Search results for: sample average approximation

Authors: Tudor Barbu

Abstract:

We present a robust nonlinear parabolic partial differential equation (PDE)-based denoising scheme in this article. Our approach is based on a second-order anisotropic diffusion model that is described first. Then, a consistent and explicit numerical approximation algorithm is constructed for this continuous model by using the finite-difference method. Finally, our restoration experiments and method comparison, which prove the effectiveness of this proposed technique, are discussed in this paper.

Keywords: anisotropic diffusion, finite differences, image denoising and restoration, nonlinear PDE model, anisotropic diffusion, numerical approximation schemes

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Authors: F. Rarbi, D. Dzahini, W. Uhring

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In this paper, a dynamic and power efficient 8-bit and 100-MSPS Successive Approximation Register (SAR) Analog-to-Digital Converter (ADC) is presented. The circuit uses a non-differential capacitive Digital-to-Analog (DAC) architecture segmented by 2. The prototype is produced in a commercial 65-nm 1P7M CMOS technology with 1.2-V supply voltage. The size of the core ADC is 208.6 x 103.6 µm². The post-layout noise simulation results feature a SNR of 46.9 dB at Nyquist frequency, which means an effective number of bit (ENOB) of 7.5-b. The total power consumption of this SAR ADC is only 1.55 mW at 100-MSPS. It achieves then a figure of merit of 85.6 fJ/step.

Keywords: CMOS analog to digital converter, dynamic comparator, image sensor application, successive approximation register

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Authors: Alan Wan

Abstract:

In recent years, the body of literature on frequentist model averaging in statistics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this paper, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimisation of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favourable properties compared to some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function misspecification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two real data sets.

Keywords: heteroscedasticity-robust, model averaging, multiplicative heteroscedasticity, plug-in, squared prediction risk

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Authors: Sie Long Kek, Wah June Leong, Kok Lay Teo

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Linear quadratic Gaussian model is a standard mathematical model for the stochastic optimal control problem. The combination of the linear quadratic estimation and the linear quadratic regulator allows the state estimation and the optimal control policy to be designed separately. This is known as the separation principle. In this paper, an efficient computational method is proposed to solve the linear quadratic Gaussian problem. In our approach, the Hamiltonian function is defined, and the necessary conditions are derived. In addition to this, the output error is defined and the least-square optimization problem is introduced. By determining the first-order necessary condition, the gradient of the sum squares of output error is established. On this point of view, the stochastic approximation approach is employed such that the optimal control policy is updated. Within a given tolerance, the iteration procedure would be stopped and the optimal solution of the linear-quadratic Gaussian problem is obtained. For illustration, an example of the linear-quadratic Gaussian problem is studied. The result shows the efficiency of the approach proposed. In conclusion, the applicability of the approach proposed for solving the linear quadratic Gaussian problem is highly demonstrated.

Keywords: iteration procedure, least squares solution, linear quadratic Gaussian, output error, stochastic approximation

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Authors: Sarah Fatima, Ahmad A. Malik, Saima Sadaf

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This study was conducted in order to assess the dietary record and vitamin A status of young females of Lahore. A total sample of 376 consisted of 16 – 20 years of unmarried college going females. Three main tools were adopted: questionnaire, 3-day food diary and serum retinol test. The anthropometric measurements showed that a total of 32.6% of the sample was underweight (BMI < 18.5) and 54.5% had a healthy weight (BMI 18.5 – 22.9). The average Vitamin A intake of the sample was 257.95 µg/day while the RDA for the selected age group was 700 µg/day. The mean energy intake of the adolescents was 1153.64 kcal/ day, whereas the Estimated Energy Requirement (EER) for this age group was 2368 kcal/day. The mean serum Vitamin A level was 24.81µg/dL. 69.6% of the sample was deficient in serum Vitamin A i.e. serum retinol < 24 µg/dL. 30.4% had serum retinol in normal limit (24 – 84 µg/dL) from which 25.3% lied in lower limit (24 – 44 µg/dL) and only 5.1% had serum retinol in 44 – 64 µg/dL range. A slightly negative correlation (r = - 0.21, 95% confidence interval) was found between dietary intake of Vitamin A and serum Vitamin A It was concluded that the dietary intake of major nutrients and vitamin A is not adequate in the selected group. This is also confirmed by the lower serum retinol levels. Hence, vitamin An intake and status are generally inadequate, and vitamin deficiency is prevalent in the unmarried young females of Lahore.

Keywords: vitamin A, young Females, vitamin deficiency, Lahore

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Authors: B. Gueridi, T. Chihi, M. Fatmi, A. Faci

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Some fundamental physical properties of BiGaO₃ were investigated under pressure and temperature effect using generalized gradient approximation and local density approximation approaches. The effect of orientation on Debye temperature and sound waves velocities were estimated from elastic constants. The value of the bulk modulus of BiGaO₃ is a sign of its high hardness because it is linked to an isotropic deformation. BiGaO₃ is a semiconductor and ductile material with covalent bonding (Ga–O), and the Bi-O bonding is ionic. The optical transitions were observed when electrons pass from the top of the valence band (O-2p) to the bottom of the conduction band (Ga-4p or Bi-6p). The thermodynamic parameters are determined in temperature and pressure ranging from 0 to 1800 K and 0 to 50 GPa.

Keywords: BiGaO₃ perovskite, optical absorption, first principle, band structure

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Authors: Akbar Salimi, Mehdi Moghimi

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Goal: The human resource empowerment is a new strategy in achieving a competitive advantage. The aim of the research is to understand crime management by the police by using this strategy. Method: The research is applied in terms of goal and it is a survey type research. The sample intended include all the police officers of a police station for as many as 52 people. The data were collected by a researcher made four choice questionnaire after the validity and reliability were confirmed. Findings: By regarding the Melhem pattern as the framework, four dimensions of empowerment were identified and the triangle of crime was explained and then four hypotheses proportionate to it were formulated. Results: Given the fact that the sample was all counted, all the four hypotheses were supported by using the average data received and by regarding the %50 as the criterion.

Keywords: management, empowerment, employees, police

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Authors: Yupaporn Areepong

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The main goal of this paper is to study Statistical Process Control (SPC) with Exponentially Weighted Moving Average (EWMA) control chart when observations are serially-correlated. The characteristic of control chart is Average Run Length (ARL) which is the average number of samples taken before an action signal is given. Ideally, an acceptable ARL of in-control process should be enough large, so-called (ARL0). Otherwise it should be small when the process is out-of-control, so-called Average of Delay Time (ARL1) or a mean of true alarm. We find explicit formulas of ARL for EWMA control chart for Seasonal Autoregressive and Moving Average processes (SARMA) with Exponential white noise. The results of ARL obtained from explicit formula and Integral equation are in good agreement. In particular, this formulas for evaluating (ARL0) and (ARL1) be able to get a set of optimal parameters which depend on smoothing parameter (λ) and width of control limit (H) for designing EWMA chart with minimum of (ARL1).

Keywords: average run length, optimal parameters, exponentially weighted moving average (EWMA), control chart

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Authors: Min Kyung An, Hyuk Cho

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In this paper, we study the Minimum Latency Broadcast Scheduling (MLBS) problem in wireless sensor networks (WSNs). The main issue of the MLBS problem is to compute schedules with the minimum number of timeslots such that a base station can broadcast data to all other sensor nodes with no collisions. Unlike existing works that utilize the traditional omni-directional WSNs, we target the directional WSNs where nodes can collaboratively determine and orientate their antenna directions. We first develop a 7-approximation algorithm, adopting directional WSNs. Our ratio is currently the best, to the best of our knowledge. We then validate the performance of the proposed algorithm through simulation.

Keywords: broadcast, collision-free, directional antenna, approximation, wireless sensor networks

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Authors: Ollie Hall, Salma ElSayed

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Affective adaptation is a novel way for game designers to add an extra layer of engagement to their productions. When player’s emotions factor in game design, endless possibilities for creative gameplay emerge. Whilst gaining popularity, existing affective game research mostly runs controlled experiments carried in restrictive settings and relies on one or more specialist devices for measuring a player’s emotional state. These conditions, albeit effective, are not necessarily realistic. Moreover, the simplified narrative and intrusive wearables may not be suitable for the average player. This exploratory study investigates delivering an immersive affective experience in the wild with minimal requirements in an attempt for the average developer to reach the average player. A puzzle game is created with a rich narrative and creative mechanics. It employs both explicit and implicit adaptation and only requires a web camera. Participants played the game on their own machines in various settings. Whilst it was rated feasible, very engaging, and enjoyable, it remains questionable whether a fully immersive experience was delivered due to the limited sample size.

Keywords: affective games, dynamic adaptation, emotion recognition, game design

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Authors: Madina Hamiane

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Modelling and simulation of an analogy function generator is presented based on a polynomial expansion model. The proposed function generator model is based on a 10th order polynomial approximation of any of the required functions. The polynomial approximations of these functions can then be implemented using basic CMOS circuit blocks. In this paper, a circuit model is proposed that can simultaneously generate many different mathematical functions. The circuit model is designed and simulated with HSPICE and its performance is demonstrated through the simulation of a number of non-linear functions.

Keywords: modelling and simulation, analog function generator, polynomial approximation, CMOS transistors

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Authors: Somveer Singh, Vineet Kumar Singh

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This work contributes a numerical method based on Legendre wavelet approximation for the treatment of partial integro-differential equation (PIDE). Operational matrices of Legendre wavelets reduce the solution of PIDE into the system of algebraic equations. Some useful results concerning the computational order of convergence and error estimates associated to the suggested scheme are presented. Illustrative examples are provided to show the effectiveness and accuracy of proposed numerical method.

Keywords: legendre wavelets, operational matrices, partial integro-differential equation, viscoelasticity

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Authors: Hassan J. Al Salman, Ahmed A. Al Ghafli

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In this study, we consider a nonlinear in time finite element approximation of a reaction diffusion system of lambda-omega type. We use a fixed-point theorem to prove existence of the approximations at each time level. Then, we derive some essential stability estimates and discuss the uniqueness of the approximations. In addition, we employ Nochetto mathematical framework to prove an optimal error bound in time for d= 1, 2 and 3 space dimensions. Finally, we present some numerical experiments to verify the obtained theoretical results.

Keywords: reaction diffusion system, finite element approximation, stability estimates, error bound

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Authors: Saeed Poormoaied, Zumbul Atan

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Emergency shipments provide a powerful mechanism to alleviate the risk of imminent stock-outs and can result in substantial benefits in an inventory system. Customer satisfaction and high service level are immediate consequences of utilizing emergency shipments. In this paper, we consider a single-echelon periodic review inventory system consisting of a single local warehouse, being replenished from a central warehouse with ample capacity in an infinite horizon setting. Since the structure of the optimal policy appears to be complicated, we analyze this problem under an order-up-to-S inventory control policy framework, the (S, T) policy, with the emergency shipment consideration. In each period of the periodic review policy, there is a single opportunity at any point of time for the emergency shipment so that in case of stock-outs, an emergency shipment is requested. The goal is to determine the timing and amount of the emergency shipment during a period (emergency shipment policy) as well as the base stock periodic review policy parameters (replenishment policy). We show that how taking advantage of having an emergency shipment during periods improves the performance of the classical (S, T) policy, especially when fixed and unit emergency shipment costs are small. Investigating the structure of the objective function, we develop an exact algorithm for finding the optimal solution. We also provide a heuristic and an approximation algorithm for the periodic review inventory system problem. The experimental analyses indicate that the heuristic algorithm is computationally more efficient than the approximation algorithm, but in terms of the solution efficiency, the approximation algorithm performs very well. We achieve up to 13% cost savings in the (S, T) policy if we apply the proposed emergency shipment policy. Moreover, our computational results reveal that the approximated solution is often within 0.21% of the globally optimal solution.

Keywords: emergency shipment, inventory, periodic review policy, approximation algorithm.

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Authors: Hassan Al Salman, Ahmed Al Ghafli

Abstract:

In this study we consider a nonlinear in time finite element approximation of a reaction diffusion system of lambda-omega type. We use a fixed point theorem to prove existence of the approximations. Then, we derive some essential stability estimates and discuss the uniqueness of the approximations. Also, we prove an optimal error bound in time for d=1, 2 and 3 space dimensions. Finally, we present some numerical experiments to verify the theoretical results.

Keywords: reaction diffusion system, finite element approximation, fixed point theorem, an optimal error bound

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Authors: B. G. Abiona, O. E. Fapojuwo, T. Akinlawon

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This study assessed the influence of human resource management practices on agricultural employees’ behavior. Data were collected from 75 randomly selected respondents using a well-structured questionnaire. The mean age of the employees’ was 43.2 years. Major human resource management practices that influence employees behaviors were: In-service training are given to employees on a regular basis (average value of x=3.44), management reward employees who are committed to their job (average value of x =3.41) and reward are designed to encourage wide participation and activity (average value of x=3.41). Also, major employees’ behavior include: Managers and employees’ wants to create better job performance (average value of x=3.13) and administrator provides praise and recognition for effective performance and show appreciation for special effort (average value of x=3.05). Major factors affecting employees’ behavior were: inadequate training (average value of x=2.93), inadequate local and international training (average value of x=2.87), inadequate grants for training programmes (average value of x= 2.81). A significant relationship was found between gender (χ2 = 37.204, P<0.05), educational qualification (χ2 = 59.093, P<0.05), income (r =0.122, P<0.05) and human resource management practices (r = 0.573, P< 0.05) of the respondents and employees’ behavior. Management should encourage employees who are committed to their job through awards and recognition.

Keywords: human resources management, agricultural employees, behaviour research institutes, Nigeria

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Authors: Jui-Chen Huang

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Nowadays, the population is aging, the number of people who need to be taken care of is increased, but the manpower and funding are insufficient. Therefore, this study aims to explore the attitudes and willingness of arthritis patients to adopt telecare and to take a large medical institution in the central area of Taiwan as a sample hospital. A structured questionnaire (using the Likert five-point scale) was used to collect chronic patients over 20 years old as sample data, and a total of 500 valid questionnaires were effectively collected. The SPSS 18.0 statistical software was used for reliability analysis and independent sample t-test to explore the differences in attitudes and willingness to use telecare for arthritis patients and non-arthritic patients. The Cronbach's alpha value of this study questionnaire was above 0.94, showing good reliability. Arthritis patients and non-arthritic patients had statistically significant differences in attitudes toward telecare, while the willingness to use did not reach statistically significant differences. In addition, the average attitude and intention of arthritis patients for telecare are 3.38 and 3.41, respectively, indicating that arthritis patients have a certain degree of attitude and willingness to adopt telecare, which is worthy of follow-up research and practical industry push.

Keywords: telecare, arthritis patients, attitudes, intention

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Authors: Giovanni Merola

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Sparse Principal Components Analysis aims to find principal components with few non-zero loadings. We derive such sparse solutions by adding a genuine sparsity requirement to the original Principal Components Analysis (PCA) objective function. This approach differs from others because it preserves PCA's original optimality: uncorrelatedness of the components and least squares approximation of the data. To identify the best subset of non-zero loadings we propose a branch-and-bound search and an iterative elimination algorithm. This last algorithm finds sparse solutions with large loadings and can be run without specifying the cardinality of the loadings and the number of components to compute in advance. We give thorough comparisons with the existing sparse PCA methods and several examples on real datasets.

Keywords: SPCA, uncorrelated components, branch-and-bound, backward elimination

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Authors: S. B. Provost, Hossein Zareamoghaddam

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A univariate density approximation technique whereby the derivative of the logarithm of a density function is assumed to be expressible as a rational function is introduced. This approach which extends Pearson’s curve system is solely based on the moments of a distribution up to a determinable order. Upon solving a system of linear equations, the coefficients of the polynomial ratio can readily be identified. An explicit solution to the integral representation of the resulting density approximant is then obtained. It will be explained that when utilised in conjunction with sample moments, this methodology lends itself to the modelling of ‘big data’. Applications to sets of univariate and bivariate observations will be presented.

Keywords: density estimation, log-density, moments, Pearson's curve system

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Authors: Andrés C. Cuervo Pinilla, Christian G. Quintero M., Chinthaka Premachandra

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This paper considers people’s driving skills diagnosis under real driving conditions. In that sense, this research presents an approach that uses GPS signals which have a direct correlation with driving maneuvers. Besides, it is presented a novel expert-driving-criteria approximation using fuzzy logic which seeks to analyze GPS signals in order to issue an intelligent driving diagnosis. Based on above, this works presents in the first section the intelligent driving diagnosis system approach in terms of its own characteristics properties, explaining in detail significant considerations about how an expert-driving-criteria approximation must be developed. In the next section, the implementation of our developed system based on the proposed fuzzy logic approach is explained. Here, a proposed set of rules which corresponds to a quantitative abstraction of some traffics laws and driving secure techniques seeking to approach an expert-driving- criteria approximation is presented. Experimental testing has been performed in real driving conditions. The testing results show that the intelligent driving diagnosis system qualifies driver’s performance quantitatively with a high degree of reliability.

Keywords: driver support systems, intelligent transportation systems, fuzzy logic, real time data processing

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Authors: Raphael Zanella

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This works deals with the finite element approximation of axisymmetric problems. The weak formulation of the heat equation under the axisymmetry assumption is established for continuous finite elements. The weak formulation is implemented in a C++ solver with implicit march-in-time. The code is verified by space and time convergence tests using a manufactured solution. The solving of an example problem with an axisymmetric formulation is compared to that with a full-3D formulation. Both formulations lead to the same result, but the code based on the axisymmetric formulation is much faster due to the lower number of degrees of freedom. This confirms the correctness of our approach and the interest in using an axisymmetric formulation when it is possible.

Keywords: axisymmetric problem, continuous finite elements, heat equation, weak formulation

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Authors: Muhammad Tarmidzi, Reza M. G. Gani, Andri Luthfi

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The purpose of this study is to identify rock zone containing hydrocarbons with calculating rock property includes volume shale, total porosity, effective porosity and water saturation. Identification method rock property based on GR log, resistivity log, neutron log and density rock. Zoning is based on sequence stratigraphic markers that are sequence boundary (SB), transgressive surface (TS) and flooding surface (FS) which correlating ten well log in blok “M”. The results of sequence stratigraphic correlation consist of eight zone that are two LST zone, three TST zone and three HST zone. The result of rock property calculation in each zone is showing two LST zone containing hydrocarbons. LST-1 zone has average volume shale (Vsh) 25%, average total porosity (PHIT) 14%, average effective porosity (PHIE) 11% and average water saturation 0,83. LST-2 zone has average volume shale (Vsh) 19%, average total porosity (PHIT) 21%, average effective porosity (PHIE) 17% and average water saturation 0,82.

Keywords: hydrocarbons zone, petrophysic, rock property, sequence stratigraphic

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Authors: Sirinan Kittisuksathit, Wannee Hutaphat

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This paper investigates employed people in relation to family happiness, work-life balance, and individual happiness. The employed people in this study are categorized by their marital statuses namely, single, married and living together, married and living apart, cohabitation, and divorced. The 13,906 sample of employed people collected in 2015 by using the Self-Administered Questionnaire. The analysis utilizes ANOVA to analyze the differences between group means and their associated procedures. The findings show that two types of employed people are more likely to obtain the highest average happiness scores: married and living together, and cohabitation. The two groups are subsequently followed by single employed people, and divorced employed people. The lowest average happiness scores were achieved by employed people who are married and living apart.

Keywords: employed people, happiness, marital status, Thailand

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Authors: Zdeněk Veselý, Milan Honner, Jiří Mach

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The aim of the performed work is to establish the 2D and 3D model of direct unsteady task of sample heat treatment by moving source employing computer model on the basis of finite element method. The complex boundary condition on heat loaded sample surface is the essential feature of the task. Computer model describes heat treatment of the sample during heat source movement over the sample surface. It is started from the 2D task of sample cross section as a basic model. Possibilities of extension from 2D to 3D task are discussed. The effect of the addition of third model dimension on the temperature distribution in the sample is showed. Comparison of various model parameters on the sample temperatures is observed. Influence of heat source motion on the depth of material heat treatment is shown for several velocities of the movement. Presented computer model is prepared for the utilization in laser treatment of machine parts.

Keywords: computer simulation, unsteady model, heat treatment, complex boundary condition, moving heat source

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Authors: Takuro Kida, Yuichi Kida

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We show a base of the new trend of algorithm mathematically that treats a historical reason of continuous discrimination in the world as well as its solution by introducing new concepts of parallel world that includes an invisible set of errors as its companion. With respect to a matrix operator-filter bank that the matrix operator-analysis-filter bank H and the matrix operator-sampling-filter bank S are given, firstly, we introduce the detailed algorithm to derive the optimum matrix operator-synthesis-filter bank Z that minimizes all the worst-case measures of the matrix operator-error-signals E(ω) = F(ω) − Y(ω) between the matrix operator-input-signals F(ω) and the matrix operator-output signals Y(ω) of the matrix operator-filter bank at the same time. Further, feedback is introduced to the above approximation theory and it is indicated that introducing conversations with feedback does not superior automatically to the accumulation of existing knowledge of signal prediction. Secondly, the concept of category in the field of mathematics is applied to the above optimum signal approximation and is indicated that the category-based approximation theory is applied to the set-theoretic consideration of the recognition of humans. Based on this discussion, it is shown naturally why the narrow perception that tends to create isolation shows an apparent advantage in the short term and, often, why such narrow thinking becomes intimate with discriminatory action in a human group. Throughout these considerations, it is presented that, in order to abolish easy and intimate discriminatory behavior, it is important to create a parallel world of conception where we share the set of invisible error signals, including the words and the consciousness of both worlds.

Keywords: signal prediction, pseudo inverse matrix, artificial intelligence, conditional optimization

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Authors: Gitanjali Pagare, Hansa Devi, S. P. Sanyal

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Full-potential linearized augmented plane wave (FLAPW) method has been employed within the generalized gradient approximation (GGA) and local spin density approximation (LSDA) as the exchange correlation potential to investigate elastic properties of LaX (X = Cd and Hg) in their B2-type (CsCl) crystal structure. The calculated ground state properties such as lattice constant (a0), bulk modulus (B) and pressure derivative of bulk modulus (B') agree well with the available experimental results. The second order elastic constants (C11, C12 and C44) have been calculated. The ductility or brittleness of these intermetallic compounds is predicted by using Pugh’s rule B/GH and Cauchy’s pressure (C12-C44). The calculated results indicate that LaHg is the ductile whereas LaCd is brittle in nature.

Keywords: ductility/brittleness, elastic constants, equation of states, FP-LAPW method, intermetallics

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Authors: Elimhan N. Mahmudov

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The paper concerns the necessary and sufficient conditions of optimality for Cauchy problem of fourth order discrete (PD) and discrete-approximate (PDA) inclusions. The main problem is formulation of the fourth order adjoint discrete and discrete-approximate inclusions and transversality conditions, which are peculiar to problems including fourth order derivatives and approximate derivatives. Thus the necessary and sufficient conditions of optimality are obtained incorporating the Euler-Lagrange and Hamiltonian forms of inclusions. Derivation of optimality conditions are based on the apparatus of locally adjoint mapping (LAM). Moreover in the application of these results we consider the fourth order linear discrete and discrete-approximate inclusions.

Keywords: difference, optimization, fourth, approximation, transversality

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Authors: Abdul Hakim Chikho

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Most international codes allow the use of an equivalent lateral load method for designing practical buildings to withstand earthquake actions. This method requires calculating an approximation to the fundamental mode period of vibrations of these buildings. Several empirical equations have been suggested to calculate approximations to the fundamental periods of different types of structures. Most of these equations are knowing to provide an only crude approximation to the required fundamental periods and repeating the calculation utilizing a more accurate formula is usually required. In this paper, a new formula to calculate a satisfactory approximation of the fundamental period of a practical building is proposed. This formula takes into account the mass and the stiffness of the building therefore, it is more logical than the conventional empirical equations. In order to verify the accuracy of the proposed formula, several examples have been solved. In these examples, calculating the fundamental mode periods of several farmed buildings utilizing the proposed formula and the conventional empirical equations has been accomplished. Comparing the obtained results with those obtained from a dynamic computer has shown that the proposed formula provides a more accurate estimation of the fundamental periods of practical buildings. Since the proposed method is still simple to use and requires only a minimum computing effort, it is believed to be ideally suited for design purposes.

Keywords: earthquake, fundamental mode period, design, building

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Authors: Jonathan Iworiso

Abstract:

Forecasting the equity premium out-of-sample is a major concern to researchers in finance and emerging markets. The quest for a superior model that can forecast the equity premium with significant economic gains has resulted in several controversies on the choice of variables and suitable techniques among scholars. This research focuses mainly on the application of Regression Training (RT) techniques to forecast monthly equity premium out-of-sample recursively with an expanding window method. A broad category of sophisticated regression models involving model complexity was employed. The RT models include Ridge, Forward-Backward (FOBA) Ridge, Least Absolute Shrinkage and Selection Operator (LASSO), Relaxed LASSO, Elastic Net, and Least Angle Regression were trained and used to forecast the equity premium out-of-sample. In this study, the empirical investigation of the RT models demonstrates significant evidence of equity premium predictability both statistically and economically relative to the benchmark historical average, delivering significant utility gains. They seek to provide meaningful economic information on mean-variance portfolio investment for investors who are timing the market to earn future gains at minimal risk. Thus, the forecasting models appeared to guarantee an investor in a market setting who optimally reallocates a monthly portfolio between equities and risk-free treasury bills using equity premium forecasts at minimal risk.

Keywords: regression training, out-of-sample forecasts, expanding window, statistical predictability, economic significance, utility gains

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Authors: J. J. Vargas, N. Prieto, L. A. Toro

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Control charts are commonly used to monitor processes involving either variable or attribute of quality characteristics and determining the control limits as a critical task for quality engineers to improve the processes. Nonetheless, in some applications it is necessary to include an estimation of efficiency. In this paper, the ability to define the efficiency of an industrial process was added to a control chart by means of incorporating a data envelopment analysis (DEA) approach. In depth, a Bayesian estimation was performed to calculate the posterior probability distribution of parameters as means and variance and covariance matrix. This technique allows to analyse the data set without the need of using the hypothetical large sample implied in the problem and to be treated as an approximation to the finite sample distribution. A rejection simulation method was carried out to generate random variables from the parameter functions. Each resulting vector was used by stochastic DEA model during several cycles for establishing the distribution of each efficiency measures for each DMU (decision making units). A control limit was calculated with model obtained and if a condition of a low level efficiency of DMU is presented, system efficiency is out of control. In the efficiency calculated a global optimum was reached, which ensures model reliability.

Keywords: data envelopment analysis, DEA, Multivariate control chart, rejection simulation method

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