Modeling for seasonal marked point processes: An analysis of evolving hurricane occurrences

Seasonal point processes refer to stochastic models for random events which are only observed in a given season. We develop nonparametric Bayesian methodology to study the dynamic evolution of a seasonal marked point process intensity. We assume the point process is a nonhomogeneous Poisson process and propose a nonparametric mixture of beta densities to model dynamically evolving temporal Poisson process intensities. Dependence structure is built through a dependent Dirichlet process prior for the seasonally-varying mixing distributions. We extend the nonparametric model to incorporate time-varying marks, resulting in flexible inference for both the seasonal point process intensity and for the conditional mark distribution. The motivating application involves the analysis of hurricane landfalls with reported damages along the U.S. Gulf and Atlantic coasts from 1900 to 2010. We focus on studying the evolution of the intensity of the process of hurricane landfall occurrences, and the respective maximum wind speed and associated damages. Our results indicate an increase in the number of hurricane landfall occurrences and a decrease in the median maximum wind speed at the peak of the season. Introducing standardized damage as a mark, such that reported damages are comparable both in time and space, we find that there is no significant rising trend in hurricane damages over time.Comment: Published at http://dx.doi.org/10.1214/14-AOAS796 in the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Testing for Additive Outliers in Seasonally Integrated Time Series

The detection of additive outliers in integrated variables has attracted some attention recently, see e.g. Shin et al. (1996), Vogelsang (1999) and Perron and Rodriguez (2003). This paper serves several purposes. We prove the inconsistency of the test proposed by Vogelsang, we extend the tests proposed by Shin et al. and Perron and Rodriguez to the seasonal case, and we consider alternative ways of computing their tests. We also study the effects of periodically varying variances on the previous tests and demonstrate that these can be seriously size distorted. Subsequently, some new tests that allow for periodic heteroskedasticity are proposed.Additive outliers, outlier detection, integrated processes, periodic heteroscedasticity, seasonality.

Testing the Null of Cointegration with Structural Breaks

In this paper we propose an LM-Type statistic to test the null hypothesis of cointegration allowing for the possibility of a structural break, in both the deterministic and the cointegration vector. Our proposal focuses on the presence of endogenous regressors and analyses which estimation method provides better results. The test has been designed to be used as a complement to the usual non-cointegration tests in order to obtain stronger evidence of cointegration. We consider the cases of known and unknown break date. In the latter case, we show that minimizing the SSR results in a super-consistent estimator of the break fraction. Finally, the behaviour of the tests is studied through Monte Carlo experiments.cointegration, strcutural breaks, KPSS test.

Testing for Changes in the Unconditional Variance of Financial Time Series

Inclan and Tiao (1994) proposed a test for the detection of changes of the unconditional variance which has been used in financial time series analysis. In this article we show some serious drawbacks for using this test with this type of data. Specifically, it su.ers important size distortions for leptokurtic and platykurtic innovations. Moreover, the size distortions are more extreme for heteroskedastic conditional variance processes. These results invalidate in practice the use of the test for financial time series. To overcome these problems we propose new tests that explicitly consider the fourth moment properties of the disturbances and the conditional heteroskedasticity. Monte Carlo experiments show the good performance of these tests. The application of the new tests to the same series in Aggarwal, Inclan and Leal (1999) reveal that the changes in variance they detect are spurious.ICSS, Changes in Variance, Kurtosis, ARCH, IGARCH.

El campo el agua y el sol : el labrador

Abstract not availabl

The tourist area lifecycle and the unit roots test. A new economic perspective for a classic paradigm in tourism.

As many traditional tourist destinations have experienced a slow down in tourist arrivals and expenditure, Butler’s (1980) Tourist Area Life Cycle (TALC) model seems to attract new attention from tourist researchers. The TALC describes the evolution of a tourist area from its discovery to its final stage picturing an evolutionary path represented with an S shaped curve associated to the logistic function. The limits of growth and the shape of the curve represent the existence of congestion problems and upper carrying capacity limits. But the TALC has been repeatedly criticized by its lack of operability and its departures from the anticipated curve. An alternative way to test its existence is to estimate its theoretical logistic curve and test the presence of unit roots. The application of this new technique to Majorca concludes that the evolutionary path predicted by the TALC does not apply in this particular case. Even more, the empirical results could imply that shocks that affect to this destination will have not temporary but permanent effects, encouraging the adoption of pro-active policy measures.Destination lifecycle, carrying capacity, logistic function, unit root test

The KPSS Test with Two Structural Breaks

In this paper we generalize the KPSS-type test to allow for two structural breaks. Seven models have been de?ned depending on the way that the structural breaks a¤ect the time series behaviour. The paper derives the limit distribution of the test both under the null and the alternative hypotheses and conducts a set of simulation experiments to analyse the performance in finite samples.Stationary tests, structural breaks, unit root.

El Portal del mirador de la Catedral de Mallorca: noves perspectives iconogràfiques

El portal del Mirador de la catedral de Mallorca presenta un conjunt escultòric on la iconografia musical té una presència destacada. Els relleus i escultures foren realitzats per un grup de mestres i escultors, alguns d'ells provinents de països estrangers, durant la segona meitat del segle xiv. Es tracta, per tant, d'una obra en la qual van confluir distintes tendències artístiques, tant les pròpies de la Mediterrània com les vingudes del nord d'Europa. El programa iconogràfic destaca per la presència de tota una sèrie d'àngels músics en l'arquivolta, en el mainell que divideix el portal i en les parets laterals. En una recent restauració del portal es va poder tenir accés directe a les escultures i als relleus. Aquesta observació propera va permetre descobrir que en alguns dels instruments cordòfons que porten els àngels de l'arquivolta quedava un rastre d'una presència en origen de cordes metàl·liques. Aquesta especial característica aplicada pels escultors donava un caire molt realista a aquest conjunt escultòric i molt possiblement devia oferir un impacte visual important. El portal del Mirador, per la seva posició privilegiada sobre el mar, constituïa el lloc d'entrada més emblemàtic de la catedral i, per tant, mereixia un programa iconogràfic a l'altura de la seva importància.Musical iconography figures prominently in the sculptural group of Majorca Cathedrals Mirador Doorway. These reliefs and sculptures were made in the last half of the 14th century by a group of both local and foreign master builders and sculptors. Accordingly, different artistic trends from the Mediterranean as well as northern Europe converged in this work. The iconographic programme stands out for the presence of a whole series of angel musicians on the archivolt, on the mullion dividing the doorway and on the side walls. In a recent restoration of the doorway, direct access was gained to the sculptures and reliefs, giving a close-up look that revealed traces of the original presence of metal strings on some of the chordophones held by the angels on the archivolt. This peculiar feature introduced by the sculptors gave the sculptural group a very realistic appearance and probably produced a great visual impact. Due to its strategic position overlooking the sea, the Mirador Doorway was the cathedrals most emblematic entrance, receiving for this reason a suitably important iconographic treatment