How strongly are foreign exchange markets linked in terms of their similarities long-run fluctuations? Are they cointegrating? To analyze such “comovements,” we present a time-varying cointegration model for the rates currencies Canada, Japan, and UK vis-à-vis U.S. dollar from May 1990 through July 2015. Unlike previous studies, allow loading matrix vector error-correction (VEC) to be varying o...

This article presents a method for estimating linear time-varying approximation of general class nonlinear (NLTV) systems. It starts from noisy measurements the response NLTV system to special periodic excitation signals. These are subject measurement noise, process and trend. The proposed is two-step procedure. First, disturbing noise variance quantified. Next, using this knowledge, dynamics e...

Accurate and swift tuning of joint impedance is crucial to perform movement interaction with our environment. Time-varying system identification enables quantification during movement. Many methods have been developed over the years, each their own mathematical approach underlying assumptions. Yet, for impedance, a systematic comparison revealing method's unique strengths weaknesses, lacking. H...

Abstract: This paper studies the dynamic response of a wind turbine gearbox under different excitation conditions. The proposed 4 degree-of-freedom (DOF) dynamic model takes into account the key factors such as the time-varying mesh stiffness, bearing stiffness, damping, static transmission error and gear backlash. Both the external excitation due to wind and the internal excitation due to the ...

this paper investigates the forecasting performance of different time-varying bvar models for iranian inflation. forecast accuracy of a bvar model with litterman’s prior compared with a time-varying bvar model (a version introduced by doan et al., 1984); and a modified time-varying bvar model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

We investigate the motion of a colloidal particle driven out of equilibrium by a time-varying stiffness of the optical trap that produces persistent nonequilibrium work. Measurements of work production for repeated cycles composed of the compression and expansion processes for the optical potential show huge fluctuations due to thermal motion. Using a precise technique to modulate the stiffness...