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Wyszukujesz frazę "time-series" wg kryterium: Temat


Tytuł:
Radon variability due to floor level in two typical residential buildings in Serbia
Autorzy:
Udovicic, Vladimir
Veselinovic, Nikola
Maletic, Dimitrije
Banjanac, Radomir
Dragic, Aleksandar
Jokovic, Dejan
Savic, Mihailo
Knezevic, David
Eremic Savkovic, Maja
Powiązania:
https://bibliotekanauki.pl/articles/146821.pdf
Data publikacji:
2020
Wydawca:
Instytut Chemii i Techniki Jądrowej
Tematy:
radon variability
time series
Opis:
It is well known that one of the factors that influence the indoor radon variability is the floor level of the buildings. Considering the fact that the main source of indoor radon is radon in soil gas, it is expected that the radon concentration decreases at higher floors. Thus at higher floors the dominant source of radon is originating from building materials, and in some cases there may be deviations from the generally established regularity. In such sense, we chose one freestanding single-family house with loft and other 16-floor high-rise residential building for this study. The indoor radon measurements were performed by two methods: passive and active. We used passive devices based on track-etched detectors: Radtrak2 Radonova. For the short-term indoor radon measurements, we used two active devices: SN1029 and SN1030 (manufactured by Sun Nuclear Corporation). The first device was fixed in the living room at the ground level and the second was moved through the floors of the residential building. Every measuring cycle at the specified floor lasted seven days with the sampling time of 2 h. The results show two different indoor radon behaviours regarding radon variability due to floor level. In the single-family house with loft we registered intense difference between radon concentration in the ground level and loft, while in the high-rise residential building the radon level was almost the same at all floors, and hence we may conclude that radon originated mainly from building materials.
Źródło:
Nukleonika; 2020, 65, 2; 121-125
0029-5922
1508-5791
Pojawia się w:
Nukleonika
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the estimation of the autocorrelation function
Autorzy:
Ortigueira, Manuel
Powiązania:
https://bibliotekanauki.pl/articles/730001.pdf
Data publikacji:
2010
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
time-series autocorrelation
regression
Opis:
The autocorrelation function has a very important role in several application areas involving stochastic processes. In fact, it assumes the theoretical base for Spectral analysis, ARMA (and generalizations) modeling, detection, etc. However and as it is well known, the results obtained with the more current estimates of the autocorrelation function (biased or not) are frequently bad, even when we have access to a large number of points. On the other hand, in some applications, we need to perform fast correlations. The usual estimators do not allow a fast computation, even with the FFT. These facts motivated the search for alternative ways of computing the autocorrelation function. 9 estimators will be presented and a comparison in face to the exact theoretical autocorrelation is done. As we will see, the best is the AR modified Burg estimate.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 103-115
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Model selection criteria for reduced rank multivariate time series with application in identification of periodic components
Autorzy:
Hławka, Marcin
Kawecki, Maciej
Powiązania:
https://bibliotekanauki.pl/articles/658353.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
multivariate time series
periodicity
Opis:
W pracy jest przedstawione zastosowanie kryteriów wyboru modelu dla wektorowego mode- lu autoregresji o zredukowanym rzędzie (Reduced Rank Vector Autoregression (RRVAR(p.r)). W analizie uwzględniono najbardziej popularne kryteria wyboru modela podzielone na dwie grupy: kryteria równoczesnego wyboru oraz tzw. kryteria dwukrokowe. Model RRVAR został użyty w zagadnieniu identyfikacji składowych okresowych dla wielo- wymiarowych szeregów czasowych, zawierających dużą liczbę, zazwyczaj istotnie skorelowanych składowych, obserwowanych w krótkim horyzoncie czasowym. Przedstawione zostaną rezultaty porównujące efektywność metody opartej na dopasowaniu wektorowego modelu autoregresji o zredukowanym rzędzie z tradycyjnymi jednowymiarowymi metodami. Wykorzystano bazę rze- czywistych danych mikromacierzowych Spellman'a (1998), służącą do identyfikacji genów droż- dży, związanych z cyklem podziału komórki.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2011, 255
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Jackknife Forecasts of Time Series
Wykorzystanie metody jackknife do prognozowania szeregów czasowych
Autorzy:
Wywiał, Janusz
Żądło, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/906889.pdf
Data publikacji:
2007
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
jackknife
time series
seasonal fluctuations
Opis:
In the paper we present the examples of forecasts of time series with seasonal fluctuations. Based on the jackknife method we estimate variances of seasonal factors and the MSE of prediction. Jackknife method has been introduced by M. Quenouille (1949) and then it has been developed among others by J. Tukey (1958) and J. Shao, D. Tu (1995).
W pracy zaproponowano wykorzystanie metody jackknife do prognozowania szeregów czasowych. Oprócz problemu prognozowania tą metodą, podjęto także problem oceny średniego błędu tak wyznaczanych prognoz. W oparciu o rzeczywiste dane zaprezentowane zostały przykłady prognozowania szeregów czasowych z wahaniami sezonowymi przy wykorzystaniu wersji jackknife metody wskaźników sezonowości. Oprócz wyznaczenia wartości prognozowanej w rozważanym przypadku będzie możliwa ocena wariancji błędu predykcji. Metodę jackknife wprowadził M. Quenouille (1949), a była rozwijana m. in. przez J. Tukey’a (1958) oraz J. Shao i D. Tu (1995).
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2007, 206
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On Time Series Prediction Based on Control Chart
O prognozowaniu szeregów czasowych z wykorzystaniem kart kontrolnych
Autorzy:
Polko, Dominika
Kończak, Grzegorz
Powiązania:
https://bibliotekanauki.pl/articles/904563.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
time series
prediction
control chart
Opis:
Control charts are the most commonly used quality control tools. These tools are dedicated to monitoring processes characteristic over time. Control charts may be successfully applied in other statistical areas. The non-classical use of control charts for time series prediction has been presented by Z. Pawłowski in the paper Predykcja za pomocą kart kontrolnych (Control Chart Based Prediction, 1969). The forecasts obtained by this method are quantitative or qualitative. The modification of this method is presented in the paper. It leads to quantitative predictions in all cases. The proposal was compared to some well-known classical prediction methods in the Monte Carlo study.
Metody statystyczne opracowane na potrzeby kontroli jakości produktów z powodzeniem mogą być stosowane w analizie innych zagadnień. Do najczęściej wykorzystywanych narzędzi kontroli jakości należy zaliczyć karty kontrolne. Nieklasyczne zastosowanie kart kontrolnych związane z wykorzystaniem ich do prognozowania przedstawił Z. Pawłowski w artykule Predykcja za pomocą kart kontrolnych (1969). Prognozy otrzymywane tą metodą mają charakter ilościowy lub jakościowy. W artykule przedstawiono propozycję modyfikacji tej metody w celu uzyskania wszystkich prognoz o charakterze ilościowym. Proponowaną metodę porównano symulacyjnie z wybranymi metodami predykcji.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2013, 286
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Identification of stable elementary bilinear time-series model
Autorzy:
Malinski, L.
Powiązania:
https://bibliotekanauki.pl/articles/229601.pdf
Data publikacji:
2016
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
bilinear model
time-series
identification
Opis:
The paper presents new approach to estimation of the coefficients of an elementary bilinear time series model (EB). Until now, a lot of authors have considered different identifiability conditions for EB models which implicated different identifiability ranges for the model coefficient. However, all of these ranges have a common feature namely they are significantly narrower than the stability range of the EB model. This paper proposes a simple but efficient solution which makes an estimation of the EB model coefficient possible within its entire stability range.
Źródło:
Archives of Control Sciences; 2016, 26, 4; 577-595
1230-2384
Pojawia się w:
Archives of Control Sciences
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Deterministic chaos and forecasting in Amazon?s share prices
Autorzy:
Hanias, Michael
Tsakonas, Stefanos
Magafas, Lykourgos
Thalassinos, Eleftherios I.
Zachilas, Loukas
Powiązania:
https://bibliotekanauki.pl/articles/22444422.pdf
Data publikacji:
2020
Wydawca:
Instytut Badań Gospodarczych
Tematy:
time series
chaos theory
econophysics
forecasting
Opis:
Research background: The application of non-linear analysis and chaos theory modelling on financial time series in the discipline of Econophysics. Purpose of the article: The main aim of the article is to identify the deterministic chaotic behavior of stock prices with reference to Amazon using daily data from Nasdaq-100. Methods: The paper uses nonlinear methods, in particular chaos theory modelling, in a case study exploring and forecasting the daily Amazon stock price. Findings & Value added: The results suggest that the Amazon stock price time series is a deterministic chaotic series with a lot of noise. We calculated the invariant parameters such as the maxi-mum Lyapunov exponent as well as the correlation dimension, managed a two-days-ahead forecast through phase space reconstruction and a grouped data handling method.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2020, 15, 2; 253-273
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Dynamics of Cryptocurrency Price Volatility in the Face of the Crisis on the Example of Bitcoin and Ethereum
Autorzy:
Przyłuska-Schmitt, Judyta
Jegorow, Dorota
Bučková, Jaroslava
Powiązania:
https://bibliotekanauki.pl/articles/16729161.pdf
Data publikacji:
2023
Wydawca:
Uniwersytet Marii Curie-Skłodowskiej. Wydawnictwo Uniwersytetu Marii Curie-Skłodowskiej
Tematy:
cryptocurrency pricing
financial crisis
time series
Opis:
Theoretical background: Over the years, investing in cryptocurrencies has become very popular, and until recently, investors have predicted Bitcoin as a “safe haven”. Belief in a decentralized virtual currency even prompted the Salvadoran government to recognize Bitcoin as a legal tender in September 2021. However, cryptocurrency has depreciated significantly since then. The high amplitude of the fluctuations shows that on November 10, 2021, Bitcoin hit an all-time high of USD 68,979, and on June 18, 2022, it fell to its low of USD 17,601. Today, investors are wondering if investing in Bitcoin and other cryptocurrencies still make sense. Purpose of the article: The aim of the article is to compare the price fluctuations of the most popular cryptocurrencies, i.e. Bitcoin and Ethereum in the currently observed economic crisis in the world and the collapse of the cryptocurrency market. Research methods: Observations of the cryptocurrency market and theoretical issues of its functioning were combined with the analysis of empirical data of Bitcoin and Ethereum quotations from January 2022 to June 2022. The basic research instruments were based on the analysis of dependencies and descriptive statistics. The conducted analysis of the time series was aimed at detecting the nature of the studied phenomenon represented by the sequence of observations of daily quotations and forecasting future values of the time series. In this context, the course of Bitcoin and Ethereum quotations was examined in two categories: Close and Market Cap in search of a potential development pattern. Main findings: The conducted research shows that strong and unpredictable fluctuations in the prices of the studied cryptocurrencies, especially in the period of market shocks, imply unknown uncertainty, much more important than investment decisions made under the conditions of measurable risk. Cryptocurrencies cannot function as an alternative to gold, enabling value to be stored, as confirmed by market quotations over the past months.
Źródło:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia; 2023, 57, 2; 101-113
0459-9586
2449-8513
Pojawia się w:
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Optimal selection of numerical models for flood embankment pore pressure and temperature data
Autorzy:
Chuchro, M.
Dwornik, M.
Szostek, K.
Leśniak, A.
Powiązania:
https://bibliotekanauki.pl/articles/305609.pdf
Data publikacji:
2017
Wydawca:
Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Tematy:
flood embankmnet
numerical modelling
time series
Opis:
The aim of the ISMOP project is to study processes in earthen flood embankments: water filtration, pore pressure changes, and temperature changes due to varying water levels in the riverbed. Developing a system for continuous monitoring of flood embankment stability is the main goal of this project. A full-size earthen flood embankment with built-in sensors was built in Czernichow and used to conduct experiments involving the simulation of different flood waves, with parameters mostly measured at time intervals of 15 minutes. Numerical modelling—in addition to providing information about phenomena occurring in the embankment due to external factors and changes in water level—could be used to assess the state of the embankment. Modelling was performed using Itasca Flac 2D 7.0 with an assumed grid cell size of 10x10 cm. The water level in the embankment simulated the water flow in the Wisła River and the temperature of the air and water. Data about the state of the flood embankment was exported every hour. Using numerical models and real experiment data, a model-driven module was used to perform comparisons. Analyses of each half-section of the flood embankment were carried out separately using similarity measures and an aggregate window. For the tests, the North-West (NW) half cross-section of the embankment was chosen, which contains pore pressure and temperature sensors UT6 to UT10. The water level in the embankment was raised to a height of 3m; the best numerical model was considered the one that best matched the actual data recorded by the sensors during the experiment. The experiment period was from 9pm on 29/08/2016 to 9am on 03/09/2016. Seventeen numerical models of the water level rising to 2, 3, and 4 meters were compared against real experimental data from the NW half cross-section. The first step was to verify the similarity between the incoming data from the sensors. If the correlation value exceeded 0.8, the data from the sensors was averaged. The experimental data was then compared against the numerical models using least absolute deviations L1-Norm. The L1-Norm varied from 26 to 32, depending on window length and the numerical model used.
Źródło:
Computer Science; 2017, 18 (4); 399-412
1508-2806
2300-7036
Pojawia się w:
Computer Science
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Non Linear Analysis of S&P Index
Autorzy:
Hanias, Mike
Magafas, Lykourgos
Konstantaki, Pagania
Powiązania:
https://bibliotekanauki.pl/articles/517166.pdf
Data publikacji:
2013
Wydawca:
Instytut Badań Gospodarczych
Tematy:
Exchange rates
Time series
Chaos theory
Opis:
This paper applies non-linear methods to analyze and predict the daily open S&P index which is one of the most important stock index in the world. The aim of the analysis is to quantitatively show if the corresponding time series is a deterministic chaotic one and if one or more days ahead prediction can be achieved. These results make the present work a valuable tool for traders investors and funds.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2013, 8, 4; 125-135
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of simultaneous time series of indoor, outdoor and soil air radon concentrations, meteorological and seismic data
Autorzy:
Janik, M.
Bossew, P.
Powiązania:
https://bibliotekanauki.pl/articles/148289.pdf
Data publikacji:
2016
Wydawca:
Instytut Chemii i Techniki Jądrowej
Tematy:
radon
time series
meteorological conditions
seismic
Opis:
It is well known that the temporal dynamic of indoor and outdoor radon concentrations show complex patterns, which are partly not easy to interpret. Clearly, for physical reasons, they must be related to possibly variable conditions of radon generation, migration and atmospheric dispersion and accumulation. The aim of this study was to analyse long-time series of simultaneously measured indoor and outdoor radon concentrations, together with environmental quantities, which may act as control variables of Rn. The study was performed in Chiba, Japan, using two ionization chambers for parallel indoor and outdoor radon concentrations measurements over 4 years. Meteorological and seismic data were obtained from the Japan Metrological Agency (JMA).
Źródło:
Nukleonika; 2016, 61, 3; 295-302
0029-5922
1508-5791
Pojawia się w:
Nukleonika
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Clustering companies listed on the Warsaw Stock Exchange according to time-varying beta
Autorzy:
Szczepocki, Piotr
Powiązania:
https://bibliotekanauki.pl/articles/424953.pdf
Data publikacji:
2019
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
time series clustering
cluster analysis
time-varying beta
Opis:
The beta parameter is a popular tool for the evaluation of portfolio performance. The Sharpe single-index model is a simple regression model in which the stock’s returns are regressed against the returns of a broader index. The beta parameter is a measure of the strength of this relation. Extensive recent research has proved that the beta is not constant in time and should be modelled as a time-variant coefficient. One of the most popular methods of the estimation of a time-varying beta is the Kalman filter. As the output of the Kalman filter, one obtains a sequence of the estimates of a time-varying beta. This sequence shows the historical dynamics of sensitivity of a company’s returns to the variations of market returns. The article proposes a method of clustering companies listed on the Warsaw Stock Exchange according to time-varying betas.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2019, 23, 2; 63-79
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Opis procesu badawczego
Methods of research
Autorzy:
Adamowicz, Elżbieta
Dudek, Sławomir
Pachucki, Dawid
Walczyk, Konrad
Powiązania:
https://bibliotekanauki.pl/articles/499916.pdf
Data publikacji:
2012
Wydawca:
Szkoła Główna Handlowa w Warszawie
Tematy:
analiza koniunktury
analiza szeregów czasowych
dekompozycja szeregów czasowych
business cycles analysis
time series analysis
time series decomposition
Opis:
Praca opisuje metody analizy statystyczno-ekonometrycznej stosowane w celu: identyfikacji wahań cyklicznych zmiennych makroekonomicznych, zbadania cech morfologicznych wahań koniunkturalnych, obejmującego identyfikację punktów zwrotnych, czas trwania zarówno całego cyklu jak i poszczególnych jego faz, wartości ekstremalne, amplitudy i intensywność zachodzących zmian, analizy synchronizacji wahań cyklicznych (chronologii punktów zwrotnych, korelacji jednoczesnych, korelacji krzyżowych, korelacji rekursywnych, koherencji i przesunięcia fazowego), analizy graficznej i analizy zbieżności reakcji gospodarek na szoki podażowe i popytowe zidentyfikowane za pomocą modeli SVAR.
The paper presents the statistical and econometrical methods used to: (1) identify cyclical components of economic aggregates, (2) examine morphological characteristics of cyclical fluctuations, including turning points, duration of cycles and their phases, maximum and minimum values, amplitudes and intensity, (3) analyse synchronicity of cyclical fluctuations, including leads/lags of turning points, correlation and cross-correlation, recursive correlation, coherence and mean delay), (4) perform graphical analysis and (5) examine coincidence of economies’ reactions to supply and demand shocks identified by SVAR modelling.
Źródło:
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH; 2012, 89: Wahania cykliczne w Polsce i w strefie euro; 11-22
0866-9503
Pojawia się w:
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Economic Freedom and FDI: Co-Integration Analysis
Autorzy:
Corekcioglu, Selim
Powiązania:
https://bibliotekanauki.pl/articles/1013713.pdf
Data publikacji:
2020-12-30
Wydawca:
Uniwersytet Ekonomiczny w Poznaniu
Tematy:
foreign direct investment;
time series;
economic freedom;
Opis:
These days, economic growth is very important for all countries and this article will discuss the main factors associated with this problem and propose some possible solutions which can be implemented. The importance and relationship of foreign direct investment, economic growth and economic freedom are presented and evaluated by considering literature, and a long run relationship between foreign direct investment and economic freedom in Turkey is empirically analysed in the article. The time period covers the years 1996 to 2018. The data has been obtained from the World Bank and from theHeritage Foundation database. The analysis is based on the time series analysis. An Augmented Dickey-Fuller test hasindicated that the variables are not stationary at levels, but they are stationary at the first difference. The Johansen test hasshown that variables are co-integrated, which means that they move together in the long run.
Źródło:
Research Papers in Economics and Finance; 2020, 4, 3; 37-45
2543-6430
Pojawia się w:
Research Papers in Economics and Finance
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Applying Python’s Time Series Forecasting Method in Microsoft Excel – Integration as a Business Process Supporting Tool for Small Enterprises
Autorzy:
Litwin, Jolanta
Olech, Marcin
Szymusik, Anna
Powiązania:
https://bibliotekanauki.pl/articles/2069739.pdf
Data publikacji:
2021
Wydawca:
Uniwersytet Warmińsko-Mazurski w Olsztynie
Tematy:
time series forecasting
python integration
excel integration
Opis:
The paper describes the current state of research, where integration of Microsoft Excel and Python interpreter, gives the business user the right tool to solve chosen business process analysis problems like: forecasting, classification or clustering. The integration is done by using Visual Basic for Application (VBA), as well as XLWings Python’s library. Both mechanisms serve as an interfaces between MS Excel and Python to allow the data exchange between each other. Creating the suitable Graphical User Interface (GUI) in Microsoft Excel, gives the business user opportunity to select specific data analysis method available in Python’s environment and set its parameters, without Python’s programming. Running the method by Python’s interpreter can bring the results, which are hard or even impossible to obtain by using Microsoft Excel only. However, the data analysis methods stored in the Python’s script, which are available to the business user, as well as VBA source code, must be designed and implemented by the data scientist. Sample, basic integration between Microsoft Excel and Python’s interpreter is presented in the paper. To present value-added of the proposed software solution, simple case study according to time series forecasting problem is described, where forecasting errors of different methods available in the Microsoft Excel and Python are presented and discussed. The paper ends with conclusions according to the results of the current researches and suggested directions of further research.
Źródło:
Technical Sciences / University of Warmia and Mazury in Olsztyn; 2021, 24(1); 115--133
1505-4675
2083-4527
Pojawia się w:
Technical Sciences / University of Warmia and Mazury in Olsztyn
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Functional Regression in Short-Term Prediction of Economic Time Series
Autorzy:
Kosiorowski, Daniel
Powiązania:
https://bibliotekanauki.pl/articles/465836.pdf
Data publikacji:
2014
Wydawca:
Główny Urząd Statystyczny
Tematy:
functional data analysis
functional time series
prediction
Opis:
We compare four methods of forecasting functional time series including fully functional regression, functional autoregression FAR(1) model, Hyndman & Shang principal component scores forecasting using one-dimensional time series method, and moving functional median. Our comparison methods involve simulation studies as well as analysis of empirical dataset concerning the Internet users behaviours for two Internet services in 2013. Our studies reveal that Hyndman & Shao predicting method outperforms other methods in the case of stationary functional time series without outliers, and the moving functional median induced by Frainman & Muniz depth for functional data outperforms other methods in the case of smooth departures from stationarity of the time series as well as in the case of functional time series containing outliers.
Źródło:
Statistics in Transition new series; 2014, 15, 4; 611-626
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
Autorzy:
Triacca, Umberto
Powiązania:
https://bibliotekanauki.pl/articles/483247.pdf
Data publikacji:
2009
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
GARCH Models
returns
time series
volatility persistence
Opis:
Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2009, 1, 3; 285-291
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Volatile ARMA Modelling of GARCH Squares
Autorzy:
Lawrance, Anthony J.
Powiązania:
https://bibliotekanauki.pl/articles/483293.pdf
Data publikacji:
2010
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
ARCH
ARMA
GARCH
prediction
time series
volatility
Opis:
This paper points out that the ARMA models followed by GARCH squares are volatile and gives explicit and general forms of their dependent and volatile innovations. The volatility function of the ARMA innovations is shown to be the square of the corresponding GARCH volatility function. The prediction of GARCH squares is facilitated by the ARMA structure and predictive intervals are considered. Further, the developments suggest families of volatile ARMA processes.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2010, 2, 3; 195-203
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Time-series dynamics of Baltic trade flows: Structural breaks, regime shifts, and exchange-rate volatility
Autorzy:
Hegerty, Scott W.
Powiązania:
https://bibliotekanauki.pl/articles/2054532.pdf
Data publikacji:
2022
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Baltics
Structural breaks
Time series
Trade flows
Opis:
Aim/purpose – In the decades since their reintegration with the West, the small open economies of Estonia, Latvia, and Lithuania have seen their trade flows grow substantially. While the mix of trade partners has evolved over time, the region has been affected by various political and economic shocks. This study examines the bilateral trade balances between the Baltic countries and nine partners to investigate whether there have been structural breaks due to political or economic events. Because these events may have been “priced into” exchange rates or increased these rates’ volatility, connections between these variables and trade balances are also considered. Design/methodology/approach – Monthly data beginning in 1994 are taken from the International Monetary Fund’s Direction of Trade Statistics [DOTS]. Trade partners include the Nordic countries of Finland, Sweden, and Norway, as well as Poland, Russia, and the United States and country groupings such as the CIS, Advanced Economies, and the World. Ratios of the export and import values are used to create bilateral trade balances. The Bai–Perron (1998) structural break test is then used to identify “break points” that can classify time periods into regimes. Baltic nominal and real effective exchange rates, both in log changes and as a GARCH-based volatility measure, show whether regimes correspond to competitiveness or risk. Correlations are calculated to show links between bilateral trade balances and real exchange rates. Findings – Each trade balance has at least one structural break; many have more. In fewer than half of the cases do these correspond to specific events such as EU accession or the Global Financial Crisis. Trade with Russia has decreased, particularly for Estonia and Latvia. But many partners with historical ties, such as Estonia-Finland, Latvia-Sweden, and Lithuania-Poland have more breaks than do other partners (such as Estonia-Poland). Structural breaks in real exchange-rate returns and volatility do not match those of trade balances, and correlations between returns and trade balances are low. Research implications/limitations – These findings open the door to future research on the macroeconomic and cultural/historical factors behind these trade linkages and any changes in regimes. However, no structural determinants have yet been estimated. Originality/value/contribution – This study isolates changes in trade regimes, which can be further explained by specific events or particular dates. It also shows that variance has changed as well as the mean, but this differs by country and by the partner.
Źródło:
Journal of Economics and Management; 2022, 44; 96-118
1732-1948
Pojawia się w:
Journal of Economics and Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparing changes over time for two phenomena
Autorzy:
Miłek, Michał
Powiązania:
https://bibliotekanauki.pl/articles/584959.pdf
Data publikacji:
2015
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
time series comparing
permutation test
distance measure
Opis:
Statistical analyses in economics are often based on explaining the phenomena by comparing time series. The purpose of such types of analyses is to find out the similarity and schematic behavior of phenomena which appear in the data. Usual time series are compared with the use of a different similarity measure which, in accordance with the literature, could be divided into four categories. In this article, I propose a method that allows to indicate whether two time series are generated by the same stochastic processes. For this purpose, I analyze a method based on a permutation test. The idea of this test is much simpler than the tests based on theoretical distributions. I also conducted a simulation analysis based on the data generated according to different scenarios, subsequently comparing the results of that analysis.
Źródło:
Mathematical Economics; 2015, 11(18); 89-98
1733-9707
Pojawia się w:
Mathematical Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Clustering macroeconomic time series
Grupowanie makroekonomicznych szeregów czasowych
Autorzy:
Augustyński, Iwo
Laskoś-Grabowski, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/424890.pdf
Data publikacji:
2018
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
time series clustering
similarity
cluster analysis
GDP
Opis:
The data mining technique of time series clustering is well established. However, even when recognized as an unsupervised learning method, it does require making several design decisions that are nontrivially influenced by the nature of the data involved. By extensively testing various possibilities, we arrive at a choice of a dissimilarity measure (compression-based dissimilarity measure, or CDM) which is particularly suitable for clustering macroeconomic variables. We check that the results are stable in time and reflect large-scale phenomena, such as crises. We also successfully apply our findings to the analysis of national economies, specifically to identifying their structural relations.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2018, 22, 2; 74-88
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The design of forecasting system used for prediction of electro-motion spare parts demands as an improving tool for an enterprise management
Autorzy:
Kačmáry, Peter
Malindžák, Dušan
Spišák, Ján
Powiązania:
https://bibliotekanauki.pl/articles/409825.pdf
Data publikacji:
2019
Wydawca:
STE GROUP
Tematy:
forecast
spare parts
time series
order
model
Opis:
This article describes the design of a simple forecasting system and its practical application to predict the sporadic needs for a spare part. The article shows new approach already implemented in the special servicing and production company in Slovakia and its results during a short period of performance after its implementation. Such a proposed model can be a part of the purchase planning of spare parts within the company's logistics system. In some companies, the material flow of spare parts is dominant element in terms of logistics costs. Their management is therefore important for cost optimization, customer satisfaction and market sustainability in a competitive environment. The article, in its introductory part, provides an overview of similar practical solutions within the research of this topic, but many models are designed to be applied in a global market environment and predict the amount of spare parts needed in different industries. However, these models are difficult to use for the needs of a small enterprise, because the main problem lies in the time of a spare part demand rather than its quantity. If there is a need for a specific spare part, which costs several hundred or thousands of euros, but the consumption is only a few pieces per year or more than a year, the time prediction of required spare parts is therefore crucial.
Źródło:
Management Systems in Production Engineering; 2019, 4 (27); 242-249
2299-0461
Pojawia się w:
Management Systems in Production Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparative analysis of methods for hourly electricity demand forecasting in the absence of data - a case study
Analiza porównawcza metod prognozowania godzinnego zapotrzebowania na energię elektryczną przy brakach w danych - studium przypadku
Autorzy:
Zawadzki, Jan
Powiązania:
https://bibliotekanauki.pl/articles/2194900.pdf
Data publikacji:
2023
Wydawca:
Akademia Bialska Nauk Stosowanych im. Jana Pawła II w Białej Podlaskiej
Tematy:
forecasting
missing data
time series
high frequency
Opis:
Scope and purpose of work: This paper examines the impact of the number of gaps in data, the analytical form, and the model type selection criterion on the accuracy of interpolation and extrapolation forecasts for hourly data. Materials and methods: Forecasts were developed on the basis of predictors that are based on: classical time series forecasting models and regression time series forecasting models, hybrid time series forecasting models and hybrid regression forecasting models for uncleared series, and exponential smoothing models for cleared series of two or three types of seasonal fluctuations, with minimum estimates of errors in interpolation or extrapolation forecasts. Results: Adaptive and hybrid regression models have proved to have the most favorable predictive properties. Most hybrid time series models for systematic and non-systematic gaps and for both analytical forms are single models that generally describe fluctuations within a 24-hour cycle. Conclusions: The lowest estimators of prediction errors involving interpolation were obtained for exponential smoothing models, followed by hybrid regression models. A reverse sequence was obtained for extrapolative forecasting.
Źródło:
Economic and Regional Studies; 2023, 16, 1; 34-50
2083-3725
2451-182X
Pojawia się w:
Economic and Regional Studies
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Nowoczesna analiza wizualna ekonomicznych szeregów czasowych
Modern Visual Analysis of Economic Time Series
Autorzy:
Nowiński, Marek
Powiązania:
https://bibliotekanauki.pl/articles/593452.pdf
Data publikacji:
2015
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Analiza ilościowa
Analiza szeregów czasowych
Metoda graficzna
Szeregi czasowe
Graphical method
Quantitative analysis
Time-series
Time-series analysis
Opis:
Artykuł przedstawia metody zaawansowanej analizy wizualnej, która nie polega jedynie na badaniu podstawowych, statystycznych własności szeregów czasowych, ale przede wszystkim na próbie wykrycia pewnej złożonej, ukrytej w nich struktury. Uzyskanie takich informacji nie jest możliwe na podstawie podstawowych badań statystycznych danych szeregu czasowego ani jego wykresu w postaci pierwotnej, który jest w rzeczywistości kompletnie nieczytelny. Współczesna analiza szeregu czasowego często przypomina przepuszczenie danych szeregu przez pewien pryzmat oraz przedstawienie wyników na odpowiednio skonstruowanym wykresie w celu wizualnej identyfikacji jego określonych własności. Istnieją również metody dwustopniowe, które dodatkowo zawierają analizę ilościową i możliwości szacowania specjalnych wskaźników uzyskanych wyłącznie na podstawie takich wykresów, które same niosą wiele przydatnych informacji i mogą stanowić wskazówki przy wyborze innych metod i narzędzi badawczych (por. np. metody Recurrence Quantification Analysis lub Artificial Insymmetrised Patterns). Metody te pozwalają na odróżnienie badanego szeregu czasowego od losowego szumu, wykrycie zakłóconych procesów deterministycznych, ocenę rodzaju zależności w nim występujących, określenie stopnia stacjonarności, determinizmu i rekurencji. Mogą także pomóc w doborze metod pozwalających wykryć w danych elementy nieliniowości (a nawet chaosu deterministycznego). Inną zaletą tego podejścia jest możliwość ujawnienia w danych cykli okresowych o różnych długościach (co pozwala na bardziej skuteczne stosowanie modeli ARIMA lub wyrównywania wykładniczego, gdzie okres składnika cyklicznego musi być znany i może być wykorzystywany w pewnych modelach teoretycznych, np. średnich ruchomych lub autokorelacji). Takie własności nowoczesnej wersji metod wizualnej analizy szeregów czasowych musiały wzbudzić zainteresowanie badaczy skomplikowanych zjawisk i procesów ekonomicznych, którzy próbują je wykorzystywać do pogłębionej analizy nieliniowej, a także do efektywnego modelowania i prób prognozowania tych procesów. Jest to również powód przedstawienia urozmaiconego przeglądu tych metod w niniejszym artykule.
The paper presents an advanced visual analysis method that does not rely only on examining of basic statistical properties of the time series, but also on attempting to detect a complex structure, hidden in the original dynamic process. Obtaining such information is not possible on the basis of the basic survey of time series data, or its graph in the original form, which is in fact completely illegible. Contemporary time series analysis of time series data is often reminiscent of passing it through a prism, and presenting the results on a properly constructed plots for visual identification of its specific properties. There are also two-step methods, which include both the possibility of quantitative analysis and estimation of specific indicators derived on the basis of such plots. They can carry a lot of useful information and provide us the guidance for the further selection of proper research of nonlinear analysis methods and tools (see eg. the methods of Recurrence Quantification Analysis and Artificial Insymmetrised Patterns). These methods allow to distinguish the analyzed time series from the random noise, to detect real deterministic processes biased with noise, to assess the type of dependencies in time series data, and to determine the degree of stationarity, determinism or recurrence. They can also help in the selection of methods to detect the nonlinearity in the data (or even deterministic chaos). Another advantage of this approach is the possibility of disclosure in data periodic cycles with periods of different lengths (for more efficient use of ARIMA and exponential smoothing models, where the period of the cyclical component must be known and can be used in certain theoretical models, eg. moving average or autocorrelation). Such properties of the modern version of visual time series analysis caused the interest of scientists trying to understand the complex economic phenomena and processes. They are trying to use it for in-depth nonlinear analysis, economic modeling and attempts of effective forecasting of these processes. This is the main reason for presenting a review of these methods in this paper.
Źródło:
Studia Ekonomiczne; 2015, 237; 79-91
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The application of the arima model in forecasting the passenger traffic on the example of border crossings between the subcarpathian province and Ukraine
Autorzy:
Dejniak, D.
Powiązania:
https://bibliotekanauki.pl/articles/94741.pdf
Data publikacji:
2018
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Wydawnictwo Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie
Tematy:
passenger border traffic
ARIMA models
time series analysis
Opis:
Accession of Poland to the European Union meant that its eastern border became the external frontier of the Community. The next step in the European integration was joining the Schengen Zone by Poland. Polish citizens may freely travel throughout the Schengen Zone and the state was obliged to tighten its eastern border. Under these circumstances conducting research on passenger traffic has become a vital issue, with particular focus on the eastern frontier. In the article an attempt is made at examining the possibility of forecasting passenger traffic on the example of border crossing points between the Subcarpathian Province and Ukraine using the ARIMA models. Confirmation of these possibilities seems to be crucial as the number of people crossing the border is characterized by high variability and sensitivity to the political situation. The study is based on the information provided by the Polish Border Guard. The conducted time series analysis is of a multi-purpose character. It may be used to support decision making processes of investment, organizational, as well as socio-political nature.
Źródło:
Information Systems in Management; 2018, 7, 3; 155-170
2084-5537
2544-1728
Pojawia się w:
Information Systems in Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Complexity of Creole Languages: The Fractal Approach
Autorzy:
Pietraszewska, Natalia
Powiązania:
https://bibliotekanauki.pl/articles/504770.pdf
Data publikacji:
2016
Wydawca:
Komisja Nauk Filologicznych Polskiej Akademii Nauk, Oddział we Wrocławiu
Tematy:
fractal dimension
language complexity
creole languages
time series
Opis:
The current paper aims to compare the complexity of texts translated into English-based creole languages and English. The main motivation for the choice of topic was the growing body of evidence that languages and language phenomena, such as texts, may be regarded as complex adaptable systems of signs. These systems may display some fractal properties, such as self-similarity at different scales. In consequence, texts may be analysed in the same manner as other fractal objects. It is possible, for instance, to estimate their fractal dimensions which, to some extent, reflect the degree of their structural complexity. Such an assumption enables one to calculate and compare fractal dimensions of parallel translations of texts to various languages in order to compare their complexity levels. Methods which enable comparisons of complexity of texts in different languages are particularly important with regard to creole languages, since the complexity of contact languages is still the subject of debate. In the following study, ten parallel translations of passages from the New Testament were mapped onto time series plots based on the length and the frequency rank of words. The values of Hurst exponent as well as fractal dimension were estimated and it was found that the studied time series did not differ significantly between English and English-based creoles with respect to their fractal dimensions. The results lend support to the idea that creole languages are simply new languages which are merely different from their superstrate language rather than being less complex, at least with regard to their lexical patterns.
Źródło:
Academic Journal of Modern Philology; 2015, 4; 73-80
2299-7164
2353-3218
Pojawia się w:
Academic Journal of Modern Philology
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Structural changes in eggs prices in European Union member states
Autorzy:
Jaworski, Stanisław
Powiązania:
https://bibliotekanauki.pl/articles/453565.pdf
Data publikacji:
2010
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
Correspondence analysis
Correlation
Dendrogram
Structural time series models
Opis:
The work relates to changes of the eggs prices in European Union member states since 2004 to 2010. The analysis is based on annually, monthly and weekly average eggs prices. Correspondence analysis is applied to analyze the direction and structure of the changes with reference to all considered states. The unexpected and violent price changes are captured with respect to particular states. Moreover in the reference to chosen states, the model of structural time series analysis is applied to show the price changes in a more detail.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2010, 11, 1; 90-99
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Identification of web platforms usage patterns with dynamic time series analysis methods
Autorzy:
Jankowski, Jarosław
Powiązania:
https://bibliotekanauki.pl/articles/453951.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
social platforms
time series analysis
web users’ behaviour
Opis:
The paper proposes a new approach to modelling online social systems users’ behaviours based on dynamic time wrap algorithm integrated with online system’s databases. The proposed method can be applied in the field of community platforms, virtual worlds and massively multiplayer online systems to capture quantitative characteristic of usage patterns.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 1; 77-86
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis and Modeling of Domain Registration Process
Autorzy:
Arabas, P.
Jaskóła, P.
Kamola, M.
Karpowicz, M.
Powiązania:
https://bibliotekanauki.pl/articles/309217.pdf
Data publikacji:
2012
Wydawca:
Instytut Łączności - Państwowy Instytut Badawczy
Tematy:
domain market
domain registration
forecasting
time series modeling
Opis:
The paper presents analysis of the domain name reservation process for the polish .pl domain. Two models of various time scale are constructed and finally combined to build long range high resolution model. The results of prediction are verified using real data.
Źródło:
Journal of Telecommunications and Information Technology; 2012, 2; 63-73
1509-4553
1899-8852
Pojawia się w:
Journal of Telecommunications and Information Technology
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Prognozowanie szeregów czasowych ze składową periodyczną z wykorzystaniem pakietu TSprediction programu R
Forecasting time series with periodic component using TSprediction R package
Autorzy:
Bartłomowicz, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/424791.pdf
Data publikacji:
2014
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
forecasting
time-series methods
TSprediction package
R program
Opis:
The main aim of the paper is to present selected features of TSprediction package developed for R environment, which now is one of the most important commercial computing platforms (offered under the GNU GPL license). The article presents the features of the TSprediction package enabling the prediction of time series where there is a periodic component in the form of seasonal fluctuations. The package includes an implementation of the most popular time series methods of forecasting with a periodic component in the additive and multiplicative variety of ratio and Winters and Klein methods. The effects of selected forecasting functions and ex-post forecasting errors of TSprediction R package are presented in the examples.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2014, 4(46); 199-210
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modele hierarchiczne w prognozowaniu zmiennych o wysokiej częstotliwości obserwowania w warunkach braku pełnej informacji
Hierarchical models in forecasting of the high-frequency variables in the conditions of lack of full information
Autorzy:
Szmuksta-Zawadzka, Maria
Zawadzki, Jan
Powiązania:
https://bibliotekanauki.pl/articles/425235.pdf
Data publikacji:
2014
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
high-frequency data
hierarchical models
incomplete time series
Opis:
The paper presents a procedure of application of regular hierarchical models in forecasting missing data in high-frequency time series with cyclical fluctuations. Annual, weekly and daily cycles of seasonal fluctuation have additive character. Separately regular hierarchical models have been built for even length cycles.Theoretical considerations are illustrated with an empirical example.
Źródło:
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2014, 4(46); 72-84
1507-3866
Pojawia się w:
Econometrics. Ekonometria. Advances in Applied Data Analytics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A hybrid setarx model for spikes in tight electricity markets
Autorzy:
Lucheroni, C.
Powiązania:
https://bibliotekanauki.pl/articles/406389.pdf
Data publikacji:
2012
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
stochastic processes
time series analysis
power system economics
Opis:
The paper discusses a simple looking but highly nonlinear regime-switching, self-excited threshold model for hourly electricity prices in continuous and discrete time. The regime structure of the model is linked to organizational features of the market. In continuous time, the model can include spikes without using jumps, by defining stochastic orbits. In passing from continuous time to discrete time, the stochastic orbits survive discretization and can be identified again as spikes. A calibration technique suitable for the discrete version of this model, which does not need deseasonalization or spike filtering, is developed, tested and applied to market data. The discussion of the properties of the model uses phase-space analysis, an approach uncommon in econometrics.
Źródło:
Operations Research and Decisions; 2012, 22, 1; 13-49
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Computational intensive methods for prediction and imputation in time series analysis
Autorzy:
Neves, Maria
Cordeiro, Clara
Powiązania:
https://bibliotekanauki.pl/articles/729950.pdf
Data publikacji:
2011
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
bootstrap
forecast intervals
missing data
time series analysis
Opis:
One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast intervals. First an adequately chosen model is fitted to the data series. Afterwards, and inspired on sieve bootstrap, an AR(p) is used to filter the series of the random component, under the stationarity hypothesis. The centered residuals are then resampled and the initial series is reconstructed. This methodology will be used to obtain forecasting intervals and for treating missing data, which often appear in a real time series. An automatic procedure was developed in R language and will be applied in simulation studies as well as in real examples.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2011, 31, 1-2; 121-139
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Trend Analyses of River Dragacina Runoff for Identification of the Water Availability and Accounting for Water Needs
Autorzy:
Kusari, Laura
Osmanaj, Lavdim
Bungu, Samir
Thaqi, Premton
Hajdari, Venera
Powiązania:
https://bibliotekanauki.pl/articles/2173230.pdf
Data publikacji:
2022
Wydawca:
Polskie Towarzystwo Inżynierii Ekologicznej
Tematy:
time series
flow simulation
accumulation
statistical parameter
probability
Opis:
This study aimed to analyze the available amount of water in the Dragaçina River to meet the different water needs in the Municipality of Suhareka. The water problems in this city are more pronounced, especially in the vegetation period of July–September, where the area is significantly affected by drought. The Dragacina River carries about 10 hm3 of water per year, and affected neither by urbanism nor massive deforestation of the basin. However, there are no multi-year measurements of inflows for this river, whether they are average, maximum or minimum ones. Therefore, the study is based on several multi-annual monthly rainfall measurements and some characteristics of the Dragaçina River Basin. Knowing the average annual flow coefficient η = Peff / Pbruto it is possible to convert these precipitations to Peff [mm] flow and then to monthly flow. The inputs for other years from 1983/84 onwards are obtained by simulating time series. Then, for such inflows, the probability distribution functions of small waters are assigned and the usable volume balance is carried out. Assuming an average annual withdrawal from the reservoir QAmin mes. = 0.63 × Qmes. which should be constant throughout the years, then the length of the critical period will be 0.13 years or approximately 48 days, for PH = 95%. Starting from the initial acquired volume of 1 hm3 it is possible to achieve 95% < PH < 99%. Therefore, it follows from this analysis that this river can provide a significant amount of water for the needs of the Municipality of Suhareka.
Źródło:
Journal of Ecological Engineering; 2022, 23, 7; 246--256
2299-8993
Pojawia się w:
Journal of Ecological Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Exponential smoothing and resampling techniques in time series prediction
Autorzy:
Neves, Maria
Cordeiro, Clara
Powiązania:
https://bibliotekanauki.pl/articles/729996.pdf
Data publikacji:
2010
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
time series
bootstrap
exponential smoothing
forecasting
accuracy measures
Opis:
Time series analysis deals with records that are collected over time. The objectives of time series analysis depend on the applications, but one of the main goals is to predict future values of the series. These values depend, usually in a stochastic manner, on the observations available at present. Such dependence has to be considered when predicting the future from its past, taking into account trend, seasonality and other features of the data. Some of the most successful forecasting methods are based on the concept of exponential smoothing. There are a variety of methods that fall into the exponential smoothing family, each having the property that forecasts are weighted combinations of past observations. But time series analysis needs proper statistical modeling. The model that better describes the behavior of the series in study can be crucial in obtaining 'good' forecasts. Departures from the true underlying distribution can adversely affect those forecasts. Resampling techniques have been considered in many situations to overcome that difficulty. For time series, several authors have proposed bootstrap methodologies. Here we will present an automatic procedure built in R language that first selects the best exponential smoothing model (among a set of possibilities) for fitting the data, followed by a bootstrap approach for obtaining forecasts. A real data set has been used to illustrate the performance of the proposed procedure.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2010, 30, 1; 87-101
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Forecasting of Labour Force Participation and the Unemployment Rate in Poland and Turkey Using Fuzzy Time Series Methods
Autorzy:
Yolcu, Ufuk
Bas, Eren
Powiązania:
https://bibliotekanauki.pl/articles/633062.pdf
Data publikacji:
2016-06-01
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
fuzzy time series
forecasting
labour force participation
unemployment
Opis:
Fuzzy time series methods based on the fuzzy set theory proposed by Zadeh (1965) was first introduced by Song and Chissom (1993). Since fuzzy time series methods do not have the assumptions that traditional time series do and have effective forecasting performance, the interest on fuzzy time series approaches is increasing rapidly. Fuzzy time series methods have been used in almost all areas, such as environmental science, economy and finance. The concepts of labour force participation and unemployment have great importance in terms of both the economy and sociology of countries. For this reason there are many studies on their forecasting. In this study, we aim to forecast the labour force participation and unemployment rate in Poland and Turkey using different fuzzy time series methods.
Źródło:
Comparative Economic Research. Central and Eastern Europe; 2016, 19, 2; 5-25
1508-2008
2082-6737
Pojawia się w:
Comparative Economic Research. Central and Eastern Europe
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of the Savitzky-Golay method for power output data set
Autorzy:
Gulkowski, S.
Powiązania:
https://bibliotekanauki.pl/articles/1940714.pdf
Data publikacji:
2015
Wydawca:
Politechnika Gdańska
Tematy:
photovoltaics
solar energy
time series
PV data analysis
Opis:
The power output of a PV system changes in time during the day and strongly depends on the location and orientation of the photovoltaic module as well as on seasonal conditions. Clouds occurring during a partly cloudy day are the reason why this data is very irregular and difficult to analyze in terms of obtaining energy. The Savitzky-Golay method was applied for the power output data obtained for sunny, cloudy and partly cloudy days in order to determine the average level of power produced by a PV system at a given location. The total amount of energy was analyzed for each case.
Źródło:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk; 2015, 19, 1; 25-34
1428-6394
Pojawia się w:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Advances in antithetic time series analysis: separating fact from artifact
Autorzy:
Ridley, D.
Powiązania:
https://bibliotekanauki.pl/articles/406377.pdf
Data publikacji:
2016
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
combining
antithetic
time series
bias correction
serial correlation
Opis:
The problem of biased time series mathematical model parameter estimates is well known to be insurmountable. When used to predict future values by extrapolation, even a de minimis bias will eventually grow into a large bias, with misleading results. This paper elucidates how combining antithetic time series solves this baffling problem of bias in the fitted and forecast values by dynamic bias cancellation. Instead of growing to infinity, the average error can converge to a constant.
Źródło:
Operations Research and Decisions; 2016, 26, 3; 57-68
2081-8858
2391-6060
Pojawia się w:
Operations Research and Decisions
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
THE VARIABILITY OF TURKEY LIVESTOCK PRICE AND ITS RELATION WITH THE PRICE OF CHICKENS, PORK AND BEEF IN 2006-2015
Autorzy:
Utnik-Banaś, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/452933.pdf
Data publikacji:
2017
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
turkeys
price
variability
time series
seasonality
cyclic fluctuations
Opis:
The work determines the range of variability in the price of turkey livestock and its relation to prices of chickens, pork and beef in 2006-2015. In 2006-2011, the variability coefficient for turkey livestock was 5 to 10%, whereas in 2012-2015 it dropped below 5%. The prices were most stable out of prices of chickens, pork or beef. The biggest influence on the variability of the turkey livestock price was the long-term trend and cyclic fluctuations (82% of the total variability on average). Seasonal fluctuations had lower amplitude (between 7 and 4%) than in the case of prices of pork and chickens, and their input in the total variability amounted to 14% on average. The price of turkey livestock presented the strongest correlation with the price of beef (r=0,851) and chickens (0,837), and was the least correlated with pork (0,681). In 2006-2015 the price of turkey livestock increased by 68%, beef by 57%, chickens by 29% and pork by 13%.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 1; 134-142
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparison of capital markets in Bulgaria, Romania and Slovakia in years 2001-2009
Autorzy:
Kompa, Krzysztof
Powiązania:
https://bibliotekanauki.pl/articles/452985.pdf
Data publikacji:
2012
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
emerging capital markets
stock index
time series analysis
Opis:
The aim of research is evaluation of the development of stock exchanges in Sofia, Bucharest and Bratislava in the years 2000-2009. The analysis is provided for the logarithmic rates of return of main stock indexes quoted in the investigated countries, employing central tendency, dispersion and skewness measures as well as statistical inference. The research is provided for the whole period and for the sub-periods that are distinguished due to the general tendency at capital markets.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2012, 13, 2; 48-59
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Extended residual coherence with a financial application
Autorzy:
Zhang, Xuze
Kedem, Benjamin
Powiązania:
https://bibliotekanauki.pl/articles/1054574.pdf
Data publikacji:
2021-06-04
Wydawca:
Główny Urząd Statystyczny
Tematy:
interaction
residual coherence
nonlinear
time series
volatility index
Opis:
Residual coherence is a graphical tool for selecting potential second-order interaction terms as functions of a single time series and its lags. This paper extends the notion of residual coherence to account for interaction terms of multiple time series. Moreover, an alternative criterion, integrated spectrum, is proposed to facilitate this graphical selection. A financial market application shows that new insights can be gained regarding implied market volatility.
Źródło:
Statistics in Transition new series; 2021, 22, 2; 1-14
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Housing loans and domestic credit in the Baltic States and Poland: Structural breaks and macroeconomic determinants
Autorzy:
Hegerty, Scott W.
Powiązania:
https://bibliotekanauki.pl/articles/2024083.pdf
Data publikacji:
2020
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Baltics
Domestic credit
Home lending
Polska
time series
Opis:
Aim/purpose – This study examines the time-series properties of home loans and do-mestic credit in Poland and the three Baltic countries, first in the univariate sense by identifying structural breaks in the series, and then using a multivariate model to identify the key drivers of loan growth.Design/methodology/approach – Structural break tests are conducted using the method of Bai & Perron (1998), while orthgonalised VARs are used for the macroeconomic model.Findings – The Estonian and Lithuanian home lending growth series have structural breaks in 2007, preceding the onset of the 2008 Global Financial Crisis. Estonian home lending has two additional structural breaks in 2009 and 2013. Neither of the two Polish lending series has any break after the sample begins in 2009, indicating more stability in the country’s markets. In the macroeconomic model, consumer price inflation and real effective exchange-rate appreciations have the largest influence on lending and credit growth, and Poland more affected than the Baltic countries.Research implications/limitations – This study opens the door to future research behind the specific causes of structural breaks in these series. While there is some evidence of an ‘early warning’ before the 2008 crisis, longer data series are needed for Poland and especially in the case of Latvia.Originality/value/contribution – This study offers insight into the lending markets in an area of the world that was significantly impacted by the 2008 crisis. Understanding the behaviour and causes of lending growth will help avoid future problems.
Źródło:
Journal of Economics and Management; 2020, 42; 48-69
1732-1948
Pojawia się w:
Journal of Economics and Management
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of chromite processing plant data by first order autoregressive model
Autorzy:
Tasdemir, A.
Powiązania:
https://bibliotekanauki.pl/articles/109877.pdf
Data publikacji:
2013
Wydawca:
Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
Tematy:
time series
autoregressive model
time constant
process control
chromite processing
Opis:
Many mineral processing data can be monitored by a time series model. This research presents results of analysis and simulations of a chromite processing plant data determined by time series model. The plant data obtained by shift to shift include feed grade, concentrate grade, tailing grade, Cr/Fe ratio in concentrate. All the chromite processing data were found stationary over time. The autocorrelation was high for feed grade and Cr/Fe ratio. Weaker autocorrelation was observed for concentrate grade and tailing grade. Autoregressive integrated moving average (ARIMA, 1,0,0) or first order autoregressive (AR, 1) model, was found to fit all data very well. The models obtained have been also shown to be used for the near future estimation of these data. The time constant which is an indicator of sampling frequency of the data sets were determined. It was found that sampling frequency was enough for concentrate and tailing grade and their original values can be used in process control charts for monitoring. On the other hand, the sampling frequency should be reduced for feeding grade and Cr/Fe ratio for the same aims hence ARIMA residual charts were more suitable to monitor their values.
Źródło:
Physicochemical Problems of Mineral Processing; 2013, 49, 1; 157-174
1643-1049
2084-4735
Pojawia się w:
Physicochemical Problems of Mineral Processing
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zastosowanie sztucznych sieci neuronowych do prognozowania szeregów czasowych
Application of Artificial Neural Network to time series forecasting
Autorzy:
Perzyńska, Joanna
Powiązania:
https://bibliotekanauki.pl/articles/449790.pdf
Data publikacji:
2018-12-14
Wydawca:
Zachodniopomorska Szkoła Biznesu w Szczecinie
Tematy:
dekompozycja szeregu czasowego
prognozy ekonometryczne
szeregi czasowe
sztuczne sieci neuronowe
artificial neural network
time series decomposition econometric forecasts
time series
Opis:
W artykule przedstawiono sposób wykorzystania sztucznych sieci neuronowych do prognozowania zmiennej w postaci szeregu czasowego. Ilustracją rozważań o charakterze teoretycznym jest przykład empiryczny, w którym modelowaniu i prognozowaniu poddano zmienną mikroekonomiczną charakteryzującą się występowaniem trendu i wahań sezonowych. Jej prognozy wyznaczono na podstawie klasycznych modeli szeregu czasowego, sztucznych sieci neuronowych oraz modeli będących ich złożeniem. Jakość wyznaczonych prognoz oceniono na podstawie ich średnich błędów ex post. Przeprowadzone badania potwierdziły użyteczność sztucznych sieci neuronowych w prognozowaniu szeregów czasowych.
In the paper, the author presents the method of using artificial neural networks for forecasting a variable in the time series form. The illustration of theoretical considerations is the empirical example, in which forecasts are calculated for microeconomic variable with trend and seasonal fluctations. Its forecasts are based on the classic time series models, artificial neural networks and models being their composition. The quality of the forecasts is assessed on the basis of their average expost errors. The research confirms the usefulness of artificial neural network in time series forecasting.
Źródło:
Zeszyty Naukowe ZPSB Firma i Rynek; 2018, 2(54); 95-104
2657-3245
Pojawia się w:
Zeszyty Naukowe ZPSB Firma i Rynek
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
An application of machine learning methods to cutting tool path clustering and rul estimation in machining
Autorzy:
Zegarra, Fabio C.
Vargas-Machuca, Juan
Roman-Gonzalez, Avid
Coronado, Alberto M.
Powiązania:
https://bibliotekanauki.pl/articles/28407324.pdf
Data publikacji:
2023
Wydawca:
Wrocławska Rada Federacji Stowarzyszeń Naukowo-Technicznych
Tematy:
feature extraction
k-means clustering
time series
unsupervised learning
Opis:
Machine learning has been widely used in manufacturing, leading to significant advances in diverse problems, including the prediction of wear and remaining useful life (RUL) of machine tools. However, the data used in many cases correspond to simple and stable processes that differ from practical applications. In this work, a novel dataset consisting of eight cutting tools with complex tool paths is used. The time series of the tool paths, corresponding to the three-dimensional position of the cutting tool, are grouped according to their shape. Three unsupervised clustering techniques are applied, resulting in the identification of DBA-k-means as the most appropriate technique for this case. The clustering process helps to identify training and testing data with similar tool paths, which is then applied to build a simple two-feature prediction model with the same level of precision for RUL prediction as a more complex four-feature prediction model. This work demonstrates that by properly selecting the methodology and number of clusters, tool paths can be effectively classified, which can later be used in prediction problems in more complex settings.
Źródło:
Journal of Machine Engineering; 2023, 23, 4; 5--17
1895-7595
2391-8071
Pojawia się w:
Journal of Machine Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Anomaly detection in server metrics with use of one-sided median algorithm
Autorzy:
Zacher, S.
Ryba, P.
Powiązania:
https://bibliotekanauki.pl/articles/972918.pdf
Data publikacji:
2017
Wydawca:
Społeczna Akademia Nauk w Łodzi
Tematy:
anomaly detection
time series
one-sided median
server metrics
Opis:
In this paper we consider the problem of anomaly detection over time series metrics data took from one of corporate grade mail service cluster. We propose the algorithm based on one-sided median concept and present some results of experiments showing impact of parameters settings on algorithm performance. In addition we present short description of classes of anomalies discovered in monitored system. Proposed one-sided median based algorithm shows great robustness and good detection rate and can be considered as possible simple production ready solution.
Źródło:
Journal of Applied Computer Science Methods; 2017, 9 No. 1; 5-22
1689-9636
Pojawia się w:
Journal of Applied Computer Science Methods
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Theoretical Aspects of Using Markov Models in Research of Exchange Rate Volatility
Teoretyczne aspekty wykorzystania modeli Markowa do badania zmienności kursu walutowego
Autorzy:
Włodarczyk, Aneta
Szmigiel, Tomasz
Powiązania:
https://bibliotekanauki.pl/articles/904704.pdf
Data publikacji:
2005
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
Markov models
time series
exchange rate volatility
calendar anomalies
Opis:
During modeling of short-run exchange rate fluctuations, there is usually a need for taking into consideration some random-type conditions, i.e. it is necessary to abandon the fundamental exchange rate theories in favor of probabilistic modeling. Among stochastic models, of special interest are Markov models. The main advantages of Markov models include a relative simplicity of construction, easy inferences, well-known estimation methods and especially consistence of properties of these models with the observed properties of many real phenomena. Application of switching models is based on a general assumption that the examined time series can be presented as sequences of random variables of a known type of conditional distribution in all regimes. Known from literature propositions concerning the modeling of exchange rate with the use of switching models did not provide sufficiently good forecasts of the future exchange rate levels because of, among others, low frequency of data used for the construction of the model (quarterly or monthly data). The authors are going to continue the examination of the PLN exchange rate fluctuation with the use of Markov models that was started in this paper. The next stage of their work will be connected with conducting empirical research concerning the occurrence of calendar anomalies in the Polish currency market. For this purpose, a new method based on the Markov chains theory will be applied, which offers a new perspective to this problem. Testing o f the calendar time hypothesis has been considered so far mostly in the aspect of comparison of daily expected values and variances of exchange rate return rates. Then, on the basis of the da ta concerning exchange rates for high measurement frequency, a Ma rkov switching model will be constructed and used for description of the PLN depreciation and appreciation period.
Prawidłowe oszacowanie kierunku zmian kursu wymiany może zmniejszyć ryzyko inwestycji w walutę lub może pozwolić na osiągnięcie większych dochodów z tej inwestycji. W opracowaniu tym autorzy przedstawiają propozycję zastosowania modeli Markowa do wykrycia i opisania prawidłowości rządzących procesem zmienności kursu walutowego. W pierwszej części została wykorzystana teoria łańcuchów Markowa do badania anomalii kalendarzowych występujących n a rynku walutowym związanych z efektem weekendowym lub efektem stycznia. W artykule przedstawiona została również metoda o parta na teorii łańcuchów Markowa, k tó ra może posłużyć d o zbadania wzajemnych powiązań pomiędzy zmiennością wolumenu obrotu oraz zmiennością cen dla terminowych kontraktów walutowych. W drugiej części zostaną przedstawione zagadnienia związane z budową i estymacją parametrów przełącznikowych modeli Markowa. W oparciu o modele przełącznikowe można prognozować zmiany kursu walutowego. Praca ma charakter teoretyczny. Badania empiryczne zostaną przeprowadzone w późniejszym terminie.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2005, 194
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Age discriminating advertising in Germany: is this an issue? Basic statistical analysis of complaints to the »deutsche werberat«
Autorzy:
Meiners, Norbert
Reucher, Elmar
Leeson, George W
Powiązania:
https://bibliotekanauki.pl/articles/429348.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
Tematy:
Age
Advertising
Age Discrimination
Complaints
Quantitative Time Series Analysis
Opis:
Advertisements which discriminate according to age are not uncommon and should not be seen as a side-issue of society, which can be neglected. Therefore, the focus of this paper had as its aim the identification and investigation of specific complaints regarding age discrimination in advertising. This was done by means of long-term monitoring with the purpose of gaining new insights and obtaining valuable information for future research projects. Here the relevant question was: Have complaints about age discriminating advertisements (adverts, spots, posters, online-advertising) been received by the »Deutsche Werberat«, a self-regulatory body of the advertising industry which was founded in 1972? In order to investigate the question asked, a quantitative time series analysis of the approx. 4 500 complaints lodged with the »Deutsche Werberat« from 2003 to 2013, a period of eleven years, was carried out.
Źródło:
Optimum. Economic Studies; 2017, 2(86)
1506-7637
Pojawia się w:
Optimum. Economic Studies
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Similarity analysis of dynamic temperature measurements
Autorzy:
Cui, Zhiwen
Li, Wenjun
Yu, Sisi
Jin, Minjun
Powiązania:
https://bibliotekanauki.pl/articles/2106420.pdf
Data publikacji:
2022
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
dynamic temperature
temperature time series
similarity measure
distance measurement
Opis:
Different temperature sensors show different measurement values when excited by the same dynamic temperature source. Therefore, a method is needed to determine the difference between dynamic temperature measurements. This paper proposes a novelty approach to treating dynamic temperature measurements over a period of time as a temperature time series, and derives the formula for the distance between the measurement values using uniform sampling within the time series analysis. The similarity is defined in terms of distance to measure the difference. The distance measures were studied on the analog measurement datasets. The results show that the discrete Fréchet distance has stronger robustness and higher sensitivity. The two methods have also been applied to an experimental dataset. The experimental results also confirm that the discrete Fréchet distance performs better.
Źródło:
Metrology and Measurement Systems; 2022, 29, 2; 283--300
0860-8229
Pojawia się w:
Metrology and Measurement Systems
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
{Depthproc} Package in Multivariate Time Series Mining
Pakiet {depthproc} w eksploracyjnej analizie wielowymiarowego szeregu czasowego
Autorzy:
Kosiorowski, Daniel
Bocian, Mateusz
Węgrzynkiewicz, Anna
Zawadzki, Zygmunt
Powiązania:
https://bibliotekanauki.pl/articles/904813.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
Tematy:
R package
statistical depth function
robustness
multivariate time series
Opis:
In this paper we present our novel R package {depthproc} which implements several multivariate statistical procedures induced by statistical depth functions and we discuss some examples and applications of the package in data mining concerning the multivariate time series.
W artykule przedstawiamy pakiet środowiska R naszego autorstwa o nazwie {DepthProc}. Pakiet zawiera implementacje kilku wielowymiarowych procedur statystycznych indukowanych przez statystyczne funkcje głębi. Przedstawiamy przykłady zastosowań pakietu w eksploracyjnej analizie wielowymiarowego szeregu czasowego.
Źródło:
Acta Universitatis Lodziensis. Folia Oeconomica; 2013, 286
0208-6018
2353-7663
Pojawia się w:
Acta Universitatis Lodziensis. Folia Oeconomica
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Badanie przydatności procedur Rosensteina i Eckmanna do identyfikacji chaotycznych szeregów czasowych
Usefulness Study of Rosenstein and Eckmann Procedures for Identification of Chaotic Time Series
Autorzy:
Hallmann, D.
Jankowski, P.
Powiązania:
https://bibliotekanauki.pl/articles/947668.pdf
Data publikacji:
2018
Wydawca:
Uniwersytet Morski w Gdyni. Wydawnictwo Uniwersytetu Morskiego w Gdyni
Tematy:
chaos
szereg czasowy
współczynnik Lapunowa
time series
Lyapunov exponent
Opis:
Artykuł przedstawia wyniki badań symulacyjnych z użyciem procedur Eckmanna i Rosensteina wyznaczających wykładniki Lapunowa na podstawie szeregu czasowego. Dla weryfikacji i oceny przydatności tych procedur, jako wzorcowy szereg czasowy wykorzystano punkty generowane przez odwzorowanie logistyczne, dla którego znana jest trajektoria współczynników Lapunowa.
This paper presents the results of simulation tests using the Eckmann and Rosenstein procedures for calculating Lyapunov exponents based on a time series. For verifying and evaluating the suitability of these procedures as a reference time series, points generated by logistic mapping for which the trajectory of Lyapunov's coefficients is known was applied.
Źródło:
Zeszyty Naukowe Akademii Morskiej w Gdyni; 2018, 103; 120-136
1644-1818
2451-2486
Pojawia się w:
Zeszyty Naukowe Akademii Morskiej w Gdyni
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The effect of inflation on stock prices of listed companies in Tehran stock exchange
Autorzy:
Ahmadi, Freyedon
Powiązania:
https://bibliotekanauki.pl/articles/1191472.pdf
Data publikacji:
2016
Wydawca:
Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Tematy:
EGARCH-M; Time series analysis
Stock market; Volatility; Risk
Opis:
Iranian, in the recent history, faced two major economic crises which were in April 2005 and February 2014. In this paper, we examine whether the risk return relationship as well as the effects of two macroeconomic variables, output growth and inflation, on real stock returns and volatility changed or not due to these crises using three different monthly indices of the Tehran Stock Exchange. We study the effects both for the whole period and the subperiods that we determine regarding the times of the crises using EGARCH-M framework. Our results show that the risk-return relationship changes as the economy moves from one regime to another. Moreover, the crises cause some changes on the relationships between stock returns and macroeconomic variables. The greatest impact of the crisis is seen in the Financial Sector.
Źródło:
World Scientific News; 2016, 40; 235-247
2392-2192
Pojawia się w:
World Scientific News
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Synchronization of data recorded using acquisition stations with data from camera during the bubble departure
Autorzy:
Dzienis, P.
Mosdorf, R.
Powiązania:
https://bibliotekanauki.pl/articles/102394.pdf
Data publikacji:
2013
Wydawca:
Stowarzyszenie Inżynierów i Techników Mechaników Polskich
Tematy:
experimental data synchronization
time series
video analysis
bubble departure
Opis:
In this study the first part of the experimental data was recorded in a data acquisition station, and another one was recorded with a high speed camera. The data recorded using the acquisition station was recorded with higher frequency than the time between two subsequent frames of the film. During the analysis of the experimental data the problem was related to the synchronization of measurement from acquisition station and data recorded with a camera. In this paper the method of synchronization of experimental data has been shown. A laser- phototransistor system has been used. The data synchronization was required in scaling of sampling frequency in the investigated time series.
Źródło:
Advances in Science and Technology. Research Journal; 2013, 7, 20; 29-34
2299-8624
Pojawia się w:
Advances in Science and Technology. Research Journal
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The prediction of new Covid-19 cases in Poland with machine learning models
Autorzy:
Chwila, Adam
Powiązania:
https://bibliotekanauki.pl/articles/14764465.pdf
Data publikacji:
2023-03-15
Wydawca:
Główny Urząd Statystyczny
Tematy:
machine learning
time series
COVID-19
forecasting
economic activity
Opis:
The COVID-19 pandemic has had a huge impact both on the global economy and on everyday life in all countries all over the world. In this paper, we propose several possible machine learning approaches to forecasting new confirmed COVID-19 cases, including the LASSO regression, Gradient Boosted (GB) regression trees, Support Vector Regression (SVR), and Long-Short Term Memory (LSTM) neural network. The above methods are applied in two variants: to the data prepared for the whole Poland and to the data prepared separately for each of the 16 voivodeships (NUTS 2 regions). The learning of all the models has been performed in two variants: with the 5-fold time-series cross-validation as well as with the split into the single train and test subsets. The computations in the study used official statistics from government reports from the period of April 2020 to March 2022. We propose a setup of 16 scenarios of the model selection to detect the model characterized by the best ex-post prediction accuracy. The scenarios differ from each other by the following features: the machine learning model, the method for the hyperparameters selection and the data setup. The most accurate scenario for the LASSO and SVR machine learning approaches is the single train/test dataset split with data for the whole Poland, while in case of the LSTM and GB trees it is the cross validation with data for whole Poland. Among the best scenarios for each model, the most accurate ex-post RMSE is obtained for the SVR. For the model performing best in terms of the ex-post RMSE, the interpretation of the outcome is conducted with the Shapley values. The Shapley values make it possible to present the impact of auxiliary variables in the machine learning model on the actual predicted value. The knowledge regarding factors that have the strongest impact on the number of new infections can help companies to plan their economic activity during turbulent times of pandemics. We propose to identify and compare the most important variables that affect both the train and test datasets of the model.
Źródło:
Statistics in Transition new series; 2023, 24, 2; 59-83
1234-7655
Pojawia się w:
Statistics in Transition new series
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Impact of the Turkish Presidential System on the Turkish Lira
Autorzy:
Akarsu, Mahmut Zeki
Powiązania:
https://bibliotekanauki.pl/articles/2047065.pdf
Data publikacji:
2021-05-11
Wydawca:
Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:
Turkish Lira
Currency
Democracy
Bayesian structural time-series model
Opis:
The political system always has a significant impact on economic indicators. Currency exchange is one of the indicators, which is influenced directly or indirectly by political developments. Investors and economic agents make investment decisions by not only economic outcomes but also political developments. Turkey is one of the countries, which can be an example of a domestic currency losing value significantly due to undemocratic political actions since the 2017 referendum. Therefore, in this study, the impact of the new presidential system on the Turkish Lira is investigated using the Bayesian structural time-series model in R software. According to the literature search, this study is the first article that analyzes how much the Turkish Lira decoupled negatively from peers and how badly the Turkish presidential system harms the Turkish Lira. According to the result, the undemocratic and unorthodox economic and political implementations cause the Turkish Lira to have dropped sharply and have decoupled negatively from other currencies significantly.
Źródło:
Journal of Banking and Financial Economics; 2021, 1(15); 14-24
2353-6845
Pojawia się w:
Journal of Banking and Financial Economics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The Long-Term Prediction of Landslide Processes within the Precarpathian Depression of the Cernivtsi Region of Ukraine
Autorzy:
Hablovskyi, Bohdan
Hablovska, Nadiia
Shtohryn, Liudmyla
Kasiyanchuk, Dmytro
Kononenko, Maryna
Powiązania:
https://bibliotekanauki.pl/articles/27323822.pdf
Data publikacji:
2023
Wydawca:
Polskie Towarzystwo Inżynierii Ekologicznej
Tematy:
engineering-geological area
landslide
statistical method
factor
time series
forecast
Opis:
The purpose of this publication was the long-term forecasting of the landslide processes activation for the territory of the Precarpathian depression within the Chernivtsi region, taking into account the complex effect of natural factors. On the basis of statistical analysis and processing of long-term observations of landslide activation and natural time factors in particular solar activity, seismicity, groundwater levels, precipitation and air temperature, the relationship was analysed, the main periods of landslide activation were determined, the contribution of each time factor to the complex probability indicator of landslide development was estimated and long-term forecasting was carried out. An analysis of the influence of geomorphology on the landslide development was performed by using GIS MapІnfo. By means of cross-correlation, Fourier spectral analysis, the periodicities were analysed and the relationships between the parameters were established. It was found that the energy of earthquakes precedes the activation of landslides by 1 year, which indicates the “preparatory” effect of earthquakes as a factor that reduces the stability of rocks. The main periodicities of the forecast parameters of 9–11, 19–21, 28–31 years were highlighted, which are consistent with the rhythms of solar activity. The forecasting was carried out using artificial neural networks and the prediction function of the Mathematical package Mathcad, based on the received data, the activation of landslides is expected in 2023–2026, 2030–2035, 2040–2044 with some short periods of calm. The main periods of the dynamics of the time series of landslides and natural factors for the territory of the Precarpathian depression within the Chernivtsi region were determined, and a long-term forecast of landslides was made. Taking into account the large areas of the spread of landslide processes, forecasting the likely activation is an important issue for this region, the constructed predictive time models make it possible to assess the danger of the geological environment for the purpose of early warning and making management decisions aimed at reducing the consequences of a natural disaster.
Źródło:
Journal of Ecological Engineering; 2023, 24, 7; 254--262
2299-8993
Pojawia się w:
Journal of Ecological Engineering
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of Interpolation and Extrapolation of Newton and Cubic Splines to Estimate and Predict the Gas Content of Hydrogen and Iodine in the Formation of Iodic Acid Reactions
Autorzy:
Maryati, Ati
Pandiangan, Naomi
Purwani, Sri
Powiązania:
https://bibliotekanauki.pl/articles/1193309.pdf
Data publikacji:
2021
Wydawca:
Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
Tematy:
Cubic Spline Interpolation
Extrapolation and Time series data
Newtom Interpolation
Opis:
The problem that is mostly related to the pattern of experimental time series data is the function that involves the data. Experimental data in the field of exact sciences is very important to conclude a problem. Existing data can form certain functions. In this research, we are looking for a function that represents the gas content of hydrogen and iodine in the reaction of acid iodide formation. This is achieved by using interpolation in which the function interpolates a given group of data points. Interpolation can also be used to evaluate the function at points different from the group. In addition to constructing and evaluating a functions by interpolation, we can also predict experimental data outside the given group of data points by using extrapolation. The results of data extrapolation can be used as an alternative to experimental data, thereby saving time and cost. This research will also compare interpolation and extrapolation of both Newton method and cubic splines, which one better interpolates and extrapolates data on hydrogen and iodine gas content in the reaction of acid iodide formation. The research results show that the cubic spline method is better than Newton method at approaching data, in terms of interpolation, as well as extrapolation.
Źródło:
World Scientific News; 2021, 153, 2; 124-141
2392-2192
Pojawia się w:
World Scientific News
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
O możliwości wykorzystania regresji LOESS w analizie szeregów czasowych
On the Possibility of Using the LOESS Regression in the Analysis of Time Series
Autorzy:
Poniat, Radosław
Powiązania:
https://bibliotekanauki.pl/articles/1367725.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Szczeciński. Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Tematy:
LOESS regression
time series
ggplot2
regresja LOESS
szeregi czasowe
Opis:
Artykuł poświęcono metodzie statystycznej znanej jako regresja LOESS i możliwości jej zastosowania w analizie szeregów czasowych. Zalety tej metody omówiono w porównaniu z technikami alternatywnymi: centrowaną średnią ruchomą i regresją liniową wykorzystywaną do wyliczania trendów w czasie. Końcowa część artykułu zawiera instrukcję wyliczania regresji LOESS w programie R z pakietem ggplot2.
The article presents the statistical method known as the LOESS Regression and a possibility of its application in the analysis of time series. The advantages of the method have been compared to the alternative techniques: the central moving average and the linear regression to calculate the trends in time. The final part of the article contains the instruction of how to calculate the LOESS Regression in the R program with the package ggplot2.
Źródło:
Przeszłość Demograficzna Polski; 2016, 38, 2; 104-115
0079-7189
2719-4345
Pojawia się w:
Przeszłość Demograficzna Polski
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Prognoza wielkości wydobycia kopalni węgla kamiennego
The forecast amount of extracted coal mine
Autorzy:
Fuksa, D.
Powiązania:
https://bibliotekanauki.pl/articles/164538.pdf
Data publikacji:
2016
Wydawca:
Stowarzyszenie Inżynierów i Techników Górnictwa
Tematy:
prognoza wydobycia węgla
szeregi czasowe
forecast coal mining
time series
Opis:
W publikacji przedstawiono sposób prognozowania rocznej wielkości wydobycia węgla dla kopalni. Prognozę wielkości wydobycia przeprowadzono w oparciu o dane rzeczywistej kopalni węgla kamiennego. Obejmowała ona analizę danych retrospektywnych dotyczących wielkości sprzedaży, obliczenie współczynników regresji modelu matematycznego trendu oraz wielkość wydobycia na rok przyszły. Planowana wielkość wydobycia została skorygowana o najbardziej prawdopodobny błąd prognozy. Ponadto podano prognozowany plan produkcji dla analizowanej kopalni w odniesieniu na poszczególne miesiące.
This publication describes how forecasting annual volume of coal production for the mine. The forecast production volumes was based on data of real coal mine. It included an analysis of retrospective data on the volume of sales, the calculation of the regression coefficients of the mathematical model of the trend and the volume of production in the next year. The planned size of the extraction was adjusted for the most probable forecast error. In addition, given the projected production plan for the mine analyzed in relation to each month.
Źródło:
Przegląd Górniczy; 2016, 72, 8; 29-32
0033-216X
Pojawia się w:
Przegląd Górniczy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Press coverage of the German reunification issue in a long-term perspective, 1990–2014
Autorzy:
Leidecker-Sandmann, Melanie
Maier, Jürgen
Maier, Michaela
Powiązania:
https://bibliotekanauki.pl/articles/470939.pdf
Data publikacji:
2019
Wydawca:
Polskie Towarzystwo Komunikacji Społecznej
Tematy:
German reunification
turnaround
press coverage
quantitative content analysis
time series
Opis:
This paper analyses the long-term coverage (1990–2014) of German reunification by six German newspapers. Our quantitative content analysis shows how often the press covers the event, what the content of the coverage is, and how journalists evaluate the reunification process. As we have analysed newspapers of different locations, ranges, types, and editorial lines, we can see whether newspapers cover German reunification differently. Our analysis shows that the amount of coverage of reunification quickly decreases, and only a few articles are published prominently. The press reports on more differences between East and West Germany than similarities; about one third of the articles mentions problems and conflicts, although they become less important over time. All in all, positive evaluations of German reunification outweigh negative judgments and increase over time. We see evidence that the placement, content, and tone of coverage highly depends on the type, editorial line, range, and location of newspapers.
Źródło:
Central European Journal of Communication; 2019, 12, 1/22; 2-24
1899-5101
Pojawia się w:
Central European Journal of Communication
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ optymalnych parametrów redukcji szumu losowego na identyfikację chaosu w ekonomicznych szeregach czasowych
Effect of Optimum Parameters of Random Noise Reduction on the Identification of Chaos in Economic Time Series
Autorzy:
Miśkiewicz-Nawrocka, Monika
Powiązania:
https://bibliotekanauki.pl/articles/589841.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Ekonometria
Szeregi czasowe
Układy dynamiczne
Dynamical systems
Econometrics
Time-series
Opis:
Real time series are usually disturbed by random noise and the presence of noise in the data can significantly affect the characteristics of dynamic system. The aim of the article will be to research the effect of re duction of random noise by the nearest neighbor method on the identification of chaos in time series. The test will be conducted on the basis of selected financial time series.
Źródło:
Studia Ekonomiczne; 2014, 191; 46-56
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Autoregressive error-processes, cubic splines and tridiagonal matrices
Autorzy:
Drygas, Hilmar
Powiązania:
https://bibliotekanauki.pl/articles/729816.pdf
Data publikacji:
2003
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
autoregressive processes
cubic splines interpolation
linear regression model
time series
Opis:
In the paper formulate for the inversion of some tridiagonal matrices are given. The results can be applied to the autoregressive processes.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2003, 23, 2; 147-165
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Market efficiency and non-linear dependence in the Czech crown/US dollar foreign exchange market
Autorzy:
Chappell, David
Eldridge, Robert
Powiązania:
https://bibliotekanauki.pl/articles/729822.pdf
Data publikacji:
2002
Wydawca:
Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
Tematy:
foreign exchange markets
market efficiency
time series analysis
GARCH models
Opis:
We examine the Czech Crown/US Dollar exchange rate for evidence of market efficiency during the period May, 1997, to September, 1998. The Czech Crown was floated on the world's foreign exchange markets in May, 1997, and it is of interest to examine the behaviour of this new market. We show that this foreign exchange market satisfied the criteria for weak form efficiency during the first part of the period under investigation but there is evidence of non-linear dependence during the second part of the period. This is successfully modelled using a GARCH-M(1,1) representation.
Źródło:
Discussiones Mathematicae Probability and Statistics; 2002, 22, 1-2; 27-35
1509-9423
Pojawia się w:
Discussiones Mathematicae Probability and Statistics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Neuronowe prognozowanie szeregów czasowych metodą przesuwanego okna danych
Neural forecasting of time series by means of the moving data window technique
Autorzy:
Morajda, Janusz
Powiązania:
https://bibliotekanauki.pl/articles/415611.pdf
Data publikacji:
2007
Wydawca:
Małopolska Wyższa Szkoła Ekonomiczna w Tarnowie
Tematy:
szeregi czasowe
sieci neuronowe
prognozowanie
time series
neural networks
forecasting
Opis:
W artykule zaprezentowano opartą na sieciach neuronowych metodę analizy i prognozowania szeregów czasowych, wykorzystującą technikę przesuwanego okna danych. Przedstawiono badania zastosowania tej metody dla szeregu czasowego cen detalicznych benzyny w USA. Dokonano oceny efektywności metody oraz porównano ją z wybranymi klasycznymi narzędziami analizy szeregów czasowych.
The paper outlines a method of time series analysis and forecasting based on neural networks, which utilises a moving data window technique. The research on the application of the method for time series has been described with reference to retail prices of gas oline in the USA. The effectiveness of the method has been evaluated and compared with selected classical tools of time series analysis.
Źródło:
Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie; 2007, 1(10); 189-199
1506-2635
Pojawia się w:
Zeszyty Naukowe Małopolskiej Wyższej Szkoły Ekonomicznej w Tarnowie
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Prognozowanie produktywności dla przedsiębiorstwa produkcyjnego
Productivity forecasting for a manufacturing company
Autorzy:
Rostek, M.
Knosala, R.
Powiązania:
https://bibliotekanauki.pl/articles/112820.pdf
Data publikacji:
2017
Wydawca:
STE GROUP
Tematy:
produktywność
prognozowanie
wygładzanie szeregu czasowego
forecasting
productivity
smoothing time series
Opis:
Celem publikacji jest wyznaczenie wartości wskaźnika produktywności całkowitej na kolejny okres w przedsiębiorstwie produkcyjnym. W artykule zastosowano klasyczne metody prognozowania, które mogą mieć zastosowanie do przewidywania wskaźnika produktywności. Dokonana została ocena wyznaczonych prognoz oraz wybór najlepiej dopasowanego sposobu prognozowania. Celem analizy jest szacowanie przyszłych wartości produktywności, aby z wyprzedzeniem można było reagować na przewidywane spadki. W wyniku przeprowadzonych badań najmniejszym średnim względnym błędem prognozy obarczony był model wyznaczony za pomocą wygładzania wykładniczego metodą Holta.
The aim of the publication is to determine the value of the total productivity index for the next period in the manufacturing company. In the article uses classical forecasting methods that can be used to forecast the productivity index. An assessment of the forecasts and the selection of the best fit for forecasting has been done. The aim of the analysis is to estimate the future value of productivity so that anticipation can be anticipated in advance. As a result of the research, the smallest mean percentage error was burdened by a model determined by Holt exponential smoothing.
Źródło:
Systemy Wspomagania w Inżynierii Produkcji; 2017, 6, 9; 83-93
2391-9361
Pojawia się w:
Systemy Wspomagania w Inżynierii Produkcji
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Influence of the GMDH neural network data preparation method on UTC(PL) correction prediction results
Autorzy:
Miczulski, W.
Sobolewski, Ł.
Powiązania:
https://bibliotekanauki.pl/articles/221698.pdf
Data publikacji:
2012
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
GMDH neural network
national timescale
atomic clock
time series analysis
Opis:
The article presents results of the influence of the GMDH (Group Method of Data Handling) neural network input data preparation method on the results of predicting corrections for the Polish timescale UTC(PL). Prediction of corrections was carried out using two methods, time series analysis and regression. As appropriate to these methods, the input data was prepared based on two time series, ts1 and ts2. The implemented research concerned the designation of the prediction errors on certain days of the forecast and the influence of the quantity of data on the prediction error. The obtained results indicate that in the case of the GMDH neural network the best quality of forecasting for UTC(PL) can be obtained using the time-series analysis method. The prediction errors obtained did not exceed the value of š 8 ns, which confirms the possibility of maintaining the Polish timescale at a high level of compliance with the UTC.
Źródło:
Metrology and Measurement Systems; 2012, 19, 1; 123-132
0860-8229
Pojawia się w:
Metrology and Measurement Systems
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Semi-Supervised Siamese Network for Complex Aircraft System Fault Detection with Limited Labeled Fault Samples
Autorzy:
Xinyun, Zhu
Sun, Jianzhong
Hu, Hanchun
Li, Chunhua
Powiązania:
https://bibliotekanauki.pl/articles/28086935.pdf
Data publikacji:
2023
Wydawca:
Polska Akademia Nauk. Polskie Naukowo-Techniczne Towarzystwo Eksploatacyjne PAN
Tematy:
fault detection
semi-supervised
aircraft system
flight data
time-series data
Opis:
Health monitoring and fault detection of complex aircraft systems are paramount for ensuring reliable and efficient operation. The availability of monitoring data from modern aircraft onboard sensors provides a wealth of big data for developing deep learning-based fault detection methods. However, aircraft onboard systems typically have limited labeled fault samples and large amounts of unlabeled data. To better utilize the information contained in limited labeled fault samples, a deep learning-based semi-supervisedfault detection method is proposed, which leverages a small number of labeled fault samples to enhance its performance. A novel sample pairing strategy is introduced to improve algorithm performance by iteratively utilizing fault samples. A comprehensive loss function is employed to accurately reconstruct normal samples and effectively separate fault samples. The results of a case study using real data from a commercial aircraft fleet demonstrate the superiority of the proposed method over existing techniques, with improvements of approximately 16.7% in AP, 9.5% in AUC, and 19.2% in F1 score. Ablation studies confirm that performance can be further improved by incorporating additional labeled fault samples during training. Furthermore, the algorithm demonstrates good generalization ability.
Źródło:
Eksploatacja i Niezawodność; 2023, 25, 4; art. no. 174382
1507-2711
Pojawia się w:
Eksploatacja i Niezawodność
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Short and long forecast to implement predictive maintenance in a pulp industry
Autorzy:
Rodrigues, João Antunes
Farinha, José Torres
Mendes, Mateus
Mateus, Ricardo
Cardoso, António Marques
Powiązania:
https://bibliotekanauki.pl/articles/2057978.pdf
Data publikacji:
2022
Wydawca:
Polska Akademia Nauk. Polskie Naukowo-Techniczne Towarzystwo Eksploatacyjne PAN
Tematy:
predictive maintenance
condition based maintenance
time series
artificial neural networks
forecasting
Opis:
Predictive maintenance is very important for effective prevention of failures in an industry. The present paper describes a case study where a wood chip pump system was analyzed, and a predictive model was proposed. An Ishikawa diagram and FMECA are used to identify possible causes for system failure. The Chip Wood has several sensors installed to monitor the working conditions and system state. The authors propose a variation of exponential smoothing technique for short time forecasting and an artificial neural network for long time forecasting. The algorithms were integrated into a dashboard for online condition monitoring, where the users are alerted when a variable is determined or predicted to get out of the expected range. Experimental results show prediction errors in general less than 10 %. The proposed technique may be of help in monitoring and maintenance of the asset, aiming at greater availability.
Źródło:
Eksploatacja i Niezawodność; 2022, 24, 1; 33--41
1507-2711
Pojawia się w:
Eksploatacja i Niezawodność
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analysis of the impact of selected economic variables on sorghum prices in Nigeria
Autorzy:
Ajibade, Toyin Benedict
Ayinde, Opeyemi Eyitayo
Abdoulaye, Tahirou
Ojoko, Emmanuel Ada
Powiązania:
https://bibliotekanauki.pl/articles/952113.pdf
Data publikacji:
2017
Wydawca:
Uniwersytet Przyrodniczy w Poznaniu. Wydawnictwo Uczelniane
Tematy:
autocorrelation
cochrane-orcutt procedure
cereal
cointegration
error correction model
time series
Opis:
Nigeria is the world’s leading producer of sorghum intended for use as food grain. Likewise, there has been growing industrial demand for sorghum in the livestock breeding and brewery sectors. As sorghum prices have been on the increase, it becomes pertinent to identify the determinants of this development in order to nip the imminent food crisis in the bud. This study relied on time series data spanning from 1970 to 2015 retrieved from FAOSTAT and World Bank databases. Analytical methods employed include the unit root test, cointegration test and error correction mechanism. The diagnostic tests indicated the presence of autocorrelation which was subsequently adjusted with the Cochrane-Orcutt procedure. Subsequent tests indicated that variables fit well to the model. As shown by the ADF unit root test, the modeled variables were non-stationary but became stationary after first differencing. At a significance level of 5%, the sorghum price was determined by gross domestic product (GDP), annual money supply, official exchange rate and crude oil price, both in the long and short run, whereas the lagged price of sorghum also had an effect on prices in the short run. The study recommends that macroeconomic variables such as GDP, annual money supply and official exchange rate be taken cognizance of when planning the agricultural development in Nigeria.
Źródło:
Journal of Agribusiness and Rural Development; 2017, 46, 4; 723-729
1899-5241
Pojawia się w:
Journal of Agribusiness and Rural Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Predicting in multivariate incomplete time series. Application of the expectation-maximisation algorithm supplemented by the Newton-Raphson method
Autorzy:
Korczyński, Adam
Powiązania:
https://bibliotekanauki.pl/articles/1806793.pdf
Data publikacji:
2021-08-24
Wydawca:
Główny Urząd Statystyczny
Tematy:
missing data
multivariate time series
expectation-maximisation algorithm
Newton-Raphson algorithm
Opis:
Statistical practice requires various imperfections resulting from the nature of data to be addressed. Data containing different types of measurement errors and irregularities, such as missing observations, have to be modelled. The study presented in the paper concerns the application of the expectation-maximisation (EM) algorithm to calculate maximum likelihood estimates, using an autoregressive model as an example. The model allows describing a process observed only through measurements with certain level of precision and through more than one data series. The studied series are affected by a measurement error and interrupted in some time periods, which causes the information for parameters estimation and later for prediction to be less precise. The presented technique aims to compensate for missing data in time series. The missing data appear in the form of breaks in the source of the signal. The adjustment has been performed by the EM algorithm to a hybrid version, supplemented by the Newton-Raphson method. This technique allows the estimation of more complex models. The formulation of the substantive model of an autoregressive process affected by noise is outlined, as well as the adjustment introduced to overcome the issue of missing data. The extended version of the algorithm has been verified using sampled data from a model serving as an example for the examined process. The verification demonstrated that the joint EM and Newton-Raphson algorithms converged with a relatively small number of iterations and resulted in the restoration of the information lost due to missing data, providing more accurate predictions than the original algorithm. The study also features an example of the application of the supplemented algorithm to some empirical data (in the calculation of a forecasted demand for newspapers).
Źródło:
Przegląd Statystyczny; 2021, 68, 1; 17-46
0033-2372
Pojawia się w:
Przegląd Statystyczny
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
SELECTED TECHNIQUES OF DETECTING STRUCTURAL BREAKS IN FINANCIAL VOLATILITY
Autorzy:
Stawiarski, Bartosz
Powiązania:
https://bibliotekanauki.pl/articles/599704.pdf
Data publikacji:
2015
Wydawca:
Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:
volatility
structural breaks
financial time series
logarithmic returns
Threshold-GARCH model
Opis:
We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng’s algorithm is carried out via numerical simulation in the case of simulated T-GARCH models and two real series, namely German and US stock indices. Simulations show that the NPCPM algorithm is superior to ICSS because is not over-sensitive either to heavy tails of market returns or to their serial dependence. Some signals generated by ICSS are falsely classified as structural breaks in volatility, while Cheng’s technique works well only when a single break occurs.
Źródło:
Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 1; 32-43
1734-039X
Pojawia się w:
Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Prognozowanie kolejnych wartości pomiarowego szeregu czasowego z zastosowaniem sztucznych sieci neuronowych i funkcji trygonometrycznych
Forecasting the next value measurement time series with the use of artificial neural networks and trigonometric functions
Autorzy:
Stachno, A.
Suproniuk, M.
Powiązania:
https://bibliotekanauki.pl/articles/156296.pdf
Data publikacji:
2014
Wydawca:
Stowarzyszenie Inżynierów i Techników Mechaników Polskich
Tematy:
prognozowanie
szeregi czasowe
sieci neuronowe
forecasting
time series
artificial neural networks
Opis:
W artykule przedstawiono wyniki badań prognozowania kolejnych wartości pomiarowych szeregów czasowych z zastosowaniem sztucznych sieci neuronowych. Metoda ta umożliwia analizę danych pomiarowych, pochodzących z obiektu, który nie posiada modelu matematycznego. Zbudowanie modelu neuronowego na podstawie szeregu czasowego, odzwierciedlającego dane pomiarowe jest często jedyną metodą przybliżenia sposobu działania obiektu. Wykorzystanie tego modelu do prognozowania zachowania się obiektu w przyszłości może uwzględniać dodatkowo zestaw funkcji trygonometrycznych oraz autorskiej metody WMF wygładzania szeregu czasowego. Przeprowadzone badania wykazały znaczący wzrost dokładności prognoz oraz możliwość uniezależnienia ich od wyprzedzenia czasowego.
The paper presents the results of forecasting subsequent measurement values of the time series (Fig. 1) using artificial neural networks. This method allows the analysis of measurement data [1], coming from an object that does not have a mathematical model. The only representation of the actual state of the output object is approximation of its properties using the neural model, automatically-adapting with respect to the output (Fig. 2). Creating a neural model based on the time series reflecting the measurement data is often the only way to approach the object operation. The use of this model for forecasting the behavior of the object in the future may include an additional set of trigonometric functions (Fig. 7), appropriately presented at the inputs of the neural network. As described in the work, the result of the time series to supplement additional, independent from the object data is to improve the forecast accuracy of successive values of the time series. Taking into account in the forecasting process data smoothing the author's method WMF [1] (Fig. 8), causes a significant increase in the accuracy of the obtained forecast results. The study showed the possibility of using trigonometric functions as input learning network. In addition, there was shown the increase in the accuracy of forecasts of successive values of the time series with different advance and independence of it from historical data (Fig. 10).
Źródło:
Pomiary Automatyka Kontrola; 2014, R. 60, nr 9, 9; 764-767
0032-4140
Pojawia się w:
Pomiary Automatyka Kontrola
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Identyfikacja obserwacji oddalonych w szeregach czasowych
Detection of outliers in time series
Autorzy:
Trzęsiok, Michał
Powiązania:
https://bibliotekanauki.pl/articles/591642.pdf
Data publikacji:
2016
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Identyfikacja obserwacji oddalonych
Klasyfikacja
Szeregi czasowe
Classification
Outliers detection
Time series
Opis:
W artykule uwzględniono różne podejścia do zagadnienia identyfikacji obserwacji oddalonych: podejście dedykowane dla szeregów czasowych i modeli ARIMA, mierniki stopnia oddalenia obserwacji oraz metody klasyfikacyjne. Celem cząstkowym jest zestawienie istniejących metod, ze wskazaniem możliwości pewnych modyfikacji dla polepszenia wyników otrzymywanych z prowadzonej diagnostyki.
The paper presents three different methods for detecting anomalies in time series. The first one is dedicated for time series analysis and ARIMA models. Two other two come from very different background: one is associated with measuring the distance from the given observation to the remaining objects in dataset. The other one belongs to the family of classification methods within machine learning framework. The goal of the paper is to present, compare and illustrate these three different approaches on a real world dataset.
Źródło:
Studia Ekonomiczne; 2016, 265; 95-105
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Energy associated tuning method for short-term series forecasting by complete and incomplete datasets
Autorzy:
Rodríguez-Rivero, C.
Pucheta, J.
Laboret, S.
Sauchelli, V.
Patińo, D.
Powiązania:
https://bibliotekanauki.pl/articles/91842.pdf
Data publikacji:
2017
Wydawca:
Społeczna Akademia Nauk w Łodzi. Polskie Towarzystwo Sieci Neuronowych
Tematy:
short time series
forecasting
missing data
energy associated to series
complete datasets
incomplete datasets
Opis:
This article presents short-term predictions using neural networks tuned by energy associated to series based-predictor filter for complete and incomplete datasets. A benchmark of high roughness time series from Mackay Glass (MG), Logistic (LOG), Henon (HEN) and some univariate series chosen from NN3 Forecasting Competition are used. An average smoothing technique is assumed to complete the data missing in the dataset. The Hurst parameter estimated through wavelets is used to estimate the roughness of the real and forecasted series. The validation and horizon of the time series is presented by the 15 values ahead. The performance of the proposed filter shows that even a short dataset is incomplete, besides a linear smoothing technique employed; the prediction is almost fair by means of SMAPE index. Although the major result shows that the predictor system based on energy associated to series has an optimal performance from several chaotic time series, in particular, this method among other provides a good estimation when the short-term series are taken from one point observations.
Źródło:
Journal of Artificial Intelligence and Soft Computing Research; 2017, 7, 1; 5-16
2083-2567
2449-6499
Pojawia się w:
Journal of Artificial Intelligence and Soft Computing Research
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Efficient Schur Parametrization and Modeling of p-Stationary Second-Order Time-Series for LPC Transmission
Autorzy:
Wielgus, A.
Zarzycki, J.
Powiązania:
https://bibliotekanauki.pl/articles/226070.pdf
Data publikacji:
2018
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
second-order nonstationary time-series
linear Schur parametrization/modeling
complexity reduction
Opis:
Following the results presented in [21], we present an efficient approach to the Schur parametrization/modeling of a subclass of second-order time-series which we term p-stationary time-series, yielding a uniform hierarchy of algorithms suitable for efficient implementations and being a good starting point for nonlinear generalizations to higher-order non-Gaussian nearstationary time-series.
Źródło:
International Journal of Electronics and Telecommunications; 2018, 64, 3; 343-350
2300-1933
Pojawia się w:
International Journal of Electronics and Telecommunications
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of long short term memory neural networks for GPS satellite clock bias prediction
Autorzy:
Gnyś, Piotr
Przestrzelski, Paweł
Powiązania:
https://bibliotekanauki.pl/articles/1987078.pdf
Data publikacji:
2021-12-30
Wydawca:
Politechnika Gdańska
Tematy:
neural networks
LSTM
time series prediction
clock bias
GNSS
machine learning
Opis:
Satellite-based localization systems like GPS or Galileo are one of the most commonly used tools in outdoor navigation. While for most applications, like car navigation or hiking, the level of precision provided by commercial solutions is satisfactory it is not always the case for mobile robots. In the case of long-time autonomy and robots that operate in remote areas battery usage and access to synchronization data becomes a problem. In this paper, a solution providing a real-time onboard clock synchronization is presented. Results achieved are better than the current state-of-the-art solution in real-time clock bias prediction for most satellites.
Źródło:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk; 2021, 25, 4; 381-395
1428-6394
Pojawia się w:
TASK Quarterly. Scientific Bulletin of Academic Computer Centre in Gdansk
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Towards reliable velocities of permanent GNSS stations
Autorzy:
Bogusz, J.
Klos, A.
Gruszczynska, M.
Gruszczynski, M.
Powiązania:
https://bibliotekanauki.pl/articles/106797.pdf
Data publikacji:
2016
Wydawca:
Politechnika Warszawska. Wydział Geodezji i Kartografii
Tematy:
GNSS
time series
noise analysis
velocities
szereg czasowy
analiza hałasu
prędkość
Opis:
In the modern geodesy the role of the permanent station is growing constantly. The proper treatment of the time series from such station lead to the determination of the reliable velocities. In this paper we focused on some pre-analysis as well as analysis issues, which have to be performed upon the time series of the North, East and Up components and showed the best, in our opinion, methods of determination of periodicities (by means of Singular Spectrum Analysis) and spatio-temporal correlations (Principal Component Analysis), that still exist in the time series despite modelling. Finally, the velocities of the selected European permanent stations with the associated errors determined following power-law assumption in the stochastic part is presented.
Źródło:
Reports on Geodesy and Geoinformatics; 2016, 100; 17-26
2391-8365
2391-8152
Pojawia się w:
Reports on Geodesy and Geoinformatics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Soft Sensing Method Of LS-SVM Using Temperature Time Series For Gas Flow Measurements
Autorzy:
Xu, W.
Fan, Z.
Cai, M.
Shi, Y.
Tong, X.
Sun, J.
Powiązania:
https://bibliotekanauki.pl/articles/221824.pdf
Data publikacji:
2015
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
gas flow
soft sensor
support vector machine (SVM)
temperature time series
Opis:
This paper proposes a soft sensing method of least squares support vector machine (LS-SVM) using temperature time series for gas flow measurements. A heater unit has been installed on the external wall of a pipeline to generate heat pulses. Dynamic temperature signals have been collected upstream of the heater unit. The temperature time series are the main secondary variables of soft sensing technique for estimating the flow rate. A LS-SVM model is proposed to construct a non-linear relation between the flow rate and temperature time series. To select its inputs, parameters of the measurement system are divided into three categories: blind, invalid and secondary variables. Then the kernel function parameters are optimized to improve estimation accuracy. The experiments have been conducted both in the single-pulse and multiple-pulse heating modes. The results show that estimations are acceptable.
Źródło:
Metrology and Measurement Systems; 2015, 22, 3; 383-392
0860-8229
Pojawia się w:
Metrology and Measurement Systems
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Model pływowy IERS2003 i ocena możliwości jego weryfikacji na podstawie wyników opracowania obserwacji GNSS
Geodetic corrections of IERS2003 tidal deformational model
Autorzy:
Bogusz, J.
Figurski, M.
Powiązania:
https://bibliotekanauki.pl/articles/210036.pdf
Data publikacji:
2010
Wydawca:
Wojskowa Akademia Techniczna im. Jarosława Dąbrowskiego
Tematy:
pływy Ziemi
GNSS
geodezyjne szeregi czasowe
Earth tides
geodetic time series
Opis:
Niniejszy artykuł zawiera analizę możliwości korekcji pływowego modelu deformacji fizycznej powierzchni Ziemi opartego na standardach IERS2003, a wykorzystywanego w oprogramowaniu Bernese. Autorzy do tego celu wykorzystali stworzoną w Centrum Geomatyki Stosowanej Wojskowej Akademii Technicznej metodę opracowania precyzyjnych obserwacji geodezyjnych w ramach krótkookresowych rozwiązań sieciowych. Jako dane posłużyły obserwacje wykonywane na punktach sieci ASG-EUPOS otrzymane na mocy porozumienia pomiędzy WAT a Głównym Urzędem Geodezji i Kartografii. Analiza pływowa metodą najmniejszych kwadratów potwierdziła, iż model pływowy oparty o parametry matematyczne wymaga wprowadzenia współczynników geodezyjnych, szczególnie w częstotliwościach, które są trudne do zamodelowania, takich jak K1, K2 czy PSI1. W tych częstotliwościach analiza rezyduów obserwacji satelitarnych potwierdziła istnienie kilkumilimetrowych różnic. Otrzymany materiał stanowi świetną podstawę do badań zmian przestrzennych opisywanych parametrów i korelacji ich zmian np. z budową litosfery na terenie Polski.
Present article contains the analysis of the possibility of introducing geodetic corrections to the IERS2003 tidal model. It is the model of the Earth's lithosphere tidal deformations used in the Bernese soft ware. The authors present the method of precise GNSS observations, processing in short-time intervals, which was worked out at the Centre of Applied Geomatics, Military University of Technology. As the data, the geodetic time-series (geocentric coordinates) obtained from satellite observations collected at the ASG-EUPOS sites were used. The tidal analysis based on the least squares method confirmed, that the model based on mathematical parameters requires the implementation of geodetic coefficients, particularly in frequencies which are difficult to be modelled such as K1, K2 or PSI1. In these frequencies, the residuals of satellite observations' analyses confirmed existence of the differences reached several millimetres. The results of this research state the ideal base for further investigations of spatial distribution of tidal deformational parameters and their correlation to the lithosphere's properties.
Źródło:
Biuletyn Wojskowej Akademii Technicznej; 2010, 59, 3; 421-441
1234-5865
Pojawia się w:
Biuletyn Wojskowej Akademii Technicznej
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cuban consumer price index forecasting through transformer with attention
Autorzy:
Rosado, Reynaldo
Toledano-López, Orlando G.
González, Hector R.
Abreu, Aldis J.
Hernandez, Yanio
Powiązania:
https://bibliotekanauki.pl/articles/27314241.pdf
Data publikacji:
2023
Wydawca:
Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
Tematy:
consumer price index
time series forecasting
transformer with attention
ARIMA
LSTM
Opis:
Recently, time series forecasting modelling in the Con‐ sumer Price Index (CPI) has attracted the attention of the scientific community. Several research projects have tackled the problem of CPI prediction for their countries using statistical learning, machine learning and deep neural networks. The most popular approach to CPI in several countries is the Autoregressive Integrated Mov‐ ing Average (ARIMA) due to the nature of the data. This paper addresses the Cuban CPI forecasting problem using Transformer with attention model over univariate dataset. The fine tuning of the lag parameter shows that Cuban CPI has better performance with small lag and that the best result was in = 1. Finally, the comparative results between ARIMA and our proposal show that the Transformer with attention has a very high performance despite having a small data set.
Źródło:
Journal of Automation Mobile Robotics and Intelligent Systems; 2023, 17, 2; 12--17
1897-8649
2080-2145
Pojawia się w:
Journal of Automation Mobile Robotics and Intelligent Systems
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A data-driven approach to predict hydrometeorological variability and fluctuations in lake water levels
Autorzy:
Tan Kesgin, Remziye I.
Demir, Ibrahim
Kesgin, Erdal
Abdelkader, Mohamed
Agaccioglu, Hayrullah
Powiązania:
https://bibliotekanauki.pl/articles/28411608.pdf
Data publikacji:
2023
Wydawca:
Instytut Technologiczno-Przyrodniczy
Tematy:
evaporation
lake water level
precipitation
stochastic time series models
water transfer
Opis:
Beyşehir Lake is the largest freshwater lake in the Mediterranean region of Turkey that is used for drinking and irrigation purposes. The aim of this paper is to examine the potential for data-driven methods to predict long-term lake levels. The surface water level variability was forecast using conventional machine learning models, including autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA), and seasonal autoregressive integrated moving average (SARIMA). Based on the monthly water levels of Beyşehir Lake from 1992 to 2016, future water levels were predicted up to 24 months in advance. Water level predictions were obtained using conventional time series stochastic models, including autoregressive moving average, autoregressive integrated moving average, and seasonal autoregressive integrated moving average. Using historical records from the same period, prediction models for precipitation and evaporation were also developed. In order to assess the model’s accuracy, statistical performance metrics were applied. The results indicated that the seasonal autoregressive integrated moving average model outperformed all other models for lake level, precipitation, and evaporation prediction. The obtained results suggested the importance of incorporating the seasonality component for climate predictions in the region. The findings of this study demonstrated that simple stochastic models are effective in predicting the temporal evolution of hydrometeorological variables and fluctuations in lake water levels.
Źródło:
Journal of Water and Land Development; 2023, 58; 158--170
1429-7426
2083-4535
Pojawia się w:
Journal of Water and Land Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wykorzystanie metody moving block bootstrap w prognozowaniu szeregów czasowych z wahaniami okresowymi
The Use of the Moving Block Bootstrap Method in Periodic Time Series Forecasting
Autorzy:
Kończak, Grzegorz
Miłek, Michał
Powiązania:
https://bibliotekanauki.pl/articles/586452.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Analiza szeregów czasowych
Metody statystyczne
Modele ARIMA
Prognozowanie matematyczne
Szeregi czasowe
Autoregressive integrated moving average (ARIMA) models
Mathematical forecasting
Statistical methods
Time-series
Time-series analysis
Opis:
The aim of the analysis of the time series is, among others, to facilitate the formulation of prognosis. The basis for the inference of the future variables are their future realizations. There are various methods used in time series forecasting, such as for example naïve method, Holt-Winters models, ARIMA models and various simulation methods. One of the most popular and widely used simulation method in statistical research is the bootstrap method proposed by B. Efron. It is usually applied in measuring the estimates of the variance and testing the hypotheses in cases when the distribution of the test statistic is unknown. This method does not require for the selected samples to be from the standard normal distribution population. Due to the construction of the random samples in this method, there is usually no possibility to directly apply it in the analysis of the periodic time series. In the literature written on this subject, there are the proposals to introduce some modifications to the bootstrap method that would provide the possibility to conduct such analyses. One of such methods is the moving block bootstrap. In the present essay, we will present the proposal to apply this method to create the confidential intervals for the periodic time series forecasts. The results gathered by applying that method are compared with the results obtained via the classic construction of the confidential intervals for the forecasts and on the confidential intervals based on ARIMA models.
Źródło:
Studia Ekonomiczne; 2014, 203; 91-100
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
SYMULACYJNE BADANIE WPŁYWU WYSTĘPOWANIA LUK SYSTEMATYCZNYCH W SZEREGU CZASOWYM DLA DANYCH DZIENNYCH NA DOKŁADNOŚĆ PROGNOZ
THE SIMULATION ANALYSIS OF THE IMPACT OF THE SYSTEMATIC GAPS IN THE DAILY TIME SERIES ON ACCURACY OF FORECASTS
Autorzy:
Oesterreich, Maciej
Powiązania:
https://bibliotekanauki.pl/articles/452983.pdf
Data publikacji:
2017
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
zmienne o wysokiej częstotliwości obserwowania
złożone wahania sezonowe
luki systematyczne
prognozowanie
modele szeregu czasowego
high frequency time series
complex seasonal fluctuations
systematic gaps
forecasting
time series models
Opis:
W pracy przedstawiono wyniki symulacyjnej analizy wpływu występowania luk systematycznych na dokładność prognoz inter- i ekstrapolacyjnych w dziennych szeregach czasowych. Do budowy prognoz wykorzystano klasyczny model szeregu czasowego, w którym wahania sezonowe o cyklach: tygodniowym i rocznym, były opisane za pomocą zmiennych zero-jedynkowych. Zmienną, którą poddano analizie, była dzienna sprzedaż paliw płynnych na stacji paliw X w latach 2012-2014. Pierwsze trzydzieści miesięcy stanowiło przedział czasowy próby, a ostatnie sześć były okresem empirycznej weryfikacji prognoz. Rozpatrywanych było jedenaście wariantów luk systematycznych. Obliczenia zostały wykonane z wykorzystaniem pakietu R oraz Statistica 12.
In the paper was presented the simulation analysis of the impact of systematic gaps on the accuracy of inter- and extrapolative forecasts for daily time series. To forecasts construction were used classical time series model, in which a weekly and an annual seasonality was described by dummy variables. The analysed variable was daily sale of liquid fuels in liters in petrol station X in years 2012-2014. Data in years 2012-2013 were used in model construction and year 2014 was a period of empirical validation of forecasts. Eleven different variants of systematic gaps were examined. Calculations were made using the R statistical environment and the Statsoft Statistica12.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2017, 18, 2; 293-303
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Metoda Hellwiga jako kryterium doboru zmiennych do modeli szeregów czasowych
Using hellwig method to select explanatory variables in time series models
Autorzy:
Serwa, Dobromił
Powiązania:
https://bibliotekanauki.pl/articles/453846.pdf
Data publikacji:
2011
Wydawca:
Szkoła Główna Gospodarstwa Wiejskiego w Warszawie. Katedra Ekonometrii i Statystyki
Tematy:
metoda Hellwiga
szeregi czasowe
wybór modelu
Hellwig method
time series
model selection
Opis:
Celem pracy jest rozstrzygnięcie, czy metoda Hellwiga jest użyteczna w odniesieniu do konstruowania modeli szeregów czasowych i w jakim zakresie jest ona konkurencyjna wobec innych metod, na przykład wykorzystujących kryteria informacyjne Schwarza i Akaike. Okazuje się, że metoda Hellwiga w pewnych, często w praktyce ekonometrycznej występujących przypadkach, nie prowadzi do wyboru odpowiedniego modelu.
We check if Hellwig method is useful in building time-series models and if it performs better than other statistical methods, including Akaike and Schwarz information criteria. We find that the Hellwig method often leads to incorrect model specifications.
Źródło:
Metody Ilościowe w Badaniach Ekonomicznych; 2011, 12, 2; 312-321
2082-792X
Pojawia się w:
Metody Ilościowe w Badaniach Ekonomicznych
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Time series analysis of reference crop evapotranspiration for Bokaro District, Jharkhand, India
Analiza serii czasowych ewapotranspiracji potencjalnej upraw w dystrykcie Bokaro, Jharkhand, Indie
Autorzy:
Gautam, R.
Sinha, A. K.
Powiązania:
https://bibliotekanauki.pl/articles/293179.pdf
Data publikacji:
2016
Wydawca:
Instytut Technologiczno-Przyrodniczy
Tematy:
ARIMA model
evapotranspiration
forecasting
time series
ewapotranspiracja
model ARIMA
prognozowanie
serie czasowe
Opis:
Evapotranspiration is the one of the major role playing element in water cycle. More accurate measurement and forecasting of Evapotranspiration would enable more efficient water resources management. This study, is therefore, particularly focused on evapotranspiration modelling and forecasting, since forecasting would provide better information for optimal water resources management. There are numerous techniques of evapotranspiration forecasting that include autoregressive (AR) and moving average (MA), autoregressive moving average (ARMA), autoregressive integrated moving average (ARIMA), Thomas Feiring, etc. Out of these models ARIMA model has been found to be more suitable for analysis and forecasting of hydrological events. Therefore, in this study ARIMA models have been used for forecasting of mean monthly reference crop evapotranspiration by stochastic analysis. The data series of 102 years i.e. 1224 months of Bokaro District were used for analysis and forecasting. Different order of ARIMA model was selected on the basis of autocorrelation function (ACF) and partial autocorrelation (PACF) of data series. Maximum likelihood method was used for determining the parameters of the models. To see the statistical parameter of model, best fitted model is ARIMA (0, 1, 4) (0, 1, 1)12.
Ewapotranspiracja jest jednym z głównych elementów obiegu wody. Dokładniejsze pomiary i możliwość prognozowania ewapotranspiracji mogłyby umożliwić wydajniejsze zarządzanie zasobami wodnymi. Dlatego prezentowane w niniejszej pracy badania skoncentrowane były na modelowaniu i prognozowaniu ewapotranspiracji, ponieważ prognozowanie zapewni więcej informacji do optymalnego zarządzania zasobami wodnymi. Istnieje wiele technik prognozowania ewapotranspiracji, takich jak autoregresja (AR), średnia ruchoma (MA), autoregresyjna średnia ruchoma (ARMA), autoregresyjna zintegrowana średnia ruchoma (ARIMA), metoda Thomasa– Feiringa i inne. Stwierdzono, że spośród nich ARIMA jest bardziej odpowiednia do analizy i prognozowania zdarzeń hydrologicznych. Z tego powodu wykorzystano model ARIMA do prognozowania miesięcznych średnich wartości ewapotranspiracji potencjalnej poprzez analizę stochastyczną. Do analiz i prognozowania użyto serii danych ze 102 lat (1224 miesiące) z dystryktu Bokaro. Na podstawie funkcji autokorelacji (ACF) i cząstkowych autokorelacji (PACF) serii danych wybrano różny porządek modelu ARIMA. Do wyznaczenia parametrów modelu wykorzystano metodę maksymalnego prawdopodobieństwa. Najlepiej dostosowanymi parametrami statystycznymi modelu okazały się ARIMA (0, 1, 4) (0, 1, 1)12.
Źródło:
Journal of Water and Land Development; 2016, 30; 51-56
1429-7426
2083-4535
Pojawia się w:
Journal of Water and Land Development
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Forecasting of vertical displacements based on a time series
Autorzy:
Gadomski, J.
Gadomska, M.
Kumor, M. K.
Powiązania:
https://bibliotekanauki.pl/articles/224389.pdf
Data publikacji:
2007
Wydawca:
Politechnika Warszawska. Wydział Geodezji i Kartografii
Tematy:
przemieszczenia pionowe
szeregi czasowe
pomiary geodezyjne
vertical displaceents
time series
engineering surveying
Opis:
Before research, a graphical analysis of time series is important to carry out because the configuration of empirical points in a proper Cartesian coordinate system enables one to make a decision which class the researched trend function belongs to. When verifying the model it should be checked whether received values of structural parameters estimation are reasonable. The method of extrapolation of time series can be used to forecast only in case when the mechanism of development of the researched effect does not change in time considerably or in case if the mechanism of development of the researched effect is not known and we cannot recognize it. The forecast horizon can be dependent on inertia of researched variables. For variables with a big inertia the forecast horizon can be considerably longer. Longer forecast horizon corresponds with less probability of occurrence of the provided state and simultaneously certainty of the forecast is less. Another question is a stability of the model. It does not mean that the model will be stable after the period the model was estimated, i.e. it will be stable in future. Adaptive models are useful in case of lack of stability in the researched period. Forecast procedures based on those models assume that the effect intensification in time can be segmental, i.e. "smooth", only in some intervals of time. Such models are particularly important for short-term forecasts. Taking one of the following models into account depends on: - clear interpretation of model's parameters, - possibility of a simple estimation of the model's parameters, - the level of accuracy that the model describes the effect's development in time. It should be noticed that building a "good" model describing the given effect on the base of data from the past not always can be proper in future. To enlarge forecast certainty (especially for short time series) several forecasting methods should be used and their results should be compared.
Źródło:
Reports on Geodesy; 2007, z. 1/82; 69-74
0867-3179
Pojawia się w:
Reports on Geodesy
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Review of the book ,,The analysis and forecasting of time series. Practical introduction on the basis of the R environment by: A. Zagdanski and A. Suchwałko
Autorzy:
Burnecki, Krzysztof
Powiązania:
https://bibliotekanauki.pl/articles/747794.pdf
Data publikacji:
2016
Wydawca:
Polskie Towarzystwo Matematyczne
Tematy:
time series models
forecasting
data analysis
modele szeregów czasowych
prognozowanie
analiza danych
Opis:
Niniejsza książka stanowi praktyczne wprowadzenie do modelowania w środowisku R różnorodnych danych zbieranych w regularnych odstępach czasu. Książka adresowana jest do wszystkich zainteresowanych modelami szeregów czasowych a szczególnie do studentów i absolwentów kierunków ścisłych, ekonomicznych oraz technicznych.
This book provides a practical introduction to the R environment variety of modeling data collected at regular intervals. The book is addressed to anyone interested in time series models, and mainly to students and graduates of scientific, economic and technical faculties. 
Źródło:
Mathematica Applicanda; 2016, 44, 2
1730-2668
2299-4009
Pojawia się w:
Mathematica Applicanda
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zastosowanie teorii szarych systemów do przewidywania przyszłych ofert składanych na aukcjach pierwszej ceny poprzez pryzmat modelu szarego GM(1,1)
Application of Gray System Theory to Model the First-Price Auction
Autorzy:
Barczak, Stanisław
Powiązania:
https://bibliotekanauki.pl/articles/587238.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Aukcje
Metody ekonometryczne
Prognozowanie
Szeregi czasowe
Auctions
Econometric methodology
Forecasting
Time-series
Opis:
This paper presents the possibility of applying the theory of gray systems, with particular emphasis on the model GM (1,1) in the modeling of the first price auction. The paper presents the properties of the model GM (1,1) for the ultrashort time series representing the bid made by the participants at the first price auction. An analysis of the residuals simulation model based on the length of the time series and forecasting capabilities based on gray model GM (1,1). The analysis shows that with the decreasing the number of observations in time series (short time series) decreases the expost forecast error. This property is very important in modeling the course of the auction and in particular predicting possible future offerings. Model GM (1,1) can be considered in applications for masterpieces auctions.
Źródło:
Studia Ekonomiczne; 2013, 146; 7-18
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Investigation of background noise in the GNSS position time series using spectral analysis – A case study of Nepal Himalaya
Autorzy:
Ray, Jagat Dwipendra
Vijayan, M. Sithartha Muthu
Godah, Walyeldeen
Kumar, Ashok
Powiązania:
https://bibliotekanauki.pl/articles/145396.pdf
Data publikacji:
2019
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
GNSS
szereg czasowy
analiza spektralna
background noise
position time series
spectral analysis
Opis:
Position time series from permanent Global Navigation Satellite System (GNSS) stations are commonly used for estimating secular velocities of discrete points on the Earth’s surface. An understanding of background noise in the GNSS position time series is essential to obtain realistic estimates of velocity uncertainties. The current study focuses on the investigation of background noise in position time series obtained from thirteen permanent GNSS stations located in Nepal Himalaya using the spectral analysis method. The power spectrum of the GNSS position time series has been estimated using the Lomb–Scargle method. The iterative nonlinear Levenberg–Marquardt (LM) algorithm has been applied to estimate the spectral index of the power spectrum. The power spectrum can be described by white noise in the high frequency zone and power law noise in the lower frequency zone. The mean and the standard deviation of the estimated spectral indices are […] for north, east and vertical components, respectively. On average, the power law noise extends up to a period of ca. 21 days. For a shorter period, i.e. less than ca. 21 days, the spectra are white. The spectral index corresponding to random walk noise (ca. –2) is obtained for a site located above the base of a seismogenic zone which can be due to the combined effect of tectonic and nontectonic factors rather than a spurious monumental motion. Overall, the usefulness of investigating the background noise in the GNSS position time series is discussed.
Źródło:
Geodesy and Cartography; 2019, 68, 2; 375-388
2080-6736
2300-2581
Pojawia się w:
Geodesy and Cartography
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Badanie wpływu redukcji poziomu szumu losowego na identyfikację chaosu deterministycznego w ekonomicznych szeregach czasowych
The Study of the Effect of Random Noise Reduction on the Identification of Chaotic Dynamics in the Economic Time Series
Autorzy:
Zeug-Żebro, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/585850.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Chaos deterministyczny
Statystyka ekonomiczna
Szeregi czasowe
Deterministic chaos
Economic statistics
Time-series
Opis:
The aim of the papers is to study the effect of noise reduction, carried out using the nearest neighbor method, on the identification of chaotic dynamics in the selected time series. The tools used to distinguish chaotic time series from random ones will be the BDS statistic and the correlation dimension The test will be conducted based on the economic time series which consist of closing share prices of companies listed on the Warsaw Stock Exchange and the daily exchange rates.
Źródło:
Studia Ekonomiczne; 2013, 159; 124-135
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On Prediction of Time Series on the Basis of Rank Correlation Coefficients
Autorzy:
Wywiał, Janusz L.
Powiązania:
https://bibliotekanauki.pl/articles/587778.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Metody statystyczne
Statystyka matematyczna
Szeregi czasowe
Mathematical statistics
Statistical methods
Time-series
Opis:
In the paper the problem of prediction of a time series is considered. Time series observations can be measured on order scale. On the basis of observed ranks of values of the variables observed in the past periods a forecast of the rank of the observation in the future period is determined. The proposed method results from the derivation of the distribution of the well known Kendall's rank coefficient. The paper was inspired by a lecture of Jean H.P. Paelinck who gave it at the University of Economics in Katowice when he received the title of doctor honoris causa of the University in 1987.
Źródło:
Studia Ekonomiczne; 2014, 189; 19-26
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Badanie wpływu redukcji szumu na identyfikację dynamiki chaotycznej na przykładzie finansowych szeregów czasowych
Study of the Effect of Noise Reduction on the Identification of Chaotic Dynamics Based on Finance Time Series
Autorzy:
Zeug-Żebro, Katarzyna
Powiązania:
https://bibliotekanauki.pl/articles/587968.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Analiza korelacji
Szeregi czasowe
Wskaźniki finansowe
Correlation analysis
Financial indicators
Time-series
Opis:
Filtracja danych jest bardzo ważnym etapem badań związanych z odróżnianiem szeregów chaotycznych od losowych. Jedną z metod wykorzystywanych w tym celu jest metoda najbliższych sąsiadów. Pierwotnie została ona stworzona w celu prognozowania, jednak późniejsze prace badawcze pokazały, że jest ona również dobrym narzędziem umożliwiającym redukcję szumu w szeregach czasowych. Celem artykułu jest zbadanie wpływu redukcji szumu metodą najbliższych sąsiadów na identyfikację chaosu w wybranych szeregach czasowych. Badanie będzie przeprowadzone na podstawie ekonomicznych szeregów czasowych, złożonych z cen zamknięcia akcji spółek notowanych na GPW w Warszawie oraz dziennych kursów walut.
The data filtration is very important stage of research involving distinguishing the chaotic series from random series. One of the methods used for this purpose is the nearest neighbor method. It was originally designed to predict, but later research showed that it was also a good tool for reducing noise in the time series. The aim of the article will be to study the effect of noise reduction, carried out using the nearest neighbor method, on the identification of chaotic dynamics in the selected time series. The test will be conducted based on the economic time series which consist of closing prices of companies listed on the Warsaw Stock Exchange and the daily exchange rates.
Źródło:
Studia Ekonomiczne; 2014, 207; 269-280
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Wpływ opadów atmosferycznych w Kotlinie Sądeckiej na zmienność ilościową ścieków dopływających do oczyszczalni Wielopole
The influence of precipitation in Sądecki Basin on the variability of quantitative wastewater inflowing into the treatment plant Wielopole
Autorzy:
Wąsik, E.
Bugajski, P.
Chmielowski, K.
Cupak, A.
Powiązania:
https://bibliotekanauki.pl/articles/101063.pdf
Data publikacji:
2016
Wydawca:
Polska Akademia Nauk. Stowarzyszenie Infrastruktura i Ekologia Terenów Wiejskich PAN
Tematy:
opad atmosferyczny
natężenie ścieków
szeregi czasowe
precipitation
amount of sewage
time series
Opis:
Celem pracy była ocena wpływu opadów atmosferycznych, które były obserwowane w Nowym Sączu, na zmienność ilościową ścieków dopływających w latach 2008-2014 do oczyszczalni Wielopole. Dokonano analizy danych z wielolecia w postaci szeregu czasowego, a następnie wykorzystano metodę widmową Fouriera do operacji wygładzania z użyciem okna Hamminga. Określony po dekompozycji związek pomiędzy wysokością opadu a natężeniem ścieków surowych wykazał 56%-owy stopień ich powiązania. Oznacza to, że w okresie analizowanego wielolecia zmienność dopływu do oczyszczalni Wielopole można wytłumaczyć wysokością opadu przez 204 dni w roku.
The aim of the study was to evaluate the effect of precipitation, which were observed in Nowy Sącz, on the variability of quantitative wastewater inflowing into the treatment plant Wielopole in the years 2008-2014. An analysis of the data from the multi-year was presented as a time series. The next a method for spectral Fourier smoothing operation using a Hamming window was using. The 56 % relationship between the amount of precipitation and the daily flow of sewage was after decomposition. This means that variability of the flow to the treatment plant Wielopole can be explained by the amount of precipitation in 204 days for annual period.
Źródło:
Infrastruktura i Ekologia Terenów Wiejskich; 2016, II/2; 543-555
1732-5587
Pojawia się w:
Infrastruktura i Ekologia Terenów Wiejskich
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelowanie zależności cen kontraktów terminowych na produkty rolne notowanych na giełdzie towarowej w Chicago z wykorzystaniem funkcji kopuli
Copula-Based Modeling the Correlations between Commodity Futures Prices Quoted on the CME
Autorzy:
Hołda, Artur
Malik, Gabriela
Powiązania:
https://bibliotekanauki.pl/articles/585616.pdf
Data publikacji:
2013
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Rynki finansowe
Rynek rolny
Szeregi czasowe
Agricultural markets,
Financial markets
Time-series
Opis:
The goal of this article was to investigate the correlations between futures prices of commodities quoted on the CME. The sample includes corn, soybeans and wheat. Using ARIMA model for which best parameterization was identified based upon the AIC value, the raw time series of the prices for the contract with the shortest time left to expiration were subject to the process of removing a stochastic trend as well as autocorrelation. The transformed time series were then used as an input in fitting various theoretical distributions whose practical importance in describing the process of prices had been proven in the literature. The unknown parameters were estimated by means of the ML. Three different tests, namely χ2, Kolomogorov and AD, were employed in order to investigate/ verify the goodness-of-fit of these distributions. Finally, the parameters of normal as well as t copulas were estimated by means of the two-step ML method, with different hypotheses concerning the form of a correlation matrix. The goodness-of-fit test based on Cramer-Mises statistic was used to choose between the alternative copulas, with the critical values being obtained via non-parametric boostrap.
Źródło:
Studia Ekonomiczne; 2013, 135; 64-78
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Analiza porównawcza średniego odsetka czasu przebywania w pierwszej i drugiej połowie dnia - badania empiryczne
Comparative Analysis of the Relative Occupation Time of the First and Second Half of the Day - Empirical Research
Autorzy:
Czernik, Tadeusz
Iskra, Daniel
Powiązania:
https://bibliotekanauki.pl/articles/588878.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Badania empiryczne
Ceny akcji
Szeregi czasowe
Empirical researches
Shares prices
Time-series
Opis:
In the paper, authors present the analysis of the relative occupation time. The ana- lysis concerns the mean of relative occupatio n time determined on the basis of the stock price taken from the first and second half of the day. The presented analysis does not exhaust the family of possible applica tions of occupation time functional.
Źródło:
Studia Ekonomiczne; 2014, 191; 7-14
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Zastosowanie funkcji Höldera do modelowania danych przestrzennych
Application of Hölder Function to Description Spatial Data
Autorzy:
Mastalerz-Kodzis, Adrianna
Powiązania:
https://bibliotekanauki.pl/articles/590190.pdf
Data publikacji:
2014
Wydawca:
Uniwersytet Ekonomiczny w Katowicach
Tematy:
Geometria fraktalna
Procesy stochastyczne
Szeregi czasowe
Fractal analysis
Stochastic processes
Time-series
Opis:
The aim of his article is to use the Hölder function to analysis spatial data. We show the method of generate spatial data with Hölder exponents. The article consists of two parts: the first one presents elements of analysis the Hölder function, and the second consist results of analysis in spatial dimension.
Źródło:
Studia Ekonomiczne; 2014, 191; 37-44
2083-8611
Pojawia się w:
Studia Ekonomiczne
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Efektywność optymalnych portfeli inwestycyjnych zbudowanych na podstawie wykładnika Hursta
The efficiency of optimal investment portfolio building on the basis of the Hurst exponent
Autorzy:
Miśkiewicz-Nawrocka, M.
Zeug-Żebro, K.
Powiązania:
https://bibliotekanauki.pl/articles/325080.pdf
Data publikacji:
2018
Wydawca:
Politechnika Śląska. Wydawnictwo Politechniki Śląskiej
Tematy:
analiza portfelowa
wykładnik Hursta
szeregi czasowe
portfolio analysis
Hurst exponent
time series
Opis:
Praca H. Markowitza Portfolio Selection [1952] zapoczątkowała intensywny rozwój dziedziny naukowej jaką jest analiza portfelowa. Prowadzone od wielu lat badania dostarczają nowych narzędzi oraz podejść do wyznaczania udziałów instrumentów finansowych w portfelu optymalnym, np. wskaźniki analizy fundamentalnej. Nowym podejściem zaproponowanym przez autorów jest zastosowanie do budowy portfela optymalnego wykładnika Hursta, będącego narzędziem nieliniowych układów dynamicznych. Celem artykułu jest zbudowanie oraz ocena efektywności portfeli optymalnych wyznaczonych w oparciu o wykładnik Hursta.
The article Portfolio Selection by H. Markowitz [1952] started intensive development of scientific field which is a portfolio analysis. Research conducted for many years have provided new tools and approaches for estimating the shares of financial assets in the optimal portfolio. A new approach proposed by authors in the area of optimal portfolio building is the use of the Hurst exponent, which is a basis tool of nonlinear dynamic systems. The paper aims to construct and evaluate the efficiency of optimal portfolios determined based on the Hurst exponent.
Źródło:
Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska; 2018, 127; 149-162
1641-3466
Pojawia się w:
Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Metoda prognozowania szeregów czasowych przy użyciu sztucznych sieci neuronowych
The method used to predict time series using artificial neural networks
Autorzy:
Francik, S.
Powiązania:
https://bibliotekanauki.pl/articles/291511.pdf
Data publikacji:
2009
Wydawca:
Polskie Towarzystwo Inżynierii Rolniczej
Tematy:
prognozowanie
szereg czasowy
sztuczna sieć neuronowa
predicting
time series
artificial neural network
Opis:
Celem pracy było opracowanie metodyki prognozowania szeregów czasowych przy użyciu sztucznych sieci neuronowych. Prognozy wykonano zakładając klasyczny model tendencji rozwojowej. Opracowano ogólny algorytm opracowywania prognostycznego modelu neuronowego. Przedstawiono przykład zastosowania tego algorytmu do opracowania 9 modeli neuronowych dla zmiennych prognostycznych charakteryzujących wybrane maszyny rolnicze: kombajny zbożowe, pługi oraz siewniki rzędowe. Przeprowadzono analizę wrażliwości dla opracowanych modeli prognostycznych.
The purpose of the work was to develop methods for predicting time series using the artificial neural networks. The predictions were made assuming the classical development tendency model. The general algorithm for construction of prognostic neural model has been developed. The paper presents an example for using this algorithm to create 9 neural models for prognostic variables characterising selected farm machines: combine harvesters, ploughs and drill seeders. A sensitivity analysis was made for created prognostic models.
Źródło:
Inżynieria Rolnicza; 2009, R. 13, nr 6, 6; 53-59
1429-7264
Pojawia się w:
Inżynieria Rolnicza
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Links between the price of butter in Poland and in selected foreign markets
Powiązanie cen masła w Polsce z wybranymi rynkami świata
Autorzy:
Domagała, Joanna
Powiązania:
https://bibliotekanauki.pl/articles/1621721.pdf
Data publikacji:
2021
Wydawca:
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Tematy:
butter market
price
time series analysis
rynek masła
ceny
analiza szeregów czasowych
Opis:
The aim of the paper was to determine the links between price of butter in Poland and in other selected countries. The article used secondary data for the monthly price of butter at country level collected by the Milk Market Observatory and the Italian Dairy Economic Consulting Portal for 2000-2017. The analyses covered two periods: 2000-2007 and 2008-2017. The article used the Johansen cointegration tests, and Granger's causality analysis. The analyses in the first stage concerned the links between butter prices in Poland and those in Western Europe, the USA and Oceania. In the second stage, the links between butter prices in Poland and selected EU countries were identified. The results confirmed the stronger link between the price of butter in Poland and in Western Europe and Oceania. It is worth noting that this occurred mainly in the period after the financial crisis. Within the EU, butter prices in Belgium, the Czech Republic, Germany, Ireland and the Netherlands were strongly related to the price in Poland.
Celem artykułu jest określenie powiązań między cenami masła w Polsce a cenami masła w wybranych krajach. Wykorzystano dane wtórne dotyczące miesięcznych cen masła na poziomie państw, gromadzone przez EU Milk Market Observatory oraz portal CLAL.IT za lata 2000-2017. Analizowany okres podzielono na dwa podokresy: 2000-2007 i 2008-2017. Do analizy powiązań zastosowano testy kointegracji Johansena oraz analizę przyczynowości Grangera. W pierwszym etapie badań przeanalizowano powiązania między ceną masła w Polsce a cenami w Europie Zachodniej, USA i Oceanii. W ramach drugiego etapu badań przeanalizowano powiązania między cenami masła w Polsce i w wybranych krajach UE. Uzyskane wyniki badań potwierdziły silniejsze powiązanie cen masła w Polsce z cenami masła w Europie Zachodniej i Oceanii, szczególnie w drugim podokresie, czyli po globalnym kryzysie finansowym. Biorąc pod uwagę ceny w UE, należy stwierdzić, że największe powiązania z cenami masła w Polsce miały ceny w Belgii, Czechach, Niemczech, Irlandii oraz Holandii.
Źródło:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu; 2021, 65, 3; 13-25
1899-3192
Pojawia się w:
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Identyfikacja wzorców w finansowych szeregach czasowych z wykorzystaniem hierarchicznych metod grupowania na przykładzie kursu BTC/PLN
Pattern recognition in financial time series using hierarchical clustering. The case of BTC/PLN exchange rate prediction
Autorzy:
Kądziołka, K.
Powiązania:
https://bibliotekanauki.pl/articles/91503.pdf
Data publikacji:
2016
Wydawca:
Warszawska Wyższa Szkoła Informatyki
Tematy:
bitcoin
grupowanie szeregów czasowych
rozpoznawanie wzorców
Bitcoin
time series clustering
pattern recognition
Opis:
W artykule przedstawiono zastosowanie metody Warda do identyfikacji wzorców w finansowych szeregach czasowych, na przykładzie kursu waluty kryptograficznej bitcoin. Wykorzystując zidentyfikowane wzorce, generowano prognozy zmian kursu w analizowanym szeregu dla danych zbioru testowego, które nie zostały wykorzystane w procesie identyfikacji wzorców. Przeciętny absolutny oraz maksymalny błąd prognozy na danych zbioru testowego był niewielki, natomiast zgodność kierunku zmian kursu BTC/PLN na zbiorze testowym wynosiła tylko 60%.
The aim of this article was to present the use of Ward’s method to identify patterns in BTC/PLN exchange rate. Identified patterns were used to predict BTC/PLN movement direction. Mean absolute percentage error and maximal percentage error on the test set were small, but the movement direction was correctly predicted only in 60% of cases.
Źródło:
Zeszyty Naukowe Warszawskiej Wyższej Szkoły Informatyki; 2016, 10, 14; 37-48
1896-396X
2082-8349
Pojawia się w:
Zeszyty Naukowe Warszawskiej Wyższej Szkoły Informatyki
Dostawca treści:
Biblioteka Nauki
Artykuł

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