Utilizing the Vector Autoregression Model (VAR) for Short-Term Solar Irradiance Forecasting

Forecasting solar irradiance is a critical task in the renewable energy sector, as it provides essential information regarding the potential energy production from solar panels. This study aims to utilize the Vector Autoregression (VAR) model to forecast solar irradiance levels and weather characteristics in the San Francisco Bay Area. The results demonstrate a correlation between predicted and actual solar irradiance, indicating the effectiveness of the VAR model for this task. However, the model may not be sufficient for this region due to the requirement of additional weather features to reduce disparities between predictions and actual observations. Additionally, the current lag order in the model is relatively low, limiting its ability to capture all relevant information from past observations. As a result, the model’s forecasting capability is limited to short-term horizons, with a maximum horizon of four hours.

Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks

In the paper, a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common deterministic and stochastic factors. Monte Carlo results strongly support the proposed methodology, validating its use also for relatively small cross-sectional and temporal samples.

Seismic fragility analysis of bridges by relevance vector machine based demand prediction model

A relevance vector machine(RVM)based demand prediction model is explored for efficient seismic fragility analysis(SFA)of a bridge structure.The proposed RVM model integrates both record-to-record variations of ground motions and uncertainties of parameters characterizing the bridge model.For efficient fragility computation,ground motion intensity is included as an added dimension to the demand prediction model.To incorporate different sources of uncertainty,random realizations of different structural parameters are generated using Latin hypercube sampling technique.Mean fragility,along with its dispersions,is estimated based on the log-normal fragility model for different critical components of a bridge.The effectiveness of the proposed RVM model-based SFA of a bridge structure is elucidated numerically by comparing it with fragility results obtained by the commonly used SFA approaches,while considering the most accurate direct Monte Carlo simulation-based fragility estimates as the benchmark.The proposed RVM model provides a more accurate estimate of fragility than conventional approaches,with significantly less computational effort.In addition,the proposed model provides a measure of uncertainty in fragility estimates by constructing confidence intervals for the fragility curves.

Production performance forecasting method based on multivariate time series and vector autoregressive machine learning model for waterflooding reservoirs

A forecasting method of oil well production based on multivariate time series(MTS)and vector autoregressive(VAR)machine learning model for waterflooding reservoir is proposed,and an example application is carried out.This method first uses MTS analysis to optimize injection and production data on the basis of well pattern analysis.The oil production of different production wells and water injection of injection wells in the well group are regarded as mutually related time series.Then a VAR model is established to mine the linear relationship from MTS data and forecast the oil well production by model fitting.The analysis of history production data of waterflooding reservoirs shows that,compared with history matching results of numerical reservoir simulation,the production forecasting results from the machine learning model are more accurate,and uncertainty analysis can improve the safety of forecasting results.Furthermore,impulse response analysis can evaluate the oil production contribution of the injection well,which can provide theoretical guidance for adjustment of waterflooding development plan.

Vector Autoregressive （VAR） Modeling and Projection of DSE

In this paper, vector autoregressive （VAR） models have been recognized for the selected indicators of Dhaka stock exchange （DSE）. Bangladesh uses the micro economic variables, such as stock trade, invested stock capital, stock volume, current market value, and DSE general indexes which have the direct impact on DSE prices. The data were collected for the period from June 2004 to July 2013 as the basis on daily scale. But to get the maximum explorative information and reduction of volatility, the data have been transformed to the monthly scale. The outliers and extreme values of the study variables are detected through box and whisker plot. To detect the unit root property of the study variables, various unit root tests have been applied. The forecast performance of the different VAR models is compared to have the minimum residual. Moreover, the dynamics of this financial market is analyzed through Granger causality and impulse response analysis.

PC-VAR Estimation of Vector Autoregressive Models

In this paper PC-VAR estimation of vector autoregressive models (VAR) is proposed. The estimation strategy successfully lessens the curse of dimensionality affecting VAR models, when estimated using sample sizes typically available in quarterly studies. The procedure involves a dynamic regression using a subset of principal components extracted from a vector time series, and the recovery of the implied unrestricted VAR parameter estimates by solving a set of linear constraints. PC-VAR and OLS estimation of unrestricted VAR models show the same asymptotic properties. Monte Carlo results strongly support PC-VAR estimation, yielding gains, in terms of both lower bias and higher efficiency, relatively to OLS estimation of high dimensional unrestricted VAR models in small samples. Guidance for the selection of the number of components to be used in empirical studies is provided.

Impact of Inflation, Dollar Exchange Rate and Interest Rate on Red Meat Production in Turkey： Vector Autoregressive （VAR） Analysis

In this study, impact of inflation （WPI--Wholesale Price Index）, exchange rate, and interest rate on the production of red meat in Turkey was examined using the vector autoregressive （VAR） model. The model consisting of variables of dollar exchange rate, inflation rate, interest rate, beef, buffalo meat, mutton, and goat meat production amounts has been estimated for the period from 1981 to 2014. It has been detected that there is a tie among the dollar exchange rate, inflation rate, interest rate, and the amount of red meat production in Turkey. In order to determine the direction of this relation, Granger causality test was conducted. A one-way causal relation has been observed between： the goat meat production and dollar exchange rate; the buffalo meat production and the mutton production; and the beef production and the mutton production. To interpret VAR model, the impulse response function and variance decomposition analysis was used. As a result of variance decomposition, it has been detected that explanatory power of changes in the variance of dollar exchange rate, inflation rate, and interest rate in goat meat production amount is more than explanatory power of changes in the variances of mutton, beef, and buffalo meat variables.

Mathematical Apparatus for Selection of Optimal Parameters of Technical, Technological Systems and Materials Based on Vector Optimization

We presented Mathematical apparatus of the choice of optimum parameters of technical, technological systems and materials on the basis of vector optimization. We have considered the formulation and solution of three types of tasks presented below. First, the problem of selecting the optimal parameters of technical systems depending on the functional characteristics of the system. Secondly, the problem of selecting the optimal parameters of the process depending on the technological characteristics of the process. Third, the problem of choosing the optimal structure of the material depending on the functional characteristics of this material. The statement of all problems is made in the form of vector problems of mathematical (nonlinear) programming. The theory and the principle of optimality of the solution of vector tasks it is explained in work of https://rdcu.be/bhZ8i. The implementation of the methodology is shown on a numerical example of the choice of optimum parameters of the technical, technological systems and materials. On the basis of mathematical methods of solution of vector problems we developed the software in the MATLAB system. The numerical example includes: input data (requirement specification) for modeling;transformation of mathematical models with uncertainty to the model under certainty;acceptance of an optimal solution with equivalent criteria (the solution of numerical model);acceptance of an optimal solution with the given priority of criterion.

Localizing structural damage based on auto-regressive with exogenous input model parameters and residuals using a support vector machine based learning approach

Machine learning algorithms operating in an unsupervised fashion has emerged as promising tools for detecting structural damage in an automated fashion.Its essence relies on selecting appropriate features to train the model using the reference data set collected from the healthy structure and employing the trained model to identify outlier conditions representing the damaged state.In this paper,the coefficients and the residuals of the autoregressive model with exogenous input created using only the measured output signals are extracted as damage features.These features obtained at the baseline state for each sensor cluster are then utilized to train the one class support vector machine,an unsupervised classifier generating a decision function using only patterns belonging to this baseline state.Structural damage,once detected by the trained machine,a damage index based on comparison of the residuals between the trained class and the outlier state is implemented for localizing damage.The two-step damage assessment framework is first implemented on an eight degree-of-freedom numerical model with the effects of measurement noise integrated.Subsequently,vibration data collected from a one-story one-bay reinforced concrete frame inflicted with progressive levels of damage have been utilized to verify the accuracy and robustness of the proposed methodology.

A vector autoregression weather model for electricity supply and demand modeling

Weather forecasting is crucial to both the demand and supply sides of electricity systems. Temperature has a great effect on the demand side. Moreover, solar and wind are very promising renewable energy sources and are, thus, important on the supply side. In this paper, a large vector autoregression(VAR) model is built to forecast three important weather variables for 61 cities around the United States. The three variables at all locations are modeled as response variables. Lag terms are used to capture the relationship between observations in adjacent periods and daily and annual seasonality are modeled to consider the correlation between the same periods in adjacent days and years. We estimate the VAR model with16 years of hourly historical data and use two additional years of data for out-of-sample validation. Forecasts of up to six-hours-ahead are generated with good forecasting performance based on mean absolute error, root mean square error, relative root mean square error, and skill scores. Our VAR model gives forecasts with skill scoresthat are more than double the skill scores of other forecasting models in the literature. Our model also provides forecasts that outperform persistence forecasts by between6% and 80% in terms of mean absolute error. Our results show that the proposed time series approach is appropriate for very short-term forecasting of hourly solar radiation,temperature, and wind speed.

Modeling and forecasting time series of precious metals:a new approach to multifractal data

We introduce a novel approach to multifractal data in order to achieve transcended modeling and forecasting performances by extracting time series out of local Hurst exponent calculations at a specified scale.First,the long range and co-movement dependencies of the time series are scrutinized on time-frequency space using multiple wavelet coherence analysis.Then,the multifractal behaviors of the series are verified by multifractal de-trended fluctuation analysis and its local Hurst exponents are calculated.Additionally,root mean squares of residuals at the specified scale are procured from an intermediate step during local Hurst exponent calculations.These internally calculated series have been used to estimate the process with vector autoregressive fractionally integrated moving average(VARFIMA)model and forecasted accordingly.In our study,the daily prices of gold,silver and platinum are used for assessment.The results have shown that all metals do behave in phase movement on long term periods and possess multifractal features.Furthermore,the intermediate time series obtained during local Hurst exponent calculations still appertain the co-movement as well as multifractal characteristics of the raw data and may be successfully re-scaled,modeled and forecasted by using VARFIMA model.Conclusively,VARFIMA model have notably surpassed its univariate counterpart(ARFIMA)in all efficacious trials while re-emphasizing the importance of comovement procurement in modeling.Our study’s novelty lies in using a multifractal de-trended fluctuation analysis,along with multiple wavelet coherence analysis,for forecasting purposes to an extent not seen before.The results will be of particular significance to finance researchers and practitioners.

Comparisons of VAR Model and Models Created by Genetic Programming in Consumer Price Index Prediction in Vietnam

In this paper, we present an application of Genetic Programming (GP) to Vietnamese CPI in?ation one-step prediction problem. This is a new approach in building a good forecasting model, and then applying inflation forecasts in Vietnam in current stage. The study introduces the within-sample and the out-of-samples one-step-ahead forecast errors which have positive correlation and approximate to a linear function with positive slope in prediction models by GP. We also build Vector Autoregression (VAR) model to forecast CPI in quaterly data and compare with the models created by GP. The experimental results show that the Genetic Programming can produce the prediction models having better accuracy than Vector Autoregression models. We have no relavant variables (m2, ex) of monthly data in the VAR model, so no prediction results exist to compare with models created by GP and we just forecast CPI basing on models of GP with previous data of CPI.

Short Term Forecasting Performances of Classical VAR and Sims-Zha Bayesian VAR Models for Time Series with Collinear Variables and Correlated Error Terms

Forecasts can either be short term, medium term or long term. In this work we considered short term forecast because of the problem of limited data or time series data that is often encounter in time series analysis. This simulation study considered the performances of the classical VAR and Sims-Zha Bayesian VAR for short term series at different levels of collinearity and correlated error terms. The results from 10,000 iteration revealed that the BVAR models are excellent for time series length of T=8 for all levels of collinearity while the classical VAR is effective for time series length of T=16 for all collinearity levels except when ρ = -0.9 and ρ = -0.95. We therefore recommended that for effective short term forecasting, the time series length, forecasting horizon and the collinearity level should be considered.

Modelling the Impact and Effects of Climatic Variability on Electricity Energy Consumption in the Yendi Municipality of Ghana

One of the cherished assets of every economy is electricity since it has proven to be the major source of energy for industrialization. Developing economies like Ghana have suffered the downside of poor management of the already inadequate electrical energy at its disposal. This is as a result of limited research into factors that influences electricity energy consumption, most importantly, the effects of climatic variables on electricity energy consumption. This research work explores the causal connection between climatic variables and electricity energy consumption, and develops a Vector Auto Regression (VAR) model to determine the influence of the climatic variables in forecasting electricity energy consumption in Yendi Municipality in the northern region of Ghana. The climatic factors considered in this work are;Rainfall (Rain), maximum temperature (Tmax), Sunshine (Sun), Wind (wind) and Relative Humidity (RH). The Granger causality tests employed in this work revealed that aside from Relative Humidity, the end energy consumption is affected by the other four climatic factors under consideration. The impulse response was used to ascertain the active interaction among electricity energy consumption and the climatic variables. The impulse response of electricity energy consumption to the climatic variables indicates a maximum positive effect of Temperature and Sunshine on electricity energy consumption in March and September respectively. The VAR model was also used in forecasting future consumption of electricity energy. The results indicate excellent forecasts of electricity energy consumption for the first four months of 2019.

A Simulation Study on the Performances of Classical Var and Sims-Zha Bayesian Var Models in the Presence of Autocorrelated Errors

It is well known that a high degree of positive dependency among the errors generally leads to 1) serious underestimation of standard errors for regression coefficients;2) prediction intervals that are excessively wide. This paper set out to study the performances of classical VAR and Sims-Zha Bayesian VAR models in the presence of autocorrelated errors. Autocorrelation levels of (-0.99, -0.95, -0.9, -0.85, -0.8, 0.8, 0.85, 0.9, 0.95, 0.99) were considered for short term (T = 8, 16);medium term (T = 32, 64) and long term (T = 128, 256). The results from 10,000 simulation revealed that BVAR model with loose prior is suitable for negative autocorrelations and BVAR model with tight prior is suitable for positive autocorrelations in the short term. While for medium term, the BVAR model with loose prior is suitable for the autocorrelation levels considered except in few cases. Lastly, for long term, the classical VAR is suitable for all the autocorrelation levels considered except in some cases where the BVAR models are preferred. This work therefore concludes that the performance of the classical VAR and Sims-Zha Bayesian VAR varies in terms of the autocorrelation levels and the time series lengths.

On the Performances of Classical VAR and Sims-Zha Bayesian VAR Models in the Presence of Collinearity and Autocorrelated Error Terms

In time series literature, many authors have found out that multicollinearity and autocorrelation usually afflict time series data. In this paper, we compare the performances of classical VAR and Sims-Zha Bayesian VAR models with quadratic decay on bivariate time series data jointly influenced by collinearity and autocorrelation. We simulate bivariate time series data for different collinearity levels (﹣0.99, ﹣0.95, ﹣0.9, ﹣0.85, ﹣0.8, 0.8, 0.85, 0.9, 0.95, 0.99) and autocorrelation levels (﹣0.99, ﹣0.95, ﹣0.9, ﹣0.85, ﹣0.8, 0.8, 0.85, 0.9, 0.95, 0.99) for time series length of 8, 16, 32, 64, 128, 256 respectively. The results from 10,000 simulations reveal that the models performance varies with the collinearity and autocorrelation levels, and with the time series lengths. In addition, the results reveal that the BVAR4 model is a viable model for forecasting. Therefore, we recommend that the levels of collinearity and autocorrelation, and the time series length should be considered in using an appropriate model for forecasting.

Investigation of Neutrino-Nucleon Interaction through Intermediate Vector Boson (IVB)

This work deals with the interaction of neutrino with the nucleon considering data taken from different experiments. It is assumed that the interaction of neutrino with nucleons go through the intermediate vector boson (IVB) which may be the W or Z with effective mass of the order of 80 GeV. The neutrino wave function is obtained via perturbation technique to calculate the weak leptonic current. On the other hand, the quark current is estimated using the measured experimental data of deep inelastic scattering of neutrino-nucleon interaction. Eventually the total interaction transition matrix is calculated as a function of momentum transfer square, q2 and qualitatively compared with the available experimental data. Besides, a comparative study is also done to explore the influence of the target composition during the neutrino weak interactions. In this context an investigation of neutrino-proton and neutrino-neutron interactions are carried out to calculate the deep inelastic cross section in both cases.

Online Fault Prediction Based on Combined AOSVR and ARMA Models

Accurate fault prediction can obviously reduce cost and decrease the probability of accidents so as to improve the performance of the system testing and maintenance. Traditional fault prediction methods are always offline that are not suitable for online and real-time processing. For the complicated nonlinear and non-stationary time series, it is hard to achieve exact predicting result with single models such as support vector regression （SVR）, artifieial neural network （ANN）, and autoregressive moving average （ARMA）. Combined with the accurate online support vector regression （AOSVR） algorithm and ARMA model, a new online approach is presented to forecast fault with time series prediction. The fault trend feature can be extracted by the AOSVR with global kernel for general fault modes. Moreover, its prediction residual that represents the local high-frequency components is synchronously revised and compensated by the sliding time window ARMA model. Fault prediction with combined AOSVR and ARMA can be realized better than with the single one. Experiments on Tennessee Eastman process fault data show the new method is practical and effective.

Stage-structured models for interacting wild and sterile mosquitoes

Using the sterile insect technique,in which sterile mosquitoes are released to reduce or eradicate the wild mosquito population,is an effective weapon to prevent transmission of mosquito-borne diseases. To study the impact of the sterile insect technique on the disease transmissions,we formulate stage-structured discrete-time mathematical models,based on difference equations,for the interactive dynamics of the wild and sterile mosquitoes. We incorporate different strategies for releasing sterile mosquitoes,investigate the model dynamics,and compare the impact of the different release strategies.Numerical examples are also provided to demonstrate dynamical features of the models.

Analysis of Quality of Life in Cancer Patients by Structural Equation Model

Many people have been dead of cancer. The life quality of patients with cancer has aroused great concern from the public and specialists. In this paper, an index system of life quality is proposed to evaluate the quality of life, which includes 6 first-level indexes and 34 second-level indexes. Then, a structural equation model (SEM) based on these in-dexes and relationships among them is constructed for the analysis of quality of life in cancer patients. Furthermore, we offer a definite linear algorithm for the calculation of SEM. This method is more objective and scientific compared with traditional methods, such as descriptive analysis, some simple test methods and so on.