Time Series Analysis

We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.time series analysis, time domain, frequency domain

Time Series Analysis

We provide a concise overview of time series analysis in the time and frequency domains, with lots of references for further reading.time series analysis, time domain, frequency domain, Research Methods/ Statistical Methods,

Business cycles and leading indicators of industrial activity in India

The identification of business cycles in India and construction of a composite leading indicator for forecasting the cyclical turning points have been the focus of this study. The cyclical analysis of monthly index of industrial production (IIP) in India applying the Bry-Boschan procedure indicates that there have been 13 growth cycles in the Indian economy with varying durations during 1970-71 to 2001-02. While the average duration of expansion has been 12 months, the recessions are characterised by relatively longer duration of 16 months. For the purpose of forecasting turning points of business cycle, a composite leading index (CLI) is constructed comprising non-oil imports, exports, US GDP, deposits of commercial banks, non-food credit of commercial banks, currency demand, money supply growth, prices of industrial raw materials, prices of manufactured products, treasury bill yield, stock prices, freight loading of the railways and cargo handled at the major ports. The CLI has been able to forecast the turning points of the reference series with a lead period of about 6 months.business cycles; leading indicators

Forecasting Player Behavioral Data and Simulating in-Game Events

Understanding player behavior is fundamental in game data science. Video games evolve as players interact with the game, so being able to foresee player experience would help to ensure a successful game development. In particular, game developers need to evaluate beforehand the impact of in-game events. Simulation optimization of these events is crucial to increase player engagement and maximize monetization. We present an experimental analysis of several methods to forecast game-related variables, with two main aims: to obtain accurate predictions of in-app purchases and playtime in an operational production environment, and to perform simulations of in-game events in order to maximize sales and playtime. Our ultimate purpose is to take a step towards the data-driven development of games. The results suggest that, even though the performance of traditional approaches such as ARIMA is still better, the outcomes of state-of-the-art techniques like deep learning are promising. Deep learning comes up as a well-suited general model that could be used to forecast a variety of time series with different dynamic behaviors

Spectral quantification of nonlinear behaviour of the nearshore seabed and correlations with potential forcings at Duck, N.C., U.S.A

Local bathymetric quasi-periodic patterns of oscillation are identified from monthly profile surveys taken at two shore-perpendicular transects at the USACE field research facility in Duck, North Carolina, USA, spanning 24.5 years and covering the swash and surf zones. The chosen transects are the two furthest (north and south) from the pier located at the study site. Research at Duck has traditionally focused on one or more of these transects as the effects of the pier are least at these locations. The patterns are identified using singular spectrum analysis (SSA). Possible correlations with potential forcing mechanisms are discussed by 1) doing an SSA with same parameter settings to independently identify the quasi-periodic cycles embedded within three potentially linked sequences: monthly wave heights (MWH), monthly mean water levels (MWL) and the large scale atmospheric index known as the North Atlantic Oscillation (NAO) and 2) comparing the patterns within MWH, MWL and NAO to the local bathymetric patterns. The results agree well with previous patterns identified using wavelets and confirm the highly nonstationary behaviour of beach levels at Duck; the discussion of potential correlations with hydrodynamic and atmospheric phenomena is a new contribution. The study is then extended to all measured bathymetric profiles, covering an area of 1100m (alongshore) by 440m (cross-shore), to 1) analyse linear correlations between the bathymetry and the potential forcings using multivariate empirical orthogonal functions (MEOF) and linear correlation analysis and 2) identify which collective quasi-periodic bathymetric patterns are correlated with those within MWH, MWL or NAO, based on a (nonlinear) multichannel singular spectrum analysis (MSSA). (...continued in submitted paper)Comment: 50 pages, 3 tables, 8 figure

A Bayesian spatio-temporal model of panel design data: airborne particle number concentration in Brisbane, Australia

This paper outlines a methodology for semi-parametric spatio-temporal modelling of data which is dense in time but sparse in space, obtained from a split panel design, the most feasible approach to covering space and time with limited equipment. The data are hourly averaged particle number concentration (PNC) and were collected, as part of the Ultrafine Particles from Transport Emissions and Child Health (UPTECH) project. Two weeks of continuous measurements were taken at each of a number of government primary schools in the Brisbane Metropolitan Area. The monitoring equipment was taken to each school sequentially. The school data are augmented by data from long term monitoring stations at three locations in Brisbane, Australia. Fitting the model helps describe the spatial and temporal variability at a subset of the UPTECH schools and the long-term monitoring sites. The temporal variation is modelled hierarchically with penalised random walk terms, one common to all sites and a term accounting for the remaining temporal trend at each site. Parameter estimates and their uncertainty are computed in a computationally efficient approximate Bayesian inference environment, R-INLA. The temporal part of the model explains daily and weekly cycles in PNC at the schools, which can be used to estimate the exposure of school children to ultrafine particles (UFPs) emitted by vehicles. At each school and long-term monitoring site, peaks in PNC can be attributed to the morning and afternoon rush hour traffic and new particle formation events. The spatial component of the model describes the school to school variation in mean PNC at each school and within each school ground. It is shown how the spatial model can be expanded to identify spatial patterns at the city scale with the inclusion of more spatial locations.Comment: Draft of this paper presented at ISBA 2012 as poster, part of UPTECH projec