A, B, C's (and D)'s for Understanding VARs

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review circumstances under which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there are equal numbers of VAR and economic shocks.

A, B, C’s, (and D’s) for understanding VARs

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A, B, C, D) that define a state-space system. An associated state space system (A, K, C, S) determines a vector autoregression (VAR) for observables available to an econometrician. We review circumstances in which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there are equal numbers of VAR and economic shocks.

A, B, C’s (And D’s) For Understanding VARS

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C, Sigma) determines a vector autoregression for observables available to an econometrician. We review circumstances under which the impulse response of the VAR resembles the impulse response associated with the economic model. We give four examples that illustrate a simple condition for checking whether the mapping from VAR shocks to economic shocks is invertible. The condition applies when there are equal numbers of VAR and economic shocks.VARs , Invertibility, Estimation of Dynamic Equilibrium Models, economic shocks, innovations

Evolutionary games on graphs

Game theory is one of the key paradigms behind many scientific disciplines from biology to behavioral sciences to economics. In its evolutionary form and especially when the interacting agents are linked in a specific social network the underlying solution concepts and methods are very similar to those applied in non-equilibrium statistical physics. This review gives a tutorial-type overview of the field for physicists. The first three sections introduce the necessary background in classical and evolutionary game theory from the basic definitions to the most important results. The fourth section surveys the topological complications implied by non-mean-field-type social network structures in general. The last three sections discuss in detail the dynamic behavior of three prominent classes of models: the Prisoner's Dilemma, the Rock-Scissors-Paper game, and Competing Associations. The major theme of the review is in what sense and how the graph structure of interactions can modify and enrich the picture of long term behavioral patterns emerging in evolutionary games.Comment: Review, final version, 133 pages, 65 figure

STOCHASTIC MODELING AND TIME-TO-EVENT ANALYSIS OF VOIP TRAFFIC

Voice over IP (VoIP) systems are gaining increased popularity due to the cost effectiveness, ease of management, and enhanced features and capabilities. Both enterprises and carriers are deploying VoIP systems to replace their TDM-based legacy voice networks. However, the lack of engineering models for VoIP systems has been realized by many researchers, especially for large-scale networks. The purpose of traffic engineering is to minimize call blocking probability and maximize resource utilization. The current traffic engineering models are inherited from the legacy PSTN world, and these models fall short from capturing the characteristics of new traffic patterns. The objective of this research is to develop a traffic engineering model for modern VoIP networks. We studied the traffic on a large-scale VoIP network and collected several billions of call information. Our analysis shows that the traditional traffic engineering approach based on the Poisson call arrival process and exponential holding time fails to capture the modern telecommunication systems accurately. We developed a new framework for modeling call arrivals as a non-homogeneous Poisson process, and we further enhanced the model by providing a Gaussian approximation for the cases of heavy traffic condition on large-scale networks. In the second phase of the research, we followed a new time-to-event survival analysis approach to model call holding time as a generalized gamma distribution and we introduced a Call Cease Rate function to model the call durations. The modeling and statistical work of the Call Arrival model and the Call Holding Time model is constructed, verified and validated using hundreds of millions of real call information collected from an operational VoIP carrier network. The traffic data is a mixture of residential, business, and wireless traffic. Therefore, our proposed models can be applied to any modern telecommunication system. We also conducted sensitivity analysis of model parameters and performed statistical tests on the robustness of the models’ assumptions. We implemented the models in a new simulation-based traffic engineering system called VoIP Traffic Engineering Simulator (VSIM). Advanced statistical and stochastic techniques were used in building VSIM system. The core of VSIM is a simulation system that consists of two different simulation engines: the NHPP parametric simulation engine and the non-parametric simulation engine. In addition, VSIM provides several subsystems for traffic data collection, processing, statistical modeling, model parameter estimation, graph generation, and traffic prediction. VSIM is capable of extracting traffic data from a live VoIP network, processing and storing the extracted information, and then feeding it into one of the simulation engines which in turn provides resource optimization and quality of service reports

Philosophy and the practice of Bayesian statistics

A substantial school in the philosophy of science identifies Bayesian inference with inductive inference and even rationality as such, and seems to be strengthened by the rise and practical success of Bayesian statistics. We argue that the most successful forms of Bayesian statistics do not actually support that particular philosophy but rather accord much better with sophisticated forms of hypothetico-deductivism. We examine the actual role played by prior distributions in Bayesian models, and the crucial aspects of model checking and model revision, which fall outside the scope of Bayesian confirmation theory. We draw on the literature on the consistency of Bayesian updating and also on our experience of applied work in social science. Clarity about these matters should benefit not just philosophy of science, but also statistical practice. At best, the inductivist view has encouraged researchers to fit and compare models without checking them; at worst, theorists have actively discouraged practitioners from performing model checking because it does not fit into their framework.Comment: 36 pages, 5 figures. v2: Fixed typo in caption of figure 1. v3: Further typo fixes. v4: Revised in response to referee

Preface

DAMSS-2018 is the jubilee 10th international workshop on data analysis methods for software systems, organized in Druskininkai, Lithuania, at the end of the year. The same place and the same time every year. Ten years passed from the first workshop. History of the workshop starts from 2009 with 16 presentations. The idea of such workshop came up at the Institute of Mathematics and Informatics. Lithuanian Academy of Sciences and the Lithuanian Computer Society supported this idea. This idea got approval both in the Lithuanian research community and abroad. The number of this year presentations is 81. The number of registered participants is 113 from 13 countries. In 2010, the Institute of Mathematics and Informatics became a member of Vilnius University, the largest university of Lithuania. In 2017, the institute changes its name into the Institute of Data Science and Digital Technologies. This name reflects recent activities of the institute. The renewed institute has eight research groups: Cognitive Computing, Image and Signal Analysis, Cyber-Social Systems Engineering, Statistics and Probability, Global Optimization, Intelligent Technologies, Education Systems, Blockchain Technologies. The main goal of the workshop is to introduce the research undertaken at Lithuanian and foreign universities in the fields of data science and software engineering. Annual organization of the workshop allows the fast interchanging of new ideas among the research community. Even 11 companies supported the workshop this year. This means that the topics of the workshop are actual for business, too. Topics of the workshop cover big data, bioinformatics, data science, blockchain technologies, deep learning, digital technologies, high-performance computing, visualization methods for multidimensional data, machine learning, medical informatics, ontological engineering, optimization in data science, business rules, and software engineering. Seeking to facilitate relations between science and business, a special session and panel discussion is organized this year about topical business problems that may be solved together with the research community. This book gives an overview of all presentations of DAMSS-2018.DAMSS-2018 is the jubilee 10th international workshop on data analysis methods for software systems, organized in Druskininkai, Lithuania, at the end of the year. The same place and the same time every year. Ten years passed from the first workshop. History of the workshop starts from 2009 with 16 presentations. The idea of such workshop came up at the Institute of Mathematics and Informatics. Lithuanian Academy of Sciences and the Lithuanian Computer Society supported this idea. This idea got approval both in the Lithuanian research community and abroad. The number of this year presentations is 81. The number of registered participants is 113 from 13 countries. In 2010, the Institute of Mathematics and Informatics became a member of Vilnius University, the largest university of Lithuania. In 2017, the institute changes its name into the Institute of Data Science and Digital Technologies. This name reflects recent activities of the institute. The renewed institute has eight research groups: Cognitive Computing, Image and Signal Analysis, Cyber-Social Systems Engineering, Statistics and Probability, Global Optimization, Intelligent Technologies, Education Systems, Blockchain Technologies. The main goal of the workshop is to introduce the research undertaken at Lithuanian and foreign universities in the fields of data science and software engineering. Annual organization of the workshop allows the fast interchanging of new ideas among the research community. Even 11 companies supported the workshop this year. This means that the topics of the workshop are actual for business, too. Topics of the workshop cover big data, bioinformatics, data science, blockchain technologies, deep learning, digital technologies, high-performance computing, visualization methods for multidimensional data, machine learning, medical informatics, ontological engineering, optimization in data science, business rules, and software engineering. Seeking to facilitate relations between science and business, a special session and panel discussion is organized this year about topical business problems that may be solved together with the research community. This book gives an overview of all presentations of DAMSS-2018