A generalization of periodic autoregressive models for seasonal time series

Many nonstationary time series exhibit changes in the trend and seasonality structure, that may be modeled by splitting the time axis into different regimes. We propose multi-regime models where, inside each regime, the trend is linear and seasonality is explained by a Periodic Autoregressive model. In addition, for achieving parsimony, we allow season grouping, i.e. seasons may consists of one, two, or more consecutive observations. Since the set of possible solutions is very large, the choice of number of regimes, change times and order and structure of the Autoregressive models is obtained by means of a Genetic Algorithm, and the evaluation of each possible solution is left to an identication criterion such as AIC, BIC or MDL. The comparison and performance of the proposed method are illustrated by a real data analysis. The results suggest that the proposed procedure is useful for analyzing complex phenomena with structural breaks, changes in trend and evolving seasonality

A comparative study of models for the incident duration prediction

This study is intended to investigate the reliability of different incident duration prediction models for real time application with a view to contribute to the development of a decision aid tool within the incident management process context where rough incident duration estimates are currently provided by traffic operators or police on the basis of their skill and past experience. Five predictive models, ranging from parametric models, to non-parametric and neural network models, have been considered and compared evaluating their capacity of predicting incident duration. The data set used in this study for developing and testing the prediction models includes 237 incident events and contains information about the incident characteristics, the personnel and equipment involved to clear the incident and the related response times, including the beginning and ending time of the incident. Testing results have demonstrated that the proposed models are able to achieve good performance in terms of prediction accuracy especially for incidents with duration less than 90 min. This finding is partly due to the fact that the dataset has a relatively small number of severe incidents. Furthermore a linear combination of predictions from models was applied with negligible gain in accuracy. A deeper investigation is suggested for a future work to evaluate potential improvements from the application of other combination methods. Moreover each proposed model is able to reach best performance for incidents within a particular duration range. Thus a preliminary incident classification scheme could be more convenient in order to select the more appropriate prediction model

Identification of multiregime periodic autotregressive models by genetic algorithms

.This paper develops a procedure for identifying multiregimePeriodic AutoRegressive (PAR) models. In each regime a possibly dif-ferent PAR model is built, for which changes can be due to the seasonalmeans, the autocorrelation structure or the variances. Number and lo-cations of changepoints which subdivide the time span are detected bymeans of Genetic Algorithms (GAs), that optimize an identification cri-terion. The method is evaluated by means of simulation studies, and isthen employed to analyze shrimp fishery data

Characterization of Italian honeys (Marche Region) on the basis of their mineral content and some typical quality parameters

<p>Abstract</p> <p>Background</p> <p>The characterization of three types of Marche (Italy) honeys (Acacia, Multifloral, Honeydew) was carried out on the basis of the their quality parameters (pH, sugar content, humidity) and mineral content (Na, K, Ca, Mg, Cu, Fe, and Mn). Pattern recognition methods such as principal components analysis (PCA) and linear discriminant analysis (LDA) were performed in order to classify honey samples whose botanical origins were different, and identify the most discriminant parameters. Lastly, using ANOVA and correlations for all parameters, significant differences between diverse types of honey were examined.</p> <p>Results</p> <p>Most of the samples' water content showed good maturity (98%) whilst pH values were in the range 3.50 – 4.21 confirming the good quality of the honeys analysed. Potassium was quantitatively the most relevant mineral (mean = 643 ppm), accounting for 79% of the total mineral content. The Ca, Na and Mg contents account for 14, 3 and 3% of the total mineral content respectively, while other minerals (Cu, Mn, Fe) were present at very low levels. PCA explained 75% or more of the variance with the first two PC variables. The variables with higher discrimination power according to the multivariate statistical procedure were Mg and pH. On the other hand, all samples of acacia and honeydew, and more than 90% of samples of multifloral type have been correctly classified using the LDA. ANOVA shows significant differences between diverse floral origins for all variables except sugar, moisture and Fe.</p> <p>Conclusion</p> <p>In general, the analytical results obtained for the Marche honeys indicate the products' high quality. The determination of physicochemical parameters and mineral content in combination with modern statistical techniques can be a useful tool for honey classification.</p

Multivariate self-exciting threshold autoregressive modeling by genetic algorithms

Several nonlinear time series models have been proposed in the literature to explain various empirical nonlinear features of many observed financial and economic time series. One model that has gained much attention is the so-called self-exciting threshold autoregressive (SETAR) model. It has been found very effective for modeling and forecasting nonlinear time series in a wide range of application fields. Furthermore, SETAR model is able to capture nonlinear characteristics as limit cycles, jump resonance, and time irreversibility. In this work the attention is focused on a multivariate SETAR (MSETAR) model where each linear regime follows a vector autoregressive (VAR) process and the thresholds are multivariate. We propose a methodology based on genetic algorithms (GAs) for building MSETAR models. The GA is designed to estimate the structural parameters, i. e. to determine the appropriate number of regimes and find multivariate threshold parameters. The behavior of the proposed methodology has been observed on a simulation experiment involving three artificial data sets