1,746,687 research outputs found
On the stability of nonlinear ARMA models
Get PDFIn the present paper we study the stability of a class of nonlinear ARMA models. We derive a sufficient condition to ensure the geometric ergodicity and we apply it to a very general threshold ARMA model imposing a mild assumption on the thresholdsNonlinear ARMA models, threshold ARMA processes, stationary processes, geometric ergodicity
Computing and estimating information matrices of weak arma models
Get PDFNumerous time series admit "weak" autoregressive-moving average (ARMA) representations, in which the errors are uncorrelated but not necessarily independent nor martingale differences. The statistical inference of this general class of models requires the estimation of generalized Fisher information matrices. We give analytic expressions and propose consistent estimators of these matrices, at any point of the parameter space. Our results are illustrated by means of Monte Carlo experiments and by analyzing the dynamics of daily returns and squared daily returns of financial series.Asymptotic relative efficiency (ARE); Bahadur's slope; Information matrices; Lagrange Multiplier test; Nonlinear processes; Wald test; Weak ARMA models
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models
Get PDFIn this note we suggest a new iterative least squares method for estimating scalar and vector ARMA models. A Monte Carlo study shows that the method has better small sample properties than existing least squares methods and compares favourably with maximum likelihood estimation as well.ARMA models
Some Computational Aspects of Gaussian CARMA Modelling
Get PDFRepresentation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.CARMA, maximum-likelihood, spectrum, Kalman filter, computation
Model selection criteria and quadratic discrimination in ARMA and SETAR time series models
Get PDFWe show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria. Also this approach suggest a different definition of expected likelihood that the one proposed by Akaike. This approach leads to including a correction term in the criteria which does not modify their large sample performance but can produce significant improvement in the performance of the criteria in small samples. Thus we propose a family of criteria which generalizes the commonly used model selection criteria. These ideas can be extended to self exciting autoregressive models (SETAR) and we generalize the proposed approach for these non linear time series models. A Monte-Carlo study shows that this family improves the finite sample performance of criteria such as AIC, corrected AIC and BIC, for ARMA models, and AIC, corrected AIC, BIC and some cross-validation criteria for SETAR models. In particular, for small and medium sample size the frequency of selecting the true model improves for the consistent criteria and the root mean square error of prediction improves for the efficient criteria. These results are obtained for both linear ARMA models and SETAR models in which we assume that the threshold and the parameters are unknown
MODEL SELECTION CRITERIA AND QUADRATIC DISCRIMINATION IN ARMA AND SETAR TIME SERIES MODELS
Get PDFWe show that analyzing model selection in ARMA time series models as a quadratic discrimination problem provides a unifying approach for deriving model selection criteria. Also this approach suggest a different definition of expected likelihood that the one proposed by Akaike. This approach leads to including a correction term in the criteria which does not modify their large sample performance but can produce significant improvement in the performance of the criteria in small samples. Thus we propose a family of criteria which generalizes the commonly used model selection criteria. These ideas can be extended to self exciting autoregressive models (SETAR) and we generalize the proposed approach for these non linear time series models. A Monte-Carlo study shows that this family improves the finite sample performance of criteria such as AIC, corrected AIC and BIC, for ARMA models, and AIC, corrected AIC, BIC and some cross-validation criteria for SETAR models. In particular, for small and medium sample size the frequency of selecting the true model improves for the consistent criteria and the root mean square error of prediction improves for the efficient criteria. These results are obtained for both linear ARMA models and SETAR models in which we assume that the threshold and the parameters are unknown.
Numerical simulations of sanding under different stress regimes
No full textLaboratory experiments of sand production conducted under true-triaxial stress conditions were simulated numerically using ABAQUS program. The experiments were performed in a true-triaxial stress cell on 100×100×100 mm3 cubes of synthetic sandstones. Two and three dimensional numerical analyses were conducted to investigate the impact of the magnitude of far-field intermediated principal stress and pore pressure on the failure in the vicinity of a borehole. Different stress boundary conditions were modeled for this purpose. The results provide a better understanding on how the stress anisotropy may have an impact on borehole failure and sand production mechanism. The simulation was used as a tool to optimize and plan the future tests conducted in the laboratory on cube samples. The results of the numerical models will be presented and interpreted
Experimental Investigation of Hydraulic Fracturing in Vertical and Horizontal Perforated Boreholes
No full textIn this study, scaled hydraulic fracturing tests are conducted on 10 and 15 cm cubical mortar samples. The importance of scaled fracturing tests should be highlighted as the results of non-field-like fracturing tests cannot be compared with or used for actual fracturing operation. Three independent principal stresses were applied to the samples using a True Tri-axial Stress Cell (TTSC). The hole and perforations were made into the sample after casting and curing were completed. Various scenarios of vertical and horizontal wells and in-situ stress regimes were modeled. These two factors play a significant role in fracture initiation and near wellbore propagation parameters; however they are not independent from each other and should be analyzed simultaneously. The results showed that when the least stress component is perpendicular to the axis of the perforations, less fracturing pressures would be required. It is also shown that, even when the cement sheath is failed, the orientation of the perforations affects the fracturing process noticeably. Furthermore, it was found that stress anisotropy influences the fracturing mechanism in a perforated borehole, and affects the geometry of the fracture close to the wellbore
A hydraulic specific energy performance indicator for coiled tube turbodrilling
No full textEfficient drilling of hard rocks in mineral exploration requires a comprehensive knowledge of the energy spent at the bit. The use of mechanical specific energy (MSE) proposed in the past for drilling performance studies does not consider the impact of fluid hydraulics and therefore the concept of Drilling Specific Energy (DSE) was later developed to apply the hydraulics parameters into the drilling performance optimization. With respect to the purpose of mineral exploration, coiled tube (CT) Turbodrilling has been proposed recently for deep hard rocks mineral exploration applications, with several advantages over conventional drilling methods. Coiled tube (CT) is a continuous pipe and consequently a downhole motor is needed to provide rotation and mechanical power to the bit. If DSE is to be used as a drilling performance indicator when downhole motors are part of the bottom hole assembly (BHA) it should be modified in such a way that it includes motor specifications in the calculations. In this paper, a methodology is presented for performance optimization in CT Turbodrilling with respect to specific energy performance models. As a result, a hydraulic specific energy performance indicator is defined for CT Turbodrilling in hard rocks mineral exploration
The effect of stress anisotropy on sanding: An experimental study
No full textSand production experiments were carried out under true-triaxial stress conditions. The experiments were conducted on 100×100×100 mm3 cubes of synthetically made samples. The samples were prepared based on an established procedure developed in the laboratory to produce samples with identical physico-mechanical properties and representing weakly consolidated sandstone. Using a true-triaxial stress cell (TTSC), the samples were subjected to 3D boundary stresses and radial fluid flow from the boundaries. The fluid flows through the sample uniformly and discharges from a hole drilled at the center of the sample. The experiment setup and procedure are explained in detail in this paper. The experiments were performed under three different states of stress to study the effect of the intermediate principal stress (in this study, the minimum lateral stress) on the development of the failure zone. The dimension (i.e. width and depth) of the failure zone developed around the borehole were investigated at the end of the experiments. The results of these experiments will be presented and discussed
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