Search results for: generalized autoregressive Conditional Heteroscedastic (GARCH)

Authors: Hamza Rekab Djabri, Salah Daoud

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The present paper deals with the computational of structural and electronic properties of ThC and ThN compounds using density functional theory within generalized-gradient (GGA) apraximation and local density approximation (LDA). We employ the full potential linear muffin-tin orbitals (FP-LMTO) as implemented in the Lmtart code. We have used to examine structure parameter in eight different structures such as in NaCl (B1), CsCl (B2), ZB (B3), NiAs (B8), PbO (B10), Wurtzite (B4) , HCP (A3) βSn (A5) structures . The equilibrium lattice parameter, bulk modulus, and its pressure derivative were presented for all calculated phases. The calculated ground state properties are in good agreement with available experimental and theoretical results.

Keywords: DFT, GGA, LDA, properties structurales, ThC, ThN

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Authors: Tadas Telksnys, Zenonas Navickas, Minvydas Ragulskis

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Necessary and sufficient conditions for the existence of second order solitary solutions to the Hodgkin-Huxley equation are derived in this paper. The generalized multiplicative operator of differentiation helps not only to construct closed-form solitary solutions but also automatically generates conditions of their existence in the space of the equation's parameters and initial conditions. It is demonstrated that bright, kink-type solitons and solitary solutions with singularities can exist in the Hodgkin-Huxley equation.

Keywords: Hodgkin-Huxley equation, solitary solution, existence condition, operator method

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Authors: Amartya Hatua, Trung Nguyen, Andrew Sung

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In this paper, we study the information diffusion process on Twitter as a multivariate time series problem. Our model concerns three measures (volume, network influence, and sentiment of tweets) based on 10 features, and we collected 27 million tweets to build our information diffusion time series dataset for analysis. Then, different time series clustering techniques with Dynamic Time Warping (DTW) distance were used to identify different patterns of information diffusion. Finally, we built the information diffusion prediction models for new hashtags which comprise two phrases: The first phrase is recognizing the pattern using k-NN with DTW distance; the second phrase is building the forecasting model using the traditional Autoregressive Integrated Moving Average (ARIMA) model and the non-linear recurrent neural network of Long Short-Term Memory (LSTM). Preliminary results of performance evaluation between different forecasting models show that LSTM with clustering information notably outperforms other models. Therefore, our approach can be applied in real-world applications to analyze and predict the information diffusion characteristics of selected topics or memes (hashtags) in Twitter.

Keywords: ARIMA, DTW, information diffusion, LSTM, RNN, time series clustering, time series forecasting, Twitter

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Authors: Mingyue Sheng, Basil Sharp

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Greenhouse gas (GHG) emissions from national transport account for the largest share of emissions from energy use in New Zealand. Whether the environmental Kuznets curve (EKC) relationship exists between environmental degradation indicators from the transport sector and economic growth in New Zealand remains unclear. This paper aims at exploring the causality relationship between CO₂ emissions from the transport sector, fossil fuel consumption, and the Gross Domestic Product (GDP) per capita in New Zealand, using annual data for the period 1977 to 2013. First, conventional unit root tests (Augmented Dickey–Fuller and Phillips–Perron tests), and a unit root test with the breakpoint (Zivot-Andrews test) are employed to examine the stationarity of the variables. Second, the autoregressive distributed lag (ARDL) bounds test for co-integration, followed by Granger causality investigated causality among the variables. Empirical results of the study reveal that, in the short run, there is a unidirectional causality between economic growth and transport CO₂ emissions with direction from economic growth to transport CO₂ emissions, as well as a bidirectional causality from transport CO₂ emissions to road energy consumption.

Keywords: economic growth, transport carbon dioxide emissions, environmental Kuznets curve, causality

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Authors: Silsila Sherzad, Hazrat Ali Khan, Tabasum Sherzad, Hazratullah, Sanaullah

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Objective: To study the prevalence of common Mental health disorders among forcibly displaced people and to compare with the common mental health disorders among host community members. Study design: Analytical Study. Place of study: Balochistan institute of psychiatry and behavioral sciences, Quetta, Baluchistan, Pakistan. Methodology: Data from the Outpatient department were analyzed to numerate both the host community and refugees. Out of 4120, 354 refugee patients were identified using their proof registration (POR) card and for 3776 of the host community using their computerized national identity card (CNIC), data was analyzed for the prevalence of mental health disorders among them. Results: This study states that Afghan Refugees presented to OPD services of Balochistan institute of psychiatry and behavioral sciences, 47% were diagnosed as Major depressive disorder with/without psychosis, 19% with Generalized anxiety disorder, 5% were diagnosed as Bipolar Affective disorder, 5% With schizophrenia, 4% as Post-traumatic stress disorder, 3% as migraine, 3% conversion disorder, 2% Obsessive-compulsive disorder, 1% somatoform disorder and 10% of them presented with other psychiatric disorders, while in host community 21% were diagnosed as Major depressive disorder with/without psychosis, 24% as Generalized anxiety disorder, 12% as somatoform disorder, 10% as Obsessive-compulsive disorder, 8% as migraine, 7% as conversion disorder, 4% as Bipolar Affective disorder, 3% as schizophrenia, 3% as Mental and behavioral disorder due to substance misuse and rest of 7% presented with other psychiatric disorders. Conclusion: The conclusion of this study states that mental health disorders are more common among refugees than in other populations. The result of this study shows that there is a big difference in the prevalence of mental health disorders among displaced people and the rest of the population. Some Mental health disorders are present in a higher percentage among displaced people rather than among the host community, while some other disorders are present in a lower percentage among displaced people rather than among the host community. This study also highlights that further studies are needed to determine risk and protective factors within the host community.

Keywords: forced displacement, mental health, Afghan refugees, depression

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Authors: Ana B. Vivas, Antonia Ypsilanti, Aristea I. Ladas, Angeles F. Estevez

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Mild Cognitive Impairment (MCI) is considered an intermediate stage between normal and pathological aging, as a substantial percentage of people diagnosed with MCI converts later to dementia of the Alzheimer’s type. Memory is of the first cognitive processes to deteriorate in this condition. In the present study we employed the differential outcomes procedure (DOP) to improve visuospatial memory in a group of participants with MCI. The DOP requires the structure of a conditional discriminative learning task in which a correct choice response to a specific stimulus-stimulus association is reinforced with a particular reinforcer or outcome. A group of 10 participants with MCI, and a matched control group had to learn and keep in working memory four target locations out of eight possible locations where a shape could be presented. Results showed that participants with MCI had a statistically significant better terminal accuracy when a unique outcome was paired with a location (76% accuracy) as compared to a non differential outcome condition (64%). This finding suggests that the DOP is useful in improving working memory in MCI patients, which may delay their conversion to dementia.

Keywords: mild cognitive impairment, working memory, differential outcomes, cognitive process

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Authors: Hueiwang Anna Jeng, Norou Diawara, Nancy Welch, Cynthia Jackson, Rekha Singh, Kyle Curtis, Raul Gonzalez, David Jurgens, Sasanka Adikari

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Modeling effort is needed to predict the COVID-19 trends for developing management strategies and adaptation measures. The objective of this study was to assess whether SARS-CoV-2 viral load in wastewater could serve as a predictor for forecasting COVID-19 cases, hospitalization cases, and death cases using copula-based time series modeling. SARS-CoV-2 RNA load in raw wastewater in Chesapeake VA was measured using the RT-qPCR method. Gaussian copula time series marginal regression model, incorporating an autoregressive moving average model and the copula function, served as a forecasting model. COVID-19 cases were correlated with wastewater viral load, hospitalization cases, and death cases. The forecasted trend of COVID-19 cases closely paralleled one of the reported cases, with over 90% of the forecasted COVID-19 cases falling within the 99% confidence interval of the reported cases. Wastewater SARS-CoV-2 viral load could serve as a predictor for COVID-19 cases and hospitalization cases.

Keywords: COVID-19, modeling, time series, copula function

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Authors: Taimoor Hussain Alvi, Syed Toqueer Akhter

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The focus of this research is to identify Pak-India bilateral trade spillover effects upon Pakistan’s Growth rate. Cross-country spillover growth Effects have been linked with openness and access to markets. In this research, we intend to see the short run and long run effects of Pak-India Bilateral Trade Openness upon economic growth in Pakistan. Trade Openness has been measured as the sum of bilateral exports and imports between the two countries. Increased emphasis on the condition and environment of financial markets is laid in light of globalization and trade liberalization. This research paper makes use of the Univariate Autoregressive Distributed Lagged Model to analyze the effects of bilateral trade variables upon the growth pattern of Pakistan in the short run and long run. Key findings of the study empirically support the notion that increased bilateral trade will be beneficial for Pakistan in the short run because of cost advantage and knowledge spillover in terms of increased technical and managerial ability from multinational firms. However, contrary to extensive literature, increased bilateral trade measures will affect Pakistan’s growth rate negatively in the long run because of the industrial size differential and increased integration of Indian economy with the world.

Keywords: bilateral trade openness, spillover, comparative advantage, univariate

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Authors: Arcady Ponosov

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A novel mathematical approach is suggested, which facilitates a compressed representation and efficient validation of parameter-rich ordinary differential equation models describing the dynamics of complex, especially biology-related, systems and which is based on identification of the system's latent variables. In particular, an efficient parameter estimation method for the compressed non-linear dynamical systems is developed. The method is applied to the so-called 'power-law systems' being non-linear differential equations typically used in Biochemical System Theory.

Keywords: generalized law of mass action, metamodels, principal components, synergetic systems

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Authors: Hina Munir Abbasi

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The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

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Authors: Abdelli Soulaima, Belhadj Besma

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The paper examines the choice of the central bank toward the movements of the nominal exchange rate and evaluates its effects on the volatility of the output growth and the inflation. The novel hybrid method of the dynamic stochastic general equilibrium called the DSGE-VAR is proposed for analyzing this policy experiment in a small scale open economy in particular Tunisia. The contribution is provided to the empirical literature as we apply the Tunisian data with this model, which is rarely used in this context. Note additionally that the issue of treating the degree of response of the central bank to the exchange rate in Tunisia is special. To ameliorate the estimation, the Bayesian technique is carried out for the sample 1980:q1 to 2011 q4. Our results reveal that the central bank should not react or softly react to the exchange rate. The variance decomposition displayed that the overall inflation volatility is more pronounced with the fixed exchange rate regime for most of the shocks except for the productivity and the interest rate. The output volatility is also higher with this regime with the majority of the shocks exempting the foreign interest rate and the interest rate shocks.

Keywords: DSGE-VAR modeling, exchange rate, monetary policy, Bayesian estimation

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Authors: Abdulaziz Alzeban

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This study examines whether internal audit function is indeed greater when audit committee members have industry expertise combined with auditing expertise. Data from a survey of 64 chief internal auditors from companies registered on the Saudi Stock Exchange TADAWL, provides results that suggest that when audit committee members possess both industry expertise and auditing expertise, the committee’s role in improving the quality of internal audit is enhanced. This outcome is concluded as one that can be generalized beyond the Saudi Arabian context.

Keywords: internal audit, audit committee, industry expertise, function

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Authors: Hicham Benamirouche, Oum Elkheir Moussi

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The purpose of the study is to examine the dynamics of Algeria’s natural gas exports through the Autoregressive Distributed Lag (ARDL) bounds testing approach with break points. The analysis was carried out for the period from 1967 to 2015. Based on imperfect substitution specification, the ARDL approach reveals a long-run equilibrium relationship between Algeria’s Natural gas exports and their determinant factors (Algeria’s gas reserves, Domestic gas consumption, Europe’s GDP per capita, relative prices, the European gas production and the market share of competitors). All the long-run elasticities estimated are statistically significant with a large impact of domestic factors, which constitute the supply constraints. In short term, the elasticities are statistically significant, and almost comparable to those of the long term. Furthermore, the speed of adjustment towards long-run equilibrium is less than one year because of the little flexibility of the long term export contracts. Two break points have been estimated when we employ the domestic gas consumption as a break variable; 1984 and 2010, which reflect the arbitration policy between the domestic gas market and gas exports.

Keywords: natural gas exports, elasticity, ARDL bounds testing, break points, Algeria

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Authors: Paulo Lopes Henriques, Carla Curado

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According to literature, knowledge sharing behaviors are influenced by organizational values and structures, namely organizational climate. The manuscript examines the antecedents of the knowledge sharing oriented organizational climate. According to theoretical expectations the study adopts the following explanatory conditions: knowledge sharing costs, knowledge sharing incentives, perceptions of knowledge sharing contributing to performance and tenure. The study confronts results considering two groups of firms: nondigital (firms without intranet) vs digital (firms with intranet). The paper applies fsQCA technique to analyze data by using fsQCA 2.5 software (www.fsqca.com) testing several conditional arguments to explain the outcome variable. Main results strengthen claims on the relevancy of the contribution of knowledge sharing to performance. Secondly, evidence brings tenure - an explanatory condition that is associated to organizational memory – to the spotlight. The study provides an original contribution not previously addressed in literature, since it identifies the sufficient conditions sets to knowledge sharing oriented organizational climate using fsQCA, which is, to our knowledge, a novel application of the technique.

Keywords: fsQCA, knowledge sharing oriented organizational climate, knowledge sharing costs, knowledge sharing incentives

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Authors: Sandra Rizkallah, Amir F. Atiya

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This work presents a novel word to vector representation that is based on embedding the words into a sphere, whereby the dot product of the corresponding vectors represents the similarity between any two words. Embedding the vectors into a sphere enabled us to take into consideration the antonymity between words, not only the synonymity, because of the suitability to handle the polarity nature of words. For example, a word and its antonym can be represented as a vector and its negative. Moreover, we have managed to extract an adequate vocabulary. The obtained results show that the proposed approach can capture the essence of the language, and can be generalized to estimate a correct similarity of any new pair of words.

Keywords: natural language processing, word to vector, text similarity, text mining

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Authors: A.R. Eskandari, M.R. Eskandari

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A 2D complete identification algorithm for dielectric and multiple objects immersed in air is presented. The employed technique consists of initially retrieving the shape and position of the scattering object using a linear sampling method and then determining the electric permittivity and conductivity of the scatterer using adjoint sensitivity analysis. This inversion algorithm results in high computational speed and efficiency, and it can be generalized for any scatterer structure. Also, this method is robust with respect to noise. The numerical results clearly show that this hybrid approach provides accurate reconstructions of various objects.

Keywords: inverse scattering, microwave imaging, two-dimensional objects, Linear Sampling Method (LSM)

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Authors: Mounia El Hafyani, Khalid El Himdi

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Precipitation is one of the key variables in water resource planning. The importance of modeling wet and dry durations is a crucial pointer in engineering hydrology. The objective of this study is to model and analyze the distribution of wet and dry durations. For this purpose, the daily rainfall data from 1967 to 2017 of the Moroccan city of Kenitra’s station are used. Three models are implemented for the distribution of wet and dry durations, namely the first-order Markov chain, the second-order Markov chain, and the truncated negative binomial law. The adherence of the data to the proposed models is evaluated using Chi-square and Kolmogorov-Smirnov tests. The Akaike information criterion is applied to assess the most effective model distribution. We go further and study the law of the number of wet and dry days among k consecutive days. The calculation of this law is done through an algorithm that we have implemented based on conditional laws. We complete our work by comparing the observed moments of the numbers of wet/dry days among k consecutive days to the calculated moment of the three estimated models. The study shows the effectiveness of our approach in modeling wet and dry durations of daily precipitation.

Keywords: Markov chain, rainfall, truncated negative binomial law, wet and dry durations

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Authors: Rama Debbarma

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The present study deals with the performance of Linear base isolation system to mitigate seismic response of structures characterized by random system parameters. This involves optimization of the tuning ratio and damping properties of the base isolation system considering uncertain system parameters. However, the efficiency of base isolator may reduce if it is not tuned to the vibrating mode it is designed to suppress due to unavoidable presence of system parameters uncertainty. With the aid of matrix perturbation theory and first order Taylor series expansion, the total probability concept is used to evaluate the unconditional response of the primary structures considering random system parameters. For this, the conditional second order information of the response quantities are obtained in random vibration framework using state space formulation. Subsequently, the maximum unconditional root mean square displacement of the primary structures is used as the objective function to obtain optimum damping parameters Numerical study is performed to elucidate the effect of parameters uncertainties on the optimization of parameters of linear base isolator and system performance.

Keywords: linear base isolator, earthquake, optimization, uncertain parameters

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Authors: B. Bahloul, K. Babesse, A. Dkhira, Y. Bahloul, L. Amirouche

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Structural and electronic properties of the rock-salt BaxSr1−xS are calculated using the first-principles calculations based on the density functional theory (DFT) within the generalized gradient approximation (GGA), the local density approximation (LDA) and the virtual-crystal approximation (VCA). The calculated lattice parameters at equilibrium volume for x=0 and x=1 are in good agreement with the literature data. The BaxSr1−xS alloys are found to be an indirect band gap semiconductor. Moreoever, for the composition (x) ranging between [0-1], we think that our results are well discussed and well predicted.

Keywords: semiconductor, Ab initio calculations, rocksalt, band structure, BaxSr1−xS

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Authors: Okwan Frank

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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

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Authors: C. Senabre, S. Valero, M. Lopez, E. Velasco, M. Sanchez

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This paper focuses on an application of linear mixed models to short-term load forecasting. The challenge of this research is to improve a currently working model at the Spanish Transport System Operator, programmed by us, and based on linear autoregressive techniques and neural networks. The forecasting system currently forecasts each of the regions within the Spanish grid separately, even though the behavior of the load in each region is affected by the same factors in a similar way. A load forecasting system has been verified in this work by using the real data from a utility. In this research it has been used an integration of several regions into a linear mixed model as starting point to obtain the information from other regions. Firstly, the systems to learn general behaviors present in all regions, and secondly, it is identified individual deviation in each regions. The technique can be especially useful when modeling the effect of special days with scarce information from the past. The three most relevant regions of the system have been used to test the model, focusing on special day and improving the performance of both currently working models used as benchmark. A range of comparisons with different forecasting models has been conducted. The forecasting results demonstrate the superiority of the proposed methodology.

Keywords: short-term load forecasting, mixed effects models, neural networks, mixed effects models

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Authors: Javaid Ahmad Dar, Mohammad Asif

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The present study investigates the long-run impact of financial development, energy consumption and economic growth on greenhouse gas emissions for India, in presence of endogenous structural breaks, over a period of 1971-2013. Autoregressive distributed lag bounds testing procedure and Hatemi-J threshold cointegration technique have been used to test the variables for cointegration. ARDL bounds test did not confirm any cointegrating relationship between the variables. The threshold cointegration test establishes the presence of long-run impact of financial development, energy use and economic growth on greenhouse gas emissions in India. The results reveal that the long-run relationship between the variables has witnessed two regime shifts, in 1978 and 2002. The empirical evidence shows that financial sector development and energy consumption in India degrade environment. Unlike previous studies, this paper finds no statistical evidence of long-run relationship between economic growth and environmental deterioration. The study also challenges the existence of environmental Kuznets curve in India.

Keywords: cointegration, financial development, global warming, greenhouse gas emissions, regime shift, unit root

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Authors: L. L. Ivy-Yap, H. A. Bekhet

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As the Malaysian residential electricity consumption continued to increase rapidly, effective energy policies, which address factors affecting residential electricity consumption, is urgently needed. This study attempts to investigate the relationship between residential electricity consumption (EC), real disposable income (Y), price of electricity (Pe) and population (Po) in Malaysia for 1978-2011 periods. Unlike previous studies on Malaysia, the current study focuses on the residential sector, a sector that is important for the contemplation of energy policy. The Phillips-Perron (P-P) unit root test is employed to infer the stationary of each variable while the bound test is executed to determine the existence of co-integration relationship among the variables, modeled in an Autoregressive Distributed Lag (ARDL) framework. The CUSUM and CUSUM of squares tests are applied to ensure the stability of the model. The results suggest the existence of long-run equilibrium relationship and bidirectional Granger causality between EC and the macroeconomic variables. The empirical findings will help policy makers of Malaysia in developing new monitoring standards of energy consumption. As it is the major contributing factor in economic growth and CO2 emission, there is a need for more proper planning in Malaysia to attain future targets in order to cut emissions.

Keywords: co-integration, elasticity, granger causality, Malaysia, residential electricity consumption

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Authors: Shruti Chopra, Vikas Rao Vadi

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In the era of the digital world, the Internet of Things (IoT) has been receiving significant attention. Its ubiquitous connectivity between humans, machines to machines (M2M) and machines to humans provides it a potential to transform the society and establish an ecosystem to serve new dimensions to the economy of the country. Thereby, this study has attempted to identify the challenges that seem prevalent in IoT adoption in India through the literature survey. Further, the data has been collected by taking the opinions of experts to conduct the foresight analysis and it has been analyzed with the help of scenario planning process – Micmac, Mactor, Multipol, and Smic-Prob. As a methodology, the study has identified the relationship between variables through variable analysis using Micmac and actor analysis using Mactor, this paper has attempted to generate the entire field of possibilities in terms of hypotheses and construct various scenarios through Multipol. And lastly, the findings of the study include final scenarios that are selected using Smic-Prob by assigning the probability to all the scenarios (including the conditional probability). This study may help the practitioners and policymakers to remove the obstacles to successfully implement the IoT in India.

Keywords: Internet of Thing (IoT), foresight analysis, scenario planning, challenges, policymaking

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Authors: Marija Paunović, Nebojša Ralević, Dejan Ćebić

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Actuarial assessments in insurance are inherently subjective due to various factors, including data limitations and the complexity of problems. Fuzzy mathematics and credibility theory provide robust frameworks to manage this subjectivity and uncertainty. Uncertain future events are closely linked with the credibility theory. This paper extends the properties of c−credibility measure. We generalized the c−credibility measure in fuzzy environment and proved some properties of this measure. Those properties will provide more practical applications of the c−credibility measure of fuzzy events, especially in the context of insurance.

Keywords: uncertainty, fuzzy measures, c-credibility measure, c-credibility in fuzzy environment

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Authors: K. A. Adepoju, O. I. Shittu, A. U. Chukwu

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In this paper, a new four-parameter generalized version of the Fisher Snedecor distribution called Beta- F distribution is introduced. The comprehensive account of the statistical properties of the new distributions was considered. Formal expressions for the cumulative density function, moments, moment generating function and maximum likelihood estimation, as well as its Fisher information, were obtained. The flexibility of this distribution as well as its robustness using cancer remission time data was demonstrated. The new distribution can be used in most applications where the assumption underlying the use of other lifetime distributions is violated.

Keywords: fisher-snedecor distribution, beta-f distribution, outlier, maximum likelihood method

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Authors: Lela Mirtskhulava, Mariam Khunjgurua, Nino Lomineishvili, Koba Bakuria

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Software reliability prediction gives a great opportunity to measure the software failure rate at any point throughout system test. A software reliability prediction model provides with the technique for improving reliability. Software reliability is very important factor for estimating overall system reliability, which depends on the individual component reliabilities. It differs from hardware reliability in that it reflects the design perfection. Main reason of software reliability problems is high complexity of software. Various approaches can be used to improve the reliability of software. We focus on software reliability model in this article, assuming that there is a time redundancy, the value of which (the number of repeated transmission of basic blocks) can be an optimization parameter. We consider given mathematical model in the assumption that in the system may occur not only irreversible failures, but also a failure that can be taken as self-repairing failures that significantly affect the reliability and accuracy of information transfer. Main task of the given paper is to find a time distribution function (DF) of instructions sequence transmission, which consists of random number of basic blocks. We consider the system software unreliable; the time between adjacent failures has exponential distribution.

Keywords: exponential distribution, conditional mean time to failure, distribution function, mathematical model, software reliability

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Authors: Manit Pollar

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Identifying the dengue epidemic periods early would be helpful to take necessary actions to prevent the dengue outbreaks. Providing an accurate prediction on dengue epidemic seasons will allow sufficient time to take the necessary decisions and actions to safeguard the situation for local authorities. This study aimed to develop a forecasting model on number of dengue incidences in Nakhon Si Thammarat Province, Southern Thailand using time series analysis. We develop Seasonal Autoregressive Moving Average (SARIMA) models on the monthly data collected between 2003-2011 and validated the models using data collected between January-September 2012. The result of this study revealed that the SARIMA(1,1,0)(1,2,1)12 model closely described the trends and seasons of dengue incidence and confirmed the existence of dengue fever cases in Nakhon Si Thammarat for the years between 2003-2011. The study showed that the one-step approach for predicting dengue incidences provided significantly more accurate predictions than the twelve-step approach. The model, even if based purely on statistical data analysis, can provide a useful basis for allocation of resources for disease prevention.

Keywords: SARIMA, time series model, dengue cases, Thailand

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Authors: Alexander Marx

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Measuring and mitigating market risk is essential for the stability of enterprises, especially for major banking corporations and investment bank firms. To employ these risk measurement and mitigation processes, the Value at Risk (VaR) is the most commonly used risk metric by practitioners. In the past years, we have seen significant weaknesses in the predictive performance of the VaR in times of financial market crisis. To address this issue, the purpose of this study is to investigate the value-at-risk (VaR) estimation models and their predictive performance by applying a series of backtesting methods on the stock market indices of the G7 countries (Canada, France, Germany, Italy, Japan, UK, US, Europe). The study employs parametric, non-parametric, and semi-parametric VaR estimation models and is conducted during three different periods which cover the most recent financial market crisis: the overall period (2006–2022), the global financial crisis period (2008–2009), and COVID-19 period (2020–2022). Since the regulatory authorities have introduced and mandated the Conditional Value at Risk (Expected Shortfall) as an additional regulatory risk management metric, the study will analyze and compare both risk metrics on their predictive performance.

Keywords: value at risk, financial market risk, banking, quantitative risk management

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Authors: Ivan Baravy

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Interpolation problem, as it was initially posed in terms of polynomials, is well researched. However, further mathematical developments extended it significantly. Trigonometric interpolation is widely used in Fourier analysis, while its generalized representation as exponential interpolation is applicable to such problem of mathematical physics as modelling of Ziegler-Biersack-Littmark repulsive interatomic potentials. Formulated for finite fields, this problem arises in decoding Reed--Solomon codes. This paper shows the relation between different interpretations of the problem through the class of matrices of special structure - Hankel matrices.

Keywords: Berlekamp-Massey algorithm, exponential interpolation, finite fields, Hankel matrices, Hankel polynomials

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