Predicting future probable values of model parameters, is an essential pre-requisite for assessing model decision reliability in an uncertain environment. Scenario Analysis is a methodology for modelling uncertainty in water resources management modelling. Uncertainty if not considered appropriately in decision making will decrease reliability of decisions, especially in long-term planning. One...

The dynamic response analysis of structures subjected to a stochastic wind field is carried out in the time domain by a step-by-step integration approach. The loading is represented by simulated time histories of the aerodynamic force. The auto-regressive and moving average (ARMA) recursive models are utilized to simulate time series of wind loads. Depending on the system dynamic characteristic...

We propose in this paper an original technique to predict global radiation using a hybrid ARMA/ANN model and data issued from a numerical weather prediction model (ALADIN). We particularly look at the Multi-Layer Perceptron. After optimizing our architecture with ALADIN and endogenous data previously made stationary and using an innovative pre-input layer selection method, we combined it to an ...

Tam Bang Vu Department of Economics, University of Hawaii at Manoa 2424 Maile Way, 542 Saunders Hall, Honolulu, HI 96822; [email protected] Abstract Mankiw (1982) shows that consumer durables expenditures should follow a linear ARMA(1,1) process, but the data analyzed supports an AR(1) process instead; thus, a puzzle. In this paper, we employ a more general utility function than Mankiw's quadrati...

This paper reports the feasibility of the ARMA model to describe a bursty video source transmitting over a AAL5 ATM link (VBR traffic). The traffic represents the activity of the action movie "Lethal Weapon 3" transmitted over the ATM network using the Fore System AVA-200 ATM video codec with a peak rate of 100 Mbps and a frame rate of 25. The model parameters were estimated for a single video ...

The merits of the modelling philosophy of Box & Jenkins (1970) are illustrated with a summary of our recent work on seasonal river flow forecasting. Specifically, this work demonstrates that the principle of parsimony, which has been questioned by several authors recently, is helpful in selecting the best model for forecasting seasonal river flow. Our work also demonstrates the importance of mo...

The paper investigates the relation between the parameters of an autoregressive moving average (ARMA) model and its equivalent moving average (EMA) model. On the basis of this relation, a new method is proposed for determining the ARMA model parameters from the coefficients of a finite-order EMA model. This method is a three-step approach: in the first step, a simple recursion relating the EMA ...

Many of the existing autoregressive moving average (ARMA) forecast models are based on one main factor. In this paper, we proposed a new two-factor first-order ARMA forecast model based on fuzzy fluctuation logical relationships of both a main factor and a secondary factor of a historical training time series. Firstly, we generated a fluctuation time series (FTS) for two factors by calculating ...