Forecasting linear dynamical systems using subspace methods

A new procedure to predict with subspace methods is presented in this paper. It is based on combining multiple forecasts obtained from setting a range of values for a specic parameter that is typically xed by the user in the subspace methods literature. An algorithm to compute these predictions and to obtain a suitable number of combinations is provided. The procedure is illustrated by forecasting the German gross domestic product.Forecasting, Subspace methods, Combining forecasts.

Estimating the system order by subspace methods

This paper discusses how to determine the order of a state-space model. To do so, we start by revising existing approaches and find in them three basic shortcomings: i) some of them have a poor performance in short samples, ii) most of them are not robust and iii) none of them can accommodate seasonality. We tackle the first two issues by proposing new and refined criteria. The third issue is dealt with by decomposing the system into regular and seasonal sub-systems. The performance of all the procedures considered is analyzed through Monte Carlo simulations

Detection of Communities within the Multibody System Dynamics Network and Analysis of Their Relations

Multibody system dynamics is already a well developed branch of theoretical, computational and applied mechanics. Thousands of documents can be found in any of the well-known scientific databases. In this work it is demonstrated that multibody system dynamics is built of many thematic communities. Using the Elsevier’s abstract and citation database SCOPUS, a massive amount of data is collected and analyzed with the use of the open source visualization tool Gephi. The information is represented as a large set of nodes with connections to study their graphical distribution and explore geometry and symmetries. A randomized radial symmetry is found in the graphical representation of the collected information. Furthermore, the concept of modularity is used to demonstrate that community structures are present in the field of multibody system dynamics. In particular, twenty-four different thematic communities have been identified. The scientific production of each community is analyzed, which allows to predict its growing rate in the next years. The journals and conference proceedings mainly used by the authors belonging to the community as well as the cooperation between them by country are also analyzed

Convergence and Cointegration

This paper provides a new, uni¯ed, and °exible framework to measure and characterize convergence in prices. We formally de¯ne this notion and propose a model to represent a wide range of transition paths that converge to a common steady-state. Our framework enables the econometric measurement of such transi- tional behaviors and the development of testing procedures. Speci¯cally, we derive a statistical test to determine whether convergence exists and, if so, which type: as catching-up or steady-state. The application of this methodology to historic wheat prices results in a novel explanation of the convergence processes experienced during the 19th century.Price convergence, cointegration, law of one price.

Supervisores financieros y deberes de protección de los intereses de los inversores. Riesgos asumidos, consentimiento y conflicto de deberes

Depto. de Derecho Mercantil, Financiero y TributarioFac. de DerechoFALSEMinisterio de Economía y Competitividad (MINECO)pu

Segovia

Copia digital. Valladolid : Junta de Castilla y León. Consejería de Cultura y Turismo, 2009-201