A new time-varying autoregressive (TVAR) modelling approach is proposed for nonstationary signal processing and analysis, with application to EEG data modelling and power spectral estimation. In the new parametric modelling framework, the time-dependent coefficients of the TVAR model are represented using a novel multi-wavelet decomposition scheme. The timevarying modelling problem is then redu...

A unified approach is proposed for sparse kernel data modelling that includes regression and classification as well as probability density function estimation. The orthogonal-least-squares forward selection method based on the leave-one-out test criteria is presented within this unified data-modelling framework to construct sparse kernel models that generalise well. Examples from regression, cl...

Within the Canadian Department of National Defence, a prototype civilian workforce simulation model was developed for the modelling and analysis of one particular occupational group, the Purchasing and Supply (PG) Group. The model was developed to explore workforce modelling techniques for the civilian workforce with the intention of potentially modifying it for analyses of other occupational g...

This paper develops a model of activity and trip scheduling that combines three elements that have to date mostly been investigated in isolation: the duration of activities, the time-of-day preference for activity participation and the effect of schedule delays on the valuation of activities. The model is an error component discrete choice model, describing individuals’ choice between alternati...

We consider hundreds of thousands of individual economic transactions to ask: how predictable are consumers in their merchant visitation patterns? Our results suggest that, in the long-run, much of our seemingly elective activity is actually highly predictable. Notwithstanding a wide range of individual preferences, shoppers share regularities in how they visit merchant locations over time. Yet...

The probabilistic fuzzy set (PFS) and the related probabilistic fuzzy logic system (PFLS) are designed for handling the uncertainties in both stochastic and nonstochastic nature. In this paper, a novel probabilistic fuzzy set is proposed by randomly varying widths of the Gaussian membership function. Then the related PFLS is constructed and applied to logistics manipulator system problem to stu...

This paper develops a model of activity and trip scheduling that combines three elements that have previously been investigated in isolation: the duration of activities, the time-of-day preference for activity participation and the effect of schedule delays on the valuation of activities. The model is in essence a GEV discrete choice model, describing individuals’ choice between alternative act...

This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipović, Overbeck and Schmidt (2009) to the case where the forward rates are driven by a finite dimensional Lévy process. The contribution of this work is twofold: we provide conditions for absence of arbitrage in this generalized framework. Furthermore, we ...