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A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables X and latent factors F, and a calibration equation that relates another set of observed variables Y with F and X. The latter equation is used to estimate the factors that are subsequently used in estimating the parameters of the VAR system. The FAVAR model has become popular in applied economic research, since it can summarize a large number of variables of interest as a few factors through the calibration equation and subsequently examine their influence on core variables of primary interest through the VAR equation. However, there is increasing need for examining lead-lag relationships between a large number of time series, while incorporating information from another high-dimensional set of variables. Hence, in this paper we investigate the FAVAR model under high-dimensional scaling. We introduce an appropriate identification constraint for the model parameters, which when incorporated into the formulated optimization problem yields estimates with good statistical properties. Further, we address a number of technical challenges introduced by the fact that estimates of the VAR system model parameters are based on estimated rather than directly observed quantities. The performance of the proposed estimators is evaluated on synthetic data. Further, the model is applied to commodity prices and reveals interesting and interpretable relationships between the prices and the factors extracted from a set of global macroeconomic indicators.
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Multi-sensor Corrosion Growth Modeling with Latent Variables Using Hierarchical Clustering and Vector Autoregression Model
Modeling corrosion growth for complex systems such as the oil refinery system is a major challenge since the corrosion process of oil and gas pipelines are inherently stochastic and depends on many factors including exposures to environmental conditions, operating conditions, and electrochemical reactions. Moreover, the number of sensors is usually limited, and sensor data are incomplete and scattering, which hinders the capability of capturing the corrosion growth behaviors. Therefore, this paper proposes Multi-sensor Corrosion Growth Model with Latent Variables to predict the corrosion growth process in oil refinery piping. The proposed model is a combination of the hierarchical clustering algorithm and the vector autoregression (VAR) model. The clustering algorithm aims to find the hidden (i.e., latent) data clusters of the measured time series data, from which the time series from the same cluster will be included in the VAR model to predict the corrosion depth from multiple sensors. The model can capture the relationship between sensor time series data and identify latent variables. A real case study of an oil refinery system, in which in-line inspection (ILI) data were collected, was utilized to validate model. Regarding corrosion growth prediction, the paper compared the prediction accuracy of VAR model with other three forms of power law model, which is widely accepted to expect the time-dependent depth of corrosion such as power function (PF), PF with initiation time of corrosion (PFIT), and PF with initiation time of corrosion and covariates (PFCOV). The results showed that VAR model has the lowest prediction error based on the mean absolute percentage error (MAPE) evaluation for test data. Finally, the proposed model is believed to be useful for dealing with a complex system that has a variety of corrosion growth behaviors, such as the oil refinery system, as well as it can be applied in other real-time applications.
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- Award ID(s):
- 2119691
- PAR ID:
- 10424993
- Date Published:
- Journal Name:
- 2023 Annual Reliability and Maintainability Symposium (RAMS)
- Page Range / eLocation ID:
- 1 to 6
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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null (Ed.)A factor-augmented vector autoregressive (FAVAR) model is defined by a VAR equation that captures lead-lag correlations amongst a set of observed variables X and latent factors F, and a calibration equation that relates another set of observed variables Y with F and X. The latter equation is used to estimate the factors that are subsequently used in estimating the parameters of the VAR system. The FAVAR model has become popular in applied economic research, since it can summarize a large number of variables of interest as a few factors through the calibration equation and subsequently examine their influence on core variables of primary interest through the VAR equation. However, there is increasing need for examining lead-lag relationships between a large number of time series, while incorporating information from another high-dimensional set of variables. Hence, in this paper we investigate the FAVAR model under high-dimensional scaling. We introduce an appropriate identification constraint for the model parameters, which when incorporated into the formulated optimization problem yields estimates with good statistical properties. Further, we address a number of technical challenges introduced by the fact that estimates of the VAR system model parameters are based on estimated rather than directly observed quantities. The performance of the proposed estimators is evaluated on synthetic data. Further, the model is applied to commodity prices and reveals interesting and interpretable relationships between the prices and the factors extracted from a set of global macroeconomic indicators.more » « less
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- Free Publicly Accessible Full Text
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Accepted Manuscript1.0
- Conference Paper:
- https://doi.org/10.1109/RAMS51473.2023.10088257
