A note on forecasting demand using the multivariate exponential smoothing framework

Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention due to the complications arising with the estimation. Indeed, standard multivariate maximum likelihood methods are affected by numerical convergence issues and bad complexity, growing with the dimensionality of the model. In this paper, we introduce a new estimation strategy for multivariate exponential smoothing, based on aggregating its observations into scalar models and estimating them. The original high-dimensional maximum likelihood problem is broken down into several univariate ones, which are easier to solve. Contrary to the multivariate maximum likelihood approach, the suggested algorithm does not suffer heavily from the dimensionality of the model. The method can be used for time series forecasting. In addition, simulation results show that our approach performs at least as well as a maximum likelihood estimator on the underlying VMA(1) representation, at least in our test problems

Aggregation of exponential smoothing processes with an application to portfolio risk evaluation

In this paper we propose a unified framework to analyse contemporaneous and temporal aggregation of exponential smoothing (EWMA) models. Focusing on a vector IMA(1,1) model, we obtain a closed form representation for the parameters of the contemporaneously and temporally aggregated process as a function of the parameters of the original one. In the framework of EWMA estimates of volatility, we present an application dealing with Value-at-Risk (VaR) prediction at different sampling frequencies for an equally weighted portfolio composed of multiple indices. We apply the aggregation results by inferring the decay factor in the portfolio volatility equation from the estimated vector IMA(1,1) model of squared returns. Empirical results show that VaR predictions delivered using this suggested approach are at least as accurate as those obtained by applying the standard univariate RiskMetrics TM methodology.contemporaneous and temporal aggregation, EWMA, volatility, Value-at-Risk

What do we know about comparing aggregate and disaggregate forecasts?

This paper compares the performance of "aggregate" and "disaggregate" predictors in forecasting contemporaneously aggregated vector ARMA processes. An aggregate predictor is built by forecasting directly the aggregate process, as it results from contemporaneous aggregation of the data generating vector process. A disaggregate predictor is obtained by aggregating univariate forecasts for the individual components of the data generating vector process. The necessary and sufficient condition for the equality of mean squared errors associated with the two competing methods is provided in the bivariate VMA(1) case. Furthermore, it is argued that the condition of equality of predictors as stated in Lütkepohl (1984b, 1987, 2004) is only sufficient (not necessary) for the equality of mean squared errors. Finally, it is shown that the equality of forecasting accuracy for the two predictors can be achieved using specific assumptions on the parameters of the VMA(1) structure. Monte Carlo simulations are in line with the analytical results. An empirical application that involves the problem of forecasting the Italian monetary aggregate M1 in the pre-EMU period is presented to illustrate the main findings.contemporaneous aggregation, forecasting

Determinants and dynamics of schooling and child labor in Bolivia

This paper investigates the determinants of primary school enrollment, attendance and child labor in Bolivia from 1999 to 2007. The analysis also aims at identifying the substitution and complementary relationships between schooling and working. Although enrollment rates show a significant improvement, lack of attendance remains an issue. The empirical results reveal that the increase in enrollment is led by indigenous children and those living in urban areas. Moreover, contrary to common belief, being extremely poor and indigenous are the main determinants of school attendance. Although extremely poor children increased their school attendance, they were not able to reduce child labor. However, for indigenous children school attendance and child labor were substitutes, increasing schooling and reducing child labor.Street Children,Primary Education,Education For All,Youth and Governance,Children and Youth

On a generalization of the Dvoretzky-Wald-Wolfowitz theorem with an application to a robust optimization problem

A generalization of the Dvoretzky-Wald-Wolfowitz theorem to the case of conditional expectations is provided assuming that the $\sigma$-field on the state space has no conditional atoms.Comment: 10 page

Crisi di autenticità della marca e impatto sui consumatori. Il caso Apple.

Un gran numero di studi di Marketing riguardanti il senso d’identificazione del consumatore con i prodotti consumati indica che vi sia una correlazione tra consumo ed identità. Il lavoro che andremo a illustrare ha lo scopo di fornire una migliore comprensione della connessione tra i due aspetti sopra detti, sia dal punto di vista teorico (attraverso l’esame della letteratura di stampo sociologico e antropologico sull’argomento), sia dal punto di vista pratico attraverso una ricerca di mercato esplorativa, nella quale si è cercato di comprendere quali potessero essere le maggiori minacce al concetto di autenticità. Con tale proposito abbiamo preso in considerazione come oggetto della nostra ricerca la marca Apple, dato che essa appare essere, sin dalle sue origini, una tra quelle che più di altre riesce ad evocare nei consumatori e/o potenziali consumatori un forte coinvolgimento e senso di identificazione. A large number of Marketing studies about the meaning of the consumers' identification with products consumed indicates that there is a correlation between consumption and identity. The work that we are going to illustrate has the purpose of providing a better comprehension of the connection between a theoretical point of view and a practical point of view through a search of exploratory market, in which we have tried to understand what might be the biggest “threats” to the concept of authenticity. With this purpose we have taken into consideration as the object of our search the Apple brand because it appears to be, since its origins, one of best company with strong captivation and a sense of identification

DIAGNOSI DELLE MASTITI BOVINE: METODI CLINICO-FISICI A CONFRONTO

Nel nostro paese l’allevamento bovino da latte negli ultimi decenni ha subito notevoli trasformazioni, sia da un punto di vista numerico che gestionale. Si è assistito alla riduzione del numero di allevamenti associata all’aumento di animali per singolo allevamento al fine di incrementare le performance degli animali ed aumentare quindi la produttività dell’azienda. A fronte dei sensibili miglioramenti produttivi ha fatto riscontro però un peggioramento dei parametri riproduttivi. Le patologie mammarie di natura infettiva sono da sempre uno dei principali problemi dell’allevamento bovino da latte e nonostante siano ormai decenni che vengono studiate e combattute, a causa della continua evoluzione delle tecniche di allevamento della notevole capacità di adattamento alle nuove situazioni epidemiologiche degli agenti patogeni, i risultati non sono confortanti con conseguenti danni economici per gli allevamenti. La possibilità di eseguire una diagnosi precoce di mastite, anche nelle forme più subdole, attraverso metodi semplici e da fare in loco risulta quindi estremamente importante. Nel presente studio sono stati messi a confronto vari tests diagnostici quali il California Mastitis Test (CMT), la Conducibilità Elettrica (CE), il pH , la Conta delle Cellule Somatiche e l’esame su un campione di 54 bovine in lattazione di un allevamento intensivo. I test sono stati eseguiti sui campioni di latte proveniente da ciascun quarto ed è stata valutata la correlazione tra il test di Conta delle Cellule Somatiche vs CMT, pH e CE. I risultati ottenuti dai vari test hanno evidenziato che non esiste correlazione statisticamente significativa. In our country the breeding dairy cattle in recent decades has undergone considerable change, both from a numerical point of view that management. There has been a reduction in the number of farms associated with an increase of animals per farm in order to increase the performance of the animals and thus increase productivity. In view of the sensitive improvements in production has been accompanied, however, a worsening of reproductive parameters. The breast disease of an infectious nature have always been one of the main problems of cattle breeding and dairy despite decades now, are studied and combated, due to the continuous development of breeding techniques of the remarkable ability to adapt to new situations epidemiological agents pathogens, the results are encouraging, resulting in economic losses to livestock. The ability to perform an early diagnosis of mastitis, even in more subtle forms through simple methods to do on site and is therefore extremely important. In the present study were compared various diagnostic tests such as the California Mastitis Test (CMT), electrical conductivity (EC), pH, Counting of Somatic Cells and examination of a sample of 54 lactating cows in a herd intensive. The tests were performed on the samples of milk from each quarter and has been evaluated the correlation between the test of somatic cell count vs. CMT, pH and EC. The results obtained from the various tests have shown that there is no statistically significant correlation

Sviluppo di una interfaccia in ambiente LabVIEW per il controllo remoto del generatore di funzioni Agilent 33220A

La tesi consiste nello sviluppo di una interfaccia in ambiente LabVIEW per il controllo remoto del generatore di funzioni Agilent 33220A. Sono state realizzate tre versioni dell'interfaccia: • una versione STAND-ALONE che è possibile utilizzare in assenza dello strumento collegato alla rete; questa versione ha lo scopo di fornire allo studente un supporto per l'apprendimento dei menu dello strumento e le modalità di inserimento dei vari parametri delle forme d'onda (questa versione non controlla lo strumento reale!); • una versione LOCAL che permette il controllo remoto dello strumento all’interno di una rete locale. Lo strumento può essere collegato alla rete locale attraverso una connessione Ethernet oppure una connessione GPIB; • una versione INTERNET che permette il controllo remoto dello strumento mediante un browser internet. Inoltre è stato realizzato un applicativo in ambiente LabVIEW per il caricamento di forme d'onda arbitrarie sullo strumento e la cancellazione delle forme d'onda dalla memoria dello strumento mediante PC. Attraverso questo applicativo è possibile caricare le forme d'onda utilizzando come interfaccia di collegamento sia la GPIB sia la Ethernet