Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation

We present a time-domain goodness-of-fit (gof) diagnostic test that is based on signal-extraction variances for nonstationary time series. This diagnostic test extends the time-domain gof statistic of Maravall (2003 Maravall, A. (2003). A class of diagnostics in the ARIMA-model-based decomposition of a time series. Memorandum, Bank of Spain. Available at http://www.bde.es/servicio/software/tramo/diagnosticsamb.pdf [Google Scholar]) by taking into account the effects of model parameter uncertainty, utilizing theoretical results of McElroy and Holan (2009 McElroy, T., Holan, S. (2009). A local spectral approach for assessing time series model misspeci?cation. Journal of Multivariate Analysis 100:604–621.[Crossref], [Web of Science ®] , [Google Scholar]). We demonstrate that omitting this correction results in a severely undersized statistic. Adequate size and power are obtained in Monte Carlo studies for fairly short time series (10 to 15 years of monthly data). Our Monte Carlo studies of finite sample size and power consider different combinations of both signal and noise components using seasonal, trend, and irregular component models obtained via canonical decomposition. Details of the implementation appropriate for SARIMA models are given. We apply the gof diagnostic test statistics to several U.S. Census Bureau time series. The results generally corroborate the output of the automatic model selection procedure of the X-12-ARIMA software, which in contrast to our diagnostic test statistic does not involve hypothesis testing. We conclude that these diagnostic test statistics are a useful supplementary model-checking tool for practitioners engaged in the task of model-based seasonal adjustment.     

Looking within the household: a study on gender,food security,and resilience in cocoa-growing communities

Many West African cocoa households experience a ‘lean season’ before the cocoa harvest, leaving them vulnerable to various events and issues which potentially cause stress – most notably food insecurity. This study, relying primarily on qualitative data from Côte d'Ivoire, examines how income allocation and intra-household dynamics affect household resilience during the lean season. Its findings indicate that in contexts in which women and men's income are separate and destined for different purposes in the household, the fact that men's income is often earmarked for individual spending creates particular problems for households in the lean season. Women's empowerment within the household is essential to improving intra-household resource allocation for resilience. In many contexts, this translates into development programmes supporting women to increase their production and ability to control income independently of men. However, a context of individual gendered agricultural production, and gendered spending obligations, such as West Africa, calls for a slightly different approach. Enhancing agricultural productivity is critical, but in addition it is important to encourage co-operation between women and men in households to result in joint decision-making in the interests of the household.     

Analysis and modelling of wind speed in New York

In this paper we propose an ARMA time-series model for the wind speed at a single spatial location, and estimate it on in-sample data recorded in three different wind farm regions in New York state. The data have a three-hour granularity, but based on applications to financial wind derivatives contracts, we also consider daily average wind speeds. We demonstrate that there are large discrepancies in the behaviour of daily average and three-hourly wind speed records. The validation procedure based on out-of-sample observations reflects that the proposed model is reliable and can be used for various practical applications, like, for instance, weather prediction, pricing of financial wind contracts, wind generated power, etc. Furthermore, we discuss some striking resemblances with temperature dynamics.     

The Modeling and Seasonal Adjustment of Weekly Observations

Several important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recording day changes from year to year. In addition certain festivals, most notably Easter, take place at different times according to the year. This article presents a solution to problems of this kind by setting up a structural time series model that allows the seasonal pattern to evolve over time and enables trend extraction and seasonal adjustment to be carried out by means of state-space filtering and smoothing algorithms. The method is illustrated with a Bank of England series on the money supply.     

时间序列预测新方法及其在电信预测中的应用

利用时间序列稳定的季节性,建立一种新的时间序列预测模型。即建立季节末总量基于给定资料的条件分布,利用季节周期内已知的少数观测值来预测周期末总量;在总量预测的基础上进一步预测周期内的为止观测点。经过实证研究可以看出,该模型对于观测值少的时间序列有很高的预测效率。     

Seasonality and vertical structure of light-attracted insect communities in a dipterocarp forest in Sarawak

Nocturnal flying insects were collected monthly for 13 months using ultra violet light-traps set at various vertical levels in a weakly-seasonal, tropical lowland dipterocarp forest in Sarawak, Malaysia. Abundance, faunal composition, size distribution and guild structure of these samples were analyzed with respect to temperal and vertical distributions. The nocturnal flying insect community in the canopy level was highly dominated by fig wasps (84%) in individual number, and by scarabaeid beetles (28%) in weight. A principal component analysis on monthly catches detected non-random, seasonal trends of insect abundance. The first two principal trends were an alternation of wetter (September to January) and less wet seasons (February to August) and an alternation between the least wet (January to March) and the other seasons. Many insect groups were less abundant in the least wet season than the other seasons, whilst inverse patterns were found in Scarabaeidae and Tenebrionidae. Significantly positive and negative correlations between monthly catch and rainfall were detected only in ovule-feeders and in phloem-feeders, respectively. Delayed, significant negative correlations between monthly catch and 1–3 month preceding rainfall were more frequently detected in phytophages, phloem-feeders, seed-feeders, wood-borers and scavengers. The peak in abundance along vertical levels were found at the canopy level (35 m) for phloem-, ovule-, seed-, root-, fungal-feeders and nectar collectors, at an upper subcanopy level (25 m) for scavengers and aquatic predators, and at a middle subcanopy level (17 m) for ants. Catches at the emergent level (45 m) did not exceed those at the canopy level.     

Bayesian compartmental model for an infectious disease with dynamic states of infection

Population-level proportions of individuals that fall at different points in the spectrum [of disease severity], from asymptomatic infection to severe disease, are often difficult to observe, but estimating these quantities can provide information about the nature and severity of the disease in a particular population. Logistic and multinomial regression techniques are often applied to infectious disease modeling of large populations and are suited to identifying variables associated with a particular disease or disease state. However, they are less appropriate for estimating infection state prevalence over time because they do not naturally accommodate known disease dynamics like duration of time an individual is infectious, heterogeneity in the risk of acquiring infection, and patterns of seasonality. We propose a Bayesian compartmental model to estimate latent infection state prevalence over time that easily incorporates known disease dynamics. We demonstrate how and why a stochastic compartmental model is a better approach for determining infection state proportions than multinomial regression is by using a novel method for estimating Bayes factors for models with high-dimensional parameter spaces. We provide an example using visceral leishmaniasis in Brazil and present an empirically-adjusted reproductive number for the infection.     

The performance of several statistical tests for seasonality in monthly data

The type I and II error rates of several statistical tests for seasonality in monthly data were investigated through a computer simulation study at two nominal significance levels, α=1% and α=5%. Three models were used for the variation: annual sinusoidal; semi—annual sinusoidal; and a curve which is constant in all but three consecutive months of the year, when it exhibits a constant increase (a “one—pulse” model). The statistical tests are compared in terms of the simulation results. These results may be applied to calculate either the sample size required to detect seasonal variation of fixed amplitude or the probability of detecting seasonal variation of variable amplitude with a fixed sample size. A numerical case study is given     

A SARIMAX coupled modelling applied to individual load curves intraday forecasting

A dynamic coupled modelling is investigated to take temperature into account in the individual energy consumption forecasting. The objective is both to avoid the inherent complexity of exhaustive SARIMAX models and to take advantage of the usual linear relation between energy consumption and temperature for thermosensitive customers. We first recall some issues related to individual load curves forecasting. Then, we propose and study the properties of a dynamic coupled modelling taking temperature into account as an exogenous contribution and its application to the intraday prediction of energy consumption. Finally, these theoretical results are illustrated on a real individual load curve. The authors discuss the relevance of such an approach and anticipate that it could form a substantial alternative to the commonly used methods for energy consumption forecasting of individual customers.     

Time series modelling of childhood diseases: a dynamical systems approach

A key issue in the dynamical modelling of epidemics is the synthesis of complex mathematical models and data by means of time series analysis. We report such an approach, focusing on the particularly well-documented case of measles. We propose the use of a discrete time epidemic model comprising the infected and susceptible class as state variables. The model uses a discrete time version of the susceptible–exposed–infected–recovered type epidemic models, which can be fitted to observed disease incidence time series. We describe a method for reconstructing the dynamics of the susceptible class, which is an unobserved state variable of the dynamical system. The model provides a remarkable fit to the data on case reports of measles in England and Wales from 1944 to 1964. Morever, its systematic part explains the well-documented predominant biennial cyclic pattern. We study the dynamic behaviour of the time series model and show that episodes of annual cyclicity, which have not previously been explained quantitatively, arise as a response to a quicker replenishment of the susceptible class during the baby boom, around 1947.