Extraction of Common Signal from Series with Different Frequency

The extraction of a common signal from a group of time series is generally obtained using variables recorded with the same frequency or transformed to have the same frequency (monthly, quarterly, etc.). The statistical literature has not paid a great deal of attention to this topic. In this paper we extend an approach based on the use of dummy variables to the well known trend plus cycle model, in a multivariate context, using both quarterly and monthly data. This procedure is applied to the Italian economy, using the variables suggested by an Italian Institution (ISAE) to provide a national dating.Business cycle; State-space; Time Series; Trend; Turning Points

Human Thelaziasis, Europe

Thelazia callipaeda eyeworm is a nematode transmitted by drosophilid flies to carnivores in Europe. It has also been reported in the Far East in humans. We report T. callipaeda infection in 4 human patients in Italy and France

Classifying the Markets Volatility with ARMA Distance Measures

The financial time series are often characterized by similar volatility structures. The selection of series having a similar behavior could be important for the analysis of the transmission mechanisms of volatility and to forecast the time series, using the series with more similar structure. In this paper a metrics is developed in order to measure the distance between two GARCH models, extending well known results developed for the ARMA models. The statistic used to calculate it follows known distributions, so that it can be adopted as a test procedure. These tools can be used to develope an agglomerative algorithm in order to detect clusters of homogeneous series.GARCH models, clusters, agglomerative algorithm

Tracking the Vector of Onchocerca lupi in a Rural Area of Greece

During a hot Mediterranean summer, an expedition brought parasitologists from Brazil, France, Greece, Italy, and Serbia to a wooded area near Xanthi, Thrace, northeastern Greece, near the Turkish border, on the track of the vector of the little-known nematode Onchocerca lupi. The scientific purposes of the expedition blended then with stories of humans, animals, and parasites in this rural area

Recognizing and forecasting the sign of financial local trends using hidden Markov models

The problem of forecasting financial time series has received great attention in the past, from both Econometrics and Pattern Recognition researchers. In this context, most of the efforts were spent to represent and model the volatility of the financial indicators in long time series. In this paper a different problem is faced, the prediction of increases and decreases in short (local) financial trends. This problem, poorly considered by the researchers, needs specific models, able to capture the movement in the short time and the asymmetries between increase and decrease periods. The methodology presented in this paper explicitly considers both aspects, encoding the financial returns in binary values (representing the signs of the returns), which are subsequently modelled using two separate Hidden Markov models, one for increases and one for decreases, respectively. The approach has been tested with different experiments with the Dow Jones index and other shares of the same market of different risk, with encouraging results

Dating the Italian Business Cycle: A Comparison of Procedures

The problem of dating the business cycle has recently received many contributions, with a lot of proposed statistical methodologies, parametric and non parametric. Despite of this, only a few countries produce an official dating of the business cycle. In this work we try to apply some procedures for an automatic dating of the Italian business cycle in the last thirty years, checking differences among various methodologies and with the ISAE chronology. To this end parametric as well as non parametric methods are employed. The analysis is carried out both aggregating results from single time series and directly in a multivariate framework. The different methods are also evaluated with respect to their ability to timely track turning points. KEYWORDS: signal extraction, turning points, parametric methods, nonparametric methodssignal extraction, turning points, parametric methods, nonparametric methods

Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter

A widely used filter to extract a signal in a time series, in particular in the business cycle analysis, is the Hodrick-Prescott filter. The model that underlies the filter considers the data series as the sum of two unobserved component (signal and non signal) and a smoothing parameter which for quarterly series is set to a specified value. This paper proposes a generalization of the Hodrick-Prescott filter to a continuous time support, using the well-established relationship between cubic splines and state-space models. The spline formulation of the filter leads to a state space model with several practical advantages: first, the smoothing parameter can be either pre-specified or estimated as the other parameters in the model; second, the unobserved components can be modelled by the addition of particular ARIMA structures; lastly the model is capable of working in the presence of missing values or for irregular surveys. Monte Carlo experiments support these considerations.smoothing parameter, cubic spline, state-space model, irregular surveys.

An eikonal approach for the atomic photoelectric effect on H-like atoms

Most quantum mechanics textbooks introduce the atomic photoelectric effect expressing the final continuum state in the high energy limit as a plane wave. This approximation has shown to give clear differences between gauges though. In this work, we show that an approximation based on the asymptotic limit of the exact wave function for the final state leads to better results whether form of the interaction Hamiltonian is used as the photon energy increases. This asymptotic eikonal approximation leads to the exact result in velocity gauge for increasing photon energies, evidencing the relevance of the Coulomb potential even at large distances.Gran parte de los textos de mecánica cuántica introducen el efecto fotoeléctrico expresando la función de onda para el estado final en el límite de altas energías como una onda plana. Sin embargo, esta aproximación conduce a resultados que dependen de la norma utilizada para el calculo de la amplitud de transición. En este trabajo se muestra que una aproximación basada en el limite asintótico de la función de onda exacta para el estado final, conduce a mejores resultados independientemente de la forma del hamiltoniano de interacción utilizado a medida ´ que se incrementa la energía del fotón. Esta aproximación asintótica eikonal conduce al resultado exacto en la norma de velocidad para altas energías del fotón incidente, evidenciando la relevancia del potencial coulombiano a grandes distancias.Fil: Otranto, Sebastián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Física del Sur. Universidad Nacional del Sur. Departamento de Física. Instituto de Física del Sur; ArgentinaFil: Gasaneo, Gustavo. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Física del Sur. Universidad Nacional del Sur. Departamento de Física. Instituto de Física del Sur; ArgentinaFil: Alberdi, E.D.. Universidad Nacional del Sur. Departamento de Física; Argentin

Modelling the discrete and infrequent official interest rate change in the UK

This paper is an empirical analysis of the manner in which official interest rates are determined by the Bank of England. We use a nonlinear framework that allow for the separate study of factors affecting the magnitude of positive and negative interest rate changes as well as their probabilities. Using this approach, new kinds of monetary shocks are defined and used to evaluate their impact on the UK economy. Among them, unanticipated negative interest rate changes are especially important. The model generalizes previous approaches in the literature and provides a rich methodology to understand central banks' decisions and their consequences

MODELLING THE DISCRETE AND INFREQUENT OFFICIAL INTEREST RATE CHANGE IN THE UK

This paper is an empirical analysis of the manner in which official interest rates are determined by the Bank of England. We use a nonlinear framework that allow for the separate study of factors affecting the magnitude of positive and negative interest rate changes as well as their probabilities. Using this approach, new kinds of monetary shocks are defined and used to evaluate their impact on the UK economy. Among them, unanticipated negative interest rate changes are especially important. The model generalizes previous approaches in the literature and provides a rich methodology to understand central banks’ decisions and their consequences.