Identification of dynamic economic models from reduced form VECM structures: an application of covariance restrictions

This analysis is a straightforward implementation of both long-run and short-run identifying or overidentifying restrictions on a vector error correction model in the "structural VAR" framework. The framework utilizes covariance restrictions, long-run multiplier restrictions, error correction coefficient restrictions, and restrictions on slope coefficients of the stimultaneous interactions in the "economic model." The framework is general enough to incorporate restrictions on impact multipliers. Two examples are provided. The first example is a dynamic M2 demand specification with a comparison to previous results that are constructed using restrictions on distributed lag coefficients to achieve identification. The second example illustrates the identification of equilibrium short-term and long-term interest responses of money demand using error-correction coefficient restrictions when the individual coefficients are underidentified in the cointegrating vectors in the presence of stationary interest rate spreads.Econometric models ; Demand for money

Factors affecting the identification of individual mountain bongo antelope

The recognition of individuals forms the basis of many endangered species monitoring protocols. This process typically relies on manual recognition techniques. This study aimed to calculate a measure of the error rates inherent within the manual technique and also sought to identify visual traits that aid identification, using the critically endangered mountain bongo, Tragelaphus eurycerus isaaci, as a model system. Identification accuracy was assessed with a matching task that required same/different decisions to side-by-side pairings of individual bongos. Error rates were lowest when only the flanks of bongos were shown, suggesting that the inclusion of other visual traits confounded accuracy. Accuracy was also higher for photographs of captive animals than camera-trap images, and in observers experienced in working with mountain bongos, than those unfamiliar with the sub-species. These results suggest that the removal of non-essential morphological traits from photographs of bongos, the use of high-quality images, and relevant expertise all help increase identification accuracy. Finally, given the rise in automated identification and the use of citizen science, something our results would suggest is applicable within the context of the mountain bongo, this study provides a framework for assessing their accuracy in individual as well as species identification

Efficient delay-tolerant particle filtering

This paper proposes a novel framework for delay-tolerant particle filtering that is computationally efficient and has limited memory requirements. Within this framework the informativeness of a delayed (out-of-sequence) measurement (OOSM) is estimated using a lightweight procedure and uninformative measurements are immediately discarded. The framework requires the identification of a threshold that separates informative from uninformative; this threshold selection task is formulated as a constrained optimization problem, where the goal is to minimize tracking error whilst controlling the computational requirements. We develop an algorithm that provides an approximate solution for the optimization problem. Simulation experiments provide an example where the proposed framework processes less than 40% of all OOSMs with only a small reduction in tracking accuracy

Dynamic Estimation of Rigid Motion from Perspective Views via Recursive Identification of Exterior Differential Systems with Parameters on a Topological Manifold

We formulate the problem of estimating the motion of a rigid object viewed under perspective projection as the identification of a dynamic model in Exterior Differential form with parameters on a topological manifold. We first describe a general method for recursive identification of nonlinear implicit systems using prediction error criteria. The parameters are allowed to move slowly on some topological (not necessarily smooth) manifold. The basic recursion is solved in two different ways: one is based on a simple extension of the traditional Kalman Filter to nonlinear and implicit measurement constraints, the other may be regarded as a generalized "Gauss-Newton" iteration, akin to traditional Recursive Prediction Error Method techniques in linear identification. A derivation of the "Implicit Extended Kalman Filter" (IEKF) is reported in the appendix. The ID framework is then applied to solving the visual motion problem: it indeed is possible to characterize it in terms of identification of an Exterior Differential System with parameters living on a C0 topological manifold, called the "essential manifold". We consider two alternative estimation paradigms. The first is in the local coordinates of the essential manifold: we estimate the state of a nonlinear implicit model on a linear space. The second is obtained by a linear update on the (linear) embedding space followed by a projection onto the essential manifold. These schemes proved successful in performing the motion estimation task, as we show in experiments on real and noisy synthetic image sequences

Testing the order of a model

This paper deals with order identification for nested models in the i.i.d. framework. We study the asymptotic efficiency of two generalized likelihood ratio tests of the order. They are based on two estimators which are proved to be strongly consistent. A version of Stein's lemma yields an optimal underestimation error exponent. The lemma also implies that the overestimation error exponent is necessarily trivial. Our tests admit nontrivial underestimation error exponents. The optimal underestimation error exponent is achieved in some situations. The overestimation error can decay exponentially with respect to a positive power of the number of observations. These results are proved under mild assumptions by relating the underestimation (resp. overestimation) error to large (resp. moderate) deviations of the log-likelihood process. In particular, it is not necessary that the classical Cram\'{e}r condition be satisfied; namely, the $\log$-densities are not required to admit every exponential moment. Three benchmark examples with specific difficulties (location mixture of normal distributions, abrupt changes and various regressions) are detailed so as to illustrate the generality of our results.Comment: Published at http://dx.doi.org/10.1214/009053606000000344 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Extending the Latent Multinomial Model with Complex Error Processes and Dynamic Markov Bases

The latent multinomial model (LMM) model of Link et al. (2010) provided a general framework for modelling mark-recapture data with potential errors in identification. Key to this approach was a Markov chain Monte Carlo (MCMC) scheme for sampling possible configurations of the counts true capture histories that could have generated the observed data. This MCMC algorithm used vectors from a basis for the kernel of the linear map between the true and observed counts to move between the possible configurations of the true data. Schofield and Bonner (2015) showed that a strict basis was sufficient for some models of the errors, including the model presented by Link et al. (2010), but a larger set called a Markov basis may be required for more complex models. We address two further challenges with this approach: 1) that models with more complex error mechanisms do not fit easily within the LMM and 2) that the Markov basis can be difficult or impossible to compute for even moderate sized studies. We address these issues by extending the LMM to separately model the capture/demographic process and the error process and by developing a new MCMC sampling scheme using dynamic Markov bases. Our work is motivated by a study of Queen snakes (Regina septemvittata) in Kentucky, USA, and we use simulation to compare the use of PIT tags, with perfect identification, and brands, which are prone to error, when estimating survival rates

Modeling and Verification of Error Propagation in Integrated Additive/Subtractive Multi-Directional Direct Manufacturing

Integrated additive-subtractive manufacturing, when applied in the framework of SolidFreeform-Fabrication (SFF) allows the fabrication of functional parts on single platform, directly from its computer model. Reduction in process complexity and total processing steps is ensured by multi-directional material deposition and machining. However, due to shift in the datum location in reorientation steps and sequential addition of material in the form of layers, the CAD process intent is not exactly replicated. This leads to inclusion of dimensional errors. Machining in order to eliminate the errors as frequent as layer deposition is highly expensive and can be avoided by estimation of errors and varying process parameters, and/or performing machining after a set of layers are deposited. This paper proposes a state space model for modeling the error propagation due to linear as well as angular variation in the datum. The model is based on identification of possible sources of error, mechanism of error inclusion and influence of process parameters. An experiment performed to determine parameters of error modeling has been reported.Mechanical Engineerin