Autoregressive Research Articles

Systematic evaluation of integration between China's digital economy and sports industry: Two-stage grey relational analysis and vector autoregressive model.

The development of the digital economy constitutes a key component of China's endeavors to advance towards "Digital China." The sports industry functions as a new catalyst for high-quality economic growth. This study systematically evaluated the integration between these two sectors. First, we conducted two levels of grey relational analysis to assess their integration between 2016 and 2021. Second, we conducted a VAR analysis to determine whether their integration between 2009 and 2021 represents a causal relationship. At the macro level, the grey relational analysis reveals that the sports industry (grade = 0.770) ranked second among China's eight key economic sectors in terms of digital economy integration. At the meso level, a wide variation (ranging from 0.606 to 0.789) existed in the grade of integration between the digital economy and the sub-sectors of the sports industry. According to the VAR model, the digital economy does not Granger cause (p = 0.344) the growth of the sports industry. This study yielded two added values to the existing literature: First, there exists a sectoral imbalance in the digitization process; second, the explosive growth of the sports industry was not primarily caused by the digital economy. Accordingly, the "sports + digital" complex is still in the first wave of technological integration. We propose three policy recommendations, namely, sectoral synergistic development, overtaking via esports IP, and new economy and new regulation. Collectively, these findings provide updated insights for the digital transformation towards "building a leading sports nation" and "Digital China."

Conditional seasonal markov-switching autoregressive model to simulate extreme events: Application to river flow

Extreme events have the potential to significantly impact transportation infrastructure performance. For example, in the case of bridges, climate change impacts the river discharge, hence scouring patterns, which in turn, affects the bridge foundation stability. Therefore, extreme events (river flow) forecasting is mandatory in bridge reliability analysis. This paper approaches this river flow forecasting problem by developing a Markov-Switching Autoregressive model coupled with a conditional hidden seasonal Markov component. In addition, the proposed model is also combined with the deep machine learning neural networks method to forecast river flow from a dataset or from simulations. The proposed method is illustrated by using realistic data: historic river flow values of the Thames River. The results indicate that the proposed model well represented the extreme events within the dataset. In terms of river flow forecasting, the results indicate that the forecasts improve when the training period changes from 20 years to 40 years.

Semantic Segmentation for Change Detection in Satellite Imaging

Change detection is a common and actual problem in the field of remote sensing. The classical approaches using raw pixel information are very sensitive to noise. In this study we propose the usage of additional semantic information for change detection. We use the semantic segmentation methods like geospatial Segment Anything Model and encoder based U-Net to evaluate the predictions and tracing the semantic information as well as raw information in change detection. Later the multidimensional time series data is used via the Vector Autoregression model to predict the future changes in the landscape. The observations which fall out of the prediction interval are considered as the changes in the landscape. The proposed method is evaluated on the dataset of the random locations across the Baltic region. The research is accompanied by the data and reproducible code at Github repository.

A modeling and state of charge estimation approach to lithium-ion batteries based on the state-dependent autoregressive model with exogenous inputs

Dynamic modeling and state of charge (SOC) estimation of lithium-ion batteries (LIBs) is a critical technology in the battery management system. Aiming at the essential nonlinear characteristics of LIBs and the time-varying operating state caused by the influence of the external environment including load changes and other factors, this paper proposes to adopt the state-dependent autoregressive model with exogenous inputs (SD-ARX) to describe its nonlinear dynamic characteristics. This type of model first constructs state signal quantities that can characterize the dynamic properties of LIBs and uses them as inputs to the radial basis function neural network to approximate the functional-type coefficients of the SD-ARX model, which is used to guide the model to represent the nonlinear dynamic properties of LIBs under different operating states. Benefiting from the model can be represented as a linear combination of nonlinear functions, the model parameters identified offline by a structured nonlinear parameter optimization method. Finally, the SOC is estimated online using an adaptive extended Kalman filter based on the established model. The results show that the method can reliably estimate the SOC of a battery under different working conditions and a relatively wide temperature range and achieves a balance between accuracy and real-time performance.

Exploring inflation dynamics in Canada: A threshold vector autoregressive approach

Given the pivotal role of inflation expectations in contemporary monetary policy, we posit that if monetary policy has effectively influenced inflation expectations, thereby altering the trajectory of total inflation, a structural break in the path of total inflation should be observable. Conversely, if inflation expectations have remained stable and monetary policy has had limited impact, a stable vector autoregressive (VAR) model should adequately describe the path of total inflation. To address these hypotheses, a non-linear specification of a threshold vector autoregressive (TVAR) model is employed, offering a comprehensive analytical framework for the examination of these dynamics.

Impact of Climate Change on the Development of Viticulture in Central Poland: Autoregression Modeling SAT Indicator

Ongoing climate change is having a profound impact on agriculture, which is attracting attention from the scientific community. One of its effects is an increase in average temperature, which is a key factor in grape cultivation. This may increase the popularity of viticulture in central Europe. The aim of this study was to assess the potential for the development of viticulture in central Poland based on SAT changes from 1975 to 2021, in addition to changes in evapotranspiration, occurrence of late spring and early autumn frosts and frosty days in selected years from this period as an important factors relating to climate change. The research utilized data obtained from the Institute of Meteorology and Water Management—National Research Institute. The Bai–Perron test was used to determine the direction of temperature changes. An AR(1) autoregression model was used to predict SAT changes in central Poland for the years 2022–2026, based on the results of the Bai–Perron test. As part of the in-depth research on the SAT index, reference evapotranspiration calculations were also made as a second factor that is considered an important indicator of climate change. The Sum of Active Temperatures from 1975 to 2021 in the provinces of central Poland showed an increasing trend of 0.07% per year. The average SAT in central Poland in 2022–2026 is expected to range from 2700 °C to 2760 °C. Considering the current thermal conditions in central Poland and the forecasts for the coming years, it can be expected that vineyard cultivation will develop in this region. However, the research shows that the observed increasing trend in evapotranspiration, both in total in individual years and in the period of the greatest vegetation, i.e., in the months from May to the end of August, will result in an increasing need in central Poland to ensure adequate irrigation in developing vineyards.

Machine learning-enabled weather forecasting for real-time radioactive transport and contamination prediction

Effective responses to nuclear accidents require accurate and fast predictions of radionuclide transport in the atmosphere. However, real-time forecasting has been challenging, since predicting the transport requires meteorological forecasting, which relies on computationally intensive numerical weather simulations. To address this challenge, we have developed statistical emulators for the Weather Research and Forecasting model (WRF) to forecast wind and temperature fields around the source location. The emulator is constructed based on pre-computed WRF simulation results and their boundary conditions from global circulation models (GCM), enabling the rapid prediction of local-scale wind/temperature fields by ingesting the GCM-predicted boundary conditions available online for the next several days. We have explored two methods: (1) deep neural network and (2) a vector autoregressive model with exogenous variables (VARX). A Gaussian plume model is then used to take these field as input and to predict the distribution of radioactive material/dose in the environment. The results show that both emulators are capable of forecasting the wind field for several days in the future in real-time, while not compromising accuracy. The autoregressive model has shown a strong performance of predicting the temperature field, owing to the strong temporal autocorrelations in the temperature data. This framework offers a powerful tool for informed decision-making during emergencies such as enabling meteorology-informed timing of containment venting, and real-time guidance of evacuation strategies.

A Neural Network Forecasting Approach for the Smart Grid Demand Response Management Problem

Demand response management (DRM) plays a crucial role in the prospective development of smart grids. The precise estimation of electricity demand for individual houses is vital for optimizing the operation and planning of the power system. Accurate forecasting of the required components holds significance as it can substantially impact the final cost, mitigate risks, and support informed decision-making. In this paper, a forecasting approach employing neural networks for smart grid demand-side management is proposed. The study explores various enhanced artificial neural network (ANN) architectures for forecasting smart grid consumption. The performance of the ANN approach in predicting energy demands is evaluated through a comparison with three statistical models: a time series model, an auto-regressive model, and a hybrid model. Experimental results demonstrate the ability of the proposed neural network framework to deliver accurate and reliable energy demand forecasts.

Optimal Gasoline Price Predictions: Leveraging the ANFIS Regression Model

This study presents an in-depth analysis of gasoline price forecasting using the adaptive network-based fuzzy inference system (ANFIS), with an emphasis on its implications for policy-making and strategic decisions in the energy sector. The model leverages a comprehensive dataset from the U.S. Energy Information Administration, spanning over 30 years of historical price data from 1993 to 2023, along with relevant temporal features. By combining the strengths of fuzzy logic and neural networks, the ANFIS approach can effectively capture the complex, nonlinear relationships present in the data, enabling reliable price predictions. The dataset’s preprocessing involved decomposing the date into year, month, and day components to enhance the model’s input features. Our methodology entailed a systematic approach to ANFIS regression, including data preparation, model training with the inclusion of the previous week’s prices as an additional feature, and rigorous performance evaluation using MSE, RMSE, and correlation coefficients. The results indicate that incorporating previous prices significantly enhances the model’s accuracy, as reflected by improved scores and correlation metrics. The findings have significant implications for the energy sector, where stakeholders can leverage the ANFIS model’s insights for strategic decision-making. Accurate gasoline price forecasts are instrumental in devising pricing strategies, managing risks associated with price volatility, and guiding policy formulation. The model’s predictive capability enables energy companies to optimize resource allocation, plan for future investments, and maintain competitive advantage in a market influenced by fluctuating prices. Moreover, policymakers can utilize these predictions to assess the impact of energy policies on market prices and consumer behavior, ensuring that regulatory measures align with market dynamics and sustainability goals. In addition to the ANFIS model, we also employed Vector Autoregression (VAR) and Autoregressive Integrated Moving Average (ARIMA) models to validate our approach and provide a comprehensive understanding of time series forecasting within the energy sector. Notably, the ANFIS model achieves a score of 0.9970 and a robust correlation of 0.9985, demonstrating its ability to accurately forecast gasoline prices based on historical data and features. The integration of these traditional techniques with advanced ANFIS modeling offers a robust framework for accurate and reliable gasoline price prediction, which is vital for informed policy-making and strategic planning in the energy industry.

Firm value adjustment speed through financial friction in the presence of earnings management and productivity growth: evidence from emerging economies

This study investigates the role of financial frictions on firm value within the framework of earnings management, including the impact of productivity growth. In contrast to prior studies, the present study employed an autoregressive model to examine the temporal dynamics of the variables to determine their short-term and long-term connection patterns. The results of the study indicate a negative association between financial frictions and firm value. Accrual earnings management, a practice employed by organizations to enhance their profit margins, serves as a mediator between financial frictions and firm value. This mediation of earnings management alleviates the adverse impact of financial frictions. The enhancement of productivity growth amplifies the conditional, indirect influence of earnings management. Moreover, this study reveals that financial frictions have a significant influence in the short-term, leading to overestimation of factor loadings. However, this impact stabilizes over time in the long run. Financial market frictions have the most prominent impact on firm value compared to the other two forms of frictions, namely, macroeconomic frictions and microeconomic frictions. Larger firms are more inclined to attain higher firm value than smaller enterprises. Managers can enhance firm value by exerting control over the influence of financial frictions in the economy through earnings management. The effectiveness of this strategy is contingent upon the level of productivity growth.

Almost Sure Central Limit Theorem for Error Variance Estimator in Pth-Order Nonlinear Autoregressive Processes

In this paper, under some suitable assumptions, using the Taylor expansion, Borel–Cantelli lemma and the almost sure central limit theorem for independent random variables, the almost sure central limit theorem for error variance estimator in the pth-order nonlinear autoregressive processes with independent and identical distributed errors was established. Four examples, first-order autoregressive processes, self-exciting threshold autoregressive processes, threshold-exponential AR progresses and multilayer perceptrons progress, are given to verify the results.

The time-varying dynamic impact of US renewable energy prices on agricultural prices in China: the case of fuel ethanol.

This paper intends to look into the time-varying dynamic impact of US fuel ethanol, one of the renewable energy sources, on the prices of agricultural products (specifically corn, soybeans, rice, and wheat) in China based on monthly price data from January 2000 to January 2023. To achieve this, a time-varying parameter vector autoregressive (TVP-VAR) model is employed, which takes into account structural changes in emergencies through time-varying parameters. The empirical results show that the equal-interval impulse responses of price fluctuations in agricultural commodities are primarily positive to variations in fuel ethanol prices and production. And the intensity and direction of the effects vary at distinct time lags. Additionally, the magnitude of these responses is most pronounced in the short term for all agricultural commodities except for corn, and the duration of the impulse responses at different time points is generally longer for corn prices compared to other commodities. The study also reveals that the influence of US fuel ethanol on Chinese agricultural commodity prices is not substantial on the whole. Therefore, there is a necessity to advance the growth of biofuels and provide policy support and financial subsidies for agricultural products earmarked for food production. These actions could shed insights into the progression of Chinese renewable energy and food policies, ensuring the stability of the market in the long run.

Trends and Triggers: Analyzing the Co-Movement of Cryptocurrency and NFT Prices

This paper aims to explore the complex interrelationships between the prices of cryptocurrency, specifically Ethereum (ETH), and five top Non-Fungible Token (NFT) collections: Bored Ape Yacht Club, Mutant Ape Yacht Club, Azuki, Moonbirds, and Otherdeed. Motivated by the intertwining dynamics of these digital assets and the unexplored nature of their interdependencies, this study employs a Vector Autoregressive (VAR) model and utilizes Granger Causality to dissect the multifaceted interactions. The analysis period ranges from April 2021 to January 2023, a critical window of exponential growth and fluctuation in the digital asset market. The results demonstrate a statistically significant impact of ETH prices on NFT collection prices, but not vice versa, revealing the strong dependence of the NFT market on cryptocurrency volatility. Specifically, the research finds that changes in ETHs value are predictive of shifts in NFT prices, whereas NFT price fluctuations lack predictive power for ETH prices. In conclusion, this research represents an advancement in understanding price dynamics in the rapidly evolving digital economy. By innovatively analyzing the co-movement of cryptocurrencies and NFTs, it not only enriches existing knowledge but also paves the way for further exploration, offering practical insights for diverse stakeholders navigating this exciting, ever-changing field.

Volatility Spillover Benefits of the Hang Seng Index and Shanghai Composite Index: A Vector Autoregressive (VAR) Model and Granger Causality Test Analysis

This study aims to explore the volatility spillover benefits between two major stock markets in Hong Kong and Shanghai, namely the Hang Seng Index and the Shanghai Composite Index. Empirical analysis is conducted using a Vector Autoregressive (VAR) model and Granger causality test based on daily return data from 2013 to 2023. The research finds a significant volatility interaction between the Hang Seng Index and the Shanghai Composite Index, which is more pronounced during periods of global economic instability. Impulse response analysis reveals that positive shocks in Hang Seng Index lead to increased volatility in the short term for the Shanghai Composite Index but gradually weaken to a weak negative effect in the long term. Conversely, positive shocks in the Shanghai Composite Index have a short-term inhibitory effect on the Hang Seng Index but transform into a weak promoting effect in the long term. These findings have important implications for investors and policymakers in risk management, forecasting future stock market trends, and capital allocation.

Data-driven modeling of the aerodynamic deformation and drag for a freely moving drop in the sub-critical Weber number regime

Accurate prediction of the dynamics and deformation of freely moving drops is crucial for numerous droplet applications. When the Weber number is finite but below a critical value, the drop deviates from its spherical shape and deforms as it is accelerated by the gas stream. Since aerodynamic drag on the drop depends on its shape oscillation, accurately modeling the drop shape evolution is essential for predicting the drop’s velocity and position. In this study, 2D axisymmetric interface-resolved simulations were performed to provide a comprehensive dataset for developing a data-driven model. Parametric simulations were conducted by systematically varying the drop diameter and free-stream velocity, achieving wide ranges of Weber and Reynolds numbers. The instantaneous drop shapes obtained in simulations are characterized by spherical harmonics. Temporal data of the drag and modal coefficients are collected from the simulation data to train a Nonlinear Auto-Regressive models with eXogenous inputs (NARX) neural network model. The overall model consists of two multi-layer perceptron networks, which predict the modal coefficients and the drop drag, respectively. The drop shape can be reconstructed with the predicted modal coefficients. The model predictions are validated against the simulation data in the testing set, showing excellent agreement for the evolutions of both the drop shape and drag.

Parameter Estimation in Spatial Autoregressive Models with Missing Data and Measurement Errors

This study addresses the problem of parameter estimation in spatial autoregressive models with missing data and measurement errors in covariates. Specifically, a corrected likelihood estimation approach is employed to rectify the bias in the log-maximum likelihood function induced by measurement errors. Additionally, a combination of inverse probability weighting (IPW) and mean imputation is utilized to mitigate the bias caused by missing data. Under several mild conditions, it is demonstrated that the proposed estimators are consistent and possess oracle properties. The efficacy of the proposed parameter estimation process is assessed through Monte Carlo simulation studies. Finally, the applicability of the proposed method is further substantiated using the Boston Housing Dataset.

Effectiveness of hierarchical medical system and economic growth: based on China's urban vs. rural health perspectives.

The hierarchical medical system is an important measure to promote equitable healthcare and sustain economic development. As the population's consumption level rises, the demand for healthcare services also increases. Based on urban and rural perspectives in China, this study aims to investigate the effectiveness of the hierarchical medical system and its relationship with economic development in China. The study analyses panel data collected from Chinese government authorities, covering the period from 2009 to 2022. According to China's regional development policy, China is divided into the following regions: Eastern, Middle, Western, and Northeastern. Urban and rural component factors were downscaled using principal component analysis (PCA). The factor score formula combined with Urban-rural disparity rate (ΔD) were utilized to construct models for evaluating the effectiveness of the hierarchical medical system from an urban-rural perspective. A Vector Autoregression model is then constructed to analyze the dynamic relationship between the effects of the hierarchical medical system and economic growth, and to predict potential future changes. Three principal factors were extracted. The contributions of the three principal factors were 38.132, 27.662, and 23.028%. In 2021, the hierarchical medical systems worked well in Henan (F = 47245.887), Shandong (F = 45999.640), and Guangdong (F = 42856.163). The Northeast (ΔDmax = 18.77%) and Eastern region (ΔDmax = 26.04%) had smaller disparities than the Middle (ΔDmax = 49.25%) and Western region (ΔDmax = 56.70%). Vector autoregression model reveals a long-term cointegration relationship between economic development and the healthcare burden for both urban and rural residents (βurban = 3.09, βrural = 3.66), as well as the number of individuals receiving health education (β = -0.3492). Both the Granger causality test and impulse response analysis validate the existence of a substantial time lag between the impact of the hierarchical medical system and economic growth. Residents in urban areas are more affected by economic factors, while those in rural areas are more influenced by time considerations. The urban rural disparity in the hierarchical medical system is associated with the level of economic development of the region. When formulating policies for economically relevant hierarchical medical systems, it is important to consider the impact of longer lags.

On the Validity of Granger Causality for Ecological Count Time Series

Knowledge of causal relationships is fundamental for understanding the dynamic mechanisms of ecological systems. To detect such relationships from multivariate time series, Granger causality, an idea first developed in econometrics, has been formulated in terms of vector autoregressive (VAR) models. Granger causality for count time series, often seen in ecology, has rarely been explored, and this may be due to the difficulty in estimating autoregressive models on multivariate count time series. The present research investigates the appropriateness of VAR-based Granger causality for ecological count time series by conducting a simulation study using several systems of different numbers of variables and time series lengths. VAR-based Granger causality for count time series (DVAR) seems to be estimated efficiently even for two counts in long time series. For all the studied time series lengths, DVAR for more than eight counts matches the Granger causality effects obtained by VAR on the continuous-valued time series well. The positive results, also in two ecological time series, suggest the use of VAR-based Granger causality for assessing causal relationships in real-world count time series even with few distinct integer values or many zeros.

High-resolution frequency domain decomposition for modal analysis of bridges using train-induced free-vibrations

Modal parameters are structural inherent characteristics that can be applied for revealing performance of railway bridges. Free vibration signals generated by a passage of train are commonly utilized to estimate the modal parameters of railway bridges due to their higher signal-to-noise ratios compared to random vibrations caused by ambient loads. However, since free vibration signals rapidly decay over time, the available free-vibration data is typically short-time. When using the fast Fourier transform-based spectral estimation method for modal identification from short-time vibration data, a phenomenon known as spectral leakage occurs, leading to miss-identification of some structural modes. In this study, the classical frequency domain decomposition (FDD) is improved for modal identification of railway bridges, in which the higher resolution auto-power spectral density (PSD) and cross-PSD functions are calculated through the autoregressive (AR) model-based method. The AR model-based method improves both the smoothness and resolution of the PSD functions compared to the fast Fourier transform technique. These AR model-based PSD functions are then employed in the FDD process to facilitate frequency and mode shape identification while avoiding spurious noise modes. The proposed eigenvalue fitting technique is subsequently utilized to estimate damping ratios. Numerical simulation data as well as vibration data from an actual bridge are analyzed to validate the proposed method, with a comparison made to the Welch’s PSD-based method. The results demonstrate that the modified FDD approach enables more effective identification of structural modes, even in the presence of closely-spaced modes.

A preliminary investigation of longitudinal associations between ethnic-racial identity and critical consciousness among Black and Latinx youth.

In order for parents, educators, and communities to support racially/ethnically minoritized youth to resist and heal from White supremacy, it is important to examine how youths' beliefs about their ethnic-racial identity (ERI) and critical consciousness (CC) around racism inform one another. Despite this need, limited empirical research examines whether these processes are related across adolescence. The present two-wave longitudinal study investigates whether ERI content (i.e., centrality, private regard) and CC (i.e., critical social analysis, interpersonal antiracism actions) are associated with one another among Black and Latinx youth N = 233; young women (55.6%); young men (44.4%); M = 14.96 years old, SD = 1.46. Autoregressive cross-lagged panel models suggested that youths' centrality at W1 was positively and significantly associated with a critical social analysis at W2, and critical social analysis at W1 was positively and significantly associated with private regard at W2 for both groups. Involvement in interpersonal antiracism actions at W1 was positively and significantly associated with private regard at W2 for both groups. Group differences existed in the link between centrality at W1 and interpersonal antiracism actions at W2. Results indicate that ERI and CC may be viable entry points into stimulating youths' capacity to challenge racism, although there is promise in activating antiracism action to further stimulate ERI development. (PsycInfo Database Record (c) 2024 APA, all rights reserved).