Search results for: Wishart probability distribution
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 6029

Search results for: Wishart probability distribution

5969 Tracking the Effect of Ibutilide on Amplitude and Frequency of Fibrillatory Intracardiac Electrograms Using the Regression Analysis

Authors: H. Hajimolahoseini, J. Hashemi, D. Redfearn

Abstract:

Background: Catheter ablation is an effective therapy for symptomatic atrial fibrillation (AF). The intracardiac electrocardiogram (IEGM) collected during this procedure contains precious information that has not been explored to its full capacity. Novel processing techniques allow looking at these recordings from different perspectives which can lead to improved therapeutic approaches. In our previous study, we showed that variation in amplitude measured through Shannon Entropy could be used as an AF recurrence risk stratification factor in patients who received Ibutilide before the electrograms were recorded. The aim of this study is to further investigate the effect of Ibutilide on characteristics of the recorded signals from the left atrium (LA) of a patient with persistent AF before and after administration of the drug. Methods: The IEGMs collected from different intra-atrial sites of 12 patients were studied and compared before and after Ibutilide administration. First, the before and after Ibutilide IEGMs that were recorded within a Euclidian distance of 3 mm in LA were selected as pairs for comparison. For every selected pair of IEGMs, the Probability Distribution Function (PDF) of the amplitude in time domain and magnitude in frequency domain was estimated using the regression analysis. The PDF represents the relative likelihood of a variable falling within a specific range of values. Results: Our observations showed that in time domain, the PDF of amplitudes was fitted to a Gaussian distribution while in frequency domain, it was fitted to a Rayleigh distribution. Our observations also revealed that after Ibutilide administration, the IEGMs would have significantly narrower short-tailed PDFs both in time and frequency domains. Conclusion: This study shows that the PDFs of the IEGMs before and after administration of Ibutilide represents significantly different properties, both in time and frequency domains. Hence, by fitting the PDF of IEGMs in time domain to a Gaussian distribution or in frequency domain to a Rayleigh distribution, the effect of Ibutilide can easily be tracked using the statistics of their PDF (e.g., standard deviation) while this is difficult through the waveform of IEGMs itself.

Keywords: atrial fibrillation, catheter ablation, probability distribution function, time-frequency characteristics

Procedia PDF Downloads 156
5968 A Proposed Mechanism for Skewing Symmetric Distributions

Authors: M. T. Alodat

Abstract:

In this paper, we propose a mechanism for skewing any symmetric distribution. The new distribution is called the deflation-inflation distribution (DID). We discuss some statistical properties of the DID such moments, stochastic representation, log-concavity. Also we fit the distribution to real data and we compare it to normal distribution and Azzlaini's skew normal distribution. Numerical results show that the DID fits the the tree ring data better than the other two distributions.

Keywords: normal distribution, moments, Fisher information, symmetric distributions

Procedia PDF Downloads 651
5967 Parametric Modeling for Survival Data with Competing Risks Using the Generalized Gompertz Distribution

Authors: Noora Al-Shanfari, M. Mazharul Islam

Abstract:

The cumulative incidence function (CIF) is a fundamental approach for analyzing survival data in the presence of competing risks, which estimates the marginal probability for each competing event. Parametric modeling of CIF has the advantage of fitting various shapes of CIF and estimates the impact of covariates with maximum efficiency. To calculate the total CIF's covariate influence using a parametric model., it is essential to parametrize the baseline of the CIF. As the CIF is an improper function by nature, it is necessary to utilize an improper distribution when applying parametric models. The Gompertz distribution, which is an improper distribution, is limited in its applicability as it only accounts for monotone hazard shapes. The generalized Gompertz distribution, however, can adapt to a wider range of hazard shapes, including unimodal, bathtub, and monotonic increasing or decreasing hazard shapes. In this paper, the generalized Gompertz distribution is used to parametrize the baseline of the CIF, and the parameters of the proposed model are estimated using the maximum likelihood approach. The proposed model is compared with the existing Gompertz model using the Akaike information criterion. Appropriate statistical test procedures and model-fitting criteria will be used to test the adequacy of the model. Both models are applied to the ‘colon’ dataset, which is available in the “biostat3” package in R.

Keywords: competing risks, cumulative incidence function, improper distribution, parametric modeling, survival analysis

Procedia PDF Downloads 90
5966 Statistical Analysis of Cables in Long-Span Cable-Stayed Bridges

Authors: Ceshi Sun, Yueyu Zhao, Yaobing Zhao, Zhiqiang Wang, Jian Peng, Pengxin Guo

Abstract:

With the rapid development of transportation, there are more than 100 cable-stayed bridges with main span larger than 300 m in China. In order to ascertain the statistical relationships among the design parameters of stay cables and their distribution characteristics, 1500 cables were selected from 25 practical long-span cable-stayed bridges. A new relationship between the first order frequency and the length of cable was found by conducting the curve fitting. Then, based on this relationship other interesting relationships were deduced. Several probability density functions (PDFs) were used to investigate the distributions of the parameters of first order frequency, stress level and the Irvine parameter. It was found that these parameters obey the Lognormal distribution, the Weibull distribution and the generalized Pareto distribution, respectively. Scatter diagrams of the three parameters were plotted and their 95% confidence intervals were also investigated.

Keywords: cable, cable-stayed bridge, long-span, statistical analysis

Procedia PDF Downloads 630
5965 The Probability Foundation of Fundamental Theoretical Physics

Authors: Quznetsov Gunn

Abstract:

In the study of the logical foundations of probability theory, it was found that the terms and equations of the fundamental theoretical physics represent terms and theorems of the classical probability theory, more precisely, of that part of this theory, which considers the probability of dot events in the 3 + 1 space-time. In particular, the masses, moments, energies, spins, etc. turn out of parameters of probability distributions such events. The terms and the equations of the electroweak and of the quark-gluon theories turn out the theoretical-probabilistic terms and theorems. Here the relation of a neutrino to his lepton becomes clear, the W and Z bosons masses turn out dynamic ones, the cause of the asymmetry between particles and antiparticles is the impossibility of the birth of single antiparticles. In addition, phenomena such as confinement and asymptotic freedom receive their probabilistic explanation. And here we have the logical foundations of the gravity theory with phenomena dark energy and dark matter.

Keywords: classical theory of probability, logical foundation of fundamental theoretical physics, masses, moments, energies, spins

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5964 Markov-Chain-Based Optimal Filtering and Smoothing

Authors: Garry A. Einicke, Langford B. White

Abstract:

This paper describes an optimum filter and smoother for recovering a Markov process message from noisy measurements. The developments follow from an equivalence between a state space model and a hidden Markov chain. The ensuing filter and smoother employ transition probability matrices and approximate probability distribution vectors. The properties of the optimum solutions are retained, namely, the estimates are unbiased and minimize the variance of the output estimation error, provided that the assumed parameter set are correct. Methods for estimating unknown parameters from noisy measurements are discussed. Signal recovery examples are described in which performance benefits are demonstrated at an increased calculation cost.

Keywords: optimal filtering, smoothing, Markov chains

Procedia PDF Downloads 314
5963 Data Quality Enhancement with String Length Distribution

Authors: Qi Xiu, Hiromu Hota, Yohsuke Ishii, Takuya Oda

Abstract:

Recently, collectable manufacturing data are rapidly increasing. On the other hand, mega recall is getting serious as a social problem. Under such circumstances, there are increasing needs for preventing mega recalls by defect analysis such as root cause analysis and abnormal detection utilizing manufacturing data. However, the time to classify strings in manufacturing data by traditional method is too long to meet requirement of quick defect analysis. Therefore, we present String Length Distribution Classification method (SLDC) to correctly classify strings in a short time. This method learns character features, especially string length distribution from Product ID, Machine ID in BOM and asset list. By applying the proposal to strings in actual manufacturing data, we verified that the classification time of strings can be reduced by 80%. As a result, it can be estimated that the requirement of quick defect analysis can be fulfilled.

Keywords: string classification, data quality, feature selection, probability distribution, string length

Procedia PDF Downloads 314
5962 Automatic Censoring in K-Distribution for Multiple Targets Situations

Authors: Naime Boudemagh, Zoheir Hammoudi

Abstract:

The parameters estimation of the K-distribution is an essential part in radar detection. In fact, presence of interfering targets in reference cells causes a decrease in detection performances. In such situation, the estimate of the shape and the scale parameters are far from the actual values. In the order to avoid interfering targets, we propose an Automatic Censoring (AC) algorithm of radar interfering targets in K-distribution. The censoring technique used in this work offers a good discrimination between homogeneous and non-homogeneous environments. The homogeneous population is then used to estimate the unknown parameters by the classical Method of Moment (MOM). The AC algorithm does not need any prior information about the clutter parameters nor does it require both the number and the position of interfering targets. The accuracy of the estimation parameters obtained by this algorithm are validated and compared to various actual values of the shape parameter, using Monte Carlo simulations, this latter show that the probability of censing in multiple target situations are in good agreement.

Keywords: parameters estimation, method of moments, automatic censoring, K distribution

Procedia PDF Downloads 369
5961 Using Cyclic Structure to Improve Inference on Network Community Structure

Authors: Behnaz Moradijamei, Michael Higgins

Abstract:

Identifying community structure is a critical task in analyzing social media data sets often modeled by networks. Statistical models such as the stochastic block model have proven to explain the structure of communities in real-world network data. In this work, we develop a goodness-of-fit test to examine community structure's existence by using a distinguishing property in networks: cyclic structures are more prevalent within communities than across them. To better understand how communities are shaped by the cyclic structure of the network rather than just the number of edges, we introduce a novel method for deciding on the existence of communities. We utilize these structures by using renewal non-backtracking random walk (RNBRW) to the existing goodness-of-fit test. RNBRW is an important variant of random walk in which the walk is prohibited from returning back to a node in exactly two steps and terminates and restarts once it completes a cycle. We investigate the use of RNBRW to improve the performance of existing goodness-of-fit tests for community detection algorithms based on the spectral properties of the adjacency matrix. Our proposed test on community structure is based on the probability distribution of eigenvalues of the normalized retracing probability matrix derived by RNBRW. We attempt to make the best use of asymptotic results on such a distribution when there is no community structure, i.e., asymptotic distribution under the null hypothesis. Moreover, we provide a theoretical foundation for our statistic by obtaining the true mean and a tight lower bound for RNBRW edge weights variance.

Keywords: hypothesis testing, RNBRW, network inference, community structure

Procedia PDF Downloads 145
5960 COVID-19 Teaches Probability Risk Assessment

Authors: Sean Sloan

Abstract:

Probability Risk Assessments (PRA) can be a difficult concept for students to grasp. So in searching for different ways to describe PRA to relate it to their lives; COVID-19 came up. The parallels are amazing. Soon students began analyzing acceptable risk with the virus. This helped them to quantify just how dangerous is dangerous. The original lesson was dismissed and for the remainder of the period, the probability of risk, and the lethality of risk became the topic. Spreading events such as a COVID carrier on an airline became analogous to single fault casualties such as a Tsunami. Odds of spreading became odds of backup-diesel-generator failure – like with Fukashima Daiichi. Fatalities of the disease became expected fatalities due to radiation spread. Quantification from this discussion took it from hyperbole and emotion into one where we could rationally base guidelines. It has been one of the most effective educational devices observed.

Keywords: COVID, education, probability, risk

Procedia PDF Downloads 151
5959 A Hazard Rate Function for the Time of Ruin

Authors: Sule Sahin, Basak Bulut Karageyik

Abstract:

This paper introduces a hazard rate function for the time of ruin to calculate the conditional probability of ruin for very small intervals. We call this function the force of ruin (FoR). We obtain the expected time of ruin and conditional expected time of ruin from the exact finite time ruin probability with exponential claim amounts. Then we introduce the FoR which gives the conditional probability of ruin and the condition is that ruin has not occurred at time t. We analyse the behavior of the FoR function for different initial surpluses over a specific time interval. We also obtain FoR under the excess of loss reinsurance arrangement and examine the effect of reinsurance on the FoR.

Keywords: conditional time of ruin, finite time ruin probability, force of ruin, reinsurance

Procedia PDF Downloads 401
5958 Saliency Detection Using a Background Probability Model

Authors: Junling Li, Fang Meng, Yichun Zhang

Abstract:

Image saliency detection has been long studied, while several challenging problems are still unsolved, such as detecting saliency inaccurately in complex scenes or suppressing salient objects in the image borders. In this paper, we propose a new saliency detection algorithm in order to solving these problems. We represent the image as a graph with superixels as nodes. By considering appearance similarity between the boundary and the background, the proposed method chooses non-saliency boundary nodes as background priors to construct the background probability model. The probability that each node belongs to the model is computed, which measures its similarity with backgrounds. Thus we can calculate saliency by the transformed probability as a metric. We compare our algorithm with ten-state-of-the-art salient detection methods on the public database. Experimental results show that our simple and effective approach can attack those challenging problems that had been baffling in image saliency detection.

Keywords: visual saliency, background probability, boundary knowledge, background priors

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5957 Comparison of Wind Fragility for Window System in the Simplified 10 and 15-Story Building Considering Exposure Category

Authors: Viriyavudh Sim, WooYoung Jung

Abstract:

Window system in high rise building is occasionally subjected to an excessive wind intensity, particularly during typhoon. The failure of window system did not affect overall safety of structural performance; however, it could endanger the safety of the residents. In this paper, comparison of fragility curves for window system of two residential buildings was studied. The probability of failure for individual window was determined with Monte Carlo Simulation method. Then, lognormal cumulative distribution function was used to represent the fragility. The results showed that windows located on the edge of leeward wall were more susceptible to wind load and the probability of failure for each window panel increased at higher floors.

Keywords: wind fragility, window system, high rise building, wind disaster

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5956 Forecast Based on an Empirical Probability Function with an Adjusted Error Using Propagation of Error

Authors: Oscar Javier Herrera, Manuel Angel Camacho

Abstract:

This paper addresses a cutting edge method of business demand forecasting, based on an empirical probability function when the historical behavior of the data is random. Additionally, it presents error determination based on the numerical method technique ‘propagation of errors’. The methodology was conducted characterization and process diagnostics demand planning as part of the production management, then new ways to predict its value through techniques of probability and to calculate their mistake investigated, it was tools used numerical methods. All this based on the behavior of the data. This analysis was determined considering the specific business circumstances of a company in the sector of communications, located in the city of Bogota, Colombia. In conclusion, using this application it was possible to obtain the adequate stock of the products required by the company to provide its services, helping the company reduce its service time, increase the client satisfaction rate, reduce stock which has not been in rotation for a long time, code its inventory, and plan reorder points for the replenishment of stock.

Keywords: demand forecasting, empirical distribution, propagation of error, Bogota

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5955 The Moment of the Optimal Average Length of the Multivariate Exponentially Weighted Moving Average Control Chart for Equally Correlated Variables

Authors: Edokpa Idemudia Waziri, Salisu S. Umar

Abstract:

The Hotellng’s T^2 is a well-known statistic for detecting a shift in the mean vector of a multivariate normal distribution. Control charts based on T have been widely used in statistical process control for monitoring a multivariate process. Although it is a powerful tool, the T statistic is deficient when the shift to be detected in the mean vector of a multivariate process is small and consistent. The Multivariate Exponentially Weighted Moving Average (MEWMA) control chart is one of the control statistics used to overcome the drawback of the Hotellng’s T statistic. In this paper, the probability distribution of the Average Run Length (ARL) of the MEWMA control chart when the quality characteristics exhibit substantial cross correlation and when the process is in-control and out-of-control was derived using the Markov Chain algorithm. The derivation of the probability functions and the moments of the run length distribution were also obtained and they were consistent with some existing results for the in-control and out-of-control situation. By simulation process, the procedure identified a class of ARL for the MEWMA control when the process is in-control and out-of-control. From our study, it was observed that the MEWMA scheme is quite adequate for detecting a small shift and a good way to improve the quality of goods and services in a multivariate situation. It was also observed that as the in-control average run length ARL0¬ or the number of variables (p) increases, the optimum value of the ARL0pt increases asymptotically and as the magnitude of the shift σ increases, the optimal ARLopt decreases. Finally, we use the example from the literature to illustrate our method and demonstrate its efficiency.

Keywords: average run length, markov chain, multivariate exponentially weighted moving average, optimal smoothing parameter

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5954 A Flexible Pareto Distribution Using α-Power Transformation

Authors: Shumaila Ehtisham

Abstract:

In Statistical Distribution Theory, considering an additional parameter to classical distributions is a usual practice. In this study, a new distribution referred to as α-Power Pareto distribution is introduced by including an extra parameter. Several properties of the proposed distribution including explicit expressions for the moment generating function, mode, quantiles, entropies and order statistics are obtained. Unknown parameters have been estimated by using maximum likelihood estimation technique. Two real datasets have been considered to examine the usefulness of the proposed distribution. It has been observed that α-Power Pareto distribution outperforms while compared to different variants of Pareto distribution on the basis of model selection criteria.

Keywords: α-power transformation, maximum likelihood estimation, moment generating function, Pareto distribution

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5953 Occupational Diseases in the Automotive Industry in Czechia

Authors: J. Jarolímek, P. Urban, P. Pavlínek, D. Dzúrová

Abstract:

The industry constitutes a dominant economic sector in Czechia. The automotive industry represents the most important industrial sector in terms of gross value added and the number of employees. The objective of this study was to analyse the occurrence of occupational diseases (OD) in the automotive industry in Czechia during the 2001-2014 period. Whereas the occurrence of OD in other sectors has generally been decreasing, it has been increasing in the automotive industry, including growing spatial discrepancies. Data on OD cases were retrieved from the National Registry of Occupational Diseases. Further, we conducted a survey in automotive companies with a focus on occupational health services and positions of the companies in global production networks (GPNs). An analysis of OD distribution in the automotive industry was performed (age, gender, company size and its role in GPNs, regional distribution of studied companies, and regional unemployment rate), and was accompanied by an assessment of the quality and range of occupational health services. The employees older than 40 years had nearly 2.5 times higher probability of OD occurrence compared with employees younger than 40 years (OR 2.41; 95% CI: 2.05-2.85). The OD occurrence probability was 3 times higher for women than for men (OR 3.01; 95 % CI: 2.55-3.55). The OD incidence rate was increasing with the size of the company. An association between the OD incidence and the unemployment rate was not confirmed.

Keywords: occupational diseases, automotive industry, health geography, unemployment

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5952 Presenting a Model in the Analysis of Supply Chain Management Components by Using Statistical Distribution Functions

Authors: Ramin Rostamkhani, Thurasamy Ramayah

Abstract:

One of the most important topics of today’s industrial organizations is the challenging issue of supply chain management. In this field, scientists and researchers have published numerous practical articles and models, especially in the last decade. In this research, to our best knowledge, the discussion of data modeling of supply chain management components using well-known statistical distribution functions has been considered. The world of science owns mathematics, and showing the behavior of supply chain data based on the characteristics of statistical distribution functions is innovative research that has not been published anywhere until the moment of doing this research. In an analytical process, describing different aspects of functions including probability density, cumulative distribution, reliability, and failure function can reach the suitable statistical distribution function for each of the components of the supply chain management. It can be applied to predict the behavior data of the relevant component in the future. Providing a model to adapt the best statistical distribution function in the supply chain management components will be a big revolution in the field of the behavior of the supply chain management elements in today's industrial organizations. Demonstrating the final results of the proposed model by introducing the process capability indices before and after implementing it alongside verifying the approach through the relevant assessment as an acceptable verification is a final step. The introduced approach can save the required time and cost to achieve the organizational goals. Moreover, it can increase added value in the organization.

Keywords: analyzing, process capability indices, statistical distribution functions, supply chain management components

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5951 An Extension of the Generalized Extreme Value Distribution

Authors: Serge Provost, Abdous Saboor

Abstract:

A q-analogue of the generalized extreme value distribution which includes the Gumbel distribution is introduced. The additional parameter q allows for increased modeling flexibility. The resulting distribution can have a finite, semi-infinite or infinite support. It can also produce several types of hazard rate functions. The model parameters are determined by making use of the method of maximum likelihood. It will be shown that it compares favourably to three related distributions in connection with the modeling of a certain hydrological data set.

Keywords: extreme value theory, generalized extreme value distribution, goodness-of-fit statistics, Gumbel distribution

Procedia PDF Downloads 347
5950 Pairwise Relative Primality of Integers and Independent Sets of Graphs

Authors: Jerry Hu

Abstract:

Let G = (V, E) with V = {1, 2, ..., k} be a graph, the k positive integers a₁, a₂, ..., ak are G-wise relatively prime if (aᵢ, aⱼ ) = 1 for {i, j} ∈ E. We use an inductive approach to give an asymptotic formula for the number of k-tuples of integers that are G-wise relatively prime. An exact formula is obtained for the probability that k positive integers are G-wise relatively prime. As a corollary, we also provide an exact formula for the probability that k positive integers have exactly r relatively prime pairs.

Keywords: graph, independent set, G-wise relatively prime, probability

Procedia PDF Downloads 90
5949 Simulating the Hot Hand Phenomenon in Basketball with Bayesian Hidden Markov Models

Authors: Gabriel Calvo, Carmen Armero, Luigi Spezia

Abstract:

A basketball player is said to have a hot hand if his/her performance is better than expected in different periods of time. A way to deal with this phenomenon is to make use of latent variables, which can indicate whether the player is ‘on fire’ or not. This work aims to model the hot hand phenomenon through a Bayesian hidden Markov model (HMM) with two states (cold and hot) and two different probability of success depending on the corresponding hidden state. This task is illustrated through a comprehensive simulation study. The simulated data sets emulate the field goal attempts in an NBA season from different profile players. This model can be a powerful tool to assess the ‘streakiness’ of each player, and it provides information about the general performance of the players during the match. Finally, the Bayesian HMM allows computing the posterior probability of any type of streak.

Keywords: Bernoulli trials, field goals, latent variables, posterior distribution

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5948 Low Probability of Intercept (LPI) Signal Detection and Analysis Using Choi-Williams Distribution

Authors: V. S. S. Kumar, V. Ramya

Abstract:

In the modern electronic warfare, the signal scenario is changing at a rapid pace with the introduction of Low Probability of Intercept (LPI) radars. In the modern battlefield, radar system faces serious threats from passive intercept receivers such as Electronic Attack (EA) and Anti-Radiation Missiles (ARMs). To perform necessary target detection and tracking and simultaneously hide themselves from enemy attack, radar systems should be LPI. These LPI radars use a variety of complex signal modulation schemes together with pulse compression with the aid of advancement in signal processing capabilities of the radar such that the radar performs target detection and tracking while simultaneously hiding enemy from attack such as EA etc., thus posing a major challenge to the ES/ELINT receivers. Today an increasing number of LPI radars are being introduced into the modern platforms and weapon systems so these LPI radars created a requirement for the armed forces to develop new techniques, strategies and equipment to counter them. This paper presents various modulation techniques used in generation of LPI signals and development of Time Frequency Algorithms to analyse those signals.

Keywords: anti-radiation missiles, cross terms, electronic attack, electronic intelligence, electronic warfare, intercept receiver, low probability of intercept

Procedia PDF Downloads 457
5947 A Probability Analysis of Construction Project Schedule Using Risk Management Tool

Authors: A. L. Agarwal, D. A. Mahajan

Abstract:

Construction industry tumbled along with other industry/sectors during recent economic crash. Construction business could not regain thereafter and still pass through slowdown phase, resulted many real estate as well as infrastructure projects not completed on schedule and within budget. There are many theories, tools, techniques with software packages available in the market to analyze construction schedule. This study focuses on the construction project schedule and uncertainties associated with construction activities. The infrastructure construction project has been considered for the analysis of uncertainty on project activities affecting project duration and analysis is done using @RISK software. Different simulation results arising from three probability distribution functions are compiled to benefit construction project managers to plan more realistic schedule of various construction activities as well as project completion to document in the contract and avoid compensations or claims arising out of missing the planned schedule.

Keywords: construction project, distributions, project schedule, uncertainty

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5946 Personality Traits, Probability of Marital Infidelity and Risk of Divorce

Authors: Bahareh Zare

Abstract:

The theory of the investment model of dating infidelity maintains that loyalty is an essential power within romantic relationships. Loyalty signifies both motivation and psychological attachment to maintain a relationship. This study examined the relationship between the Big Five Personality Factors (Extraversion, Neuroticism, Openness, Conscientiousness, and Agreeableness), probability of marital infidelity, and risk of divorce. The participants completed NEO-FFI, INFQ (infidelity questionnaire) and were interviewed by OHI (Oral History Interview). The results demonstrated that extraversion and agreeableness traits were significant predictors for the probability of infidelity and risk of divorce. In addition, conscientiousness predicted the probability of infidelity, while neuroticism predicted the risk of divorce.

Keywords: five factors personality, infidelity, risk of divorce, investment theory

Procedia PDF Downloads 89
5945 An Empirical Study of the Best Fitting Probability Distributions for Stock Returns Modeling

Authors: Jayanta Pokharel, Gokarna Aryal, Netra Kanaal, Chris Tsokos

Abstract:

Investment in stocks and shares aims to seek potential gains while weighing the risk of future needs, such as retirement, children's education etc. Analysis of the behavior of the stock market returns and making prediction is important for investors to mitigate risk on investment. Historically, the normal variance models have been used to describe the behavior of stock market returns. However, the returns of the financial assets are actually skewed with higher kurtosis, heavier tails, and a higher center than the normal distribution. The Laplace distribution and its family are natural candidates for modeling stock returns. The Variance-Gamma (VG) distribution is the most sought-after distributions for modeling asset returns and has been extensively discussed in financial literatures. In this paper, it explore the other Laplace family, such as Asymmetric Laplace, Skewed Laplace, Kumaraswamy Laplace (KS) together with Variance-Gamma to model the weekly returns of the S&P 500 Index and it's eleven business sector indices. The method of maximum likelihood is employed to estimate the parameters of the distributions and our empirical inquiry shows that the Kumaraswamy Laplace distribution performs much better for stock returns modeling among the choice of distributions used in this study and in practice, KS can be used as a strong alternative to VG distribution.

Keywords: stock returns, variance-gamma, kumaraswamy laplace, maximum likelihood

Procedia PDF Downloads 68
5944 Loss Analysis by Loading Conditions of Distribution Transformers

Authors: A. Bozkurt, C. Kocatepe, R. Yumurtaci, İ. C. Tastan, G. Tulun

Abstract:

Efficient use of energy, with the increase in demand of energy and also with the reduction of natural energy sources, has improved its importance in recent years. Most of the losses in the system from electricity produced until the point of consumption is mostly composed by the energy distribution system. In this study, analysis of the resulting loss in power distribution transformer and distribution power cable is realized which are most of the losses in the distribution system. Transformer losses in the real distribution system were analyzed by CYME Power Engineering Software program. These losses are disclosed for different voltage levels and different loading conditions.

Keywords: distribution system, distribution transformer, power cable, technical losses

Procedia PDF Downloads 640
5943 A Brief Study about Nonparametric Adherence Tests

Authors: Vinicius R. Domingues, Luan C. S. M. Ozelim

Abstract:

The statistical study has become indispensable for various fields of knowledge. Not any different, in Geotechnics the study of probabilistic and statistical methods has gained power considering its use in characterizing the uncertainties inherent in soil properties. One of the situations where engineers are constantly faced is the definition of a probability distribution that represents significantly the sampled data. To be able to discard bad distributions, goodness-of-fit tests are necessary. In this paper, three non-parametric goodness-of-fit tests are applied to a data set computationally generated to test the goodness-of-fit of them to a series of known distributions. It is shown that the use of normal distribution does not always provide satisfactory results regarding physical and behavioral representation of the modeled parameters.

Keywords: Kolmogorov-Smirnov test, Anderson-Darling test, Cramer-Von-Mises test, nonparametric adherence tests

Procedia PDF Downloads 441
5942 Optimization of Feeder Bus Routes at Urban Rail Transit Stations Based on Link Growth Probability

Authors: Yu Song, Yuefei Jin

Abstract:

Urban public transportation can be integrated when there is an efficient connection between urban rail lines, however, there are currently no effective or quick solutions being investigated for this connection. This paper analyzes the space-time distribution and travel demand of passenger connection travel based on taxi track data and data from the road network, excavates potential bus connection stations based on potential connection demand data, and introduces the link growth probability model in the complex network to solve the basic connection bus lines in order to ascertain the direction of the bus lines that are the most connected given the demand characteristics. Then, a tree view exhaustive approach based on constraints is suggested based on graph theory, which can hasten the convergence of findings while doing chain calculations. This study uses WEI QU NAN Station, the Xi'an Metro Line 2 terminal station in Shaanxi Province, as an illustration, to evaluate the model's and the solution method's efficacy. According to the findings, 153 prospective stations have been dug up in total, the feeder bus network for the entire line has been laid out, and the best route adjustment strategy has been found.

Keywords: feeder bus, route optimization, link growth probability, the graph theory

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5941 Spatio-Temporal Changes of Rainfall in São Paulo, Brazil (1973-2012): A Gamma Distribution and Cluster Analysis

Authors: Guilherme Henrique Gabriel, Lucí Hidalgo Nunes

Abstract:

An important feature of rainfall regimes is the variability, which is subject to the atmosphere’s general and regional dynamics, geographical position and relief. Despite being inherent to the climate system, it can harshly impact virtually all human activities. In turn, global climate change has the ability to significantly affect smaller-scale rainfall regimes by altering their current variability patterns. In this regard, it is useful to know if regional climates are changing over time and whether it is possible to link these variations to climate change trends observed globally. This study is part of an international project (Metropole-FAPESP, Proc. 2012/51876-0 and Proc. 2015/11035-5) and the objective was to identify and evaluate possible changes in rainfall behavior in the state of São Paulo, southeastern Brazil, using rainfall data from 79 rain gauges for the last forty years. Cluster analysis and gamma distribution parameters were used for evaluating spatial and temporal trends, and the outcomes are presented by means of geographic information systems tools. Results show remarkable changes in rainfall distribution patterns in São Paulo over the years: changes in shape and scale parameters of gamma distribution indicate both an increase in the irregularity of rainfall distribution and the probability of occurrence of extreme events. Additionally, the spatial outcome of cluster analysis along with the gamma distribution parameters suggest that changes occurred simultaneously over the whole area, indicating that they could be related to remote causes beyond the local and regional ones, especially in a current global climate change scenario.

Keywords: climate change, cluster analysis, gamma distribution, rainfall

Procedia PDF Downloads 314
5940 Comparison of Receiver Operating Characteristic Curve Smoothing Methods

Authors: D. Sigirli

Abstract:

The Receiver Operating Characteristic (ROC) curve is a commonly used statistical tool for evaluating the diagnostic performance of screening and diagnostic test with continuous or ordinal scale results which aims to predict the presence or absence probability of a condition, usually a disease. When the test results were measured as numeric values, sensitivity and specificity can be computed across all possible threshold values which discriminate the subjects as diseased and non-diseased. There are infinite numbers of possible decision thresholds along the continuum of the test results. The ROC curve presents the trade-off between sensitivity and the 1-specificity as the threshold changes. The empirical ROC curve which is a non-parametric estimator of the ROC curve is robust and it represents data accurately. However, especially for small sample sizes, it has a problem of variability and as it is a step function there can be different false positive rates for a true positive rate value and vice versa. Besides, the estimated ROC curve being in a jagged form, since the true ROC curve is a smooth curve, it underestimates the true ROC curve. Since the true ROC curve is assumed to be smooth, several smoothing methods have been explored to smooth a ROC curve. These include using kernel estimates, using log-concave densities, to fit parameters for the specified density function to the data with the maximum-likelihood fitting of univariate distributions or to create a probability distribution by fitting the specified distribution to the data nd using smooth versions of the empirical distribution functions. In the present paper, we aimed to propose a smooth ROC curve estimation based on the boundary corrected kernel function and to compare the performances of ROC curve smoothing methods for the diagnostic test results coming from different distributions in different sample sizes. We performed simulation study to compare the performances of different methods for different scenarios with 1000 repetitions. It is seen that the performance of the proposed method was typically better than that of the empirical ROC curve and only slightly worse compared to the binormal model when in fact the underlying samples were generated from the normal distribution.

Keywords: empirical estimator, kernel function, smoothing, receiver operating characteristic curve

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