Inverse Estimation Method of Material Randomness Using Observation

Total Page:16

File Type:pdf, Size:1020Kb

Inverse Estimation Method of Material Randomness Using Observation crystals Article Inverse Estimation Method of Material Randomness Using Observation Dae-Young Kim 1, Pawel Sikora 2,3 , Krystyna Araszkiewicz 3 and Sang-Yeop Chung 1,* 1 Department of Civil and Environmental Engineering, Sejong University, 209 Neungdong-ro, Gwangjin-gu, Seoul 05006, Korea; [email protected] 2 Building Materials and Construction Chemistry, Technische Universität Berlin, Gustav-Meyer-Allee 25, 13355 Berlin, Germany; [email protected] 3 Faculty of Civil Engineering and Architecture, West Pomeranian University of Technology Szczecin, Al. Piastow 50, 70-311 Szczecin, Poland; [email protected] * Correspondence: [email protected]; Tel.: +82-2-6935-2471 Received: 16 April 2020; Accepted: 15 June 2020; Published: 16 June 2020 Abstract: This study proposes a method for inversely estimating the spatial distribution characteristic of a material’s elastic modulus using the measured value of the observation data and the distance between the measurement points. The structural factors in the structural system possess temporal and spatial randomness. One of the representative structural factors, the material’s elastic modulus, possesses temporal and spatial randomness in the stiffness of the plate structure. The structural factors with randomness are typically modeled as having a certain probability distribution (probability density function) and a probability characteristic (mean and standard deviation). However, this method does not consider spatial randomness. Even if considered, the existing method presents limitations because it does not know the randomness of the actual material. To overcome the limitations, we propose a method to numerically define the spatial randomness of the material’s elastic modulus and confirm factors such as response variability and response variance. Keywords: Bayesian updating; spatial randomness; uncertainty; correlation distance; stochastic field 1. Introduction Research toward the development and incorporation of new building materials in modern engineering structures in order to meet sustainability goals has gathered substantial attention in recent years. Various new cement-based composites have been investigated including lightweight materials (foamed concrete and lightweight aggregates concretes) [1], pervious concretes [2], nano-modified, and self-cleaning materials [3,4]. However, due to the relatively higher production costs of modern building materials than in the case of conventional ones, it is still imperative to find a solution to support the simulating techniques and their accuracy toward decreasing the number of site trials, thus reducing the costs and environmental impact of material. In general, structural material analysis can be classified into a deterministic or a probabilistic method [5]. The deterministic method uses finite element analysis (FEA) considering the material properties, geometry, and forces. In other words, the various internal and external factors that can exist in a structure are represented by constants. However, these factors are all assumptions, and in the case of actual structures, it would be more reasonable to assume that the factors have different values depending on the position vector in the structural domain. The probabilistic method assumes that the structure possesses arbitrary material properties, loads, and geometries, and generates a random sample with some statistical characteristics. A deterministic FEA is repeatedly performed on the generated samples to obtain the characteristic behavior of Crystals 2020, 10, 512; doi:10.3390/cryst10060512 www.mdpi.com/journal/crystals CrystalsCrystals2020 2020,,10 10,, 512x FOR PEER REVIEW 22 ofof 1716 deterministic FEA is repeatedly performed on the generated samples to obtain the characteristic thebehavior structure of the [6, 7structure]. Structural [6,7]. uncertainty, Structural inuncertai termsnty, of numerical in terms of considerations, numerical considerations, can be classified can asbe intrinsic,classified measurement, as intrinsic, measurement, and statistical and uncertainty, statistical or uncertainty, uncertainty or in theuncertainty mathematical in the model mathematical [8,9]. In eachmodel case, [8,9]. the In measurement each case, the uncertainty measurement is that uncertainty involved is in that establishing involved uncertainty in establishing factors uncertainty through experiments.factors through Experimental experiments. and Experimental statistical uncertainty and statisti iscal that uncertainty obtained is due that to obtained the lack due of data to the due lack to limitedof data timedue andto limited space information.time and space Uncertainty informatio inn. the Uncertainty mathematical in modelthe mathematical implies uncertainty model implies due to theuncertainty difference due between to the the difference actual model between of the the uncertainty actual model coeffi ofcient the anduncertainty the simulated coefficient mathematical and the model.simulated Intrinsic mathematical uncertainty model. is an Intrinsic uncertainty uncertainty in the structural is an uncertainty material, geometric in the structural factors expressing material, thegeometric shape of factors structures, expressing and applied the shape loads of [10structur,11]. Thesees, and uncertainties applied loads are [10,11]. generally These considered, uncertainties both inare the generally actual behavior considered, of the both structure in the andactual in thebehavior reliability of the analysis. structure Among and in them, the thereliability stochastic analysis. finite elementAmong methodthem, the (SFEM) stochastic is mainly finite focused element on the method intrinsic (SFEM) uncertainty is mainly with the focused greatest influence.on the intrinsic SFEM isuncertainty a combination with ofthe a greatest stochastic influence. method SFEM and FEM. is a combination The purpose of of a SFEM stochastic is to estimatemethod and the uncertainFEM. The responsepurpose of variation SFEM is of to the estimate structure the with uncertain respect response to the spatial variation and temporalof the structure randomness with respect of the factors to the inspatial the structural and temporal system randomness [12,13]. SFEM of the is divided factors in into the statistical structural and system non-statistical [12,13]. SFEM methods is divided in terms into of analyticalstatistical methodology.and non-statistical methods in terms of analytical methodology. ThereThere areare manymany analyticalanalytical methodsmethods suchsuch asas thethe K-LK-L ExpansionExpansion [[14],14], PolynomialPolynomial ChaosChaos ExpansionExpansion [[15],15], perturbationperturbation methodsmethods [[16],16], andand thethe weightedweighted integrationintegration methodmethod thatthat isis basedbased onon non-statisticalnon-statistical methodsmethods [ 17[17–22].–22]. However, However, the the non-statistical non-statistical method method is mainly is mainly based based on the on first-order the first- expansionorder expansion or the second-orderor the second-order series expansionseries expansio for then for main the variablesmain variables and is and applicable is applicable only when only thewhen coe thefficient coefficient of variation of variation (COV) (COV) of the of stochastic the stochastic fields fields is low is [low23]. [23]. In fact, In fact, when when COV COV (=σ /(=µσ/μ) of) theof the stochastic stochastic field field is large,is large, it isit is accurate accurate and and shows shows a a significant significant di differencefference from fromthe the Monte-CarloMonte-Carlo simulationsimulation (MCS).(MCS). TheThe MCS,MCS, whichwhich isis aa representative statisticalstatistical method,method, hashas thethe advantageadvantage ofof providingproviding aa solutionsolution toto mostmost stochasticstochastic problems.problems. However, toto obtainobtain a MCS with high eefficiencyfficiency and accuracy, aa properproper algorithmalgorithm and considerable time time is is also also required required for for analysis. analysis. This This study study focuses focuses on onestimating estimating the thespatial spatial randomness randomness of materials of materials through through observation observation (partial (partial elastic elastic modulus) modulus) and and overcoming overcoming the thelimitations limitations of the of theexisting existing statistical statistical methods. methods. For Forthisthis purpose, purpose, a method a method to numerically to numerically define define the thespatial spatial randomness randomness of ofthe the material’s material’s elastic elastic modu moduluslus was was proposed, proposed, and and the the obtained obtained results werewere demonstrateddemonstrated usingusing factorsfactors suchsuch asas responseresponse variabilityvariability andand responseresponse variance.variance. 2. Disadvantage of Current Statistical Methods 2. Disadvantage of Current Statistical Methods 2.1. Statistical Methods without Considering Spatial Randomness 2.1. Statistical Methods without Considering Spatial Randomness In the current statistical method, the target random variable, which is the elastic modulus, is In the current statistical method, the target random variable, which is the elastic modulus, is assumed to be a normal distribution (N(µ, σ)). In this case, a random process satisfying a specific normal assumed to be a normal distribution (N(μ, σ)). In this case, a random process satisfying a specific normal distribution is generated as a pseudo time process (here, the random variable satisfies rt = r(t), t
Recommended publications
  • 3 Autocorrelation
    3 Autocorrelation Autocorrelation refers to the correlation of a time series with its own past and future values. Autocorrelation is also sometimes called “lagged correlation” or “serial correlation”, which refers to the correlation between members of a series of numbers arranged in time. Positive autocorrelation might be considered a specific form of “persistence”, a tendency for a system to remain in the same state from one observation to the next. For example, the likelihood of tomorrow being rainy is greater if today is rainy than if today is dry. Geophysical time series are frequently autocorrelated because of inertia or carryover processes in the physical system. For example, the slowly evolving and moving low pressure systems in the atmosphere might impart persistence to daily rainfall. Or the slow drainage of groundwater reserves might impart correlation to successive annual flows of a river. Or stored photosynthates might impart correlation to successive annual values of tree-ring indices. Autocorrelation complicates the application of statistical tests by reducing the effective sample size. Autocorrelation can also complicate the identification of significant covariance or correlation between time series (e.g., precipitation with a tree-ring series). Autocorrelation implies that a time series is predictable, probabilistically, as future values are correlated with current and past values. Three tools for assessing the autocorrelation of a time series are (1) the time series plot, (2) the lagged scatterplot, and (3) the autocorrelation function. 3.1 Time series plot Positively autocorrelated series are sometimes referred to as persistent because positive departures from the mean tend to be followed by positive depatures from the mean, and negative departures from the mean tend to be followed by negative departures (Figure 3.1).
    [Show full text]
  • The Bayesian Approach to Statistics
    THE BAYESIAN APPROACH TO STATISTICS ANTHONY O’HAGAN INTRODUCTION the true nature of scientific reasoning. The fi- nal section addresses various features of modern By far the most widely taught and used statisti- Bayesian methods that provide some explanation for the rapid increase in their adoption since the cal methods in practice are those of the frequen- 1980s. tist school. The ideas of frequentist inference, as set out in Chapter 5 of this book, rest on the frequency definition of probability (Chapter 2), BAYESIAN INFERENCE and were developed in the first half of the 20th century. This chapter concerns a radically differ- We first present the basic procedures of Bayesian ent approach to statistics, the Bayesian approach, inference. which depends instead on the subjective defini- tion of probability (Chapter 3). In some respects, Bayesian methods are older than frequentist ones, Bayes’s Theorem and the Nature of Learning having been the basis of very early statistical rea- Bayesian inference is a process of learning soning as far back as the 18th century. Bayesian from data. To give substance to this statement, statistics as it is now understood, however, dates we need to identify who is doing the learning and back to the 1950s, with subsequent development what they are learning about. in the second half of the 20th century. Over that time, the Bayesian approach has steadily gained Terms and Notation ground, and is now recognized as a legitimate al- ternative to the frequentist approach. The person doing the learning is an individual This chapter is organized into three sections.
    [Show full text]
  • A Review of Graph and Network Complexity from an Algorithmic Information Perspective
    entropy Review A Review of Graph and Network Complexity from an Algorithmic Information Perspective Hector Zenil 1,2,3,4,5,*, Narsis A. Kiani 1,2,3,4 and Jesper Tegnér 2,3,4,5 1 Algorithmic Dynamics Lab, Centre for Molecular Medicine, Karolinska Institute, 171 77 Stockholm, Sweden; [email protected] 2 Unit of Computational Medicine, Department of Medicine, Karolinska Institute, 171 77 Stockholm, Sweden; [email protected] 3 Science for Life Laboratory (SciLifeLab), 171 77 Stockholm, Sweden 4 Algorithmic Nature Group, Laboratoire de Recherche Scientifique (LABORES) for the Natural and Digital Sciences, 75005 Paris, France 5 Biological and Environmental Sciences and Engineering Division (BESE), King Abdullah University of Science and Technology (KAUST), Thuwal 23955, Saudi Arabia * Correspondence: [email protected] or [email protected] Received: 21 June 2018; Accepted: 20 July 2018; Published: 25 July 2018 Abstract: Information-theoretic-based measures have been useful in quantifying network complexity. Here we briefly survey and contrast (algorithmic) information-theoretic methods which have been used to characterize graphs and networks. We illustrate the strengths and limitations of Shannon’s entropy, lossless compressibility and algorithmic complexity when used to identify aspects and properties of complex networks. We review the fragility of computable measures on the one hand and the invariant properties of algorithmic measures on the other demonstrating how current approaches to algorithmic complexity are misguided and suffer of similar limitations than traditional statistical approaches such as Shannon entropy. Finally, we review some current definitions of algorithmic complexity which are used in analyzing labelled and unlabelled graphs. This analysis opens up several new opportunities to advance beyond traditional measures.
    [Show full text]
  • Introduction to Bayesian Inference and Modeling Edps 590BAY
    Introduction to Bayesian Inference and Modeling Edps 590BAY Carolyn J. Anderson Department of Educational Psychology c Board of Trustees, University of Illinois Fall 2019 Introduction What Why Probability Steps Example History Practice Overview ◮ What is Bayes theorem ◮ Why Bayesian analysis ◮ What is probability? ◮ Basic Steps ◮ An little example ◮ History (not all of the 705+ people that influenced development of Bayesian approach) ◮ In class work with probabilities Depending on the book that you select for this course, read either Gelman et al. Chapter 1 or Kruschke Chapters 1 & 2. C.J. Anderson (Illinois) Introduction Fall 2019 2.2/ 29 Introduction What Why Probability Steps Example History Practice Main References for Course Throughout the coures, I will take material from ◮ Gelman, A., Carlin, J.B., Stern, H.S., Dunson, D.B., Vehtari, A., & Rubin, D.B. (20114). Bayesian Data Analysis, 3rd Edition. Boco Raton, FL, CRC/Taylor & Francis.** ◮ Hoff, P.D., (2009). A First Course in Bayesian Statistical Methods. NY: Sringer.** ◮ McElreath, R.M. (2016). Statistical Rethinking: A Bayesian Course with Examples in R and Stan. Boco Raton, FL, CRC/Taylor & Francis. ◮ Kruschke, J.K. (2015). Doing Bayesian Data Analysis: A Tutorial with JAGS and Stan. NY: Academic Press.** ** There are e-versions these of from the UofI library. There is a verson of McElreath, but I couldn’t get if from UofI e-collection. C.J. Anderson (Illinois) Introduction Fall 2019 3.3/ 29 Introduction What Why Probability Steps Example History Practice Bayes Theorem A whole semester on this? p(y|θ)p(θ) p(θ|y)= p(y) where ◮ y is data, sample from some population.
    [Show full text]
  • Autocorrelation
    Autocorrelation David Gerbing School of Business Administration Portland State University January 30, 2016 Autocorrelation The difference between an actual data value and the forecasted data value from a model is the residual for that forecasted value. Residual: ei = Yi − Y^i One of the assumptions of the least squares estimation procedure for the coefficients of a regression model is that the residuals are purely random. One consequence of randomness is that the residuals would not correlate with anything else, including with each other at different time points. A value above the mean, that is, a value with a positive residual, would contain no information as to whether the next value in time would have a positive residual, or negative residual, with a data value below the mean. For example, flipping a fair coin yields random flips, with half of the flips resulting in a Head and the other half a Tail. If a Head is scored as a 1 and a Tail as a 0, and the probability of both Heads and Tails is 0.5, then calculate the value of the population mean as: Population Mean: µ = (0:5)(1) + (0:5)(0) = :5 The forecast of the outcome of the next flip of a fair coin is the mean of the process, 0.5, which is stable over time. What are the corresponding residuals? A residual value is the difference of the corresponding data value minus the mean. With this scoring system, a Head generates a positive residual from the mean, µ, Head: ei = 1 − µ = 1 − 0:5 = 0:5 A Tail generates a negative residual from the mean, Tail: ei = 0 − µ = 0 − 0:5 = −0:5 The error terms of the coin flips are independent of each other, so if the current flip is a Head, or if the last 5 flips are Heads, the forecast for the next flip is still µ = :5.
    [Show full text]
  • Mild Vs. Wild Randomness: Focusing on Those Risks That Matter
    with empirical sense1. Granted, it has been Mild vs. Wild Randomness: tinkered with using such methods as Focusing on those Risks that complementary “jumps”, stress testing, regime Matter switching or the elaborate methods known as GARCH, but while they represent a good effort, Benoit Mandelbrot & Nassim Nicholas Taleb they fail to remediate the bell curve’s irremediable flaws. Forthcoming in, The Known, the Unknown and the The problem is that measures of uncertainty Unknowable in Financial Institutions Frank using the bell curve simply disregard the possibility Diebold, Neil Doherty, and Richard Herring, of sharp jumps or discontinuities. Therefore they editors, Princeton: Princeton University Press. have no meaning or consequence. Using them is like focusing on the grass and missing out on the (gigantic) trees. Conventional studies of uncertainty, whether in statistics, economics, finance or social science, In fact, while the occasional and unpredictable have largely stayed close to the so-called “bell large deviations are rare, they cannot be dismissed curve”, a symmetrical graph that represents a as “outliers” because, cumulatively, their impact in probability distribution. Used to great effect to the long term is so dramatic. describe errors in astronomical measurement by The good news, especially for practitioners, is the 19th-century mathematician Carl Friedrich that the fractal model is both intuitively and Gauss, the bell curve, or Gaussian model, has computationally simpler than the Gaussian. It too since pervaded our business and scientific culture, has been around since the sixties, which makes us and terms like sigma, variance, standard deviation, wonder why it was not implemented before. correlation, R-square and Sharpe ratio are all The traditional Gaussian way of looking at the directly linked to it.
    [Show full text]
  • Random Variables and Applications
    Random Variables and Applications OPRE 6301 Random Variables. As noted earlier, variability is omnipresent in the busi- ness world. To model variability probabilistically, we need the concept of a random variable. A random variable is a numerically valued variable which takes on different values with given probabilities. Examples: The return on an investment in a one-year period The price of an equity The number of customers entering a store The sales volume of a store on a particular day The turnover rate at your organization next year 1 Types of Random Variables. Discrete Random Variable: — one that takes on a countable number of possible values, e.g., total of roll of two dice: 2, 3, ..., 12 • number of desktops sold: 0, 1, ... • customer count: 0, 1, ... • Continuous Random Variable: — one that takes on an uncountable number of possible values, e.g., interest rate: 3.25%, 6.125%, ... • task completion time: a nonnegative value • price of a stock: a nonnegative value • Basic Concept: Integer or rational numbers are discrete, while real numbers are continuous. 2 Probability Distributions. “Randomness” of a random variable is described by a probability distribution. Informally, the probability distribution specifies the probability or likelihood for a random variable to assume a particular value. Formally, let X be a random variable and let x be a possible value of X. Then, we have two cases. Discrete: the probability mass function of X specifies P (x) P (X = x) for all possible values of x. ≡ Continuous: the probability density function of X is a function f(x) that is such that f(x) h P (x < · ≈ X x + h) for small positive h.
    [Show full text]
  • Algorithmic Information Theory and Novelty Generation
    Computational Creativity 2007 Algorithmic Information Theory and Novelty Generation Simon McGregor Centre for Research in Cognitive Science University of Sussex, UK [email protected] Abstract 100,000 digits in the binary expansion of π can be gener- ated by a program far shorter than 100,000 bits. A string This paper discusses some of the possible contributions of consisting of the binary digit 1 repeated 1,000 times can be algorithmic information theory, and in particular the cen- generated by a program shorter than 1,000 bits. However, tral notion of data compression, to a theoretical exposition it can be shown (Li and Vitanyi, 1997) that most strings of computational creativity and novelty generation. I note are incompressible, i.e. they cannot be generated by a pro- that the formalised concepts of pattern and randomness gram shorter than themselves. Consequently, if you flip due to algorithmic information theory are relevant to com- a perfectly random coin 100,000 times, the likelihood is puter creativity, briefly discuss the role of compression that the sequence of heads and tails you obtain cannot be in machine learning theory and present a general model described by a program shorter than 100,000 bits. In algo- for generative algorithms which turns out to be instanti- rithmic information theory a string is described as random ated by decompression in a lossy compression scheme. I if and only if it is incompressible. also investigate the concept of novelty using information- Note that randomness in algorithmic information the- theoretic tools and show that a purely “impersonal” formal ory applies to strings, and not to the physical processes notion of novelty is inadequate; novelty must be defined which generate those strings.
    [Show full text]
  • Random Numbers and the Central Limit Theorem
    Random numbers and the central limit theorem Alberto García Javier Junquera Bibliography No se puede mostrar la imagen en este momento. Cambridge University Press, Cambridge, 2002 ISBN 0 521 65314 2 Physical processes with probabilistic character Certain physical processes do have a probabilistic character Desintegration of atomic nuclei: Brownian movement of a particle in a liquid: The dynamic (based on Quantum We do not know in detail the Mechanics) is strictly probabilistic dynamical variables of all the particles involved in the problem We need to base our knowledge in new laws that do not rely on dynamical variables with determined values, but with probabilistic distributions Starting from the probabilistic distribution, it is possible to obtain well defined averages of physical magnitudes, especially if we deal with very large number of particles The stochastic oracle Computers are (or at least should be) totally predictible Given some data and a program to operate with them, the results could be exactly reproduced But imagine, that we couple our code with a special module that generates randomness program randomness real :: x $<your compiler> -o randomness.x randomness.f90 do $./randomness call random_number(x) print "(f10.6)" , x enddo end program randomness The output of the subroutine randomness is a real number, uniformly distributed in the interval "Anyone who considers arithmetical methods of producing random digits is, of course, in a state of sin.” (John von Neumann) Probability distribution The subroutine “random number”
    [Show full text]
  • Subjective Randomness and Natural Scene Statistics
    Psychonomic Bulletin & Review 2010, 17 (5), 624-629 doi:10.3758/PBR.17.5.624 BRIEF REPORTS Subjective randomness and natural scene statistics ANNE S. HSU University College London, London, England TH OM A S L. GRIFFIT H S University of California, Berkeley, California A ND ET ha N SC H REI B ER University of California, Los Angeles, California Accounts of subjective randomness suggest that people consider a stimulus random when they cannot detect any regularities characterizing the structure of that stimulus. We explored the possibility that the regularities people detect are shaped by the statistics of their natural environment. We did this by testing the hypothesis that people’s perception of randomness in two-dimensional binary arrays (images with two levels of intensity) is inversely related to the probability with which the array’s pattern would be encountered in nature. We estimated natural scene probabilities for small binary arrays by tabulating the frequencies with which each pattern of cell values appears. We then conducted an experiment in which we collected human randomness judgments. The results show an inverse relationship between people’s perceived randomness of an array pattern and the prob- ability of the pattern appearing in nature. People are very sensitive to deviations from their expec- dimensional binary arrays used in many subjective ran- tations about randomness. For example, the game Yahtzee domness experiments, explanations are more difficult to involves repeatedly rolling 5 six-sided dice. If you were to come by. A common finding in these experiments is that roll all sixes 6 times in a row, you would probably be quite people consider arrays in which cells take different values surprised.
    [Show full text]
  • Randomness, Predictability, and Complexity in Repeated Interactions V0.02 Preliminary Version, Please Do Not Cite
    Randomness, Predictability, and Complexity in Repeated Interactions v0.02 Preliminary version, please do not cite. Shuige Liua, Zsombor Z. Meder´ b,∗ aFaculty of Political Science and Economics, Waseda University, 1-6-1, Nishi-Waseda, Shinjuku-Ku, 169-8050, Tokyo, Japan. bHumanities, Arts and Social Sciences, Singapore University of Technology and Design, 8 Sompah Road, 487372 Singapore. Abstract Nash equilibrium often requires players to adopt a mixed strategy, i.e., a randomized choice between pure strategies. Typically, the player is asked to use some randomizing device, and the story usually ends here. In this paper, we will argue that: (1) Game theory needs to give an account of what counts as a random sequence (of behavior); (2) from a game-theoretic perspective, a plausible account of randnomness is given by algorithmic complexity theory, and, in particular, the complexity measure proposed by Kolmogorov; (3) in certain contexts, strategic reasoning amounts to modelling the opponent’s mind as a Turing machine; (4) this account of random behavior also highlights some interesting aspects on the nature of strategic thinking. Namely, it indicates that it is an art, in the sense that it cannot be reduced to following an algorithm. Keywords: repeated games, mixed strategy, Kolmogorov complexity, Turing machine. JEL: C72, C73. IThe authors gratefully acknowledge the support of Grant-in-Aids for Young Scientists (B) of JSPS No. 17K13707, Grant for Special Research Project No. 2017K-016 of Waseda University, and Start-up Research Grant SRHA 15-110 of the Singapore University of Technology and Design. ∗Corresponding author Email addresses: [email protected] (Shuige Liu), [email protected] (Zsombor Z.
    [Show full text]
  • Lecture 15 Autocorrelation in Time Series Stationarity If the Time Series Is Normally Distributed Then Strictly Stationary
    Lecture 15 Autocorrelation in Time Series Stationarity If the time series is normally distributed then strictly stationary and weekly stationary time series are considered equivalent. Autocorrelation The autocorrelation (Box and Jenkins, 1976) function can be used for the following two purposes: 1. To detect non-randomness in data. 2. To identify an appropriate time series model if the data are not random. Definition Given measurements, Y1, Y2, ..., YN at time X1, X2, ..., XN, the lag k autocorrelation function is defined as ͯ& Ŭ Ŭ ∑$Ͱͥ ʚ͓$ − ͓ʛʚ͓$ͮ& − ͓ʛ ͦ& = ͦ ∑ ʚ͓$ − ͓Ŭʛ Although the time variable, X, is not used in the formula$Ͱͥ for autocorrelation, the assumption is that the observations are equi-spaced. Autocorrelation is a correlation coefficient. However, instead of correlation between two different variables, the correlation is between two values of the same variable at times Xi and Xi+k . When the autocorrelation is used to detect non-randomness, it is usually only the first (lag 1) autocorrelation that is of interest. When the autocorrelation is used to identify an appropriate time series model, the autocorrelations are usually plotted for many lags. Sample Output Dataplot generated the following autocorrelation output using the data set: The lag-one autocorrelation coefficient of the 200 observations = -0.3073 The computed value of the constant a = -0.3073 lag autocorrelation 12. -0.55 25. -0.66 38. -0.64 0. 1.00 13. 0.73 26. 0.42 39. 0.08 1. -0.31 14. 0.07 27. 0.39 40. 0.58 2. -0.74 15. -0.76 28.
    [Show full text]