Search Results (14)

This paper introduces a rigorous class of two-dimensional Markov-switching autoregressive moving-average (2D MS-ARMA) models for spatial lattice data exhibiting regime-dependent dynamics. The switching mechanism is governed by a latent causal Markov random field that drives spatial transitions between regime-specific autoregressive and moving-average structures. We provide sufficient conditions for the existence of a strictly stationary solution through the top Lyapunov exponent associated with a sequence of random matrices obtained from a state-space representation constructed along the lexicographic order. For the first-order bidirectional specification, we derive explicit spectral conditions linking stationarity to the regime-dependent spectral radii. Sufficient conditions ensuring the existence of finite second-order moments are also provided. Parameter estimation is carried out using a variational expectation–maximization (VEM) algorithm based on a mean-field approximation of the posterior distribution of the hidden regimes. The E-step yields closed-form coordinate ascent updates, while the M-step relies on gradient-based numerical optimization with derivatives computed via recursive differentiation. Under increasing-domain asymptotics, we discuss the consistency and asymptotic behavior of the variational estimator. The proposed framework fills a methodological gap between classical one-dimensional Markov-switching ARMA models and spatial autoregressive structures by extending regime-switching theory to multi-indexed processes with rigorous probabilistic foundations. It provides a comprehensive basis for statistical inference, model diagnostics, and prediction in spatially heterogeneous environments. Full article

In recent years, DC-DC partial power converters (PPCs) have become increasingly important in fast-charging architectures for electric vehicles (EVs). Their key feature is that only a fraction of the energy delivered to the battery is processed by the PPC, while the rest is transferred directly, bypassing the conversion stage. This reduces DC-DC conversion losses and improves overall charging efficiency. However, the nonlinear dynamics of these converters can limit performance, especially with model-based controllers such as proportional–integral (PI) controllers. This paper proposes a data-driven control framework for EV fast-charging stations using a DC-DC PPC that is controlled by deep reinforcement learning (DRL). A value-based deep Q-network (DQN) directly selects switching actions and jointly regulates the partial-voltage and output current. The control problem is formulated as a discrete-time Markov decision process, and a two-stage transfer learning scheme ensures safe, efficient deployment. Firstly, the DQN agent is trained in a high-fidelity simulation and then fine-tuned with a small set of experimental data to capture parasitic and modeling errors. The controller is integrated into a constant-current–constant-voltage (CC-CV) charging algorithm and validated over a full charging cycle of a 60 kWh EV battery. The proposed control scheme exhibits a settling time of approximately 2 ms in response to current reference variations while maintaining steady-state errors below 2% in current regulation and below 1% in partial voltage regulation. Simulation results show that the proposed DRL controller has a small steady-state tracking error and improved robustness to reference changes compared with conventional PI and sliding mode controllers. The low computational cost of the trained DQN policy also enables real-time execution on embedded platforms for EV charging. Full article

This study examines how aggregate financial risk tolerance (FRT), measured from repeated survey responses, co-evolves with stock-market dynamics over time. The observed FRT index is treated as a noisy preference signal containing both gradual drift and episodic deviations, and its market relevance is evaluated under time variation, frequency components, and stress regimes. Using monthly data that align the survey-based FRT index with market returns and risk measures, a three-part econometric design is implemented. First, a time-varying parameter VAR (TVP-VAR) characterizes bidirectional, non-constant linkages between FRT and market outcomes. Second, signal-extraction methods decompose FRT into a smooth “normal” component and a high-frequency “abnormal” component (with robustness to alternative filters) to test whether short-run deviations contain distinct information for volatility and downside risk. Third, a Markov-switching specification assesses state dependence by testing whether the FRT–market relationship differs between low-stress and high-stress regimes. Across specifications, the FRT–market linkage is strongly state dependent: the sign and magnitude of FRT effects drift over time and differ across regimes, with high-frequency FRT deviations aligning more closely with risk dynamics than the smooth component. Predictive validation is provided via out-of-sample forecasting of next-month market risk using elastic net and gradient boosting relative to an AR(1) benchmark; explainability analysis (SHAP) indicates that abnormal FRT contributes incremental predictive content beyond standard market-state variables. Overall, the framework offers a mathematically transparent approach to modeling survey-based preference signals in markets and supports regime-aware forecasting and risk-management applications. Full article

This research tackles the challenge of forecasting nonlinear time series data with stochastic structural variations by proposing the Markov switching autoregressive model with time-varying parameters (MSAR-TVP). Although effective in modeling dynamic regime transitions, the Classical MSAR-TVP faces challenges with complex datasets. To address these issues, a Bayesian MSAR-TVP framework was developed, incorporating flexible parameters that adapt dynamically across regimes. The model was tested on two periods of U.S. real GNP data: a historically stable segment (1952–1986) and a more complex, modern segment that includes more economic volatility (1947–2024). The Bayesian MSAR-TVP demonstrated superior performance in handling complex datasets, particularly in out-of-sample forecasting, outperforming the Bayesian AR-TVP, Classical MSAR-TVP, and Classical MSAR models, as evaluated by mean absolute percentage error (MAPE) and mean absolute error (MAE). For in-sample data, the Classical MSAR-TVP retained its stability advantage. These findings highlight the Bayesian MSAR-TVP’s ability to address parameter uncertainty and adapt to data fluctuations, making it highly effective for forecasting dynamic economic cycles. Additionally, the two-year forecast underscores its practical utility in predicting economic cycles, suggesting continued expansion. This reinforces the model’s significance for economic forecasting and strategic policy formulation. Full article

Understanding how crises like the COVID-19 pandemic affect variable annuity pricing is crucial, especially in emerging markets like India. The motivation is that financial stability and risk management in these markets depend heavily on accurate pricing models. While prior research has primarily focused on Western markets, there is a significant gap in analyzing the impact of extreme volatility and regime-dependent dynamics on variable annuities in emerging economies. This study investigates how regime shifts during the COVID-19 pandemic influence variable annuity pricing in the Indian stock market, specifically using the Nifty 50 Index data from 7 September 2017 until 7 September 2023. Advanced methodologies, including regime-switching hidden Markov models, artificial neural networks, and Monte Carlo simulations, were applied to analyze pre- and post-COVID-19 market behavior. The regime-switching hidden Markov models effectively capture latent market regimes and their transitions, which traditional models often overlook, while neural networks provide flexible functional approximations that enhance pricing accuracy in highly non-linear environments. The Expectation–Maximization (EM) algorithm was employed to achieve robust calibration and enhance pricing accuracy. The analysis showed significant pricing variations across market regimes, with heightened volatility observed during the pandemic. The findings highlight the effectiveness of regime-switching models in capturing market dynamics, particularly during periods of economic uncertainty and turbulence. This research contributes to the understanding of variable annuity pricing under regime-dependent dynamics in emerging markets and offers practical implications for improved risk management and policy formulation. Full article

Countries such as advanced systemic economies (ASEs) and systemic middle-income countries (SMICs), considering macroprudential policy coordination, must ensure that their financial cycles are sufficiently synchronized. However, differences in the features and significance of financial cycles between ASEs and SMICs pose challenges in determining the extent of their synchronization. Accordingly, this study assesses whether a common financial cycle exists between these types of economies. The point of departure for this analysis is to examine the characteristics of the common financial cycle. To this end, this study employs data on capital flows, credit, house prices, share prices, and policy rates, utilizing the Markov switching dynamic regression model and the dynamic factor model to identify and analyze the cycle. The findings reveal strong evidence of a significant financial cycle, which explains 83% of the total variation across countries. This cycle is characterized by longer durations compared to domestic financial cycles and occurs less frequently than domestic cycles. Moreover, it exhibits high persistence in its contractionary and expansionary phases, with greater volatility in the contractionary phase. Based on these findings, it is recommended that ASEs and SMICs consider establishing a supranational prudential authority to coordinate and oversee macroprudential policy on behalf of the majority. Such an entity should play a proactive role, particularly during contractionary phases, to mitigate systemic risks and enhance financial stability across these interconnected economies. Full article

Volatility reflects the degree of variation in a time series, and a measurement of the stock performance in the energy sector can help one understand the pattern of fluctuations within this industry, as well as the factors that influence it. One of these factors could be the COVID-19 pandemic, which led to extreme volatility within the stock market in several economic sectors. It is essential to understand this regime of volatility so that robust financial strategies can be adopted to handle it. This study used stock data from the Yahoo! Finance API and data from the energy-price database from the US Energy Information Administration to conduct a comparative analysis of the volatility in the energy sector in Brazil and in the United States, as well as of the energy prices in California. The volatility in these time series were modeled using GARCH. The stock volatility regimes, both before and after COVID-19, were identified with a Markov switching model; the spillover index between the energy markets in the USA and in Brazil was evaluated with the Diebold–Yilmaz index; and the causality between the energy stock price and the energy prices was measured with the Granger causality test. The findings of this study show that (i) the volatility regime introduced by COVID-19 is still prevalent in Brazil and in the USA, (ii) the changes in the energy market in the US affect the Brazilian market significantly more than the reverse, and (iii) there is a causality relationship between the energy stock markets and the energy prices in California. These results may assist in the achievement of effective regulation and economic planning, while also supporting better market interventions. Also, acknowledging the persistent COVID-19-induced volatility can help with developing strategies for future crisis resilience. Full article

Government may need to launch policies to stabilize real estate prices being away from unusual rise at an unexpected pace through short-term regulations of sales and purchases. Short-term control policies are often not effective immediately after withdrawal, but their effect easily attracts swift and intensive responses of consumer sentiments. The change in sentiment synchronizes with that of expectations, which together account for housing price in response to restrictions following short-term policies. The research objective of this study is to establish the role of housing sentiment in policymaking to regulate and stabilize real estate prices. To cope with the tough tissue of unclear knowledge about customers’ sentiments, we employed the state-space model to explore the impact of short-term regulatory policies on housing sentiment. The research objective of this study also involves optimizing the instrument for assessing housing sentiments. Results showed that: Firstly, the short-term regulation and control policy enhanced positive sentiment in the housing market. Secondly, high positive sentiment further increased the cyclical prices. Thirdly, the upsurge of consumer sentiment has weakened the impact of short-term control policies on real estate market price. Lowered housing sentiment resulted in a reduction in the effectiveness of short-term control policies. Overall, our study verifies that high positive consumer sentiments will result in an increase in housing prices, hence it is customers’ sentiments that caused the failure of short-term control policies. Full article

This paper provides a detailed analysis of the output voltage/current tracking control of a PWM DCDC converter that has been modeled as a Markov jump system. In order to achieve that, a dynamic sensorless strategy is proposed to perform active disturbance rejection control. As a convex optimization problem, a novel reformulation of the problem is provided to compute optimal control. Accordingly, necessary less conservative conditions are established via Linear Matrix Inequalities. First, a sensorless active disturbance rejection design is proposed. Then, to carry out the control process, a robust dynamic observer–predictive controller approach is introduced. Meanwhile, the PWM DC-DC switching power converters are examined as discrete-time Markovian switching systems. Considering that the system is subject to modeling uncertainties, time delays, and load variations as external disturbances, and by taking partial input saturation into account, the Lyapunov–Krasovskii function is used to construct the required feasibility frame and less conservative stability conditions. As a result, the proposed design provides an efficient control strategy with disturbance rejection and time-delay compensation capabilities and maintains robust performance with respect to constraints. Finally, a PWM DC-DC power converter simulation study is performed in different scenarios, and the obtained results are illustrated in detail to demonstrate the effectiveness of the proposed approach. Full article

The main purpose of this paper was to, for the first time, analyse the spatiotemporal features of the background seismicity of Northern Algeria and its vicinity, as identified by different declustering methods (specifically: the Gardner and Knopoff, Gruenthal, Uhrhammer, Reasenberg, Nearest Neighbour, and Stochastic Declustering methods). Each declustering method identifies a different declustered catalogue, namely a different subset of the earthquake catalogue that represents the background seismicity, which is usually expected to be a realisation of a homogeneous Poisson process over time, though not necessarily in space. In this study, a statistical analysis was performed to assess whether the background seismicity identified by each declustering method has the spatiotemporal properties typical of such a Poisson process. The main statistical tools of the analysis were the coefficient of variation, the Allan factor, the Markov-modulated Poisson process (also named switched Poisson process with multiple states), the Morisita index, and the L–function. The results obtained for Northern Algeria showed that, in all cases, temporal correlation and spatial clustering were reduced, but not totally eliminated in the declustered catalogues, especially at long time scales. We found that the Stochastic Declustering and Gruenthal methods were the most successful methods in reducing time correlation. For each declustered catalogue, the switched Poisson process with multiple states outperformed the uniform Poisson model, and it was selected as the best model to describe the background seismicity in time. Moreover, for all declustered catalogues, the spatially inhomogeneous Poisson process did not fit properly the spatial distribution of earthquake epicentres. Hence, the assumption of stationary and homogeneous Poisson process, widely used in seismic hazard assessment, was not met by the investigated catalogue, independently from the adopted declustering method. Accounting for the spatiotemporal features of the background seismicity identified in this study is, therefore, a key element towards effective seismic hazard assessment and earthquake forecasting in Algeria and the surrounding area. Full article

Volatility is the degree of variation in the stock price over time. The stock price is volatile due to many factors, such as demand, supply, economic policy, and company earnings. Investing in a volatile market is riskier for stock traders. Most of the existing work considered Generalized Auto-regressive Conditional Heteroskedasticity (GARCH) models to capture volatility, but this model fails to capture when the volatility is very high. This paper aims to estimate the stock price volatility using the Markov regime-switching GARCH (MSGARCH) and SETAR model. The model selection was carried out using the Akaike-Informations-Criteria (AIC) and Bayesian-Information Criteria (BIC) metric. The performance of the model is evaluated using the Root mean square error (RMSE) and mean absolute percentage error (MAPE) metric. We have found that volatility estimation using the MSGARCH model performed better than the SETAR model. The experiments considered the Indian stock market data. Full article

Impulsive noise is the main limiting factor for transmission over channels affected by electromagnetic interference. We study the estimation of (correlated) Gaussian signals in an impulsive noise scenario. In this work, we analyze some of the existing, as well as some novel estimation algorithms. Their performance is compared, for the first time, for different channel conditions, including the Markov–Middleton scenario, where the impulsive noise switches between different noise states. Following a modern approach in digital communications, the receiver design is based on a factor graph model and implements a message passing algorithm. The correlation among signal samples, as well as among noise states brings about a loopy factor graph, where an iterative message passing scheme should be employed. As is well known, approximate variational inference techniques are necessary in these cases. We propose and analyze different algorithms and provide a complete performance comparison among them, showing that the expectation propagation, transparent propagation, and parallel iterative schedule approaches reach a performance close to optimal, at different channel conditions. Full article

The widespread popularity of smartphones makes it possible to provide Location-Based Services (LBS) in a variety of complex scenarios. The location and contextual status, especially the Indoor/Outdoor switching, provides a direct indicator for seamless indoor and outdoor positioning and navigation. It is challenging to quickly detect indoor and outdoor transitions with high confidence due to a variety of signal variations in complex scenarios and the similarity of indoor and outdoor signal sources in the IO transition regions. In this paper, we consider the challenge of switching quickly in IO transition regions with high detection accuracy in complex scenarios. Towards this end, we analyze and extract spatial geometry distribution, time sequence and statistical features under different sliding windows from GNSS measurements in Android smartphones and present a novel IO detection method employing an ensemble model based on stacking and filtering the detection result by Hidden Markov Model. We evaluated our algorithm on four datasets. The results showed that our proposed algorithm was capable of identifying IO state with 99.11% accuracy in indoor and outdoor environment where we have collected data and 97.02% accuracy in new indoor and outdoor scenarios. Furthermore, in the scenario of indoor and outdoor transition where we have collected data, the recognition accuracy reaches 94.53% and the probability of switching delay within 3 s exceeds 80%. In the new scenario, the recognition accuracy reaches 92.80% and the probability of switching delay within 4 s exceeds 80%. Full article

This paper analyzes and simulates the Li-ion battery charging process for a solar powered battery management system. The battery is charged using a non-inverting synchronous buck-boost DC/DC power converter. The system operates in buck, buck-boost, or boost mode, according to the supply voltage conditions from the solar panels. Rapid changes in atmospheric conditions or sunlight incident angle cause supply voltage variations. This study develops an electrochemical-based equivalent circuit model for a Li-ion battery. A dynamic model for the battery charging process is then constructed based on the Li-ion battery electrochemical model and the buck-boost power converter dynamic model. The battery charging process forms a system with multiple interconnections. Characteristics, including battery charging system stability margins for each individual operating mode, are analyzed and discussed. Because of supply voltage variation, the system can switch between buck, buck-boost, and boost modes. The system is modeled as a Markov jump system to evaluate the mean square stability of the system. The MATLAB based Simulink piecewise linear electric circuit simulation tool is used to verify the battery charging model. Full article