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Tail Quantile Estimation of Heteroskedastic Intraday Increases in Peak Electricity Demand  [PDF]
Caston Sigauke, Andréhette Verster, Delson Chikobvu
Open Journal of Statistics (OJS) , 2012, DOI: 10.4236/ojs.2012.24054
Abstract: Modelling of intraday increases in peak electricity demand using an autoregressive moving average-exponential generalized autoregressive conditional heteroskedastic-generalized single Pareto (ARMA-EGARCH-GSP) approach is discussed in this paper. The developed model is then used for extreme tail quantile estimation using daily peak electricity demand data from South Africa for the period, years 2000 to 2011. The advantage of this modelling approach lies in its ability to capture conditional heteroskedasticity in the data through the EGARCH framework, while at the same time estimating the extreme tail quantiles through the GSP modelling framework. Empirical results show that the ARMA-EGARCH-GSP model produces more accurate estimates of extreme tails than a pure ARMA-EGARCH model.
Functional generalized autoregressive conditional heteroskedasticity  [PDF]
Alexander Aue,Lajos Horvath,Daniel Pellatt
Statistics , 2015,
Abstract: Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the focus of research with attention given to methods seeking an efficient and economic estimation of a large number of model parameters. Due to the need for estimation of many parameters, however, these models may not be suitable for modeling now prevalent high-frequency volatility data. One potentially useful way to bypass these issues is to take a functional approach. In this paper, theory is developed for a new functional version of the generalized autoregressive conditionally heteroskedastic process, termed fGARCH. The main results are concerned with the structure of the fGARCH(1,1) process, providing criteria for the existence of a strictly stationary solutions both in the space of square-integrable and continuous functions. An estimation procedure is introduced and its consistency verified. A small empirical study highlights potential applications to intraday volatility estimation.
sphet: Spatial Models with Heteroskedastic Innovations in R  [PDF]
Gianfranco Piras
Journal of Statistical Software , 2010,
Abstract: sphet is a package for estimating and testing spatial models with heteroskedastic innovations. We implement recent generalized moments estimators and semiparametric methods for the estimation of the coefficients variance-covariance matrix. This paper is a general description of sphet and all functionalities are illustrated by application to the popular Boston housing dataset. The package in its current version is limited to the estimators based on Arraiz, Drukker, Kelejian, and Prucha (2010); Kelejian and Prucha (2007, 2010). The estimation functions implemented in sphet are able to deal with virtually any sample size.
A heteroskedastic error covariance matrix estimator using a first-order conditional autoregressive Markov simulation for deriving asympotical efficient estimates from ecological sampled Anopheles arabiensis aquatic habitat covariates
Benjamin G Jacob, Daniel A Griffith, Ephantus J Muturi, Erick X Caamano, John I Githure, Robert J Novak
Malaria Journal , 2009, DOI: 10.1186/1475-2875-8-216
Abstract: Field and remote-sampled data were collected during July 2006 to December 2007 in Karima rice-village complex in Mwea, Kenya. SAS 9.1.4? was used to explore univariate statistics, correlations, distributions, and to generate global autocorrelation statistics from the ecological sampled datasets. A local autocorrelation index was also generated using spatial covariance parameters (i.e., Moran's Indices) in a SAS/GIS? database. The Moran's statistic was decomposed into orthogonal and uncorrelated synthetic map pattern components using a Poisson model with a gamma-distributed mean (i.e. negative binomial regression). The eigenfunction values from the spatial configuration matrices were then used to define expectations for prior distributions using a Markov chain Monte Carlo (MCMC) algorithm. A set of posterior means were defined in WinBUGS 1.4.3?. After the model had converged, samples from the conditional distributions were used to summarize the posterior distribution of the parameters. Thereafter, a spatial residual trend analyses was used to evaluate variance uncertainty propagation in the model using an autocovariance error matrix.By specifying coefficient estimates in a Bayesian framework, the covariate number of tillers was found to be a significant predictor, positively associated with An. arabiensis aquatic habitats. The spatial filter models accounted for approximately 19% redundant locational information in the ecological sampled An. arabiensis aquatic habitat data. In the residual error estimation model there was significant positive autocorrelation (i.e., clustering of habitats in geographic space) based on log-transformed larval/pupal data and the sampled covariate depth of habitat.An autocorrelation error covariance matrix and a spatial filter analyses can prioritize mosquito control strategies by providing a computationally attractive and feasible description of variance uncertainty estimates for correctly identifying clusters of prolific An. arabiensis
Diamagnetic persistent currents for electrons in ballistic billiards subject to a point flux  [PDF]
Oleksandr Zelyak,Ganpathy Murthy
Physics , 2008, DOI: 10.1103/PhysRevB.78.125305
Abstract: We study the persistent current of noninteracting electrons subject to a pointlike magnetic flux in the simply connected chaotic Robnik-Berry quantum billiard, and also in an annular analog thereof. For the simply connected billiard we find a large diamagnetic contribution to the persistent current at small flux, which is independent of the flux and is proportional to the number of electrons (or equivalently the density since we keep the area fixed). The size of this diamagnetic contribution is much larger than mesoscopic fluctuations in the persistent current in the simply connected billiard, and can ultimately be traced to the response of the angular momentum $l=0$ levels (neglected in semiclassical expansions) on the unit disk to a pointlike flux at its center. The same behavior is observed for the annular billiard when the inner radius is much smaller than the outer one, while the usual fluctuating persistent current and Anderson-like localization due to boundary scattering are seen when the annulus tends to a one-dimensional ring. We explore the conditions for the observability of this phenomenon.
The Plateau Problem in the Heteroskedastic Probit Model  [PDF]
Eric Freeman,Luke Keele,David Park,Julia Salzman,Brendan Weickert
Statistics , 2015,
Abstract: In parameter determination for the heteroskedastic probit model, both in simulated data and in actual data, we observe a failure of traditional local search methods to converge consistently to a single parameter vector, in contrast to the typical situation for the regular probit model. We identify features of the heteroskedastic probit log likelihood function that we argue tend to lead to this failure, and suggest ways to amend the local search methods to remedy the problem.
Study of a least-squares-based algorithm for autoregressive signals subject to white noise  [PDF]
Wei Xing Zheng
Mathematical Problems in Engineering , 2003, DOI: 10.1155/s1024123x03210012
Abstract: A simple algorithm is developed for unbiased parameter identification of autoregressive (AR) signals subject to white measurement noise. It is shown that the corrupting noise variance, which determines the bias in the standard least-squares (LS) parameter estimator, can be estimated by simply using the expected LS errors when the ratio between the driving noise variance and the corrupting noise variance is known or obtainable in some way. Then an LS-based algorithm is established via the principle of bias compensation. Compared with the other LS-based algorithms recently developed, the introduced algorithm requires fewer computations and has a simpler algorithmic structure. Moreover, it can produce better AR parameter estimates whenever a reasonable guess of the noise variance ratio is available.
Study of a least-squares-based algorithm for autoregressive signals subject to white noise
Zheng Wei Xing
Mathematical Problems in Engineering , 2003,
Abstract: A simple algorithm is developed for unbiased parameter identification of autoregressive (AR) signals subject to white measurement noise. It is shown that the corrupting noise variance, which determines the bias in the standard least-squares (LS) parameter estimator, can be estimated by simply using the expected LS errors when the ratio between the driving noise variance and the corrupting noise variance is known or obtainable in some way. Then an LS-based algorithm is established via the principle of bias compensation. Compared with the other LS-based algorithms recently developed, the introduced algorithm requires fewer computations and has a simpler algorithmic structure. Moreover, it can produce better AR parameter estimates whenever a reasonable guess of the noise variance ratio is available.
Nonparametric estimation for an autoregressive model  [PDF]
Ouerdia Arkoun,Serguei Pergamenchtchikov
Mathematics , 2008,
Abstract: The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic minimax and efficiency properties for proposed estimators are shown.
Persistent spin and charge currents and magnification effects in open ring conductors subject to Rashba coupling  [PDF]
R. Citro,F. Romeo
Physics , 2007, DOI: 10.1103/PhysRevB.75.073306
Abstract: We analyze the effect of Rashba spin-orbit coupling and of a local tunnel barrier on the persistent spin and charge currents in a one-dimensional conducting Aharonov-Bohm (AB) ring symmetrically coupled to two leads. First, as an important consequence of the spin-splitting, it is found that a persistent spin current can be induced which is not simply proportional to the charge current. Second, a magnification effect of the persistent spin current is shown when one tunes the Fermi energy near the Fano-type antiresonances of the total transmission coefficient governed by the tunnel barrier strength. As an unambiguous signature of spin-orbit coupling we also show the possibility to produce a persistent pure spin current at the interference zeros of the transmittance. This widens the possibilities of employing mesoscopic conducting rings in phase-coherent spintronics applications.
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