Academic literature on the topic 'Time series analysi'

One of the pressing problems in the modern development of the world financial system is an excessive increase in state debt, which has many negative consequences for the financial system of any country. At the same time, special attention should be paid to developing an effective state debt management system based on its forecast values. The paper is aimed at determining the level of persistence and forecasting future values of state debt in the short term using time series analysis, i.e., an ARIMA model. The study covers the time series of Ukraine’s state debt data for the period from December 2004 to November 2020. A visual analysis of the dynamics of state debt led to the conclusion about the unstable debt situation in Ukraine and a significant increase in debt over the past six years. Using the Hurst exponent, the paper provides the calculated value of the level of persistence in time series data. Based on the obtained indicator, a conclusion was made on the confirmation of expediency to use autoregressive models for predicting future dynamics of Ukraine’s state debt. Using the EViews software, the procedure for forecasting Ukraine’s state debt by utilizing the ARIMA model was illustrated, i.e., the series was tested for stationarity, the time series of monthly state debt data were converted to stationary, the model parameters were determined and, as a result, the most optimal specification of the ARIMA model was selected.

Tra i diversi campi di ricerca nell’ambito dell’informatica musicale, la sintesi e la generazione di segnali audio incarna la pluridisciplinalità di questo settore, nutrendo insieme le pratiche scientifiche e musicale dalla sua creazione. Inerente all’informatica dalla sua creazione, la generazione audio ha ispirato numerosi approcci, evolvendo colle pratiche musicale e gli progressi tecnologici e scientifici. Inoltre, alcuni processi di sintesi permettono anche il processo inverso, denominato analisi, in modo che i parametri di sintesi possono anche essere parzialmente o totalmente estratti dai suoni, dando una rappresentazione alternativa ai segnali analizzati. Per di più, la recente ascesa dei algoritmi di l’apprendimento automatico ha vivamente interrogato il settore della ricerca scientifica, fornendo potenti data-centered metodi che sollevavano diversi epistemologici interrogativi, nonostante i sui efficacia. Particolarmente, un tipo di metodi di apprendimento automatico, denominati modelli generativi, si concentrano sulla generazione di contenuto originale usando le caratteristiche che hanno estratti dei dati analizzati. In tal caso, questi modelli non hanno soltanto interrogato i precedenti metodi di generazione, ma anche sul modo di integrare questi algoritmi nelle pratiche artistiche. Mentre questi metodi sono progressivamente introdotti nel settore del trattamento delle immagini, la loro applicazione per la sintesi di segnali audio e ancora molto marginale. In questo lavoro, il nostro obiettivo e di proporre un nuovo metodo di audio sintesi basato su questi nuovi tipi di generativi modelli, rafforazti dalle nuove avanzati dell’apprendimento automatico. Al primo posto, facciamo una revisione dei approcci esistenti nei settori dei sistemi generativi e di sintesi sonore, focalizzando sul posto di nostro lavoro rispetto a questi disciplini e che cosa possiamo aspettare di questa collazione. In seguito, studiamo in maniera più precisa i modelli generativi, e come possiamo utilizzare questi recenti avanzati per l’apprendimento di complesse distribuzione di suoni, in un modo che sia flessibile e nel flusso creativo del utente. Quindi proponiamo un processo di inferenza / generazione, il quale rifletta i processi di analisi/sintesi che sono molto usati nel settore del trattamento del segnale audio, usando modelli latenti, che sono basati sull’utilizzazione di un spazio continuato di alto livello, che usiamo per controllare la generazione. Studiamo dapprima i risultati preliminari ottenuti con informazione spettrale estratte da diversi tipi di dati, che valutiamo qualitativamente e quantitativamente. Successiva- mente, studiamo come fare per rendere questi metodi più adattati ai segnali audio, fronteggiando tre diversi aspetti. Primo, proponiamo due diversi metodi di regolarizzazione di questo generativo spazio che sono specificamente sviluppati per l’audio : una strategia basata sulla traduzione segnali / simboli, e una basata su vincoli percettivi. Poi, proponiamo diversi metodi per fronteggiare il aspetto temporale dei segnali audio, basati sull’estrazione di rappresentazioni multiscala e sulla predizione, che permettono ai generativi spazi ottenuti di anche modellare l’aspetto dinamico di questi segnali. Per finire, cambiamo il nostro approccio scientifico per un punto di visto piú ispirato dall’idea di ricerca e creazione. Primo, descriviamo l’architettura e il design della nostra libreria open-source, vsacids, sviluppata per permettere a esperti o non-esperti musicisti di provare questi nuovi metodi di sintesi. Poi, proponiamo una prima utilizzazione del nostro modello con la creazione di una performance in real- time, chiamata ægo, basata insieme sulla nostra libreria vsacids e sull’uso di une agente di esplorazione, imparando con rinforzo nel corso della composizione. Finalmente, tramo dal lavoro presentato alcuni conclusioni sui diversi modi di migliorare e rinforzare il metodo di sintesi proposto, nonché eventuale applicazione artistiche.
Among the diverse research fields within computer music, synthesis and generation of audio signals epitomize the cross-disciplinarity of this domain, jointly nourishing both scientific and artistic practices since its creation. Inherent in computer music since its genesis, audio generation has inspired numerous approaches, evolving both with musical practices and scientific/technical advances. Moreover, some syn- thesis processes also naturally handle the reverse process, named analysis, such that synthesis parameters can also be partially or totally extracted from actual sounds, and providing an alternative representation of the analyzed audio signals. On top of that, the recent rise of machine learning algorithms earnestly questioned the field of scientific research, bringing powerful data-centred methods that raised several epistemological questions amongst researchers, in spite of their efficiency. Especially, a family of machine learning methods, called generative models, are focused on the generation of original content using features extracted from an existing dataset. In that case, such methods not only questioned previous approaches in generation, but also the way of integrating this methods into existing creative processes. While these new generative frameworks are progressively introduced in the domain of image generation, the application of such generative techniques in audio synthesis is still marginal. In this work, we aim to propose a new audio analysis-synthesis framework based on these modern generative models, enhanced by recent advances in machine learning. We first review existing approaches, both in sound synthesis and in generative machine learning, and focus on how our work inserts itself in both practices and what can be expected from their collation. Subsequently, we focus a little more on generative models, and how modern advances in the domain can be exploited to allow us learning complex sound distributions, while being sufficiently flexible to be integrated in the creative flow of the user. We then propose an inference / generation process, mirroring analysis/synthesis paradigms that are natural in the audio processing domain, using latent models that are based on a continuous higher-level space, that we use to control the generation. We first provide preliminary results of our method applied on spectral information, extracted from several datasets, and evaluate both qualitatively and quantitatively the obtained results. Subsequently, we study how to make these methods more suitable for learning audio data, tackling successively three different aspects. First, we propose two different latent regularization strategies specifically designed for audio, based on and signal / symbol translation and perceptual constraints. Then, we propose different methods to address the inner temporality of musical signals, based on the extraction of multi-scale representations and on prediction, that allow the obtained generative spaces that also model the dynamics of the signal. As a last chapter, we swap our scientific approach to a more research & creation-oriented point of view: first, we describe the architecture and the design of our open-source library, vsacids, aiming to be used by expert and non-expert music makers as an integrated creation tool. Then, we propose an first musical use of our system by the creation of a real-time performance, called aego, based jointly on our framework vsacids and an explorative agent using reinforcement learning to be trained during the performance. Finally, we draw some conclusions on the different manners to improve and reinforce the proposed generation method, as well as possible further creative applications.
À travers les différents domaines de recherche de la musique computationnelle, l’analysie et la génération de signaux audio sont l’exemple parfait de la trans-disciplinarité de ce domaine, nourrissant simultanément les pratiques scientifiques et artistiques depuis leur création. Intégrée à la musique computationnelle depuis sa création, la synthèse sonore a inspiré de nombreuses approches musicales et scientifiques, évoluant de pair avec les pratiques musicales et les avancées technologiques et scientifiques de son temps. De plus, certaines méthodes de synthèse sonore permettent aussi le processus inverse, appelé analyse, de sorte que les paramètres de synthèse d’un certain générateur peuvent être en partie ou entièrement obtenus à partir de sons donnés, pouvant ainsi être considérés comme une représentation alternative des signaux analysés. Parallèlement, l’intérêt croissant soulevé par les algorithmes d’apprentissage automatique a vivement questionné le monde scientifique, apportant de puissantes méthodes d’analyse de données suscitant de nombreux questionnements épistémologiques chez les chercheurs, en dépit de leur effectivité pratique. En particulier, une famille de méthodes d’apprentissage automatique, nommée modèles génératifs, s’intéressent à la génération de contenus originaux à partir de caractéristiques extraites directement des données analysées. Ces méthodes n’interrogent pas seulement les approches précédentes, mais aussi sur l’intégration de ces nouvelles méthodes dans les processus créatifs existants. Pourtant, alors que ces nouveaux processus génératifs sont progressivement intégrés dans le domaine la génération d’image, l’application de ces techniques en synthèse audio reste marginale. Dans cette thèse, nous proposons une nouvelle méthode d’analyse-synthèse basés sur ces derniers modèles génératifs, depuis renforcés par les avancées modernes dans le domaine de l’apprentissage automatique. Dans un premier temps, nous examinerons les approches existantes dans le domaine des systèmes génératifs, sur comment notre travail peut s’insérer dans les pratiques de synthèse sonore existantes, et que peut-on espérer de l’hybridation de ces deux approches. Ensuite, nous nous focaliserons plus précisément sur comment les récentes avancées accomplies dans ce domaine dans ce domaine peuvent être exploitées pour l’apprentissage de distributions sonores complexes, tout en étant suffisamment flexibles pour être intégrées dans le processus créatif de l’utilisateur. Nous proposons donc un processus d’inférence / génération, reflétant les paradigmes d’analyse-synthèse existant dans le domaine de génération audio, basé sur l’usage de modèles latents continus que l’on peut utiliser pour contrôler la génération. Pour ce faire, nous étudierons déjà les résultats préliminaires obtenus par cette méthode sur l’apprentissage de distributions spectrales, prises d’ensembles de données diversifiés, en adoptant une approche à la fois quantitative et qualitative. Ensuite, nous proposerons d’améliorer ces méthodes de manière spécifique à l’audio sur trois aspects distincts. D’abord, nous proposons deux stratégies de régularisation différentes pour l’analyse de signaux audio : une basée sur la traduction signal/ symbole, ainsi qu’une autre basée sur des contraintes perceptives. Nous passerons par la suite à la dimension temporelle de ces signaux audio, proposant de nouvelles méthodes basées sur l’extraction de représentations temporelles multi-échelle et sur une tâche supplémentaire de prédiction, permettant la modélisation de caractéristiques dynamiques par les espaces génératifs obtenus. En dernier lieu, nous passerons d’une approche scientifique à une approche plus orientée vers un point de vue recherche & création. Premièrement, nous présenterons notre librairie open-source, vsacids, visant à être employée par des créateurs experts et non-experts comme un outil intégré. Ensuite, nous proposons une première utilisation musicale de notre système par la création d’une performance temps réel, nommée ægo, basée à la fois sur notre librarie et sur un agent d’exploration appris dynamiquement par renforcement au cours de la performance. Enfin, nous tirons les conclusions du travail accompli jusqu’à maintenant, concernant les possibles améliorations et développements de la méthode de synthèse proposée, ainsi que sur de possibles applications créatives.

Thesis (M.S.)--Missouri University of Science and Technology, 2008.
Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed April 29, 2008) Includes bibliographical references (p. 53-55).

Made available in DSpace on 2016-12-12T20:27:38Z (GMT). No. of bitstreams: 1 Camila Bianka Silva Bastos.pdf: 1963598 bytes, checksum: bee88eacc3f6e3c327425297316a691d (MD5) Previous issue date: 2015-02-27
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
This dissertation presents a study of the operation of two different three-phase grid-connected test-grids with the connection of a 1MWp photovoltaic system. Two analysis methods are used to evaluate the impacts of this photovoltaic systeM, these methods being conventional static analysis and the analysis known as Quasi-Static Time-Series Analysis. Despite the fact that all grids have unique characteristics, it is important to use test-grids, which simulate the real grid characteristics, to analyze the kinds of problems that can occur and then look for alternatives, if necessary. The impacts evaluated are related to the system losses, minimized with the allocation study of the generation on the grid, voltage profile and tap position curve, when automatic load tap changers are used. It was verified that the photovoltaic system interconnection point is the most influenced one after its connection to the grid. The Quasi-Static Time-Series Analysis allow the correct evaluation of the load-generation interaction, running the time series power flow through estimated data for the load and irradiance curves during 168 hours. The conventional static analysis only considers critical operation conditions, like minimum and maximum load, and no generation or maximum generation, and does not evaluate different case scenarios that occur in reality. The photovoltaic systems can bring many advantages to the electric systems, like the improvement on the final consumer voltage profile, line losses reduction, and also environmental impacts reduction. However, with the increase of distributed photovoltaic generation on the electrical grid, it s necessary to be aware of the impacts that this may cause by performing interconnection studies.
Esta dissertação apresenta um estudo da operação de uma rede teste trifásica de média tensão com a interligação de um sistema fotovoltaico de 1,0 MWp. Dois métodos de análise são utilizados para avaliar os impactos deste sistema fotovoltaico, sendo estes métodos as análises estáticas convencionais eas análises conhecidas como Quasi-Static Time-Series Analysis. Apesar de cada rede elétrica apresentar características únicas, é importante a utilização de sistemas testes, que simulam as características de sistemas reais, para analisar que tipos problemas podem surgir e então buscar alternativas, se necessário. Os impactos avaliados se referem às perdas no sistema, minimizadas com a correta alocação da geração, perfil de tensão e curva de posição do tap, no caso de transformador com comutação automática de tap. Contata-se que o ponto de conexão do sistema fotovoltaico é o mais influenciado pela sua conexão à rede. As análises QSTS possibilitam avaliar corretamente a iteração entre carga e geração, efetuando o fluxo de potência consecutivo através de dados estimados para as curvas de carga e de irradiância solar ao longo de 168 horas. Já as análises convencionais consideram apenas condições críticas de operação, como por exemplo, carga leve ou nominal e geração nula ou máxima, não avaliando então diferentes cenários de operação que ocorrem na prática. Os sistemas fotovoltaicos podem trazer muitos benefícios aos sistemas elétricos, como melhoria do perfil de tensão de atendimento ao consumidor, redução de perdas nas linhas, além da redução nos impactos ambientais. Entretanto, com o aumento de geração fotovoltaica distribuída na rede, é necessário estar atento aos impactos que isto pode causar através de estudos de interconexão.

Thesis advisor: Zhijie Xiao
I have three chapters in my dissertation. The first chapter is about the estimation and inference for DSGE model; the second chapter is about testing financial contagion among stock markets, and in the last chapter, I propose a new econometrics method to forecast inflation interval. This first chapter studies proper inference and asymptotically accurate structural break tests for parameters in Dynamic Stochastic General Equilibrium (DSGE) models in a maximum likelihood framework. Two empirically relevant issues may invalidate the conventional inference procedures and structural break tests for parameters in DSGE models: (i) weak identification and (ii) moderate parameter instability. DSGE literatures focus on dealing with weak identification issue, but ignore the impact of moderate parameter instability. This paper contributes to the literature via considering the joint impact of two issues in DSGE framework. The main results are: in a weakly identified DSGE model, (i) moderate instability from weakly identified parameters would not affect the validity of standard inference procedures or structural break tests; (ii) however, if strongly identified parameters are featured with moderate time-variation, the asymptotic distributions of test statistics would deviate from standard ones and would no longer be nuisance parameter free, which renders standard inference procedures and structural break tests invalid and provides practitioners misleading inference results; (iii) as long as I concentrate out strongly identified parameters, the instability impact of them would disappear as the sample size goes to infinity, which recovers the power of conventional inference procedure and structural break tests for weakly identified parameters. To illustrate my results, I simulate and estimate a modified version of the Hansen (1985) Real Business Cycle model and find that my theoretical results provide reasonable guidance for finite sample inference of the parameters in the model. I show that confidence intervals that incorporate weak identification and moderate parameter instability reduce the biases of confidence intervals that ignore those effects. While I focus on DSGE models in this paper, all of my theoretical results could be applied to any linear dynamic models or nonlinear GMM models. The second chapter, regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock market contagion at various quantiles, not only at the mean. We show that the quantile contagion test can detect a contagion effect that is possibly ignored by correlation-based tests. A wide range of simulation studies show that the proposed test is superior to the correlation-based tests in terms of size and power. We compare our test with correlation-based tests using three real data sets: the 1994 Tequila crisis, the 1997 Asia crisis, and the 2001 Argentina crisis. Empirical results show substantial differences between two types of tests. In the third chapter, I use Quantile Bayesian Approach-- to do the interval forecast for inflation in the semi-parametric framework. This new method introduces Bayesian solution to the quantile framework for two reasons: 1. It enables us to get more efficient quantile estimates when the informative prior is used (He and Yang (2012)); 2. We use Markov Chain Monte Carlo (MCMC) algorithm to generate samples of the posterior distribution for unknown parameters and take the mean or mode as the estimates. This MCMC estimator takes advantage of numerical integration over the standard numerical differentiation based optimization, especially when the likelihood function is complicated and multi-modal. Simulation results find better interval forecasting performance of Quantile Bayesian Approach than commonly used parametric approach
Thesis (PhD) — Boston College, 2015
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics