Search results for: estimates

Authors: Nicolae Pascu

Abstract:

Aside from being a fundamental tool in Complex analysis, Schwarz Lemma-which was finalized in its most complete form at the beginning of the last century-generated an important area of research in various fields of mathematics, which continues to advance even today. We present some properties of analytic functions in the half-plane which satisfy the conditions of the classical Schwarz Lemma (Carathéodory functions) and obtain a generalization of the well-known Aleksandrov-Sobolev Lemma for analytic functions in the half-plane (the correspondent of Schwarz-Pick Lemma from the unit disk). Using this Schwarz-type lemma, we obtain a characterization for the entire class of Carathéodory functions, which might be of independent interest. We prove two monotonicity properties for Carathéodory functions that do not depend upon their normalization at infinity (the hydrodynamic normalization). The method is based on conformal mapping arguments for analytic functions in the half-plane satisfying appropriate conditions, in the spirit of Schwarz lemma. According to the research findings in this paper, our main results give estimates for the modulus and the argument for the entire class of Carathéodory functions. As applications, we give several extensions of Julia-Wolf-Carathéodory Lemma in a half-strip and show that our results are sharp.

Keywords: schwarz lemma, Julia-wolf-caratéodory lemma, analytic function, normalization condition, caratéodory function

Procedia PDF Downloads 187

Authors: Tarek M. Alguhane, Ayman H. Khalil, M. N. Fayed, Ayman M. Ismail

Abstract:

The elastic period has a primary role in the seismic assessment of buildings. Reliable calculations and/or estimates of the fundamental frequency of a building and its site are essential during analysis and design process. Various code formulas based on empirical data are generally used to estimate the fundamental frequency of a structure. For existing structures, in addition to code formulas and available analytical tools such as modal analyses, various methods of testing including ambient and forced vibration testing procedures may be used to determine dynamic characteristics. In this study, the dynamic properties of the 32 buildings located in the Madinah of Saudi Arabia were identified using ambient motions recorded at several, spatially-distributed locations within each building. Ambient vibration measurements of buildings have been analyzed and the fundamental longitudinal and transverse periods for all tested buildings are presented. The fundamental mode of vibration has been compared in plots with codes formulae (Saudi Building Code, EC8, and UBC1997). The results indicate that measured periods of existing buildings are shorter than that given by most empirical code formulas. Recommendations are given based on the common design and construction practice in Madinah city.

Keywords: ambient vibration, fundamental period, RC buildings, infill walls

Procedia PDF Downloads 243

Authors: Adesola O. Orimoloye, Edward Gobina

Abstract:

Membrane separation technology is still considered as an emerging technology in the mining sector and does not yet have the widespread acceptance that it has in other industrial sectors. Underground Coal Gasification (UCG), wherein coal is converted to gas in-situ, is a safer alternative to mining method that retains all pollutants underground making the process environmentally friendly. In-situ combustion of coal for power generation allows access to more of the physical global coal resource than would be included in current economically recoverable reserve estimates. Where mining is no longer taking place, for economic or geological reasons, controlled gasification permits exploitation of the deposit (again a reaction of coal to form a synthesis gas) of coal seams in situ. The oxygen supply stage is one of the most expensive parts of any gasification project but the use of membranes is a potentially attractive approach for producing oxygen-enriched air. In this study, a variety of cost-effective membrane materials that gives an optimal amount of oxygen concentrations in the range of interest was designed and tested at diverse operating conditions. Oxygen-enriched atmosphere improves the combustion temperature but a decline is observed if oxygen concentration exceeds optimum. Experimental result also reveals the preparatory method, apparatus and performance of the fabricated membrane.

Keywords: membranes, oxygen-enrichment, gasification, coal

Procedia PDF Downloads 301

Authors: Niya Chen, Jennifer Chan

Abstract:

In the financial market, risk management helps to minimize potential loss and maximize profit. There are two ways to assess risks; the first way is to calculate the risk directly based on the volatility. The most common risk measurements are Value at Risk (VaR), sharp ratio, and beta. Alternatively, we could look at the quantile of the return to assess the risk. Popular return models such as GARCH and stochastic volatility (SV) focus on modeling the mean of the return distribution via capturing the volatility dynamics; however, the quantile/expectile method will give us an idea of the distribution with the extreme return value. It will allow us to forecast VaR using return which is direct information. The advantage of using these non-parametric methods is that it is not bounded by the distribution assumptions from the parametric method. But the difference between them is that expectile uses a second-order loss function while quantile regression uses a first-order loss function. We consider several quantile functions, different volatility measures, and estimates from some volatility models. To estimate the expectile of the model, we use Realized Conditional Autoregressive Expectile (CARE) model with the bayesian method to achieve this. We would like to see if our proposed models outperform existing models in cryptocurrency, and we will test it by using Bitcoin mainly as well as Ethereum.

Keywords: expectile, CARE Model, CARR Model, quantile, cryptocurrency, Value at Risk

Procedia PDF Downloads 89

Authors: Khaled M. Alqahtani

Abstract:

Copy number alterations (CNA) are variations in the structure of the genome, where certain regions deviate from the typical two chromosomal copies. These alterations are pivotal in understanding tumor progression and are indicative of patients' survival outcomes. However, effectively modeling patients' survival based on their genomic CNA profiles while identifying relevant genomic regions remains a statistical challenge. Various methods, such as the Cox proportional hazard (PH) model with ridge, lasso, or elastic net penalties, have been proposed but often overlook the inherent dependencies between genomic regions, leading to results that are hard to interpret. In this study, we enhance the elastic net penalty by incorporating an additional penalty that accounts for these dependencies. This approach yields smooth parameter estimates and facilitates variable selection, resulting in a sparse solution. Our findings demonstrate that this method outperforms other models in predicting survival outcomes, as evidenced by our simulation study. Moreover, it allows for a more meaningful interpretation of genomic regions associated with patients' survival. We demonstrate the efficacy of our approach using both real data from a lung cancer cohort and simulated datasets.

Keywords: copy number alterations, cox proportional hazard, lung cancer, regression, sparse solution

Procedia PDF Downloads 23

Authors: Arezoo Fallahi

Abstract:

We aimed at investigating the association between health beliefs and exercise behavior in infertile women who were at risk of developing osteoporosis. This cross-sectional study was conducted in Sanandaj city, west of Iran in 2018. From 35 comprehensive healthcare centers, 483 infertile women were included in the study through convenience sampling. Standardized face-to-face interviews were conducted using established, reliable instruments for the assessment of exercise behavior behavior and health beliefs. Logistic regression models were applied to assess the association between exercise behavior and health beliefs. Estimates were adjusted for age, job status, income, literacy, and duration and type of infertility. We reported estimated logits and Odds Ratios (OR) with corresponding 95% confidence intervals (95% CI). Employed women compared to housewives had substantially higher odds of adopting exercise behavior behaviors (OR=3.19, 95% CI=1.53-6.66, p<0.01). Moreover, the odds of exercise behavior adoption increased with self-efficacy (OR=1.35, 95% CI=1.20-1.52, p<0.01), and decreased with perceived barriers (OR=0.90, 95% CI=0.84-0.97, p<0.01). It is essential to increase perceived self-efficacy and reduce perceived barriers to promote EB in infertile women. Consequently, health professionals should develop or adopt appropriate strategies to decrease barriers and increase self-efficacy to enhance exercise behavior in this group of women.

Keywords: infertility, women, exercise, osteoporosis

Procedia PDF Downloads 54

Authors: M. M. Bagheri, G. Doudak, M. Gong

Abstract:

The in-plane rigidity of light frame diaphragms has been investigated by researchers due to the importance of this subsystem regarding lateral force distribution between the lateral force resisting system (LFRS). Where research has lacked is in evaluating the impact of out-of-plane raigidity of the diaphragm on the deflection of shear walls. This study aims at investigating the effect of the diaphragm on the behavior of wood light-frame shear walls, in particular its out-of-plane rigidity was simulated by modeling the floors as beam. The out of plane stiffness of the diaphragm was investigated for idealized (infinitely stiff or flexible) as well as “realistic”. The results showed reductions in the shear wall deflection in the magnitude of approximately 80% considering the out of plane rigidity of the diaphragm. It was also concluded that considering conservative estimates of out-of-plane stiffness might lead to a very significant reduction in deflection and that assuming the floor diaphragm to be infinitely rigid out of plan seems to be reasonable. For diaphragms supported on multiple panels, further reduction in the deflection was observed. More work, particularly at the experimental level, is needed to verify the finding obtained in the numerical investigation related to the effect of out of plane diaphragm stiffness.

Keywords: finite element analysis, lateral deflection, out-of-plane stiffness of the diaphragm, wood light-frame shear wall

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Authors: Mohammad Zamzam, Wesam Bachir, Imad Asaad

Abstract:

Several studies have produced estimates of Er:YAG laser parameters and specifications but there is still insufficient data for reliable selection of laser parameters. As a consequence, there is a heightened need for ideal specifications of Er:YAG laser to reduce the amount of enamel ablation. The objective of this paper is to investigate the influence of Er:YAG laser parameters, energy level and pulse duration, on orthodontic composite removal after bracket debonding. The sample consisted of 45 cuboids of orthodontic composite made by plastic moulds. The samples were divided into three groups, each was irradiated with Er:YAG laser set at different energy levels and three values for pulse durations (50 µs, 100 µs, and 300 µs). Geometrical parameters (depth and area) of cavities formed by laser irradiation were determined. ANCOVA test showed statistically significant difference (p < 0.0.5) between the groups indicating a potential effect of laser pulse duration on the geometrical parameters after controlling laser energy level. A post-hoc Bonferroni test ranked the 50µ Er:YAG laser pulse as the most influential factor for all geometrical parameters in removing remnant composite from enamel surface. Also, 300 mJ laser pulses caused the largest removal of the composite. The results of the present study demonstrated the efficacy of 50 µs and 300 mJ Er:YAG laser pulse for removal of remnant orthodontic composite.

Keywords: enamel, Er:YAG, geometrical parameters, orthodontic composite, remnant composite

Procedia PDF Downloads 530

Authors: Danielle M. Barna, Kolbjørn Engeland, Thordis Thorarinsdottir, Chong-Yu Xu

Abstract:

Design flood values give estimates of flood magnitude within a given return period and are essential to making adaptive decisions around land use planning, infrastructure design, and disaster mitigation. Often design flood values are needed at locations with insufficient data. Additionally, in hydrologic applications where flood retention is important (e.g., floodplain management and reservoir design), design flood values are required at different flood durations. A statistical approach to this problem is a development of a regression model for extremes where some of the parameters are dependent on flood duration in addition to being covariate-dependent. In hydrology, this is called a regional flood-duration-frequency (regional-QDF) model. Typically, the underlying statistical distribution is chosen to be the Generalized Extreme Value (GEV) distribution. However, as the support of the GEV distribution depends on both its parameters and the range of the data, special care must be taken with the development of the regional model. In particular, we find that the GEV is problematic when developing a GAMLSS-type analysis due to the difficulty of proposing a link function that is independent of the unknown parameters and the observed data. We discuss these challenges in the context of developing a regional QDF model for Norway.

Keywords: design flood values, bayesian statistics, regression modeling of extremes, extreme value analysis, GEV

Procedia PDF Downloads 57

Authors: Adesola O. Orimoloye, Edward Gobina

Abstract:

Membrane separation technology is still considered as an emerging technology in the mining sector and does not yet have the widespread acceptance that it has in other industrial sectors. Underground Coal Gasification (UCG), wherein coal is converted to gas in-situ, is a safer alternative to mining method that retains all pollutants underground making the process environmentally friendly. In-situ combustion of coal for power generation allows access to more of the physical global coal resource than would be included in current economically recoverable reserve estimates. Where mining is no longer taking place, for economic or geological reasons, controlled gasification permits exploitation of the deposit (again a reaction of coal to form a synthesis gas) of coal seams in situ. The oxygen supply stage is one of the most expensive parts of any gasification project but the use of membranes is a potentially attractive approach for producing oxygen-enriched air. In this study, a variety of cost-effective membrane materials that gives an optimal amount of oxygen concentrations in the range of interest was designed and tested at diverse operating conditions. Oxygen-enriched atmosphere improves the combustion temperature but a decline is observed if oxygen concentration exceeds optimum. Experimental result also reveals the preparatory method, apparatus and performance of the fabricated membrane.

Keywords: membranes, oxygen-enrichment, gasification, coal

Procedia PDF Downloads 441

Authors: Shibei Huang

Abstract:

In deep energy retrofits, the thermal performance of existing building envelopes is often difficult to determine with a high level of accuracy. For older buildings, the records of existing assemblies are often incomplete or inaccurate. To obtain greater baseline performance accuracy for energy models, in-field measurement tools can be used to obtain data on the thermal performance of the existing assemblies. For a known assembly, these field measurements assist in validating the U-factor estimates. If the field-measured U-factor consistently varies from the calculated prediction, those measurements prompt further study. For an unknown assembly, successful field measurements can provide approximate U-factor evaluation, validate assumptions, or identify anomalies requiring further investigation. Using case studies, this presentation will focus on the non-destructive methods utilizing a set of various field tools to validate the baseline U-factors for a range of existing buildings with various wall assemblies. The lessons learned cover what can be achieved, the limitations of these approaches and tools, and ideas for improving the validity of measurements. Key factors include the weather conditions, the interior conditions, the thermal mass of the measured assemblies, and the thermal profiles of the assemblies in question.

Keywords: existing building, sensor, thermal analysis, retrofit

Procedia PDF Downloads 38

Authors: Daniele Contini, Antonio Donateo, Andrea Gambaro, Athanasios Argiriou, Dimitrios Melas, Daniela Cesari, Anastasia Poupkou, Athanasios Karagiannidis, Apostolos Tsakis, Eva Merico, Rita Cesari, Adelaide Dinoi

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Emissions of atmospheric pollutants from ships and harbour activities are a growing concern at International level given their potential impacts on air quality and climate. These close-to-land emissions have potential impact on local communities in terms of air quality and health. Recent studies show that the impact of maritime traffic to atmospheric particulate matter concentrations in several coastal urban areas is comparable with the impact of road traffic of a medium size town. However, several different approaches have been used for these estimates making difficult a direct comparison of results. In this work an integrated approach based on emission inventories and dedicated measurement campaigns has been applied to give a comparable estimate of the impact of maritime traffic to PM2.5 and particle number concentrations in three major harbours of the Adriatic/Ionian Seas. The influences of local meteorology and of the logistic layout of the harbours are discussed.

Keywords: ship emissions, PM2.5, particle number concentrations, impact of shipping to atmospheric aerosol

Procedia PDF Downloads 730

Authors: Yadgar Tayfur, Antony Darby, Tim Ibell, Mark Evernden, John Orr

Abstract:

Fabric form-work is a technique to cast concrete structures with a great advantage of saving concrete material of up to 40%. This technique is particularly associated with the optimized concrete structures that usually have smaller cross-section dimensions than equivalent prismatic members. However, this can make the structural system produced from these members prone to smaller serviceability safety margins. Therefore, it is very important to understand the serviceability issue of non-prismatic concrete structures. In this paper, an analytical computer-based model to optimize concrete beams and to predict load-deflection behaviour of both prismatic and non-prismatic concrete beams is presented. The model was developed based on the method of sectional analysis and integration of curvatures. Results from the analytical model were compared to load-deflection behaviour of a number of beams with different geometric and material properties from other researchers. The results of the comparison show that the analytical program can accurately predict the load-deflection response of concrete beams with medium reinforcement ratios. However, it over-estimates deflection values for lightly reinforced specimens. Finally, the analytical program acceptably predicted load-deflection behaviour of on-prismatic concrete beams.

Keywords: fabric-formed concrete, continuous beams, optimisation, serviceability

Procedia PDF Downloads 359

Authors: Okwan Frank

Abstract:

Maternal health outcome is one of the major population development challenges in Sub-Saharan Africa. The region has the highest maternal mortality ratio, despite the progressive economic growth in the region during the global economic crisis. It has been hypothesized that increase in economic growth will reduce the level of maternal mortality. The purpose of this study is to investigate the existence of the negative relationship between health outcome proxy by maternal mortality ratio and economic growth in Sub-Saharan Africa. The study used the Pooled Mean Group estimator of ARDL Autoregressive Distributed Lag (ARDL) and the Kao test for cointegration to examine the short-run and long-run relationship between maternal mortality and economic growth. The results of the cointegration test showed the existence of a long-run relationship between the variables considered for the study. The long-run result of the Pooled Mean group estimates confirmed the hypothesis of an inverse relationship between maternal health outcome proxy by maternal mortality ratio and economic growth proxy by Gross Domestic Product (GDP) per capita. Thus increasing economic growth by investing in the health care systems to reduce pregnancy and childbirth complications will help reduce maternal mortality in the sub-region.

Keywords: economic growth, maternal mortality, pool mean group, Sub-Saharan Africa

Procedia PDF Downloads 130

Authors: Priya Kedia, Kiranmoy Das

Abstract:

There is a rich literature on variable selection in regression setting. However, most of these methods assume normality for the response variable under consideration for implementing the methodology and establishing the statistical properties of the estimates. In many real applications, the distribution for the response variable may be non-Gaussian, and one might be interested in finding the best subset of covariates at some predetermined quantile level. We develop dynamic Bayesian approach for variable selection in quantile regression framework. We use a zero-inflated mixture prior for the regression coefficients, and consider the asymmetric Laplace distribution for the response variable for modeling different quantiles of its distribution. An efficient Gibbs sampler is developed for our computation. Our proposed approach is assessed through extensive simulation studies, and real application of the proposed approach is also illustrated. We consider the data from health and retirement study conducted by the University of Michigan, and select the important predictors when the outcome of interest is out-of-pocket medical cost, which is considered as an important measure for financial risk. Our analysis finds important predictors at different quantiles of the outcome, and thus enhance our understanding on the effects of different predictors on the out-of-pocket medical cost.

Keywords: variable selection, quantile regression, Gibbs sampler, asymmetric Laplace distribution

Procedia PDF Downloads 136

Authors: Ratu Khabiba, Qisha Quarina

Abstract:

This study aims to analyse the effect of married couples’ assortative educational attainments on the division of economic activities among themselves in the household. This study contributes to the literature on women’s participation in employment, especially among married women, to see whether the traditional values about gender roles in the household still continue to shape the employment participation among married women in Indonesia, despite increasing women’s human capital through education. This study utilizes the Indonesian National Socioeconomic Survey (SUSENAS) 2016 and estimates the results using the multinomial logit model. Our results show that compared to high-educated educational homogamy couples, educational heterogamy couples, especially hypergamy, have a higher probability of being a single-worker type. Moreover, the high-educated educational homogamy couples have the highest probability of being a dual-worker type. Thus, we found evidence that the traditional values of gender role segregation seem to still play a significant role in married women’s employment decision in Indonesia, particularly for couples’ with educational heterogamy and low-educated educational homogamy couples.

Keywords: assortative education, dual-worker, hypergamy, homogamy, traditional values, women labor participation

Procedia PDF Downloads 100

Authors: Yulia Chalri, E. T. P. Lussiana, Sarifuddin Madenda, Bambang Trisakti, Yuhilza Hanum

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Water is a natural resource needed by humans and other living creatures. The territorial water of Indonesia is 81% of the country area, consisting of inland waters and the sea. The research object is inland waters in the form of lakes and reservoirs, since 90% of inland waters are in them, therefore the water quality should be monitored. One of water quality parameters is Total Suspended Solid (TSS). Most of the earlier research did direct measurement by taking the water sample to get TSS values. This method takes a long time and needs special tools, resulting in significant cost. Remote sensing technology has solved a lot of problems, such as the mapping of watershed and sedimentation, monitoring disaster area, mapping coastline change, and weather analysis. The aim of this research is to estimate TSS of Rawa Pening lake in Central Java by using the Lansat 8 image. The result shows that the proposed method successfully estimates the Rawa Pening’s TSS. In situ TSS shows normal water quality range, and so does estimation result of segmentation method.

Keywords: total suspended solid (TSS), remote sensing, image segmentation, RGB value

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Authors: Nazim Habibov, Alena Auchynnikava, Lida Fan

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The exploration of the relationship between social trust and the support of the welfare system in transitional countries has attracted growing interests in recent decades. This study estimates the effects of interpersonal and institutional trust on the support of the welfare system in 27 countries in Eastern Europe the former Soviet Union. We estimate the data sets from the Life-in-Transition Survey 2010 and 2016 with binomial regression models. The results indicate that both interpersonal and institutional trust have positive effects on the support for the welfare system in all the three areas under investigation: helping the needy, public healthcare and public education, both in the less developed countries of the former Soviet Union and in the more developed Eastern European countries. Furthermore, the positive effects of interpersonal and institutional trust on support for helping the needy, public healthcare and public education were found to grow over time. In conclusion, this study confirms that interpersonal and institutional trusts have positive effects for the public support of the welfare system in these transitional countries under investigation, regardless of their level of development.

Keywords: central and eastern Europe, former Soviet union, international social welfare policy, comparative social welfare policy

Procedia PDF Downloads 110

Authors: Ishapathik Das

Abstract:

The purpose of this article is to find a method of comparing designs for ordinal regression models using quantile dispersion graphs in the presence of linear predictor misspecification. The true relationship between response variable and the corresponding control variables are usually unknown. Experimenter assumes certain form of the linear predictor of the ordinal regression models. The assumed form of the linear predictor may not be correct always. Thus, the maximum likelihood estimates (MLE) of the unknown parameters of the model may be biased due to misspecification of the linear predictor. In this article, the uncertainty in the linear predictor is represented by an unknown function. An algorithm is provided to estimate the unknown function at the design points where observations are available. The unknown function is estimated at all points in the design region using multivariate parametric kriging. The comparison of the designs are based on a scalar valued function of the mean squared error of prediction (MSEP) matrix, which incorporates both variance and bias of the prediction caused by the misspecification in the linear predictor. The designs are compared using quantile dispersion graphs approach. The graphs also visually depict the robustness of the designs on the changes in the parameter values. Numerical examples are presented to illustrate the proposed methodology.

Keywords: model misspecification, multivariate kriging, multivariate logistic link, ordinal response models, quantile dispersion graphs

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Authors: Christelle Tchoupé Makougoum

Abstract:

In the context of agriculture, differences across localities in term of climate change can create systematic variation among farmers technical efficiency. Failure to account for climate variability could lead to wrong conclusions about farmers’ technical efficiency and also it could bias the ranking of farmers according to their managerial performance. The literature on agricultural productivity has given little attention to this issue whereas it is necessary for establishing to what extent climate affects farmers efficiency. This article contributes to the preview literature by two ways. First, it proposed a new econometric model that accounting for the climate change influences on technical efficiency in the specific area of agriculture. Second it estimates the inefficiency due to climate change and the real managerial performance of Malian farmers. Using the Mali’s data from agricultural census and CRU TS3 climatic database we implemented an adjusted stochastic frontier methodology to account for the impact of environmental factors. The results yield three main findings. First, instability in temperatures and rainfall decreases technical efficiency on average. Second, the climate change modifies the classification of the farmers according to their efficiency scores. Thirdly it is noted that, although climate changes are partly responsible for the deviation from the border, the capacity of farmers to combine inputs into the optimal proportion is more to undermine. The study concluded that improving farmer efficiency should include fostering their resilience to climate change.

Keywords: agriculture, climate change, stochastic production function, technical efficiency

Procedia PDF Downloads 494

Authors: Mohd Radzi Hilmi, Mohd Zulfaezal Che Azemin, Khairidzan Mohd Kamal, Azrin Esmady Ariffin, Mohd Izzuddin Mohd Tamrin, Norfazrina Abdul Gaffur, Tengku Mohd Tengku Sembok

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Purpose: The purpose of this study is to predict optical quality changes after pterygium surgery using tissue redness grading. Methods: Sixty-eight primary pterygium participants were selected from patients who visited an ophthalmology clinic. We developed a semi-automated computer program to measure the pterygium fibrovascular redness from digital pterygium images. The outcome of this software is a continuous scale grading of 1 (minimum redness) to 3 (maximum redness). The region of interest (ROI) was selected manually using the software. Reliability was determined by repeat grading of all 68 images and its association with contrast sensitivity function (CSF) and visual acuity (VA) was examined. Results: The mean and standard deviation of redness of the pterygium fibrovascular images was 1.88 ± 0.55. Intra- and inter-grader reliability estimates were high with intraclass correlation ranging from 0.97 to 0.98. The new grading was positively associated with CSF (p<0.01) and VA (p<0.01). The redness grading was able to predict 25% and 23% of the variance in the CSF and the VA respectively. Conclusions: The new grading of pterygium fibrovascular redness can be reliably measured from digital images and show a good correlation with CSF and VA. The redness grading can be used in addition to the existing pterygium grading.

Keywords: contrast sensitivity, pterygium, redness, visual acuity

Procedia PDF Downloads 490

Authors: Ceren Vardar Acar, Mine Caglar

Abstract:

In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter H>1/2. The Black-Scholes model for the values of returns of an asset using fBm is given as, 〖Y_t=Y_0 e^((r+μ)t+σB)〗_t^H, 0≤t≤T where Y_0 is the initial value, r is constant interest rate, μ is constant drift and σ is constant diffusion coefficient of fBm, which is denoted by B_t^H where t≥0. Black-Scholes model can be constructed with some Markov processes such as Brownian motion. The advantage of modeling with fBm to Markov processes is its capability of exposing the dependence between returns. The real life data for a volatile asset display long-range dependence property. For this reason, using fBm is a more realistic model compared to Markov processes. Investors would be interested in any kind of information on the risk in order to manage it or hedge it. The maximum possible loss is one way to measure highest possible risk. Therefore, it is an important variable for investors. In our study, we give some theoretical bounds on the distribution of maximum possible loss of fBm. We provide both asymptotical and strong estimates for the tail probability of maximum loss of standard fBm and fBm with drift and diffusion coefficients. In the investment point of view, these results explain, how large values of possible loss behave and its bounds.

Keywords: maximum drawdown, maximum loss, fractional brownian motion, large deviation, Gaussian process

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Authors: Ayan Chakraborty, BV. Rathish Kumar

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Off-late many models in viscoelasticity, signal processing or anomalous diffusion equations are formulated in fractional calculus. Tempered fractional calculus is the generalization of fractional calculus and in the last few years several important partial differential equations occurring in the different field of science have been reconsidered in this term like diffusion wave equations, Schr$\ddot{o}$dinger equation and so on. In the present paper, a time-dependent tempered fractional diffusion equation of order $\gamma \in (0,1)$ with forcing function is considered. Existence, uniqueness, stability, and regularity of the solution has been proved. Crank-Nicolson discretization is used in the time direction. B spline finite element approximation is implemented. Generally, B-splines basis are useful for representing the geometry of a finite element model, interfacing a finite element analysis program. By utilizing this technique a priori space-time estimate in finite element analysis has been derived and we proved that the convergent order is $\mathcal{O}(h²+T²)$ where $h$ is the space step size and $T$ is the time. A couple of numerical examples have been presented to confirm the accuracy of theoretical results. Finally, we conclude that the studied method is useful for solving tempered fractional diffusion equations.

Keywords: B-spline finite element, error estimates, Gronwall's lemma, stability, tempered fractional

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Authors: Tolga Aydin, M. Fatih Alaeddinoğlu

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People, throughout the history, have made estimates and inferences about the future by using their past experiences. Developing information technologies and the improvements in the database management systems make it possible to extract useful information from knowledge in hand for the strategic decisions. Therefore, different methods have been developed. Data mining by association rules learning is one of such methods. Apriori algorithm, one of the well-known association rules learning algorithms, is not commonly used in spatio-temporal data sets. However, it is possible to embed time and space features into the data sets and make Apriori algorithm a suitable data mining technique for learning spatio-temporal association rules. Lake Van, the largest lake of Turkey, is a closed basin. This feature causes the volume of the lake to increase or decrease as a result of change in water amount it holds. In this study, evaporation, humidity, lake altitude, amount of rainfall and temperature parameters recorded in Lake Van region throughout the years are used by the Apriori algorithm and a spatio-temporal data mining application is developed to identify overflows and newly-formed soil regions (underflows) occurring in the coastal parts of Lake Van. Identifying possible reasons of overflows and underflows may be used to alert the experts to take precautions and make the necessary investments.

Keywords: apriori algorithm, association rules, data mining, spatio-temporal data

Procedia PDF Downloads 349

Authors: Luqman Afolabi

Abstract:

This paper measures the impacts of trade and institutions on environmental quality in Sub-Saharan Africa (SSA). To examine the direction and the magnitude of the effects, the study employs the pooled mean group (PMG) estimation technique on the panel data obtained from the World Bank’s World Development and Governance Indicators, between 1996 and 2018. The empirical estimates validate the environmental Kuznets curve hypothesis (EKC) for the region, even though there have been inconclusive results on the environment – growth nexus. Similarly, a positive coefficient is obtained on the impact of trade on the environment, while the impact of the institutional indicators produce mixed results. A significant policy implication is that the governments of the SSA countries pursue policies that tend to increase economic growth, so that pollutants may be reduced. Such policies may include the provision of incentives for sustainable growth-driven industries in the region. In addition, the governance infrastructures should be improved in such a way that appropriate penalties are imposed on the pollutants, while advanced technologies that have the potentials to reduce environmental degradation should be encouraged. Finally, it is imperative from these findings that the governments of the region should promote their trade relations and the competitiveness of their local industries in order to keep pace with the global markets.

Keywords: environmental quality, institutional quality sustainable development goals, trade

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Authors: Ben-Caleb Egbide, Iyoha Francis, Egharevba Mathew, Oduntan Emmanuel

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The prosperity of any nation is determined not just by the availability of resources, but also by the discipline exercised in the management of those resources. This paper examines the functional association between adherence to budgetary estimates or budget discipline (BDISC) and national prosperity proxied by Real Gross Domestic Product (RGDP) and Relative Poverty Index (RPI)/Human Development Index (HDI). Adopting a longitudinal retrospective research strategy, time series data relating to both the endogenous and exogenous variables were extracted from official government publications for 36 years’ (1980-2015 in the case of RGDP and RPI), and for 26 years (1990-2015 in the case of HDI). Ordinary Least Square (OLS), as well as cointegration regressions, were employed to gauge both the short term and long term impact of BDISC on RPI/HDI and RGDP. The results indicated that BDISC is directly related with RGDP but indirectly related with RPI. The implication is that while adherence to budgetary estimate can enhance economic growth, it has the capacity to slow down the rate of poverty in the long run. The paper, therefore, recommend stricter adherence to budgets as a way out of economic under performance in Nigeria and engender the process of promoting human development and national prosperity.

Keywords: budget discipline, human development index, national prosperity, Nigeria

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Authors: Joseph Thomas Eghwerido, Julian I. Mbegbu

Abstract:

In modelling environment processes, we apply multidisciplinary knowledge to explain, explore and predict the Earth's response to natural human-induced environmental changes. Thus, the analysis of spatial-time ecological and environmental studies, the spatial parameters of interest are always heterogeneous. This often negates the assumption of stationarity. Hence, the dispersion of the transportation of atmospheric pollutants, landscape or topographic effect, weather patterns depends on a good estimate of spatial covariance. The generalized linear mixed model, although linear in the expected value parameters, its likelihood varies nonlinearly as a function of the covariance parameters. As a consequence, computing estimates for a linear mixed model requires the iterative solution of a system of simultaneous nonlinear equations. In other to predict the variables at unsampled locations, we need to know the estimate of the present sampled variables. The geostatistical methods for solving this spatial problem assume covariance stationarity (locally defined covariance) and uniform in space; which is not apparently valid because spatial processes often exhibit nonstationary covariance. Hence, they have globally defined covariance. We shall consider different existing methods of solutions of spatial covariance of a space-time processes at unsampled locations. This stationary covariance changes with locations for multiple time set with some asymptotic properties.

Keywords: parametric, nonstationary, Kernel, Kriging

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Authors: Himayatullah Khan

Abstract:

This study estimates supply response function of sugarcane in Pakistan from 1980-81 to 2012-13. The study uses co-integration approach and error correction mechanism. Sugarcane production, area and price series were tested for unit root using Augmented Dickey Fuller (ADF). The study found that these series were stationary at their first differenced level. Using the Augmented Engle-Granger test and Cointegrating Regression Durbin-Watson (CRDW) test, the study found that “production and price” and “area and price” were co-integrated suggesting that the two sets of time series had long-run or equilibrium relationship. The results of the error correction models for the two sets of series showed that there was disequilibrium in the short run there may be disequilibrium. The Engle-Granger residual may be thought of as the equilibrium error which can be used to tie the short-run behavior of the dependent variable to its long-run value. The Granger-Causality test results showed that log of price granger caused both the long of production and log of area whereas, the log of production and log of area Granger caused each other.

Keywords: co-integration, error correction mechanism, Granger-causality, sugarcane, supply response

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Authors: Narendra Kumar

Abstract:

In developing countries, the majority of people with diabetes are in the age range of 45-64 years and more women than men. As in many areas of the India, non-insulin dependent diabetes mellitus has become major problems. Now it is spreading among the middle class and poor at an alarming stage in India and Kerala is turning to be the world capital of diabetes. This study uses two round NSS data from the ‘National Sample Survey Organization, India’ to investigate the predictors of diabetes in Kerala. The overall estimates for diabetes prevalence among elderly show that higher in men than women, but there are more women with diabetes than men. Education of respondent has been found a significant characteristics, further respondent working status, caste/tribe have substantial impact on diabetes in Kerala. The disease is more common for people who are mostly physically inactive. This whole picture is very much prominent in the urban areas compared with the rural ones. Not working elderly have significantly higher with diabetes than for those working in elderly. Socioeconomic status was inversely associated with diabetes prevalence. For men and women, the prevalence of diabetes and hypertension were significantly higher in the urban population while smoking, smokeless tobacco consumption was more prevalent in the rural population. High alcohol intake increases diabetes risk among elderly. Finally these findings specified that an increase improve health care services and changing life style of elderly which should in turn raise diabetes patient survival and should decrease comorbidities due to diabetes in Kerala.

Keywords: elderly, diabetes, prevalence, Kerala

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Authors: Renato Morbidelli, Carla Saltalippi, Alessia Flammini, Tommaso Picciafuoco, Corrado Corradini

Abstract:

A considerable part of rainfall data to be used in the hydrological practice is available in aggregated form within constant time intervals. This can produce undesirable effects, like the underestimate of the annual maximum rainfall depth, Hd, associated with a given duration, d, that is the basic quantity in the development of rainfall depth-duration-frequency relationships and in determining if climate change is producing effects on extreme event intensities and frequencies. The errors in the evaluation of Hd from data characterized by a coarse temporal aggregation, ta, and a procedure to reduce the non-homogeneity of the Hd series are here investigated. Our results indicate that: 1) in the worst conditions, for d=ta, the estimation of a single Hd value can be affected by an underestimation error up to 50%, while the average underestimation error for a series with at least 15-20 Hd values, is less than or equal to 16.7%; 2) the underestimation error values follow an exponential probability density function; 3) each very long time series of Hd contains many underestimated values; 4) relationships between the non-dimensional ratio ta/d and the average underestimate of Hd, derived from continuous rainfall data observed in many stations of Central Italy, may overcome this issue; 5) these equations should allow to improve the Hd estimates and the associated depth-duration-frequency curves at least in areas with similar climatic conditions.

Keywords: central Italy, extreme events, rainfall data, underestimation errors

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