Time-varying Parameters Research Articles

Dynamic modeling of variable speed left ventricular assist devices coupled to the cardiovascular system.

Most of the modeling of the Left Ventricular Assist Devices (LVADs) coupled with the cardiovascular system is based on the assumption of constant rotational speed. Compared with the traditional inertial model, the validated hysteresis model can take into account the unsteady characteristics of LVADs, but it fails to work under the condition of variable speed modulation. This study takes into consideration the impact of speed variations on the unsteady hysteresis effects. The time constant in the hysteresis model is treated as a time-varying parameter, thereby developing a new model applicable to variable speed modulation. Under sinusoidal speed modulation at various phases, a comparative analysis was undertaken among the steady-state model, inertial model, and the new model. Transient Computational Fluid Dynamics (CFD) simulations and existing experimental results are used for validation. The new model provides a more accurate method for the predicting the characteristics of LVAD in the coupled model under varying pump speeds, and exhibits higher linearity in the work done by the left ventricle and the blood pump, and , which is aligning closely with the experimental results. This enhancement renders it applicable for proactive control predictions and passive control validations.

Coal price, economic growth and electricity consumption in China under the background of energy transition

With the increasing share of renewable energy generation in China's electricity consumption and the dramatic fluctuation of coal prices in recent years, the discussion of the relationship between coal prices, economic growth and electricity consumption in China becomes more relevant. This paper collects monthly data from 2016 to 2023, uses industrial value added to represent economic growth, and explore the relationship between the three through a time-varying parameter vector autoregressive (TVP-VAR) model, which shows that: (1) The mutual impact effects among coal prices, economic growth, and electricity consumption vary across short-, medium- and long-term. This finding underscores the importance of considering different time horizons when evaluating the interactive effects of these variables. (2) Compared to 2017 and 2022, the lagged impact effects among the three have undergone certain changes, indicating that the understanding of their relationships should be contextualized within specific developmental phases. (3) The relationship between coal prices, economic growth, and different categories of electricity consumption exhibits heterogeneous characteristics, suggesting that recognition of these relationships should be based on specific types of power generation. This research enhances the understanding of the dynamic relationship between coal prices and the macroeconomy in China at the current stage.

Research on the Impact of Economic Policy Uncertainty and Investor Sentiment on the Growth Enterprise Market Return in China—An Empirical Study Based on TVP-SV-VAR Model

This study employs the economic policy uncertainty index to gauge the level of economic policy uncertainty in China. Utilizing textual data from the growth enterprise market internet community, we construct the growth enterprise market investor sentiment index by applying the deep learning ERNIE (Enhanced Representation through Knowledge Integration) model, thereby capturing investors’ sentiment within the growth enterprise market. The dynamic interplay between economic policy uncertainty, investor sentiment, and returns of the growth enterprise market is scrutinized via the TVP-SV-VAR (time-varying parameter stochastic volatility vector auto-regression) model, and the asymmetric response of different industries’ stock returns within the growth enterprise market to economic policy uncertainty and investor sentiment shock. The findings of this research are that economic policy uncertainty exerts a negative influence on both investor sentiment and returns of the growth enterprise market. While it may trigger a temporary decline in stock prices, the empirical evidence suggests that the impact is of short duration. The influence of investor sentiment on the growth enterprise market returns is characterized by a reversal effect, suggesting that improved sentiment may initially boost stock prices but could lead to a subsequent decline over the long term. The relationship between economic policy uncertainty, investor sentiment, and returns of the growth enterprise market is time-variant, with heightened sensitivity observed during bull markets. Lastly, the effects of economic policy uncertainty and investor sentiment on the returns of different industries within the growth enterprise market are found to be asymmetric. These conclusions contribute to the existing body of literature on the Chinese capital market, offering a deeper understanding of the complex dynamics and the factors influencing market behavior.

Dynamic Spillovers from US (Un)Conventional Monetary Policy to African Equity Markets: A Time-Varying Parameter Frequency Connectedness and Wavelet Coherence Analysis

Since the implementation of unconventional monetary policies (UMPs) by the US in response to the global financial crisis (GFC) and the COVID-19 pandemic, there have been increasing concerns that these forward guidance and quantitative easing programmes have had spillover effects on global equity markets. We specifically question whether the implementation of these UMPs have had spillovers to African equities, which have been previously speculated to be decoupled from global markets and shocks. Time-varying-parameter (TVP) frequency connectedness and wavelet coherency methods were used to examine the dynamic time-frequency spillovers between daily time series of the US shadow short rate and African equities returns/volatility between 1 January 2007 and 31 March 2023. On one hand, the TVP frequency connectedness analysis reveals robust long-run spillovers from US monetary policy to African equity markets during specific periods: 2009, 2013, 2020, and 2021. These coincide with instances when the Federal Reserve announced their transition from conventional to unconventional monetary practices and vice versa. On the other hand, the wavelet analysis provides insights into the ‘sign’ of the spillovers, indicating mixed phase dynamics during UMPs responding to the GFC. In contrast, anti-phase or negative co-movements characterize UMPs implemented during the COVID-19 pandemic, implying that these policies increased both returns and volatilities to African equities. Altogether, we conclude that US UMP has increasing deteriorated market efficiency and amplified portfolio risk in African equities whilst during ‘normalization’ periods US monetary policy has little transmission effect.

Dynamic state awareness for distribution network based on robust adaptive cubature kalman filter

With the rapid development of the economy and society, the demand for power quality is constantly increasing. As a crucial part of grid situational awareness, distribution network state estimation plays a vital role in providing critical data support for other advanced applications, which is significant for ensuring the safe and reliable operation of the distribution network. Therefore, this paper proposes a dynamic state awareness method for distribution networks based on the robust adaptive cubature Kalman filter (RACKF). The proposed solution, grounded on the core computational concept of the cubature Kalman filter (CKF), constructs a robust noise statistical estimator (NSE) composed of a biased NSE and an unbiased NSE to adapt to the unknown and time-varying process noise parameters in the dynamic state estimation process. The proposed solution can ensure that the calculated process noise parameters always meet the constraints and guarantee the robustness of the algorithm. In addition, an estimation strategy for the fusion of multi-time scale measurement data is developed according to the RACKF-based dynamic state estimation features in order to realize system state corrections and updates. The results of simulation experiments and comparisons with traditional CKF methods demonstrate the accuracy and superiority of the proposed solution.

How do Carbon Emissions Spillovers Reshape Metal Market Dynamics? Time– Frequency Insights on Precious and Non-precious Metals

Global disruptions, such as health crises and geopolitical tensions, significantly impact both climate and commodity dynamics. This study, well-grounded on environmental finance theory, input–output modelling, socio-transition philosophy and behavioural finance perspectives, explores the evolving interactions between carbon emissions (CE) and metal markets during COVID-19 pandemic and Russia–Ukraine war (RUW). The study uses time-varying parameter vector autoregressive model (TVP-VAR) technique to evaluate time and frequency varying connectedness between CE and metal markets from 3 January 2020 to 28 June 2024. During the COVID-19 pandemic, initial connectedness among selected markets peaked at 85%, averaging 46%, highlighting a significant CE–metal nexus that necessitates strategic responses. In the RUW period, connectedness averaged 47.82%. CE influence metal markets primarily in the short term. Wavelet coherence analysis reveals that palladium and platinum are highly sensitive to CE over the long term, while gold and silver may serve as effective diversifiers and hedges against carbon-related risks in metal investments. The study is relevant for investors in the metal sector with environmental considerations. JEL Classifications: G110, Q430, L720

A novel inertial parameter identification method for the ship-mounted Stewart platform based on a wave compensation platform

To meet the requirement of time-varying inertial parameter identification of control algorithms for shipborne Stewart wave compensation platforms, this study proposes an innovative inertial parameter identification method based on a non-inertial system. Unlike traditional Stewart identification methods with a fixed frame, the proposed method does not require designing excitation trajectories to consider the condition number of the observation matrix. Namely, the proposed method requires only performing two-dimensional dynamic parameter collection for parameter identification in a six-dimensional non-inertial motion. In addition, a coupling error dimension reduction method is developed to improve the identification accuracy under the condition of coupling motion. Finally, experiments are conducted to verify the effectiveness of the proposed identification method. The experimental results show that under the coupling motion conditions, the coupling errors of the corrected singularity points are reduced by 7.9–28.1% compared to before correction, and the axial force average error correction is below 5.32%.

Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets: A TVP-VAR-Connectedness Approach.

The global food market's escalating volatility has led to a complex network of uncertainty and risk transmission across different grain markets. This study utilizes the Time-Varying Parameter Vector Autoregression (TVP-VAR)-Connectedness approach to analyze the price transmission and volatility dynamics of key grains, including wheat, maize, rice, barley, peanut, soybean, and soybean meal, and their dynamic spillover directions, intensity, and network. By integrating the TVP-VAR-Connectedness model, this research captures the time-varying variability and interconnected nature of global grain price movements. The main findings reveal significant spillover effects, particularly in corn prices, with prices of soybean dominating other grains while prices of peanut and corn experience higher external spillover effects from other grains. The conclusions drawn underscore the imperative for policymakers to consider a holistic perspective of all types of grains when addressing global food security, with this study providing valuable insights for risk management in the grain sector at both global level and country level.

Extreme downside risk connectedness between green energy and stock markets

This study addresses the need to understand the transmission of tail risk across financial markets, especially in the context of green energy and stock markets. Utilizing the Time-Varying Parameter Vector Autoregressive (TVP-VAR) methodology combined with the Conditional Autoregressive Value-at-Risk (CAViaR) framework, the model analyzes data from September 30, 2013, to October 11, 2023. This study focuses on five major stock indices (S&P500, CSI300, Nikkei225, STOXX50, and FTSE100), West Texas Intermediate (WTI) crude oil, and three sectors within green energy markets (Green bond, Global Clean Energy, and Renewable Energy and Clean Technology), highlighting the significant role of these sectors in risk propagation. The model can capture dynamic changes and asymmetries in financial returns, thus providing a precise estimation of extreme downside risks. Key findings show that three stock indices (S&P500, STOXX50, and FTSE100) and one green energy sector (Renewable Energy and Clean Technology sectors) are the predominant sources of risk, with significant connectedness around events, such as the COVID-19 pandemic. These insights are crucial for developing effective risk-management strategies and supporting the transition to a sustainable energy sector. This study concludes that understanding these risk dynamics is essential for strategic planning and market stability.

Mission-Based Design and Retrofit for Energy/Propulsion Systems of Solar-Powered UAVs: Integrating Propeller Slipstream Effects

Over twenty Solar-Powered Unmanned Aerial Vehicle (SPUAV) designs exist worldwide, yet few have successfully achieved uninterrupted high-altitude flight. This shortfall is attributed to several factors that cause the actual performance of SPUAV to fall short of expectations. Existing studies identify the propeller slipstream as one of these adverse factors, which leads to a decrease in the lift–drag ratio and an increase in energy consumption. However, traditional design methods for SPUAVs tend to ignore the potential adverse effects of slipstream at the top-level design phase. We find that this oversight results in a reduction in the feasible mission region of SPUAVs from 109 days to only 46 days. To address this issue, this paper presents a high-fidelity multidisciplinary design framework for the energy/propulsion systems of SPUAVs that integrates the effects of a propeller slipstream. Specifically, deep neural networks are employed to predict the lift–drag characteristics of SPUAVs under various slipstream conditions, and the energy performance is further analyzed by evaluating the time-varying state parameters throughout a day. Subsequently, the optimal solutions for the energy/propulsion systems specific to certain latitudes and dates are obtained through optimization design. The effectiveness of the proposed design framework was demonstrated on a 30-m wingspan SPUAV. The results indicated that, compared to the traditional design method, the proposed approach led to designs that more effectively accomplished closed-loop flight in designated regions and prevented the reduction of the feasible mission region. Additionally, through the targeted retrofit of the energy/propulsion systems, SPUAVs exhibited enhanced adaptability to the solar radiation characteristics of different mission points, resulting in a further expansion of the feasible mission region. Furthermore, this research also explored the variation trends in optimal solutions across different latitudes and dates and investigated the reasons and physical mechanisms behind these variations.

Impact of central bank digital currency uncertainty on international financial markets

Is the impact of central bank digital currency (CBDC) uncertainty on investment and financial stability significant? To address this pivotal question in the era of CBDC development, we employ a combination of models: the time-varying parameter vector autoregression with stochastic volatility (TVP-SV-VAR); the Baba, Engle, Kraft, and Kroner multivariate generalized autoregressive conditional heteroskedasticity (BEKK-MGARCH) model, and wavelet quantile correlation (WQC) analysis. Based on the findings, macrofinancial variables significantly respond to CBDC uncertainty shocks, exhibiting time-varying, heterogeneous, and stage-specific characteristics. These effects are most pronounced in the short term, but diminish over the long term. Notably, the impact of CBDC uncertainty shocks on other financial variables exceeds the reverse impact. In addition, asymmetric volatility spillovers are found, suggesting complex interdependencies. The implication of the findings is that interactions between CBDC uncertainty and financial variables evolve across short-, medium-, and long-term horizons, emphasizing the need for central banks to adopt a flexible approach in CBDC design to alleviate market concerns and enhance overall financial stability.

An Adaptive Chirp Mode Decomposition-Based Method for Modal Identification of Time-Varying Structures

Modal parameters are inherent characteristics of civil structures. Due to the effect of environmental factors and ambient loads, the physical and modal characteristics of a structure tend to change over time. Therefore, the effective identification of time-varying modal parameters has become an essential topic. In this study, an instantaneous modal identification method based on an adaptive chirp mode decomposition (ACMD) technique was proposed. The ACMD technique is highly adaptable and can accurately estimate the instantaneous frequencies of a structure. However, it is important to highlight that an initial frequency value must be selected beforehand in ACMD. If the initial frequency is set incorrectly, the resulting instantaneous frequencies may lack accuracy. To address the aforementioned problem, the Welch power spectrum was initially developed to extract a high-resolution time–frequency distribution from the measured signals. Subsequently, the time–frequency ridge was identified based on the maximum energy position in the time–frequency distribution plot, with the frequencies associated with the time–frequency ridge serving as the initial frequencies. Based on the initial frequencies, the measured signals with multiple degrees of freedom could be decomposed into individual time-varying components with a single degree of freedom. Following that, the instantaneous frequencies of each time-varying component could be calculated directly. Subsequently, a sliding window principal component analysis (PCA) method was introduced to derive instantaneous mode shapes. Finally, vibration data collected under various operational scenarios were used to validate the proposed method. The results demonstrated the effective identification of time-varying modal parameters in real-world civil structures, without missing modes.

On the Effects of Physical Climate Risks on the Chinese Energy Sector

We examine the impact of physical climate risks on energy markets in China, distinguishing between traditional energy and new energy stock markets, and the energy commodity market, utilizing a time-varying parameter vector autoregressive model with stochastic volatility (TVP-SV-VAR). Specifically, we investigate the dynamic effects of five specific subtypes of physical climate risks, namely waterlogging by rain, drought, typhoon, cryogenic freezing, and high temperature, on WTI oil prices and coal prices. The findings reveal that these physical climate risks exhibit time-varying similar effects on the returns of traditional energy and new energy stocks, but heterogeneous effects on the returns of WTI oil prices and coal prices. Finally, we categorize and examine the impact of both acute and chronic physical risks on the energy commodity market.

Harbor in the storm: How Bitcoin navigates challenges of climate change and global uncertainties

Understanding Bitcoin's (BTC) performance and hedging effects under various uncertainties is crucial. This study combines time-varying Granger causality (TVGC) tests and wavelet time-varying parameter vector autoregression (TVP-VAR) methods to examine the relationship between Bitcoin (BTC) and climate uncertainty (SOI), geopolitical risk (GPR), economic policy uncertainty (EPU), crude oil volatility (OVX), and market volatility (VIX) across both time and frequency domains, from December 19, 2017, to October 16, 2023. The results show that in recent years, the long-term impact of SOI on BTC, as well as political and economic uncertainties, is hard to ignore, but BTC cannot serve as a safe-haven asset against SOI. Wavelet decomposition indicates that during extreme events, BTC exhibits a leading positive co-movement with EPU, GPR, VIX, and OVX in the long term, showing potential as a hedging asset. However, TVGC and wavelet decomposition spillover results further suggest that BTC's hedging capacity against different economic and political uncertainties may be limited during certain extreme events.

Validation and Comparison of Non-stationary Cognitive Models: A Diffusion Model Application

AbstractCognitive processes undergo various fluctuations and transient states across different temporal scales. Superstatistics are emerging as a flexible framework for incorporating such non-stationary dynamics into existing cognitive model classes. In this work, we provide the first experimental validation of superstatistics and formal comparison of four non-stationary diffusion decision models in a specifically designed perceptual decision-making task. Task difficulty and speed-accuracy trade-off were systematically manipulated to induce expected changes in model parameters. To validate our models, we assess whether the inferred parameter trajectories align with the patterns and sequences of the experimental manipulations. To address computational challenges, we present novel deep learning techniques for amortized Bayesian estimation and comparison of models with time-varying parameters. Our findings indicate that transition models incorporating both gradual and abrupt parameter shifts provide the best fit to the empirical data. Moreover, we find that the inferred parameter trajectories closely mirror the sequence of experimental manipulations. Posterior re-simulations further underscore the ability of the models to faithfully reproduce critical data patterns. Accordingly, our results suggest that the inferred non-stationary dynamics may reflect actual changes in the targeted psychological constructs. We argue that our initial experimental validation paves the way for the widespread application of superstatistics in cognitive modeling and beyond.

Robust adaptive dynamic control of electromagnetically actuated soft-tethered robots for medical intervention

Electromagnetically actuated soft-tethered robots (EASTRs) exhibit significant potential for medical intervention applications due to their compact size and minimal invasiveness. However, their inherent nonlinear behavior and susceptibility to unexpected disturbances present challenges for achieving robust control performance. To address this issue, in this paper, a dynamic model for EASTRs is first established, which encompasses the actuation model of the magnetic tip and the dynamic model of the soft tether. Subsequently, a robust adaptive dynamic controller is designed to compensate for the inaccuracy of the established dynamic model, thus ensuring robust control performance. The proposed approach integrates adaptive laws based on the Lyapunov method to effectively handle time-varying parameters and disturbances. Experimental results present an excellent control accuracy of the proposed scheme in trajectory tracking tasks, showcasing its superior performance compared to passive schemes and classical proportional–derivative control. This research contributes valuable insights into advancing the control capabilities of EASTRs for diverse applications in medical practices.

Bayesian State-space modelling of stock Markets in G7 Countries

This work examines the impact of Coronavirus disease (COVID-19) on the stock market of Group of Seven (G7) countries during the first wave of COVID-19 using daily data from March, 1st of 2020 to December, 31st of 2020. Focussing on such period, a Bayesian Structural Time Series Model (BSTSM) was used to capture the effects of first wave of COVID-19 on the stock market performance of these G7 countries by employing a Markov Chain Monte Carlo (MCMC) method. We considered an Autoregressive (AR) model with time-varying parameters and a local linear trend model to know if the stock price of these countries during the period of the first wave of COVID-19 is changing over time. There was a stochastic trend in stock prices of G7 countries during the period of the first wave of COVID-19 while the AR process itself was also changing over time. The stock market of the USA followed by Japan performed better than other G7 countries during the first phase of the COVID-19 pandemic while the stock market of France was affected during the COVID-19 pandemic.

Reentry vehicle fixed-time terminal guidance and attitude control with impact angle constraints

The motivation of this paper is to handle the terminal guidance and attitude control problem for the unpowered reentry vehicle in the diving phase, which is crucial for interception to the target. The most important objectives of this study are to intercept the maneuvering target with the miss distance and impact angle error as small as possible. First, the second-order derivatives of the aerodynamic angles are derived with the fin deflections as control input, which is objective to avoid the tracking of reentry vehicle body angle rate command in the traditional methods. Second, a novel fixed-time time-varying parameter nonsingular terminal sliding mode guidance law is proposed to improve the convergence speed of line-of-sight angle rate, which can avoid control input singularity without switching to the polynomial form when the error approaches the origin. Thirdly, a new global time-varying sliding mode is developed to design the attitude controller, with the predefined fixed convergence time and analytical solution. The system states are proved to be fixed-time convergence based on the Lyapunov stability theory. Six-degree-of-freedom flight simulations are conducted to validate the superiority of the proposed algorithm in terms of miss distance, impact angle error, intercepting time and control input energy.

Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach

Despite the growing popularity of commodity exchange traded funds (ETFs), research on their risk transmission dynamics is lacking. The study employs a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model to analyze volatility transmission among commodity ETFs during significant events like the COVID-19 pandemic and geopolitical conflicts. It aims to minimize interconnectedness among ETFs to reduce associated risk using the Mean Co-skewness optimal portfolio (MCoP) technique. The findings emphasize the importance of adaptability in portfolio management and provide actionable information for investors seeking to optimize allocation and manage risk exposure effectively in dynamic market environments.

Adaptive control of nonlinear time-varying systems with unknown parameters and model uncertainties

This paper investigates the adaptive control problem for nonlinear time-varying systems with unknown parameters and model uncertainties. A novel class of switching functions is designed, and its construction method is detailed, along with a proof of the continuity of its n−1 order derivatives. Two simple examples are provided to illustrate how the proposed congelation of variables method handles unknown high-frequency time-varying parameters in both the feedback and input paths. A new neural network control scheme is then developed, integrating an adaptive neural network controller with a robust controller. The smooth transition between these two controllers is ensured by the novel switching function, which guarantees global system stability. Furthermore, by combining the congelation of variables method with adaptive backstepping, a new adaptive tracking control scheme is proposed. This scheme effectively handles unknown high-frequency time-varying parameters while achieving asymptotic tracking of arbitrary reference signals. Simulation results show that the proposed novel adaptive control method delivers superior control accuracy while reducing energy consumption: it achieves an order of magnitude improvement over the traditional adaptive robust control method and two orders of magnitude improvement over the conventional sliding mode control method.