Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

This empirical paper compares the accuracy of 12 time series methods for short-term (day-ahead) spot price forecasting in auction-type electricity markets. The methods considered include standard autoregression (AR) models, their extensions – spike preprocessed, threshold and semiparametric autoregressions (i.e. AR models with nonparametric innovations), as well as, mean-reverting jump diffusions. The methods are compared using a time series of hourly spot prices and system-wide loads for California and a series of hourly spot prices and air temperatures for the Nordic market. We find evidence that (i) models with system load as the exogenous variable generally perform better than pure price models, while this is not necessarily the case when air temperature is considered as the exogenous variable, and that (ii) semiparametric models generally lead to better point and interval forecasts than their competitors, more importantly, they have the potential to perform well under diverse market conditions.Electricity market, Price forecast, Autoregressive model, Nonparametric maximum likelihood, Interval forecast, Conditional coverage

Non-linear System Identification with Composite Relevance Vector Machines

Nonlinear system identification based on relevance vector machines (RVMs) has been traditionally addressed by stacking the input and/or output regressors and then performing standard RVM regression. This letter introduces a full family of composite kernels in order to integrate the input and output information in the mapping function efficiently and hence generalize the standard approach. An improved trade-off between accuracy and sparsity is obtained in several benchmark problems. Also, the RVM yields confidence intervals for the predictions, and it is less sensitive to free parameter selectionPublicad

Improving feature extraction via time series modeling for structural health monitoring based on unsupervised learning methods

Feature extraction by time series modeling based on statistical pattern recognition is a powerful approach to Structural Health Monitoring (SHM). Determination of an adequate order and identi cation of an appropriate model play prominent roles in extracting sensitive features to damage from time series representations. Early damage detection under statistical decision-making via high-dimensional features is another signi cant issue. The main objectives of this study were to improve a residual-based feature extraction method by time series modeling and to propose a multivariate data visualization approach to early damage detection. A simple graphical tool based on Box-Jenkins methodology was adopted to identify the most compatible time series model with vibration time-domain measurements. Furthermore, k-means and Gaussian Mixture Model (GMM) clustering techniques were utilized to examine the performance of the residuals of the identi ed model in damage detection. A numerical concrete beam and an experimental benchmark model were applied to verifying the improved and proposed methods along with comparative analyses. Results showed that the approaches were successful and superior to a state-of-the-art order determination technique in obtaining a sufficient order, generating uncorrelated residuals, extracting sensitive features to damage, and accurately detecting early damage by high-dimensional data

Study on identification of nonlinear systems using Quasi-ARX models

制度:新 ; 報告番号:甲3660号 ; 学位の種類:博士(工学) ; 授与年月日:2012/9/15 ; 早大学位記番号:新6026Waseda Universit

Parametric Modelling of EEG Data for the Identification of Mental Tasks

Electroencephalographic (EEG) data is widely used as a biosignal for the identification of different mental states in the human brain. EEG signals can be captured by relatively inexpensive equipment and acquisition procedures are non-invasive and not overly complicated. On the negative side, EEG signals are characterized by low signal-to-noise ratio and non-stationary characteristics, which makes the processing of such signals for the extraction of useful information a challenging task.peer-reviewe

The detection of freezing of gait in Parkinson's disease using asymmetric basis function TV-ARMA time-frequency spectral estimation method

Freezing of gait (FOG) is an episodic gait disturbance affecting locomotion in Parkinson’s disease. As a biomarker to detect FOG, the Freeze index (FI), which is defined as the ratio of the areas under power spectra in ‘freeze’ band and in ‘locomotion’ band, can negatively be affected by poor time and frequency resolution of time-frequency spectrum estimate when short-time Fourier transform (STFT) or Wavelet transform (WT) is used. In this study, a novel high-resolution parametric time-frequency spectral estimation method is proposed to improve the accuracy of FI. A time-varying autoregressive moving average model (TV-ARMA) is first identified where the time-varying parameters are estimated using an asymmetric basis function expansion method. The TV-ARMA model is then transformed into frequency domain to estimate the time-frequency spectrum and calculate the FI. Results evaluated on the Daphnet Freezing of Gait Dataset show that the new method improves the time and frequency resolutions of the time-frequency spectrum and the associate FI has better performance in the detection of FOG than its counterparts based on STFT and WT methods do. Moreover, FOGs can be predicted in advance of its occurrence in most cases using the new method

Damage classification and estimation in experimental structures using time series analysis and pattern recognition

Peer reviewedPreprin

A Unified Point Process Probabilistic Framework to Assess Heartbeat Dynamics and Autonomic Cardiovascular Control

In recent years, time-varying inhomogeneous point process models have been introduced for assessment of instantaneous heartbeat dynamics as well as specific cardiovascular control mechanisms and hemodynamics. Assessment of the model’s statistics is established through the Wiener-Volterra theory and a multivariate autoregressive (AR) structure. A variety of instantaneous cardiovascular metrics, such as heart rate (HR), heart rate variability (HRV), respiratory sinus arrhythmia (RSA), and baroreceptor-cardiac reflex (baroreflex) sensitivity (BRS), are derived within a parametric framework and instantaneously updated with adaptive and local maximum likelihood estimation algorithms. Inclusion of second-order non-linearities, with subsequent bispectral quantification in the frequency domain, further allows for definition of instantaneous metrics of non-linearity. We here present a comprehensive review of the devised methods as applied to experimental recordings from healthy subjects during propofol anesthesia. Collective results reveal interesting dynamic trends across the different pharmacological interventions operated within each anesthesia session, confirming the ability of the algorithm to track important changes in cardiorespiratory elicited interactions, and pointing at our mathematical approach as a promising monitoring tool for an accurate, non-invasive assessment in clinical practice. We also discuss the limitations and other alternative modeling strategies of our point process approach

Modal identification using optimization approach.

In this thesis, the modal identification problem is pursued using two different optimization approaches. The first approach is a deterministic optimization approach that minimizes the output model error in the time domain between a direct solution using the modal model and the measured response. Examples of single-input single-output identification are used to illustrate this method; it has been shown this approach is robust against noise and can be used to fine-tune the modal parameter, especially for the damping. The second approach is based on probabilistic optimization; the objective function is defined as the a posteriori probabilistic density of the parameters given observations/measurements. The conditional probability density is computed using the Bayesian theory of minimum-mean-square-error estimation. Examples of single-output under ambient excitation are simulated to demonstrate this approach. This methodology allows one to obtain not only the estimated parameters in the form of probabilistic mean but also the uncertainties in the form of covariance. The optimization approaches works though the minimization of an objective function which can be calculated from given set of modal/model parameters. Since there is no gradient or Hessian available for the objective functions defined in this thesis, two direct optimization methods: Nelder-Mead simplex and the Genetic Algorithm are adopted to search the minimum of defined objective functions and thus find the structural parameters. (Abstract shortened by UMI.)Dept. of Civil and Environmental Engineering. Paper copy at Leddy Library: Theses & Major Papers - Basement, West Bldg. / Call Number: Thesis2005 .L52. Source: Masters Abstracts International, Volume: 44-03, page: 1437. Thesis (M.A.Sc.)--University of Windsor (Canada), 2005