A state-dependent linear recurrent formula with application to time series with structural breaks

An underlying assumption in Multivariate Singular Spectrum Analysis (MSSA) is that the time series are governed by a linear recurrent continuation. However, in the presence of a structural break, multiple series can be transferred from one homogeneous state to another over a comparatively short time breaking this assumption. As a consequence, forecasting performance can degrade significantly. In this paper, we propose a state-dependent model to incorporate the movement of states in the linear recurrent formula called a State-Dependent Multivariate SSA (SD-MSSA) model. The proposed model is examined for its reliability in the presence of a structural break by conducting an empirical analysis covering both synthetic and real data. Comparison with standard MSSA, BVAR, VAR and VECM models shows the proposed model outperforms all three models significantly.     

A diffusion model for products with indirect network externalities

This paper develops a new diffusion model that incorporates the indirect network externality. The market with indirect network externalities is characterized by two‐way interactive effects between hardware and software products on their demands. Our model incorporates two‐way interactions in forecasting the diffusion of hardware products based on a simple but realistic assumption. The new model is parsimonious, easy to estimate, and does not require more data points than the Bass diffusion model. The new diffusion model was applied to forecast sales of DVD players in the United States and in South Korea, and to the sales of Digital TV sets in Australia. When compared to the Bass and NSRL diffusion models, the new model showed better performance in forecasting long‐term sales. Copyright © 2008 John Wiley & Sons, Ltd.     

Forecast accuracy and effort: The case of US inflation rates

This paper investigates the relationship between forecast accuracy and effort, where effort is defined as the number of times the model used to generate forecasts is recursively estimated over the full sample period. More specifically, within a framework of costly effort, optimal effort strategies are derived under the assumption that the dynamics of the variable of interest follow an autoregressive‐type process. Results indicate that the strategies are fairly robust over a wide range of linear and nonlinear processes (including structural break processes), and deliver forecasts of transitory, core and total inflation that require less effort to generate and are as accurate as (that is, are insignificantly different from) those produced with maximum effort. Copyright © 2010 John Wiley & Sons, Ltd.     

The decomposition of forecast in seasonal arima models

This paper presents a procedure to break down the forecast function of a seasonal ARIMA model in terms of its permanent and transitory components. Both depend on the initial values at the forecast origin, but their structures are fixed and independent of this origin. The permanent component is an estimate of the long-run projection of the corresponding economic variable and the transitory element describes the approach towards the permanent one. Within the permanent component a distinction is made between the factors that depend on the initial conditions of the system and those that are deterministic. The procedure is compared to other methods presented in the literature and illustrated in an example.     

Chromosomal homology in southern Akodon

Summary Differential staining (G and C) of southern South AmericanAkodon are presented.A. olivaceus, A. longipilis andA. sanborni all have the same karyotype (2n=52, NF=58). A virtually identical band sequence is observed. This situation is interpreted using the canalization model of chromosomal evolution which stresses an optimum karyotype for each adaptive zone. Despite the high degree of conservation of the chromosome structures, the specific status of these species is supported by maintenance of distinctness when they occur in areas of sympatry.The research was partially supported by Proyecto de Investigación I-78-86, Dirección de Investigación, Universidad Austral de Chile and Programa Especial de Citogenética, U. de Chile sede Norte, Santiago, Chile.     

A non‐Gaussian generalization of the Airline model for robust seasonal adjustment

In their seminal book Time Series Analysis: Forecasting and Control, Box and Jenkins (1976) introduce the Airline model, which is still routinely used for the modelling of economic seasonal time series. The Airline model is for a differenced time series (in levels and seasons) and constitutes a linear moving average of lagged Gaussian disturbances which depends on two coefficients and a fixed variance. In this paper a novel approach to seasonal adjustment is developed that is based on the Airline model and that accounts for outliers and breaks in time series. For this purpose we consider the canonical representation of the Airline model. It takes the model as a sum of trend, seasonal and irregular (unobserved) components which are uniquely identified as a result of the canonical decomposition. The resulting unobserved components time series model is extended by components that allow for outliers and breaks. When all components depend on Gaussian disturbances, the model can be cast in state space form and the Kalman filter can compute the exact log‐likelihood function. Related filtering and smoothing algorithms can be used to compute minimum mean squared error estimates of the unobserved components. However, the outlier and break components typically rely on heavy‐tailed densities such as the t or the mixture of normals. For this class of non‐Gaussian models, Monte Carlo simulation techniques will be used for estimation, signal extraction and seasonal adjustment. This robust approach to seasonal adjustment allows outliers to be accounted for, while keeping the underlying structures that are currently used to aid reporting of economic time series data. Copyright © 2006 John Wiley & Sons, Ltd.     

Feulgen-DNA amounts and karyotype lengths of three planarian species of the genusDugesia

Summary Genome sizes of the planariansD. lugubris (2n=8),D. polychroa (2n=8) andD. benazzii (2n=16) were evaluated on metaphase plates by measuring both the Feulgen-DNA contents and the karyotype lengths. In the three species, genome sizes are significantly different; this finding rules out the possibility of a karyotype evolution through simple chromosome rearrangements betweenD. lugubris andD. polychroa. A different Feulgen-DNA content per unit length of karyotype in the three species studied was also found, which suggests that DNA could be differently packed along metaphase chromosomes.     

The metaphysics of D-CTCs: On the underlying assumptions of Deutsch׳s quantum solution to the paradoxes of time travel

I argue that Deutsch׳s model for the behavior of systems traveling around closed timelike curves (CTCs) relies implicitly on a substantive metaphysical assumption. Deutsch is employing a version of quantum theory with a significantly supplemented ontology of parallel existent worlds, which differ in kind from the many worlds of the Everett interpretation. Standard Everett does not support the existence of multiple identical copies of the world, which the D-CTC model requires. This has been obscured because he often refers to the branching structure of Everett as a “multiverse”, and describes quantum interference by reference to parallel interacting definite worlds. But he admits that this is only an approximation to Everett. The D-CTC model, however, relies crucially on the existence of a multiverse of parallel interacting worlds. Since his model is supplemented by structures that go significantly beyond quantum theory, and play an ineliminable role in its predictions and explanations, it does not represent a quantum solution to the paradoxes of time travel.     

Monitoring for outliers and level shifts in kalman filter implementations of exponential smoothing

This paper presents a new application of a Kalman filter implementation of exponential smoothing with monitoring for outliers and level shifts. The assumption is that each observation comes from one of three models: steady, outlier, or level shift. This concept was introduced as a multiprocess model by Harrison and Stevens (1976). However, their handling of the models is different. In this paper four different model-selection criteria are introduced and compared by applying them to data. The new features of the application include the four model-selection criteria and the estimation of the required parameters by maximum likelihood.     

Financial volatility modeling: The feedback asymmetric conditional autoregressive range model

An implied assumption in the asymmetric conditional autoregressive range (ACARR) model is that upward range is independent of downward range. This paper scrutinizes this assumption on a broad variety of stock indices. Instead of independence, we find significant cross‐interdependence between the upward range and the downward range. Regression test shows that the cross‐interdependence cannot be explained by leverage effect. To include the cross‐interdependence, a feedback asymmetric conditional autoregressive range (FACARR) model is proposed. Empirical studies are performed on a variety of stock indices, and the results show that the FACARR model outperforms the ACARR model with high significance for both in‐sample and out‐of‐sample forecasting.     

基于压缩感知的宽孔径SAR成像

宽孔径SAR数据包含目标不同姿态角散射信息,实现宽孔径SAR成像对目标轮廓重构与解译识别具有重要价值.本文首先提出点模糊函数(point ambiguous function,PAF)研究影响压缩感知SAR成像的因素,然后用模型失配函数(model mismatch fucntion,MMF)分析宽孔径测量条件下点散射模型失配对成像性能的影响.最后根据上述结论,选择发射信号参数改善测量矩阵性能,利用广义似然比检验方法克服模型失配对成像性能的影响.实验结果验证了本文结论的正确性和成像算法的有效性.     

Adriamycin-induced chromosome damage: elevated frequencies of isochromatid aberrations in G2 and S phases.

Analysis of chromosomes from cells treated with adriamycin during G2 and S phases showed a high frequency of isochromatid-type of breaks, in addition to the expected chromatid breaks. These are interpreted as independent breaks on sister chromatids because of preferential effects of the drug in specific chromosome regions. The break points are likely to be different, but morphologically such breaks would be indistinguishable from isochromatid or chromosome breaks.     

External nares and olfactory perception

Lower vertebrates have more widely separated external nares than higher forms and are thus better adapted to utilize olfactory tropotaxis, or stereolfaction, than higher vertebrates which, on account of their flexible necks, must utilize klinotaxis. Snakes and tubenosed bats break the rule on account of their specialized life styles.     

Predictions in Overdispersed Series of Counts Using an Approximate Predictive Likelihood

The generalized autoregression model or GARM, originally used to model series of non-negative data measured at irregularly spaced time points (Lambert, 1996a), is considered in a count data context. It is first shown how the GARM can be expressed as a GLM in the special case of a linear model for some transform of the location parameter. The Butler approximate predictive likelihood (Butler, 1986, Rejoinder) is then used to define likelihood prediction envelopes. The width of these intervals is shown to be slightly wider than the Fisher (1959, pp. 128–33) and Lejeune and Faulkenberry (1982) predictive likelihood-based envelopes which assume that the parameters have fixed known values (equal to their maximum likelihood estimates). The method is illustrated on a small count data set showing overdispersion.© 1997 John Wiley & Sons, Ltd.     

Model‐based forecast adjustment: With an illustration to inflation

This paper introduces the idea of adjusting forecasts from a linear time series model where the adjustment relies on the assumption that this linear model is an approximation of a nonlinear time series model. This way of creating forecasts could be convenient when inference for a nonlinear model is impossible, complicated or unreliable in small samples. The size of the forecast adjustment can be based on the estimation results for the linear model and on other data properties such as the first few moments or autocorrelations. An illustration is given for a first‐order diagonal bilinear time series model, which in certain properties can be approximated by a linear ARMA(1, 1) model. For this case, the forecast adjustment is easy to derive, which is convenient as the particular bilinear model is indeed cumbersome to analyze in practice. An application to a range of inflation series for low‐income countries shows that such adjustment can lead to some improved forecasts, although the gain is small for this particular bilinear time series model.     

Robust evaluation of fixed‐event forecast rationality

In this paper we introduce a new testing procedure for evaluating the rationality of fixed‐event forecasts based on a pseudo‐maximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures are likely when forecasters experience a credibility loss when they make large changes to their forecasts. The test is illustrated using monthly fixed‐event forecasts produced by four UK institutions. Use of the robust test leads to the conclusion that certain forecasts are rational while use of the Gaussian‐based test implies that certain forecasts are irrational. The difference in the results is due to the nature of the underlying data. Copyright © 2001 John Wiley & Sons, Ltd.     

The largest known chromosome number for a mammal,in a South American desert rodent

Summary Tympanoctomys barrerae, a desert specialist member of the family Octodontidae, until now thought to be conservative, and ancestral to South American hystricognath rodents, presents the highest diploid chromosome number (2n=102) known in a mammal. Unexpectedly, its karyotype was found to be composed mainly of metacentric to sub-metacentric chromosomes. Mechanisms by which such a karyotype may have been derived are discussed.     

External nares and olfactory perception

Summary Lower vertebrates have more widely separated external nares than higher forms and are thus better adapted to utilize olfactory tropotaxis, or stereolfaction, than higher vertebrates which, on account of their flexible necks, must utilize klinotaxis. Snakes and tubenosed bats break the rule on account of their specialized life styles.     

Temporal aggregation and systematic sampling in structural time-series models

Given a structural time-series model specified at a basic time interval, this paper deals with the problems of forecasting efficiency and estimation accuracy generated when the data are collected at a timing interval which is a multiple of the time unit chosen to build the basic model. Results are presented for the simplest structural models, the trend plus error models, under the assumption that the parameters of the model are known. It is shown that the gains in forecasting efficiency and estimation accuracy for having data at finer intervals are considerable for both stock and flow variables with only one exception. No gain in forecasting efficiency is achieved in the case of a stock series that follows a random walk.     

Karyotype and DNA content of Pharctolaemus ansorgei Blgr. (Teleostei: Gonorynchifomes).

The diploid DNA content of Pharctolaemus ansorgei spinosus (Phractolaemidae) is estimated by Feulgen cytophotometry at 3 pg. The karyotype has 28 chromosomes and 54 chromosome arms; it significantly resembles the karyotype of Chanos chanos (Chanidae).