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1 – 10 of 20Gabriele Fiorentini, Alessandro Galesi and Enrique Sentana
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi, and Sentana (2014) to bifactor models with pervasive global factors complemented by…
Abstract
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi, and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum likelihood with many series from multiple regions. We also derive convenient expressions for the spectral scores and information matrix, which allows us to switch to the scoring algorithm near the optimum. We explore the ability of a model with a global factor and three regional ones to capture inflation dynamics across 25 European countries over 1999–2014.
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Martín Almuzara, Gabriele Fiorentini and Enrique Sentana
The authors analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among…
Abstract
The authors analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. The authors study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators (MLE) of the dynamics parameters and reductions in the precision of smoothed estimates of the latent variable, especially for multiperiod objects such as quinquennial growth rates. The authors also develop an R2 measure of common trend observability that determines the severity of misspecification. Finally, the authors apply their framework to US quarterly data on GDE and GDI, obtaining an improved aggregate output measure.
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Many economic and business problems require a set of random variates from the posterior density of the unknown parameters. The set of random variates can be used to integrate…
Abstract
Many economic and business problems require a set of random variates from the posterior density of the unknown parameters. The set of random variates can be used to integrate numerically many forms of functions. Since a closed form of the posterior density of models in time series analysis is not usually well known, it is not easy to generate a set of random variates. As a sampling scheme based on the probabilities proportional to sizes of the sample space, sampling importance resampling (SIR) method can be applied to generate a set of random variates from the posterior density. Application of SIR to signal extraction model of time series analysis is illustrated and given a set of random variates, the procedures to compute the Monte Carlo estimator of the component of signal extraction model are discussed. The procedures are illustrated with simulated data.
Ahmet Selcuk Basarici and Tanzer Satir
The purpose of this study is to reveal the magnitude of empty container movements (ECM) arising from cargo seasonality by means of long-term datasets of Turkish terminals. Trade…
Abstract
Purpose
The purpose of this study is to reveal the magnitude of empty container movements (ECM) arising from cargo seasonality by means of long-term datasets of Turkish terminals. Trade imbalance is one of the well-known major reasons of ECM. Cargo seasonality apart from some other operational drivers and market effect, i.e. commercial decisions of the ship operators, is the major operational driver in Turkish terminals effecting ECM. Furthermore, this study highlights the significance of market effect, leading to take measures for more effective empty container operations in terms of decision makers leading the ship operators.
Design/methodology/approach
Time series analysis of full container datasets was performed through X-13ARIMA-SEATS methodology, implementing seasonal adjustment.
Findings
The results indicate that 17 of 112 time series in hand, based on a terminal/hinterland, container type and “in and out” foreign trade, exhibit cargo seasonality. Roughly, the amount of ECM originating from cargo seasonality in Turkish terminals represents 10 per cent of total ECM except trade imbalance in those terminals where seasonality is present. This reveals that ECM arising from market effect should not be underestimated.
Research limitations/implications
Reefer container traffic could not be sorted from the datasets.
Originality/value
This paper focuses on one of the major reasons of ECM, cargo seasonality. It brings a novel point of view and interpretations which were not suggested previously about ECM, motivating to overcome inefficiency in container operations.
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Presents the scientific methodology from the enlarged cybernetical perspective that recognizes the anisotropy of time, the probabilistic character of natural laws, and the entry…
Abstract
Presents the scientific methodology from the enlarged cybernetical perspective that recognizes the anisotropy of time, the probabilistic character of natural laws, and the entry that the incomplete determinism in Nature opens to the occurrence of innovation, growth, organization, teleology communication, control, contest and freedom. The new tier to the methodological edifice that cybernetics provides stands on the earlier tiers, which go back to the Ionians (c. 500 BC). However, the new insights reveal flaws in the earlier tiers, and their removal strengthens the entire edifice. The new concepts of teleological activity and contest allow the clear demarcation of the military sciences as those whose subject matter is teleological activity involving contest. The paramount question “what ought to be done”, outside the empirical realm, is embraced by the scientific methodology. It also embraces the cognitive sciences that ask how the human mind is able to discover, and how the sequence of discoveries might converge to a true description of reality.
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Felix Geyer and Johannes van der Zouwen
Aims to analyse the influence of Norbert Wiener’s ideas on the social sciences and on social systems, including society as a whole. Describes Wiener’s own attitudes regarding the…
Abstract
Aims to analyse the influence of Norbert Wiener’s ideas on the social sciences and on social systems, including society as a whole. Describes Wiener’s own attitudes regarding the applicability of cybernetics to social systems and his vision on the development of modern society. Highlights sociologists and political scientists who were inspired by his ideas and deals with researchers who tried to apply his ideas to social systems. Concludes by evaluating to what extent specific ideas of Wiener have impacted on the social sciences.
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Reviews the proceedings of the Norbert Wiener Centenary Congress and includes the paper “The history and prehistory of cybernetics”, which is not included in the collected works.
Abstract
Reviews the proceedings of the Norbert Wiener Centenary Congress and includes the paper “The history and prehistory of cybernetics”, which is not included in the collected works.
The concept of information is central to several fields of research and professional practice. So many definitions have been put forward that complete inventory is unachievable…
Abstract
Purpose
The concept of information is central to several fields of research and professional practice. So many definitions have been put forward that complete inventory is unachievable while authors have failed to reach a consensus. In the face of the present impasse, innovative proposals could rouse information theorists to action, but literature surveys tend to emphasize the common traits of definitions. Reviewers are inclined to iron out originality in information models; thus the purpose of this paper is to discover the creativity of authors attempting to define the concept of information and to stimulate the progress of studies in this field.
Design/methodology/approach
Because the present inquiry could be influenced and distorted by personal criteria and opinions, the authors have adopted precise criteria and guidelines. It could be said the present approach approximates a statistical methodology.
Findings
The findings of this paper include (1) The authors found 32 original definitions of information which sometimes current surveys have overlooked. (2) The authors found a relation between information theories and advances in information technology. (3) Overall, the authors found that researchers take account of a wide variety of perspectives yet overlook the notion of information as used by computing practitioners such as electronic engineers and software developers.
Research limitations/implications
The authors comment on some limitations of the procedure that was followed. Results 1 and 3 open up new possibilities for theoretical research in the information domain.
Originality/value
This is an attempt to conduct a bibliographical inquiry driven by objective and scientific criteria; its value lies in the fact that final report has not been influenced by personal choice or arbitrary viewpoints.
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The paper aims to compare and clarify the differences and between the two well-known decomposition spectral techniques; the Winer–Chaos expansion (WCE) and the Winer–Hermite…
Abstract
Purpose
The paper aims to compare and clarify the differences and between the two well-known decomposition spectral techniques; the Winer–Chaos expansion (WCE) and the Winer–Hermite expansion (WHE). The details of the two decompositions are outlined. The difficulties arise when using the two techniques are also mentioned along with the convergence orders. The reader can also find a collection of references to understand the two decompositions with their origins. The geometrical Brownian motion is considered as an example for an important process with exact solution for the sake of comparison. The two decompositions are found practical in analysing the SDEs. The WCE is, in general, simpler, while WHE is more efficient as it is the limit of WCE when using infinite number of random variables. The Burgers turbulence is considered as a nonlinear example and WHE is shown to be more efficient in detecting the turbulence. In general, WHE is more efficient especially in case of nonlinear and/or non-Gaussian processes.
Design/methodology/approach
The paper outlined the technical and literature review of the WCE and WHE techniques. Linear and nonlinear processes are compared to outline the comparison along with the convergence of both techniques.
Findings
The paper shows that both decompositions are practical in solving the stochastic differential equations. The WCE is found simpler and WHE is the limit when using infinite number of random variables in WCE. The WHE is more efficient especially in case of nonlinear problems.
Research limitations/implications
Applicable for SDEs with square integrable processes and coefficients satisfying Lipschitz conditions.
Originality/value
This paper fulfils a comparison required by the researchers in the stochastic analysis area. It also introduces a simple efficient technique to model the flow turbulence in the physical domain.
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