, and a choice has to be made between several existing methods. To evaluate the impact of the choice of methods, five bankfull elevation definitions and four hydrological characterizations (determination of duration and frequency of exceedance applied to instantaneous or mean daily data) were compared on 16 gravel-bed river reaches located in France (the catchment sizes vary from 10 km2 to 1700 km2). The consistency of bankfull discharge estimated at reach scale and the hydraulic significance of the five elevation definitions were examined. The morphological definitions (Bank Inflection, Top of Bank) were found more relevant than the definitions based on a geometric criterion. The duration of exceedance was preferred to recurrence intervals (partial duration series approach) because it is not limited by the independency of flood events, especially for low discharges like those associated with the Bank Inflection definition. On average, the impacts of the choice of methods were very important for the bankfull discharge magnitude (factor of 1·6 between Bank Inflection and Top of Bank) and duration of exceedance or frequency (respectively a factor 1·8 and 1·9 between mean daily and instantaneous discharge data). The choice of one combination of methods rather than another can significantly modify the conclusions of a comparative analysis in terms of bankfull discharge magnitude and its hydrological characteristics, so that one must be cautious when comparing results from different studies that use different methods. Copyright © 2006 John Wiley & Sons, Ltd. [source] A course of treatment of binge eating disorder: a time series approachEUROPEAN EATING DISORDERS REVIEW, Issue 2 2006Beate Wild Abstract Objective The aim of the study was an analysis of the therapeutic course of treatment of a patient with binge eating disorder (BED), who participated in the multi-modal intervention programme at the Medical University Hospital of Heidelberg. Method Throughout the course of the treatment period, the patient answered questions daily on a handheld computer about her eating behaviour as well as her psychological and physical state. Diary data was analysed with a time series analysis method. Results Multiple regression analysis revealed that both depression and distress were same-day predictors for eating behaviour. Delayed predictors were both the eating behaviour and the anxiety of the previous day, as well as the activity 2 days earlier. The model accounts for 55% of the total variance. Discussion The findings of this study expand upon the evidence of previous cross-sectional studies, suggesting that the development process of the eating behaviour during treatment is strongly associated with affective variables. The study demonstrates that changes that occur during the treatment occur simultaneously on multiple levels. The causal interpretation of the delayed predictors shows that for this patient anxiety is a trigger of binge eating episodes. Copyright © 2006 John Wiley & Sons, Ltd and Eating Disorders Association. [source] Discrete policy interventions and rational forecast errors in foreign exchange markets: the uncovered interest parity hypothesis revisitedINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 4 2002Dimitris G. Kirikos Abstract This paper combines policy response explanations of the uncovered interest parity puzzle with a time series approach that accounts for discrete central bank interventions. When monetary authorities manage the interest rate differential through an anti-inflationary policy rule, which allows for discrete shifts, then a stochastic segmented trends representation seems appropriate for the exchange rate and the interest rate differential series. In this setting, rational forecast errors are possible, and a test of the uncovered parity hypothesis, based on the cross-equation restrictions on a Markov switching process, suggests that the parity relationship cannot be rejected for three European currencies vis-à-vis the US dollar. Copyright © 2002 John Wiley & Sons, Ltd. [source] Modeling software evolution defects: a time series approachJOURNAL OF SOFTWARE MAINTENANCE AND EVOLUTION: RESEARCH AND PRACTICE, Issue 1 2009Uzma Raja Abstract The Department of Information Systems, Statistics and Management Science, prediction of software defects and defect patterns is and will continue to be a critically important software evolution research topic. This study presents a time series analysis of multi-organizational multi-project defects reported during ongoing software evolution efforts. Using data from monthly defect reports for eight open source software projects over five years, this study builds and tests time series models for each sampled project. The resulting model accounts for the ripple effects of defect detection and correction by modeling the autocorrelation of code defect data. The autoregressive integrated moving average model (0,1,1) was found to hold for all sampled projects and thus provide a basis for both descriptive and predictive software defect analysis that is computationally efficient, comprehensible, and easy to apply. The model may be used to evaluate and compare the reliability of candidate software solutions, and to facilitate planning for software evolution budget and time allocation. Copyright © 2008 John Wiley & Sons, Ltd. [source] Feedforward control design for a semilinear wave equationPROCEEDINGS IN APPLIED MATHEMATICS & MECHANICS, Issue 1 2009Marc Oliver Wagner This paper presents a flatness-based approach for the solution of the feedforward control problem for a boundary controlled semilinear wave equation. The solution to a given piecewise analytical desired output trajectory is shown to be piecewise analytical, which allows the application of a formal power series approach on suitable subregions in adequate coordinates. The subregions are determined by the characteristic curves of the system passing through the non-analyticity points of the desired trajectory. Convergence of the solution is demonstrated and simulation results are given for some set of parameters. (© 2009 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim) [source] A multivariate time series approach to projected life tablesAPPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, Issue 6 2009Dorina Lazar Abstract The method of mortality forecasting proposed by Lee and Carter describes a time series of age-specific log-death rates as a sum of an independent of time age-specific component and a bilinear term in which one of the component is a time-varying factor reflecting general change in mortality and the second one is an age-specific parameter. Such a rigid model structure implies that on average the mortality improvements for different age groups should be proportional, regardless of the calendar period: a single time factor drives the future death rates. This paper investigates the use of multivariate time series techniques for forecasting age-specific death rates. This approach allows for relative speed of decline in the log death rates specific to the different ages. The dynamic factor analysis and the Johansen cointegration methodology are successfully applied to project mortality. The inclusion of several time factors allows the model to capture the imperfect correlations in death rates from 1 year to the next. The benchmark Lee,Carter model appears as a special case of these approaches. An empirical study is conducted with the help of the Johansen cointegration methodology. A vector-error correction model is fitted to Belgian general population death rates. A comparison is performed with the forecast of life expectancies obtained from the classical Lee,Carter model. Copyright © 2009 John Wiley & Sons, Ltd. [source] Realize the Realized Stock Index VolatilityASIAN ECONOMIC JOURNAL, Issue 1 2004Ho-Chuan (River) Huang This paper constructs estimates of daily stock index volatilities and correlation using high-frequency (one-minute) intraday stock indices. The key feature of these ,realized' volatilities and correlations is that they are not only model-free but also approximately measurement-error-free. In fact, they can be treated as observed rather than latent, so that direct modeling and forecasting of the realized volatilities can be performed using conventional time series approaches. Some interesting results appear in the analysis. Despite the fact that the unstandardized returns are skewed to the right and have fatter tails than normal, the distributions of the raw returns scaled by the realized standard deviations appear to be approximately Gaussian. The unconditional distributions of the realized variances and covariances are leptokurtic as well as highly right-skewed, but the realized correlation tends to be approximately normally distributed. There is no evidence in support of asymmetric volatility effects commonly found in previous findings. However, we find strong evidence to support the fact that there exists high contemporaneous correlation between realized volatilities and high comovement between realized correlation and volatilities. [source] | ||||||||||