Search results for: multivariate distributions
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1273

Search results for: multivariate distributions

823 Solving the Nonlinear Heat Conduction in a Spherical Coordinate with Electrical Simulation

Authors: A. M. Gheitaghy, H. Saffari, G. Q. Zhang

Abstract:

Numerical approach based on the electrical simulation method is proposed to solve a nonlinear transient heat conduction problem with nonlinear boundary for a spherical body. This problem represents a strong nonlinearity in both the governing equation for temperature dependent thermal property and the boundary condition for combined convective and radiative cooling. By analysing the equivalent electrical model using the electrical circuit simulation program HSPICE, transient temperature and heat flux distributions at sphere can be obtained easily and fast. The solutions clearly illustrate the effect of the radiation-conduction parameter Nrc, the Biot number and the linear coefficient of temperature dependent conductivity and heat capacity. On comparing the results with corresponding numerical solutions, the accuracy and efficiency of this computational method are found to be good.

Keywords: convective and radiative boundary, electrical simulation method, nonlinear heat conduction, spherical coordinate

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822 Authorship Patterns in the Literature on English and Literary Studies of Bayero University, Kano: 2007 – 2017

Authors: Murtala Musa

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The purpose of this study was to look at the authorship patterns of Master's Degree Dissertations submitted to the Department of English and Literary Studies at Bayero University in Kano between 2007 and 2017, with the goal of determining the pattern and degree of collaboration between authors. The study was conducted utilizing quantitative research methods and an Ex-post factor research design. A total of 176 copies of Masters Dissertations were examined, yielding a total of 12061 citations. The data collection instrument was a citation analysis checklist created by the researcher. Subramanyam's Law of Collaboration of Authors was used to determine the degree of collaboration among authors using descriptive statistics such as tables, frequency distributions, percentages, and charts. Single-authored publications, followed by double-authored articles, accounted for the majority of the contributions.

Keywords: authorship patterns, bibliometrics, English and Literary studies, citation analysis

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821 Parameter Selection and Monitoring for Water-Powered Percussive Drilling in Green-Fields Mineral Exploration

Authors: S. J. Addinell, T. Richard, B. Evans

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The Deep Exploration Technologies Cooperative Research Centre (DET CRC) is researching and developing a new coiled tubing based greenfields mineral exploration drilling system utilising downhole water powered percussive drill tooling. This new drilling system is aimed at significantly reducing the costs associated with identifying mineral resource deposits beneath deep, barron cover. This system has shown superior rates of penetration in water-rich hard rock formations at depths exceeding 500 meters. Several key challenges exist regarding the deployment and use of these bottom hole assemblies for mineral exploration, and this paper discusses some of the key technical challenges. This paper presents experimental results obtained from the research program during laboratory and field testing of the prototype drilling system. A study of the morphological aspects of the cuttings generated during the percussive drilling process is presented and shows a strong power law relationship for particle size distributions. Several percussive drilling parameters such as RPM, applied fluid pressure and weight on bit have been shown to influence the particle size distributions of the cuttings generated. This has direct influence on other drilling parameters such as flow loop performance, cuttings dewatering, and solids control. Real-time, accurate knowledge of percussive system operating parameters will assist the driller in maximising the efficiency of the drilling process. The applied fluid flow, fluid pressure, and rock properties are known to influence the natural oscillating frequency of the percussive hammer, but this paper also shows that drill bit design, drill bit wear and the applied weight on bit can also influence the oscillation frequency. Due to the changing drilling conditions and therefore changing operating parameters, real-time understanding of the natural operating frequency is paramount to achieving system optimisation. Several techniques to understand the oscillating frequency have been investigated and presented. With a conventional top drive drilling rig, spectral analysis of applied fluid pressure, hydraulic feed force pressure, hold back pressure and drill string vibrations have shown the presence of the operating frequency of the bottom hole tooling. Unfortunately, however, with the implementation of a coiled tubing drilling rig, implementing a positive displacement downhole motor to provide drill bit rotation, these signals are not available for interrogation at the surface and therefore another method must be considered. The investigation and analysis of ground vibrations using geophone sensors, similar to seismic-while-drilling techniques have indicated the presence of the natural oscillating frequency of the percussive hammer. This method is shown to provide a robust technique for the determination of the downhole percussive oscillation frequency when used with a coiled tubing drill rig.

Keywords: cuttings characterization, drilling optimization, oscillation frequency, percussive drilling, spectral analysis

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820 Decomposing the Socio-Economic Inequalities in Utilization of Antenatal Care in South Asian Countries: Insight from Demographic and Health Survey

Authors: Jeetendra Yadav, Geetha Menon, Anita Pal, Rajkumar Verma

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Even after encouraging maternal and child wellness programs at worldwide level, lower-middle income nations are not reached the goal set by the UN yet. This study quantified the contribution of socioeconomic determinants of inequality to the utilization of Antenatal Care in South Asian Countries. This study used data from Demographic Health Survey (DHS) of the selected countries were used, and Oaxaca decomposing were applied for socioeconomic inequalities in utilization of antenatal care. Finding from the multivariate analysis shows that mother’s age at the time of birth, birth order and interval, mother’s education, mass media exposure and economic status were significant determinants of the utilization of antenatal care services in South Asian countries. Considering, concentration index curve, the line of equity was greatest in Pakistan which followed by India and Nepal.

Keywords: antenatal care, decomposition, inequalities, South Asian countries

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819 South African Multiple Deprivation-Concentration Index Quantiles Differentiated by Components of Success and Impediment to Tuberculosis Control Programme Using Mathematical Modelling in Rural O. R. Tambo District Health Facilities

Authors: Ntandazo Dlatu, Benjamin Longo-Mbenza, Andre Renzaho, Ruffin Appalata, Yolande Yvonne Valeria Matoumona Mavoungou, Mbenza Ben Longo, Kenneth Ekoru, Blaise Makoso, Gedeon Longo Longo

Abstract:

Background: The gap between complexities related to the integration of Tuberculosis /HIV control and evidence-based knowledge motivated the initiation of the study. Therefore, the objective of this study was to explore correlations between national TB management guidelines, multiple deprivation indexes, quantiles, components and levels of Tuberculosis control programme using mathematical modeling in rural O.R. Tambo District Health Facilities, South Africa. Methods: The study design used mixed secondary data analysis and cross-sectional analysis between 2009 and 2013 across O.R Tambo District, Eastern Cape, South Africa using univariate/ bivariate analysis, linear multiple regression models, and multivariate discriminant analysis. Health inequalities indicators and component of an impediment to the tuberculosis control programme were evaluated. Results: In total, 62 400 records for TB notification were analyzed for the period 2009-2013. There was a significant but negative between Financial Year Expenditure (r= -0.894; P= 0.041) Seropositive HIV status(r= -0.979; P= 0.004), Population Density (r = -0.881; P= 0.048) and the number of TB defaulter in all TB cases. It was shown unsuccessful control of TB management program through correlations between numbers of new PTB smear positive, TB defaulter new smear-positive, TB failure all TB, Pulmonary Tuberculosis case finding index and deprivation-concentration-dispersion index. It was shown successful TB program control through significant and negative associations between declining numbers of death in co-infection of HIV and TB, TB deaths all TB and SMIAD gradient/ deprivation-concentration-dispersion index. The multivariate linear model was summarized by unadjusted r of 96%, adjusted R2 of 95 %, Standard Error of estimate of 0.110, R2 changed of 0.959 and significance for variance change for P=0.004 to explain the prediction of TB defaulter in all TB with equation y= 8.558-0.979 x number of HIV seropositive. After adjusting for confounding factors (PTB case finding the index, TB defaulter new smear-positive, TB death in all TB, TB defaulter all TB, and TB failure in all TB). The HIV and TB death, as well as new PTB smear positive, were identified as the most important, significant, and independent indicator to discriminate most deprived deprivation index far from other deprivation quintiles 2-5 using discriminant analysis. Conclusion: Elimination of poverty such as overcrowding, lack of sanitation and environment of highest burden of HIV might end the TB threat in O.R Tambo District, Eastern Cape, South Africa. Furthermore, ongoing adequate budget comprehensive, holistic and collaborative initiative towards Sustainable Developmental Goals (SDGs) is necessary for complete elimination of TB in poor O.R Tambo District.

Keywords: tuberculosis, HIV/AIDS, success, failure, control program, health inequalities, South Africa

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818 A Proper Design of Wind Turbine Grounding Systems under Lightning

Authors: M. A. Abd-Allah, Mahmoud N. Ali, A. Said

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Lightning Protection Systems (LPS) for wind power generation is becoming an important public issue. A serious damage of blades, accidents where low-voltage and control circuit breakdowns frequently occur in many wind farms. A grounding system is one of the most important components required for appropriate LPSs in wind turbines WTs. Proper design of a wind turbine grounding system is demanding and several factors for the proper and effective implementation must be taken into account. This paper proposed procedure of proper design of grounding systems for a wind turbine was introduced. This procedure depends on measuring of ground current of simulated wind farm under lightning taking into consideration the soil ionization. The procedure also includes the Ground Potential Rise (GPR) and the voltage distributions at ground surface level and Touch potential. In particular, the contribution of mitigating techniques, such as rings, rods and the proposed design were investigated.

Keywords: WTs, Lightning Protection Systems (LPS), GPR, grounding system, mitigating techniques

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817 Clinicomycological Pattern of Superficial Fungal Infections among Primary School Children in Communities in Enugu, Nigeria

Authors: Nkeiruka Elsie Ezomike, Chinwe L. Onyekonwu, Anthony N. Ikefuna, Bede C. Ibe

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Superficial fungal infections (SFIs) are one of the common cutaneous infections that affect children worldwide. They may lead to school absenteeism or school drop-out and hence setback in the education of the child. Community-based studies in any locality are good reflections of the health conditions within that area. There is a dearth of information in the literature about SFI among primary school children in Enugu. This study aimed to determine the clinicomycological pattern of SFIs among primary school children in rural and urban communities in Enugu. This was a comparative descriptive cross-sectional study among primary school children in Awgu (rural) and Enugu North (urban) Local Government Areas (LGAs). Subjects' selection was made over 6 months using a multi-stage sampling method. Information such as age, sex, parental education, and occupation were collected using questionnaires. Socioeconomic classes of the children were determined using the classification proposed by Oyedeji et al. The samples were collected from subjects with SFIs. Potassium hydroxide tests were done on the samples. The samples that tested positive were cultured for SFI by inoculating onto Sabouraud's dextrose chloramphenicol actidione agar. The characteristics of the isolates were identified according to their morphological features using Mycology Online, Atlas 2000, and Mycology Review 2003. Equal numbers of children were recruited from the two LGAs. A total of 1662 pupils were studied. The mean ages of the study subjects were 9.03 ± 2.10years in rural and 10.46 ± 2.33years in urban communities. The male to female ratio was 1.6:1 in rural and 1:1.1 in urban communities. The personal hygiene of the children was significantly related to the presence of SFIs. The overall prevalence of SFIs among the study participants was 45%. In the rural, the prevalence was 29.6%, and in the urban prevalence was 60.4%. The types of SFIs were tinea capitis (the commonest), tinea corporis, pityriasis Versicolor, tinea unguium, and tinea manuum with prevalence rates lower in rural than urban communities. The clinical patterns were gray patch and black dot type of non-inflammatory tinea capitis, kerion, tinea corporis with trunk and limb distributions, and pityriasis Versicolor with face, trunk and limb distributions. Gray patch was the most frequent pattern of SFI seen in rural and urban communities. Black dot type was more frequent in rural than urban communities. SFIs were frequent among children aged 5 to 8years in rural and 9 to 12 years in urban communities. SFIs were commoner in males in the rural, whereas female dominance was observed in the urban. SFIs were more in children from low social class and those with poor hygiene. Trichophyton tonsurans and Trichophyton soudanese were the common mycological isolates in rural and urban communities, respectively. In conclusion, SFIs were less prevalent in rural than in urban communities. Trichophyton species were the most common fungal isolates in the communities. Health education of mothers and their children on SFI and good personal hygiene will reduce the incidence of SFIs.

Keywords: clinicomycological pattern, communities, primary school children, superficial fungal infections

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816 Generation of Automated Alarms for Plantwide Process Monitoring

Authors: Hyun-Woo Cho

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Earlier detection of incipient abnormal operations in terms of plant-wide process management is quite necessary in order to improve product quality and process safety. And generating warning signals or alarms for operating personnel plays an important role in process automation and intelligent plant health monitoring. Various methodologies have been developed and utilized in this area such as expert systems, mathematical model-based approaches, multivariate statistical approaches, and so on. This work presents a nonlinear empirical monitoring methodology based on the real-time analysis of massive process data. Unfortunately, the big data includes measurement noises and unwanted variations unrelated to true process behavior. Thus the elimination of such unnecessary patterns of the data is executed in data processing step to enhance detection speed and accuracy. The performance of the methodology was demonstrated using simulated process data. The case study showed that the detection speed and performance was improved significantly irrespective of the size and the location of abnormal events.

Keywords: detection, monitoring, process data, noise

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815 Micromechanical Analysis of Interface Properties Effects on Transverse Tensile Response of Fiber-Reinforced Composites

Authors: M. Naderi, N. Iyyer, K. Goel, N. Phan

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A micromechanical analysis of the influence of fiber-matrix interface fracture properties on the transverse tensile response of fiber-reinforced composite is investigated. Augmented finite element method (AFEM) is used to provide high-fidelity damage initiation and propagation along the micromechanical analysis. Effects of fiber volume fraction and fiber shapes are also studies in representative volume elements (RVE) to capture the stochastic behavior of the composite under loading. In addition, defects and voids influence on the composite response are investigated in micromechanical analysis. The results reveal that the response of RVE with constant interface properties overestimates the composite transverse strength. It is also seen that the damage initiation and propagation locations are controlled by the distributions of fracture properties, fibers’ shapes, and defects.

Keywords: cohesive model, fracture, computational mechanics, micromechanics

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814 Science of Social Work: Recognizing Its Existence as a Scientific Discipline by a Method Triangulation

Authors: Sandra Mendes

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Social Work has encountered over time with multivariate requests in the field of its action, provisioning frameworks of knowledge and praxis. Over the years, we have observed a transformation of society and, consequently, of the public who deals with the social work practitioners. Both, training and profession have had need to adapt and readapt the ways of doing, bailing up theories to action, while action unfolds emancipation of new theories. The theoretical questioning of this subject lies on classical authors from social sciences, and contemporary authors of Social Work. In fact, both enhance, in the design of social work, an integration and social cohesion function, creating a culture of action and theory, attributing to its method a relevant function, which shall be promoter of social changes in various dimensions of both individual and collective life, as well as scientific knowledge. On the other hand, it is assumed that Social Work, through its professionalism and through the academy, is now closer to distinguish itself from other Social Sciences as an autonomous scientific field, being, however, in the center of power struggles. This paper seeks to fill the gap in social work literature about the study of the scientific field of this area of knowledge.

Keywords: field theory, knowledge, science, social work

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813 Simulations of High-Intensity, Thermionic Electron Guns for Electron Beam Thermal Processing Including Effects of Space Charge Compensation

Authors: O. Hinrichs, H. Franz, G. Reiter

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Electron guns have a key function in a series of thermal processes, like EB (electron beam) melting, evaporation or welding. These techniques need a high-intensity continuous electron beam that defocuses itself due to high space charge forces. A proper beam transport throughout the magnetic focusing system can be ensured by a space charge compensation via residual gas ions. The different pressure stages in the EB gun cause various degrees of compensation. A numerical model was installed to simulate realistic charge distributions within the beam by using CST-Particle Studio code. We will present current status of beam dynamic simulations. This contribution will focus on the creation of space charge ions and their influence on beam and gun components. Furthermore, the beam transport in the gun will be shown for different beam parameters. The electron source allows to produce beams with currents of 3 A to 15 A and energies of 40 keV to 45 keV.

Keywords: beam dynamic simulation, space charge compensation, thermionic electron source, EB melting, EB thermal processing

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812 Reliability Analysis of Computer Centre at Yobe State University Nigeria under Different Repair Policies

Authors: Vijay Vir Singh

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In this paper, we focus on the reliability and performance analysis of Computer Centre (CC) at Yobe State University, Damaturu, Nigeria. The CC consists of three servers: one database mail server, one redundant and one for sharing with the client computers in the CC (called as local server). Observing the different possibilities of functioning of the CC, analysis has been done to evaluate the various reliability characteristics of the system. The system can completely fail due to failure of router, redundant server before repairing the mail server, and switch failure. The system can also partially fail when local server fails. The system can also fail completely due to a cooling failure, electricity failure or some natural calamity like earthquake, fire etc. All the failure rates are assumed to be constant while repair follows two types of distributions: general and Gumbel-Hougaard family copula.

Keywords: reliability, availability Gumbel-Hougaard family copula, MTTF, internet data centre

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811 Performance Analysis of Heterogeneous Cellular Networks with Multiple Connectivity

Authors: Sungkyung Kim, Jee-Hyeon Na, Dong-Seung Kwon

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Future mobile networks following 5th generation will be characterized by one thousand times higher gains in capacity; connections for at least one hundred billion devices; user experience capable of extremely low latency and response times. To be close to the capacity requirements and higher reliability, advanced technologies have been studied, such as multiple connectivity, small cell enhancement, heterogeneous networking, and advanced interference and mobility management. This paper is focused on the multiple connectivity in heterogeneous cellular networks. We investigate the performance of coverage and user throughput in several deployment scenarios. Using the stochastic geometry approach, the SINR distributions and the coverage probabilities are derived in case of dual connection. Also, to compare the user throughput enhancement among the deployment scenarios, we calculate the spectral efficiency and discuss our results.

Keywords: heterogeneous networks, multiple connectivity, small cell enhancement, stochastic geometry

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810 Study of Biomechanical Model for Smart Sensor Based Prosthetic Socket Design System

Authors: Wei Xu, Abdo S. Haidar, Jianxin Gao

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Prosthetic socket is a component that connects the residual limb of an amputee with an artificial prosthesis. It is widely recognized as the most critical component that determines the comfort of a patient when wearing the prosthesis in his/her daily activities. Through the socket, the body weight and its associated dynamic load are distributed and transmitted to the prosthesis during walking, running or climbing. In order to achieve a good-fit socket for an individual amputee, it is essential to obtain the biomechanical properties of the residual limb. In current clinical practices, this is achieved by a touch-and-feel approach which is highly subjective. Although there have been significant advancements in prosthetic technologies such as microprocessor controlled knee and ankle joints in the last decade, the progress in designing a comfortable socket has been rather limited. This means that the current process of socket design is still very time-consuming, and highly dependent on the expertise of the prosthetist. Supported by the state-of-the-art sensor technologies and numerical simulations, a new socket design system is being developed to help prosthetists achieve rapid design of comfortable sockets for above knee amputees. This paper reports the research work related to establishing biomechanical models for socket design. Through numerical simulation using finite element method, comprehensive relationships between pressure on residual limb and socket geometry were established. This allowed local topological adjustment for the socket so as to optimize the pressure distributions across the residual limb. When the full body weight of a patient is exerted on the residual limb, high pressures and shear forces between the residual limb and the socket occur. During numerical simulations, various hyperplastic models, namely Ogden, Yeoh and Mooney-Rivlin, were used, and their effectiveness in representing the biomechanical properties of soft tissues of the residual limb was evaluated. This also involved reverse engineering, which resulted in an optimal representative model under compression test. To validate the simulation results, a range of silicone models were fabricated. They were tested by an indentation device which yielded the force-displacement relationships. Comparisons of results obtained from FEA simulations and experimental tests showed that the Ogden model did not fit well the soft tissue material indentation data, while the Yeoh model gave the best representation of the soft tissue mechanical behavior under indentation. Compared with hyperplastic model, the result showed that elastic model also had significant errors. In addition, normal and shear stress distributions on the surface of the soft tissue model were obtained. The effect of friction in compression testing and the influence of soft tissue stiffness and testing boundary conditions were also analyzed. All these have contributed to the overall goal of designing a good-fit socket for individual above knee amputees.

Keywords: above knee amputee, finite element simulation, hyperplastic model, prosthetic socket

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809 Reinforced Concrete Slab under Static and Dynamic Loading

Authors: Aaron Aboshio, Jianqiao Ye

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In this study, static and dynamic responses of a typical reinforced concrete flat slab, designed to British Standard (BS 8110, 1997) and under self and live loadings for dance halls are reported. Linear perturbation analysis using finite element method was employed for modal, impulse loading and frequency response analyses of the slab under the aforementioned loading condition. Results from the static and dynamic analyses, comprising of the slab fundamental frequencies and mode shapes, dynamic amplification factor, maximum deflection, stress distributions among other valuable outcomes are presented and discussed. These were gauged with the limiting provisions in the design code with a view to optimise the structure and ensure both adequate strength and economical section for large clear span slabs. This is necessary owing to the continued increase in cost of erecting building structures and the squeeze on public finance globally.

Keywords: economical design, finite element method, modal dynamics, reinforced concrete, slab

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808 TransDrift: Modeling Word-Embedding Drift Using Transformer

Authors: Nishtha Madaan, Prateek Chaudhury, Nishant Kumar, Srikanta Bedathur

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In modern NLP applications, word embeddings are a crucial backbone that can be readily shared across a number of tasks. However, as the text distributions change and word semantics evolve over time, the downstream applications using the embeddings can suffer if the word representations do not conform to the data drift. Thus, maintaining word embeddings to be consistent with the underlying data distribution is a key problem. In this work, we tackle this problem and propose TransDrift, a transformer-based prediction model for word embeddings. Leveraging the flexibility of the transformer, our model accurately learns the dynamics of the embedding drift and predicts future embedding. In experiments, we compare with existing methods and show that our model makes significantly more accurate predictions of the word embedding than the baselines. Crucially, by applying the predicted embeddings as a backbone for downstream classification tasks, we show that our embeddings lead to superior performance compared to the previous methods.

Keywords: NLP applications, transformers, Word2vec, drift, word embeddings

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807 Risk Tolerance and Individual Worthiness Based on Simultaneous Analysis of the Cognitive Performance and Emotional Response to a Multivariate Situational Risk Assessment

Authors: Frederic Jumelle, Kelvin So, Didan Deng

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A method and system for neuropsychological performance test, comprising a mobile terminal, used to interact with a cloud server which stores user information and is logged into by the user through the terminal device; the user information is directly accessed through the terminal device and is processed by artificial neural network, and the user information comprises user facial emotions information, performance test answers information and user chronometrics. This assessment is used to evaluate the cognitive performance and emotional response of the subject to a series of dichotomous questions describing various situations of daily life and challenging the users' knowledge, values, ethics, and principles. In industrial applications, the timing of this assessment will depend on the users' need to obtain a service from a provider, such as opening a bank account, getting a mortgage or an insurance policy, authenticating clearance at work, or securing online payments.

Keywords: artificial intelligence, neurofinance, neuropsychology, risk management

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806 Nonparametric Copula Approximations

Authors: Serge Provost, Yishan Zang

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Copulas are currently utilized in finance, reliability theory, machine learning, signal processing, geodesy, hydrology and biostatistics, among several other fields of scientific investigation. It follows from Sklar's theorem that the joint distribution function of a multidimensional random vector can be expressed in terms of its associated copula and marginals. Since marginal distributions can easily be determined by making use of a variety of techniques, we address the problem of securing the distribution of the copula. This will be done by using several approaches. For example, we will obtain bivariate least-squares approximations of the empirical copulas, modify the kernel density estimation technique and propose a criterion for selecting appropriate bandwidths, differentiate linearized empirical copulas, secure Bernstein polynomial approximations of suitable degrees, and apply a corollary to Sklar's result. Illustrative examples involving actual observations will be presented. The proposed methodologies will as well be applied to a sample generated from a known copula distribution in order to validate their effectiveness.

Keywords: copulas, Bernstein polynomial approximation, least-squares polynomial approximation, kernel density estimation, density approximation

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805 Influence of the Non-Uniform Distribution of Filler Porosity on the Thermal Performance of Sensible Heat Thermocline Storage Tanks

Authors: Yuchao Hua, Lingai Luo

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Thermal energy storage is of critical importance for the highly-efficient utilization of renewable energy sources. Over the past decades, single-tank thermocline technology has attracted much attention owing to its high cost-effectiveness. In the present work, we investigate the influence of the filler porosity’s non-uniform distribution on the thermal performance of the packed-bed sensible heat thermocline storage tanks on the basis of the analytical model obtained by the Laplace transform. It is found that when the total amount of filler materials (i.e., the integration of porosity) is fixed, the different porosity distributions can result in the significantly-different behaviors of outlet temperature and thus the varied charging and discharging efficiencies. Our results indicate that a non-uniform distribution of the fillers with the proper design can improve the heat storage performance without changing the total amount of the filling materials.

Keywords: energy storage, heat thermocline storage tank, packed bed, transient thermal analysis

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804 Combining a Continuum of Hidden Regimes and a Heteroskedastic Three-Factor Model in Option Pricing

Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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803 Optimal Load Control Strategy in the Presence of Stochastically Dependent Renewable Energy Sources

Authors: Mahmoud M. Othman, Almoataz Y. Abdelaziz, Yasser G. Hegazy

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This paper presents a load control strategy based on modification of the Big Bang Big Crunch optimization method. The proposed strategy aims to determine the optimal load to be controlled and the corresponding time of control in order to minimize the energy purchased from substation. The presented strategy helps the distribution network operator to rely on the renewable energy sources in supplying the system demand. The renewable energy sources used in the presented study are modeled using the diagonal band Copula method and sequential Monte Carlo method in order to accurately consider the multivariate stochastic dependence between wind power, photovoltaic power and the system demand. The proposed algorithms are implemented in MATLAB environment and tested on the IEEE 37-node feeder. Several case studies are done and the subsequent discussions show the effectiveness of the proposed algorithm.

Keywords: big bang big crunch, distributed generation, load control, optimization, planning

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802 The Sequential Estimation of the Seismoacoustic Source Energy in C-OTDR Monitoring Systems

Authors: Andrey V. Timofeev, Dmitry V. Egorov

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The practical efficient approach is suggested for estimation of the seismoacoustic sources energy in C-OTDR monitoring systems. This approach represents the sequential plan for confidence estimation both the seismoacoustic sources energy, as well the absorption coefficient of the soil. The sequential plan delivers the non-asymptotic guaranteed accuracy of obtained estimates in the form of non-asymptotic confidence regions with prescribed sizes. These confidence regions are valid for a finite sample size when the distributions of the observations are unknown. Thus, suggested estimates are non-asymptotic and nonparametric, and also these estimates guarantee the prescribed estimation accuracy in the form of the prior prescribed size of confidence regions, and prescribed confidence coefficient value.

Keywords: nonparametric estimation, sequential confidence estimation, multichannel monitoring systems, C-OTDR-system, non-lineary regression

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801 Statistical Channel Modeling for Multiple-Input-Multiple-Output Communication System

Authors: M. I. Youssef, A. E. Emam, M. Abd Elghany

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The performance of wireless communication systems is affected mainly by the environment of its associated channel, which is characterized by dynamic and unpredictable behavior. In this paper, different statistical earth-satellite channel models are studied with emphasize on two main models, first is the Rice-Log normal model, due to its representation for the environment including shadowing and multi-path components that affect the propagated signal along its path, and a three-state model that take into account different fading conditions (clear area, moderate shadow and heavy shadowing). The provided models are based on AWGN, Rician, Rayleigh, and log-normal distributions were their Probability Density Functions (PDFs) are presented. The transmission system Bit Error Rate (BER), Peak-Average-Power Ratio (PAPR), and the channel capacity vs. fading models are measured and analyzed. These simulations are implemented using MATLAB tool, and the results had shown the performance of transmission system over different channel models.

Keywords: fading channels, MIMO communication, RNS scheme, statistical modeling

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800 The Influence of Covariance Hankel Matrix Dimension on Algorithms for VARMA Models

Authors: Celina Pestano-Gabino, Concepcion Gonzalez-Concepcion, M. Candelaria Gil-Fariña

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Some estimation methods for VARMA models, and Multivariate Time Series Models in general, rely on the use of a Hankel matrix. It is known that if the data sample is populous enough and the dimension of the Hankel matrix is unnecessarily large, this may result in an unnecessary number of computations as well as in numerical problems. In this sense, the aim of this paper is two-fold. First, we provide some theoretical results for these matrices which translate into a lower dimension for the matrices normally used in the algorithms. This contribution thus serves to improve those methods from a numerical and, presumably, statistical point of view. Second, we have chosen an estimation algorithm to illustrate in practice our improvements. The results we obtained in a simulation of VARMA models show that an increase in the size of the Hankel matrix beyond the theoretical bound proposed as valid does not necessarily lead to improved practical results. Therefore, for future research, we propose conducting similar studies using any of the linear system estimation methods that depend on Hankel matrices.

Keywords: covariances Hankel matrices, Kronecker indices, system identification, VARMA models

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799 Analyzing On-Line Process Data for Industrial Production Quality Control

Authors: Hyun-Woo Cho

Abstract:

The monitoring of industrial production quality has to be implemented to alarm early warning for unusual operating conditions. Furthermore, identification of their assignable causes is necessary for a quality control purpose. For such tasks many multivariate statistical techniques have been applied and shown to be quite effective tools. This work presents a process data-based monitoring scheme for production processes. For more reliable results some additional steps of noise filtering and preprocessing are considered. It may lead to enhanced performance by eliminating unwanted variation of the data. The performance evaluation is executed using data sets from test processes. The proposed method is shown to provide reliable quality control results, and thus is more effective in quality monitoring in the example. For practical implementation of the method, an on-line data system must be available to gather historical and on-line data. Recently large amounts of data are collected on-line in most processes and implementation of the current scheme is feasible and does not give additional burdens to users.

Keywords: detection, filtering, monitoring, process data

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798 Fast Fourier Transform-Based Steganalysis of Covert Communications over Streaming Media

Authors: Jinghui Peng, Shanyu Tang, Jia Li

Abstract:

Steganalysis seeks to detect the presence of secret data embedded in cover objects, and there is an imminent demand to detect hidden messages in streaming media. This paper shows how a steganalysis algorithm based on Fast Fourier Transform (FFT) can be used to detect the existence of secret data embedded in streaming media. The proposed algorithm uses machine parameter characteristics and a network sniffer to determine whether the Internet traffic contains streaming channels. The detected streaming data is then transferred from the time domain to the frequency domain through FFT. The distributions of power spectra in the frequency domain between original VoIP streams and stego VoIP streams are compared in turn using t-test, achieving the p-value of 7.5686E-176 which is below the threshold. The results indicate that the proposed FFT-based steganalysis algorithm is effective in detecting the secret data embedded in VoIP streaming media.

Keywords: steganalysis, security, Fast Fourier Transform, streaming media

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797 Effects of the Flow Direction on the Fluid Flow and Heat Transfer in the Rod Bundle

Authors: Huirui Han, Chao Zhang

Abstract:

The rod bundle is used in the fuel assembly of the supercritical water-cooled nuclear reactor. In the rod bundle, the coolant absorbs the heat contributed by the fission process. Because of the dramatic variations in the thermophysical properties of water at supercritical conditions, it is essential to investigate the heat transfer characteristics of supercritical water in the rod bundle to ensure the safety of the nuclear power plant. In this study, the effects of the flow direction, including horizontal, upward, and downward, on the fluid flow and heat transfer of the supercritical water in the rod bundle were studied numerically. The results show the possibility of gap vortices in the flow subchannels of the rod bundle. In addition, the distributions of the circumferential wall temperature show differences in different flow direction conditions. It was also found that the circumferential cladding surface temperature distribution in the upward flow condition is extremely non-uniform, and there is a large difference between the maximum wall temperatures for different fuel rods.

Keywords: heat transfer, rod bundle, supercritical water, wall temperature

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796 Multinomial Dirichlet Gaussian Process Model for Classification of Multidimensional Data

Authors: Wanhyun Cho, Soonja Kang, Sanggoon Kim, Soonyoung Park

Abstract:

We present probabilistic multinomial Dirichlet classification model for multidimensional data and Gaussian process priors. Here, we have considered an efficient computational method that can be used to obtain the approximate posteriors for latent variables and parameters needed to define the multiclass Gaussian process classification model. We first investigated the process of inducing a posterior distribution for various parameters and latent function by using the variational Bayesian approximations and important sampling method, and next we derived a predictive distribution of latent function needed to classify new samples. The proposed model is applied to classify the synthetic multivariate dataset in order to verify the performance of our model. Experiment result shows that our model is more accurate than the other approximation methods.

Keywords: multinomial dirichlet classification model, Gaussian process priors, variational Bayesian approximation, importance sampling, approximate posterior distribution, marginal likelihood evidence

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795 Assessment of Social Vulnerability of Urban Population to Floods – a Case Study of Mumbai

Authors: Sherly M. A., Varsha Vijaykumar, Subhankar Karmakar, Terence Chan, Christian Rau

Abstract:

This study aims at proposing an indicator-based framework for assessing social vulnerability of any coastal megacity to floods. The final set of indicators of social vulnerability are chosen from a set of feasible and available indicators which are prepared using a Geographic Information System (GIS) framework on a smaller scale considering 1-km grid cell to provide an insight into the spatial variability of vulnerability. The optimal weight for each individual indicator is assigned using data envelopment analysis (DEA) as it avoids subjective weights and improves the confidence on the results obtained. In order to de-correlate and reduce the dimension of multivariate data, principal component analysis (PCA) has been applied. The proposed methodology is demonstrated on twenty four wards of Mumbai under the jurisdiction of Municipal Corporation of Greater Mumbai (MCGM). This framework of vulnerability assessment is not limited to the present study area, and may be applied to other urban damage centers.

Keywords: urban floods, vulnerability, data envelopment analysis, principal component analysis

Procedia PDF Downloads 339
794 Estimation of Functional Response Model by Supervised Functional Principal Component Analysis

Authors: Hyon I. Paek, Sang Rim Kim, Hyon A. Ryu

Abstract:

In functional linear regression, one typical problem is to reduce dimension. Compared with multivariate linear regression, functional linear regression is regarded as an infinite-dimensional case, and the main task is to reduce dimensions of functional response and functional predictors. One common approach is to adapt functional principal component analysis (FPCA) on functional predictors and then use a few leading functional principal components (FPC) to predict the functional model. The leading FPCs estimated by the typical FPCA explain a major variation of the functional predictor, but these leading FPCs may not be mostly correlated with the functional response, so they may not be significant in the prediction for response. In this paper, we propose a supervised functional principal component analysis method for a functional response model with FPCs obtained by considering the correlation of the functional response. Our method would have a better prediction accuracy than the typical FPCA method.

Keywords: supervised, functional principal component analysis, functional response, functional linear regression

Procedia PDF Downloads 45