Vector Autoregressive Modal Analysis With Application To Ship Structures

An increasing number of researchers in psychology are collecting intensive longitudinal data in order to study psychological processes on an intraindividual level. An increasingly popular way to analyze these data is autoregressive time series modeling; either by modeling the repeated measures for a single individual using classic n = 1 autoregressive models, or by using multilevel extensions of these models, with the dynamics for each individual modeled at Level 1 and interindividual differences in these dynamics modeled at Level 2. However, while it is widely accepted in psychology that psychological measurements usually contain a certain amount of measurement error, the issue of measurement error is largely neglected in applied psychological (autoregressive) time series modeling: The regular autoregressive model incorporates innovations, or "dynamic errors," but not measurement error. In this article we discuss the concepts of reliability and measurement error in the context of dynamic (VAR(1)) models, and the consequences of disregarding measurement error variance in the data. For this purpose, we present a preliminary model that accounts for measurement error for constructs that are measured with a single indicator. We further discuss how this model could be used to investigate the between-person reliability of the measurements, as well as the (person-specific) within-person reliabilities and any individual differences in these reliabilities. We illustrate the consequences of assuming perfect reliability, the preliminary model, and reliabilities, using an empirical application in which we relate women's general positive affect to their positive affect concerning their romantic relationship. (PsycINFO Database Record (c) 2019 APA, all rights reserved).

Gamma Autoregressive Models and Application on Kizilirmak Basin Stochastic models are required to generate synthetic values of flows statistically similar to observed ones to use in the simulation studies of water related structures. Such models are extremely important for generation of flows of streams with short record length. Autoregressive time series (AR) models are the most used models in this area. In recent years, AR models valid for gamma distribution are developed. In these studies, method of moments and modified maximum likelihood methods are used to estimate the model parameters. The aim of this study are comparing two AR models under gamma distribution assumption and applying these models for monthly data set of EIE 1501 and EIE 1517 streamflow gauging stations located in Kizilirmak Basin. The results of each model are interpreted for researchers using these models in their further studies.

The damage identification of a reticulated shell is a challenging task, facing various difficulties, such as the large number of degrees of freedom (DOFs), the phenomenon of modal localization and transition, and low modeling accuracy. Based on structural vibration responses, the damage identification of a reticulated shell was studied. At first, the auto-regressive (AR) time series model was established based on the acceleration responses of the reticulated shell. According to the changes in the coefficients of the AR model between the damaged conditions and the undamaged condition, the damage of the reticulated shell can be detected. In addition, the damage sensitive factors were determined based on the coefficients of the AR model. With the damage sensitive factors as the inputs and the damage positions as the outputs, back-propagation neural networks (BPNNs) were then established and were trained using the Levenberg–Marquardt algorithm (L–M algorithm). The locations of the damages can be predicted by the back-propagation neural networks. At last, according to the experimental scheme of single-point excitation and multi-point responses, the impact experiments on a K6 shell model with a scale of 1/10 were conducted. The experimental results verified the efficiency of the proposed damage identification method based on the AR time series model and back-propagation neural networks. The proposed damage identification method can ensure the safety of the practical engineering to some extent.

This first chapter is devoted to a general introduction into the Markov-switching vector autoregressive (MS-VAR) time series model. In Section 1.2 we present the fundamental assumptions constituting this class of models. The discussion of the two components of MS-VAR processes will clarify their on time invariant vector auto-regressive and Markov-chain models. Some basic stochastic properties of MS-VAR processes are presented in Section 1.3. Finally, MS-VAR models are compared to alternative non-normal and non-linear time series models proposed in the literature. As most non-linear models have been developed for univariate time series, this discussion is restricted to this case. However, generalizations to the vector case are also considered.

The aim of this study was to compare the small sample (N = 1, 3, 5, 10, 15) performance of a Bayesian multivariate vector autoregressive (BVAR-SEM) time series model relative to frequentist power and parameter estimation bias. A multivariate autoregressive model was developed based on correlated autoregressive time series vectors of varying lengths (T = 25, 50, 75, 100, 125) using Statistical Analysis System (SAS) version 9.2. Autoregressive components for the 5 series vectors included coefficients of .80, .70, .65, .50 and .40. Error variance components included values of .20, .20, .10, .15, and .15, with cross-lagged coefficients of .10, .10, .15, .10, and .10. A Monte Carlo study revealed that in comparison to frequentist methods, the Bayesian approach provided increased sensitivity for hypothesis testing and detecting Type I error.

The problem of the optimal signal processing algorithm synthesizing in synthetic aperture radars equipped with a mode of power lines selection is solved by the maximum likelihood method. Polarization and Doppler differences are selected as the distinguishing features of power lines from the earth's surface. The useful signal at the output of the coherent receiver is specified in an analytical form with a complex envelope and high-frequency harmonic oscillations. The background radiation of the underlying surface is presented in stochastic form and is completely determined by the matrix of correlation functions. The internal noise of a multichannel receiver is described by a delta-correlated random Gaussian process with the same power spectral density in different observation channels. Due to the fact that the background radiation of the earth surface is correlated in time and at different polarizations the likelihood functional is recorded with the inverse matrix of inverse correlation functions. The obtained optimal algorithm consists in suppression of passive interference in decor-leveling filters, optimal coherent accumulation of trajectory signals for synthesizing the on-board antenna aperture and their optimal filtering in filters matched with the reference signal. Simultaneous use of Doppler and polarization differences between wanted signals and passive interference allows effectively allocate power lines against the background of reflections from the ground in multichannel synthetic aperture radars. The proposed sequence of operations on the received oscillations can be a functional addition to the operating modes of aerospace-based cognitive radars adapting in accordance with the covariance scattering matrix of the underlying surface known in advance or measured during remote sensing. The block diagram of a multichannel onboard polarization radar with synthesized antenna aperture is designed on the basis of the obtained results. The development of such a radar is relevant for a collision warning system for helicopter pilots especially in bad weather conditions and at night.

Modal parameter identification of a multiple-span post-tensioned concrete bridge using hybrid vibration testing data

Hybrid artificial intelligence-time series models for monthly streamflow modeling

This article considers fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity, which combines the popular generalized autoregressive conditional heteroscedastic (GARCH) and the fractional (ARMA) models. The fractional differencing parameter d can be greater than 1/2, thus incorporating the important unit root case. Some sufficient conditions for stationarity, ergodicity, and existence of higher-order moments are derived. An algorithm for approximate maximum likelihood (ML) estimation is presented. The asymptotic properties of ML estimators, which include consistency and asymptotic normality, are discussed. The large-sample distributions of the residual autocorrelations and the square-residual autocorrelations are obtained, and two portmanteau test statistics are established for checking model adequacy. In particular, non-stationary FARIMA(p, d, q)-GARCH(r, s) models are also considered. Some simulation results are reported. As an illustration, the proposed model is also applied to the daily returns of the Hong Kong Hang Seng index (1983–1984).

A new time series model for exponential variables having first-order autoregressive structure is presented. Unlike the recently studied standard autoregressive model in exponential variables (ear(1)), runs of constantly scaled values are avoidable, and the two parameter structure allows some adjustment of directional effects in sample path behaviour. The model is further developed by the use of cross-coupling and antithetic ideas to allow negative dependency. Joint distributions and autocorrelations are investigated. A transformed version of the model has a uniform marginal distribution and its correlation and regression structures are also obtained. Estimation aspects of the models are briefly considered.

In the recent years, artificial intelligence techniques have attracted much attention in hydrological studies, while time series models are rarely used in this field. The present study evaluates the performance of artificial intelligence techniques including gene expression programming (GEP), Bayesian networks (BN), as well as time series models, namely autoregressive (AR) and autoregressive moving average (ARMA) for estimation of monthly streamflow. In addition, simple multiple linear regression (MLR) was also used. To fulfill this objective, the monthly streamflow data of Ponel and Toolelat stations located on Shafarood and Polrood Rivers, respectively in Northern Iran were used for the period of October 1964 to September 2014. In order to investigate the models’ accuracy, root mean square error (RMSE), mean absolute error (MAE) and coefficient of determination (R2) were employed as the error statistics. The obtained results demonstrated that the single AR and ARMA time series models had better performance in comparison with the single GEP, BN and MLR methods. Furthermore, in this study, six hybrid models known as GEP-AR, GEP-ARMA, BN-AR, BN-ARMA, MLR-AR and MLR-ARMA were developed to enhance the estimation accuracy of the monthly streamflow. It was concluded that the developed hybrid models were more accurate than the corresponding single artificial intelligence and time series models. The obtained results confirmed that the integration of time series models and artificial intelligence techniques could be of use to improve the accuracy of single models in modeling purposes related to the hydrological studies.

Dynamic fluctuations of nuclear plant sensors contain information about their response characteristics and bandwidth features. The random fluctuations can be characterized by using auto-regression (AR) time-series models. These discrete-time models are then utilized to estimate time-domain and frequency-domain signatures. Prior to developing these models, the sensor measurements are enhanced by filtering both low-frequency and high-frequency components using wavelet transforms. The use of wavelet transform for signal conditioning results in minimum distortion of the signal bandwidth, and thus provides an effective approach for data pre-processing. This integrated approach is applied to plant data from a pressurized water reactor (PWR). Univariate AR models were established for several pressure transmitter data, and used to estimate response time parameters of sensors and their frequency spectra. The results of this integrated approach demonstrate the improvement in the sensor signature estimation compared to the direct use of plant measurements.

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes

The research is dedicated in the study to time series and the ability of using fuzzy logic with it in order to develop forecasting approaches. In this research ,the time series (Autoregressive model) are linked with fuzzy logic in order to get on the Parameters of fuzzy time series models (fuzzy logic Autoregressive model),and applied that on the data of daily mistakes rates in charges production. The fuzzy Autoregressive model of time series gave forecasting more sutiable than those given by Autoregressive model.

Auto-regressive (AR) time series (TS) models are useful for structural damage detection in vibration-based structural health monitoring (SHM). However, certain limitations, e.g., non-stationarity and subjective feature selection, have reduced its wide-spread use. With increasing trends in machine learning (ML) technologies, automated structural damage recognition is becoming popular and attracting many researchers. In this paper, we combined TS modeling and ML classification to automatically extract damage features and overcome the limitation of non-stationarity. We propose a two-stage framework, namely auto-regressive integrated moving-average machine learning (ARIMA-ML) with modules for pre-processing, model parameter determination, feature extraction, and classification. Based on shaking table tests of a space steel frame, floor acceleration data were collected and labeled according to experimental observations and records. Subsequently, we designed three damage classification tasks for: (1) global damage detection, (2) local damage detection, and (3) local damage pattern recognition. The results from these three tasks indicated the robustness and accuracy of the proposed framework where 97%, 98%, and 80% average segment accuracy were achieved, respectively. The confusion matrix results showed the unbiased model performance even under an imbalanced-class distribution. In summary, the presented study revealed the high potential of the proposed ARIMA-ML framework in vibration-based SHM.