Browsing by Author "Zhao, Xin"

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    Approximate dynamic factor models for mixed frequency data
    (2015-10-15) Zhao, Xin; Ensor, Katherine; Kimmel, Marek; Sizova, Natalia
    Time series observed at different temporal scales cannot be simultaneously analyzed by traditional multivariate time series methods. Adjustments must be made to address issues of asynchronous observations. For example, many macroeconomic time series are published quarterly and other price series are published monthly or daily. Common solutions to the analysis of asynchronous time series include data aggregation, mixed frequency vector autoregressive models, and factor models. In this research, I set up a systematic approach to the analysis of asynchronous multivariate time series based on an approximate dynamic factor model. The methodology treats observations of various temporal frequencies as contemporaneous series. A two-step model estimation and identification scheme is proposed. This method allows explicit structural restrictions that account for appropriate temporal ordering of the mixed frequency data. The methodology consistently estimates the dynamic factors, however, no prior knowledge on the factors is required. To ensure a computationally efficient robust algorithm and model specification, I make use of modern penalized likelihood methodologies. The fitted model captures the effects of temporal relationships across the asynchronous time series in an interpretable manner. The methodology is studied through simulation and applied to several examples. The simulations and examples demonstrate good performance in model specification, estimation and out-of-sample forecasting.
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    Effects of Stress on Failure Behavior of Shallow, Marine Muds from the Northern Gulf of Mexico
    (2014-06-18) Zhao, Xin; Dugan, Brandon; Morgan, Julia K.; Sawyer, Dale S.
    Direct simple shear (DSS) experiments on mud samples from 4.3-13.4 meters below sea floor (mbsf) document that stress impacts soil strength and pore pressure genesis during failure. As burial depth increases from 7.3 to 13.4 mbsf, cohesion decreases from 12.3 to 6.5 kPa and internal friction angle increases from 18° to 21°. For the same depth increase, peak shear strength increases from 30 to 63 kPa. For a specimen from 11.75 mbsf, an increase in maximum consolidation stress from 45 to 179 kPa results in an increase in the shear-induced pore pressure from 29 to 150 kPa. The normalized shear strength at peak shear, however, decreases from 0.37 to 0.25 over this consolidation range. Our results indicate that compaction induces a positive feedback on pore pressure genesis. This feedback suggests an increase in failure potential during burial at shallow depth. To further understand the physical controls on this behavior, we complete DSS experiments on resedimented samples to erase stress history and sediment fabric. For the resedimented samples, cohesion is 3.2 kPa and internal friction angle is 24°. An increase in maximum consolidation stress from 40 to 254 kPa results in an increase in the peak shear strength from 14 to 91 kPa and an increase in the shear-induced pore pressure from 22 to 203 kPa; however, the normalized shear strength at peak shear decreases from 0.32 to 0.28. Resedimented samples show similar strength and failure behavior to intact samples. By constraining pore pressure and strength response to initial stress state and fabric, we are beginning to gain better insight on slope failure dynamics. Thus, this study may provide constraints on submarine landslide risks by investigating impact of stress and sedimentary fabric on soil strength and pore pressure genesis during shear failure.