Search results for: logistic distribution

Authors: Kaycee L. Bills

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Adolescents and youth who are members of a minority group are more likely to experience higher rates of bullying in comparison to other student demographics. Specifically, adolescents with intellectual disabilities are a minority population that is more susceptible to experience unfair treatment in social settings. This study employs the 2015 Wave of the National Crime Victimization Survey – School Crime Supplement (NCVS/SCS) longitudinal dataset to explore bullying rates experienced among adolescents with intellectual disabilities. This study uses chi-square testing and a logistic regression to analyze if having a disability influences the likelihood of being bullied in comparison to other student demographics. Results of the chi-square testing and the logistic regression indicate that adolescent students who were identified as having a disability were approximately four times more likely to experience higher bullying rates in comparison to all other majority and minority student populations. Thus, it means having a disability resulted in higher bullying rates in comparison to all student groups.

Keywords: disability, bullying, social work, school bullying

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Authors: Yanyan Yu, Haiping Ding, Pengjun Chen, Yiou Sun

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Fault depth is an important parameter to be determined in ground motion simulation, and peak ground velocity (PGV) demonstrates good application prospect. Using numerical simulation method, the variations of distribution and peak value of near-fault PGV with different fault depth were studied in detail, and the reason of some phenomena were discussed. The simulation results show that the distribution characteristics of PGV of fault-parallel (FP) component and fault-normal (FN) component are distinctly different; the value of PGV FN component is much larger than that of FP component. With the increase of fault depth, the distribution region of the FN component strong PGV moves forward along the rupture direction, while the strong PGV zone of FP component becomes gradually far away from the fault trace along the direction perpendicular to the strike. However, no matter FN component or FP component, the strong PGV distribution area and its value are both quickly reduced with increased fault depth. The results above suggest that the fault depth have significant effect on both FN component and FP component of near-fault PGV.

Keywords: fault depth, near-fault, PGV, numerical simulation

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Authors: T. A. Adesiyan, J. A. Adekoya A. Akinlua, N. Torto

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One hundred and eighty six in situ soil samples of the B–horizon were collected around Gbongan–Odeyinka-Orileowu area, southwestern Nigeria, delineated by longitude 4°15l and 4°30l and latitude 7°14l and 7°31 for a reconnaissance geochemical soil survey. The objective was to determine the distribution pattern of some trace metals in the area with a view to discovering any indication of metallic mineralization. The samples were air–dried and sieved to obtain the minus 230 µ fractions which were used for pH determinations and subjected to hot aqua regia acid digestion. The solutions obtained were analyzed for Ag, As, Au, Cd, Co, Cr, Cu, Fe, Mn, Ni, Pb, Sn, and Zn using atomic absorption spectrometric methods. The resulting data were subjected to simple statistical treatment and used in preparing distribution maps of the elements. With these, the spatial distributions of the elements in the area were discussed. The pH of the soils range from 4.70 to 7.59 and this reflects the geochemical distribution patterns of trace metals in the area. The spatial distribution maps of the elements showed similarity in the distributions of Co, Cr, Fe, Ni, Mn and Pb. This suggests close associations between these elements none of which showed any significant anomaly in the study. The associations might be due to the scavenging actions of Fe–Mn oxides on the elements. Only Ag, Au and Sn on one hand and Zn on the other hand showed significant anomalies, which are thought to be due to mineralization and anthropogenic activities respectively.

Keywords: distribution, metals, Gbongan, Nigeria, mineralization anthropogenic

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Authors: Massoud Farag Abouklaish

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The main aim of the present study is to investigate and classify the particle size distribution of sandy soils in Libya. More than fifty soil samples collected from many regions in North, West and South of Libya. Laboratory sieve analysis tests performed on disturbed soil samples to determine grain size distribution. As well as to provide an indicator of general engineering behavior and good understanding, test results are presented and analysed. In addition, conclusions, recommendations are made.

Keywords: Libya, grain size, sandy soils, sieve analysis tests

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Authors: B. Kekezoglu, C. Kocatepe, O. Arikan, Y. Hacialiefendioglu, G. Ucar

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One of the significant problems of energy systems is to supply economic and efficient energy to consumers. Therefore studies has been continued to reduce technical losses in the network. In this paper, the technical losses analyzed for a portion of European side of Istanbul MV distribution network for different compensation scenarios by considering real system and load data and results are presented. Investigated system is modeled with CYME Power Engineering Software and optimal capacity placement has been proposed to minimize losses.

Keywords: distribution system, optimal capacitor placement, reactive power compensation, technical losses

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Authors: Seon Soon Choi

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It is necessary to predict a fatigue crack propagation life for estimation of structural integrity. Because of an uncertainty and a randomness of a structural behavior, it is also required to analyze stochastic characteristics of the fatigue crack propagation life at a specified fatigue crack size. The essential purpose of this study is to present the good probability distribution fit for the fatigue crack propagation life at a specified fatigue crack size in magnesium alloys under various fatigue load ratio conditions. To investigate a stochastic crack growth behavior, fatigue crack propagation experiments are performed in laboratory air under several conditions of fatigue load ratio using AZ31. By Anderson-Darling test, a goodness-of-fit test for probability distribution of the fatigue crack propagation life is performed and the good probability distribution fit for the fatigue crack propagation life is presented. The effect of load ratio on variability of fatigue crack propagation life is also investigated.

Keywords: fatigue crack propagation life, load ratio, magnesium alloys, probability distribution

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Authors: Fawwaz Eniola Fajingbesi, Nur Shahida Midia, Elsheikh M. A. Elsheikh, Siti Hajar Yusoff

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Empirical analysis of lightning related phenomena in real time is extremely dangerous due to the relatively high electric discharge involved. Hence, design and optimization of efficient grounding systems depending on real time empirical methods are impeded. Using numerical methods, the dynamics of complex systems could be modeled hence solved as sets of linear and non-linear systems . In this work, the induced current distribution as lightning strike traverses the soil have been numerically modeled in a 2D axial-symmetry and solved using finite element method (FEM) in COMSOL Multiphysics 5.2 AC/DC module. Stratified and non- stratified electrode system were considered in the solved model and soil conductivity (σ) varied between 10 – 58 mS/m. The result discussed therein were the electric field distribution, current distribution and soil ionization phenomena. It can be concluded that the electric field and current distribution is influenced by the injected electric potential and the non-linearity in soil conductivity. The result from numerical calculation also agrees with previously laboratory scale empirical results.

Keywords: current distribution, grounding systems, lightning discharge, numerical model, soil conductivity, soil ionization

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Authors: Silvia Faroni, Olivier Le Courtois, Krzysztof Ostaszewski

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While a lot of research concentrates on the merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on explaining why regulators favor the choice of VaR or TCE in their set of rules. In this paper, we investigate the preferences of regulators with the aim of understanding why, for instance, a VaR with a given confidence level is ultimately retained. Further, this paper provides equivalence rules that explain how a given choice of VaR can be equivalent to a given choice of TCE. Then, we introduce a new risk indicator that extends TCE by providing a more versatile weighting of the constituents of probability distribution tails. All of our results are illustrated using the generalized Pareto distribution.

Keywords: generalized pareto distribution, generalized tail conditional expectation, regulator preferences, risk measure

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Authors: Thilini Hathurusinghe, Uthpalie Siriwardhana, W. M. Ediri Arachchi, Ranga Thudugala, Indeewari Herath, Gayani Senanayake

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The foramen magnum is more prone to protect than other skeletal remains during high impact and severe disruptive injuries. Therefore, it is worthwhile to explore whether these measurements can be used to determine the human gender which is vital in forensic and anthropological studies. The idea was to find out the ability to use quantitative measurements of foramen magnum as an anatomical indicator for human gender estimation and to evaluate the gender-dependent variations of foramen magnum using quantitative measurements. Randomly selected 113 subjects who underwent CT head scans at Sri Jayawardhanapura General Hospital of Sri Lanka within a period of six months, were included in the study. The sample contained 58 males (48.76 ± 14.7 years old) and 55 females (47.04 ±15.9 years old). Maximum length of the foramen magnum (LFM), maximum width of the foramen magnum (WFM), minimum distance between occipital condyles (MnD) and maximum interior distance between occipital condyles (MxID) were measured. Further, AreaT and AreaR were also calculated. The gender was estimated using binomial logistic regression. The mean values of all explanatory variables (LFM, WFM, MnD, MxID, AreaT, and AreaR) were greater among male than female. All explanatory variables except MnD (p=0.669) were statistically significant (p < 0.05). Significant bivariate correlations were demonstrated by AreaT and AreaR with the explanatory variables. The results evidenced that WFM and MxID were the best measurements in predicting gender according to binomial logistic regression. The estimated model was: log (p/1-p) =10.391-0.136×MxID-0.231×WFM, where p is the probability of being a female. The classification accuracy given by the above model was 65.5%. The quantitative measurements of foramen magnum can be used as a reliable anatomical marker for human gender estimation in the Sri Lankan context.

Keywords: foramen magnum, forensic and anthropological studies, gender estimation, logistic regression

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Authors: G. V. Siva Krishna Rao, B. Srinivasa Rao

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The main aim of the paper is to implement a technique using distributed generation in distribution systems to reduce the distribution system losses and to improve voltage profiles. The fuzzy logic technique is used to select the proper location of DG and an analytical method is proposed to calculate the size of DG unit at any power factor. The optimal sizes of DG units are compared with optimal sizes obtained using the genetic algorithm. The suggested method is programmed under Matlab software and is tested on IEEE 33 bus system and the results are presented.

Keywords: DG Units, sizing of DG units, analytical methods, optimum size

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Authors: Mahdy ‎Esmailian, Mahdi ‎Doostparast, Ahmad ‎Parsian

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‎In this article‎, ‎sequential order statistics (SOS) censoring type II samples coming from the generalized Pareto distribution are considered‎. ‎Maximum likelihood (ML) estimators of the unknown parameters are derived on the basis of the available multiple SOS data‎. ‎Necessary conditions for existence and uniqueness of the derived ML estimates are given‎. Due to complexity in the proposed likelihood function‎, ‎a useful re-parametrization is suggested‎. ‎For illustrative purposes‎, ‎a Monte Carlo simulation study is conducted and an illustrative example is analysed‎.

Keywords: bayesian estimation‎, generalized pareto distribution‎, ‎maximum likelihood estimation‎, sequential order statistics

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Authors: Adewusi Adeoluwawale, Oronti Iyabosola Busola, Akinola Iretiayo, Komolafe Olusola Aderibigbe

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The complex and radial structure of the low voltage distribution network (415V) makes it vulnerable to faults which are due to system and the environmental related factors. Besides these, the protective scheme employed on the low voltage network which is the fuse cannot be monitored remotely such that in the event of sustained fault, the utility will have to rely solely on the complaint brought by customers for loss of supply and this tends to increase the length of outages. A microcontroller based fault detection scheme is hereby developed to detect low voltage and high voltage fault conditions which are common faults on this network. Voltages below 198V and above 242V on the distribution feeders are classified and detected as low voltage and high voltages respectively. Results shows that the developed scheme produced a good response time in the detection of these faults.

Keywords: fault detection, low voltage distribution feeders, outage times, sustained faults

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Authors: Soojin Kim, Jiwon Yang, Sungzoon Cho

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As a seasonal product is only in demand for a short time, inventory management is critical to profits. Both markdowns and stockouts decrease the return on perishable products; therefore, researchers have been interested in the distribution of seasonal products with the aim of maximizing profits. In this study, we propose a data-driven seasonal product sales pattern analysis method for individual retail outlets based on observed sales data clustering; the proposed method helps in determining distribution strategies.

Keywords: clustering, distribution, sales pattern, seasonal product

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Authors: Ahmed A. A. Fadol, Guangji Tong, Wlaa Mohamed

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This paper provides a comprehensive analysis of food insecurity in Sudan, focusing on consumption patterns and their implications, employing the Integrated Food Security Phase Classification (IPC) assessment framework. Years of conflict and economic instability have driven large segments of the population in Sudan into crisis levels of acute food insecurity according to the (IPC). A substantial number of people are estimated to currently face emergency conditions, with an additional sizeable portion categorized under less severe but still extreme hunger levels. In this study, we explore the multifaceted nature of food insecurity in Sudan, considering its historical, political, economic, and social dimensions. An analysis of consumption patterns and trends was conducted, taking into account cultural influences, dietary shifts, and demographic changes. Furthermore, we employ logistic regression and random forest analysis to identify significant independent variables influencing food security status in Sudan. Random forest clearly outperforms logistic regression in terms of area under curve (AUC), accuracy, precision and recall. Forward projections of the IPC for Sudan estimate that 15 million individuals are anticipated to face Crisis level (IPC Phase 3) or worse acute food insecurity conditions between October 2023 and February 2024. Of this, 60% are concentrated in Greater Darfur, Greater Kordofan, and Khartoum State, with Greater Darfur alone representing 29% of this total. These findings emphasize the urgent need for both short-term humanitarian aid and long-term strategies to address Sudan's deepening food insecurity crisis.

Keywords: food insecurity, consumption patterns, logistic regression, random forest analysis

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Authors: Gizem İntepe, Eti Mizrahi

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Investment and financing decisions are influenced by various economic features. Detailed analysis should be conducted in order to make decisions not only by companies but also by governments. Such analysis can be conducted either at the company level or on a sectoral basis to reduce risks and to maximize profits. Sectoral disaggregation caused by seasonality effects, subventions, data advantages or disadvantages may appear in sectors behaving parallel to BIST (Borsa Istanbul stock exchange) Index. Proposed logistic indices could serve market needs as a decision parameter in sectoral basis and also helps forecasting activities in import export volume changes. Also it is an indicator of logistic activity, which is also a sign of economic mobility at the national level. Publicly available data from “Ministry of Transport, Maritime Affairs and Communications” and “Turkish Statistical Institute” is utilized to obtain five logistics indices namely as; exLogistic, imLogistic, fLogistic, dLogistic and cLogistic index. Then, efficiency and reliability of these indices are tested.

Keywords: economic activity, export trade data, import trade data, logistics indices

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Authors: Gunasekaran Raja, Ramkumar Jayaraman, Rajakumar Arul, Kottilingam Kottursamy

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Broadband Wireless Network (BWN) is the promising technology nowadays due to the increased number of smartphones. Buffering scheme using network coding considers the reliability and proper degree distribution in Worldwide interoperability for Microwave Access (WiMAX) multi-hop network. Using network coding, a secure way of transmission is performed which helps in improving throughput and reduces the packet loss in the multicast network. At the outset, improved network coding is proposed in multicast wireless mesh network. Considering the problem of performance overhead, degree distribution makes a decision while performing buffer in the encoding / decoding process. Consequently, BuS (Buffer Scheme) based on network coding is proposed in the multi-hop network. Here the encoding process introduces buffer for temporary storage to transmit packets with proper degree distribution. The simulation results depend on the number of packets received in the encoding/decoding with proper degree distribution using buffering scheme.

Keywords: encoding and decoding, buffer, network coding, degree distribution, broadband wireless networks, multicast

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Authors: Reza Nasrollahpour, Mohamad Hidayat Bin Jamal, Zulhilmi Bin Ismail

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Density currents are generated when the fluid of one density is released into another fluid with a different density. These currents occur in a variety of natural and man-made environments, and this emphasises the importance of studying them. In most practical cases, the density currents flow over the surfaces which are not plane; however, there have been limited investigations in this regard. This study uses laboratory experiments to analyse the influence of bottom roughness on the velocity distribution within these dense underflows. The currents are analysed over a plane surface and three different configurations of beam-roughened beds. The velocity profiles are collected using Acoustic Doppler Velocimetry technique, and the distribution of velocity within these currents is formulated for the tested beds. The results indicate that the empirical power and Gaussian relations can describe the velocity distribution in the inner and outer regions of the profiles, respectively. Moreover, it is found that the bottom roughness is the primary controlling parameter in the inner region.

Keywords: density currents, velocity profiles, Acoustic Doppler Velocimeter, bed roughness

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Authors: Bader Alruwaili, Surajit Ray

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Finite mixtures are a flexible and powerful tool that can be used for univariate and multivariate distributions, and a wide range of research analysis has been conducted based on the multivariate normal mixture and multivariate of a t-mixture. Determining the number of modes is an important activity that, in turn, allows one to determine the number of homogeneous groups in a population. Our work currently being carried out relates to the study of the modality of the skew normal distribution in the univariate and multivariate cases. For the skew normal distribution, the aims are associated with studying the modality of the skew normal distribution and providing the ridgeline, the ridgeline elevation function, the $\Pi$ function, and the curvature function, and this will be conducive to an exploration of the number and location of mode when mixing the two components of skew normal distribution. The subsequent objective is to apply these results to the application of real world data sets, such as flow cytometry data.

Keywords: mode, modality, multivariate skew normal, finite mixture, number of mode

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Authors: C. F. Kumru, C. Kocatepe, O. Arikan

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In this study, electric field distribution analyses for three pylon models are carried out by a Finite Element Method (FEM) based software. Analyses are performed in both stationary and time domains to observe instantaneous values along with the effective ones. Considering the results of the study, different line geometries is considerably affecting the magnitude and distribution of electric field although the line voltages are the same. Furthermore, it is observed that maximum values of instantaneous electric field obtained in time domain analysis are quite higher than the effective ones in stationary mode. In consequence, electric field distribution analyses should be individually made for each different line model and the limit exposure values or distances to residential buildings should be defined according to the results obtained.

Keywords: electric field, energy transmission line, finite element method, pylon

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Authors: Chaitanya Varma, Arpan Mehar

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The present study demonstrates the procedure to analyse speed data collected on various four-lane divided sections in India. Field data for the study was collected at different straight and curved sections on rural highways with the help of radar speed gun and video camera. The data collected at the sections were analysed and parameters pertain to speed distributions were estimated. The different statistical distribution was analysed on vehicle type speed data and for mixed traffic speed data. It was found that vehicle type speed data was either follows the normal distribution or Log-normal distribution, whereas the mixed traffic speed data follows more than one type of statistical distribution. The most common fit observed on mixed traffic speed data were Beta distribution and Weibull distribution. The separate operating speed model based on traffic and roadway geometric parameters were proposed in the present study. The operating speed model with traffic parameters and curve geometry parameters were established. Two different operating speed models were proposed with variables 1/R and Ln(R) and were found to be realistic with a different range of curve radius. The models developed in the present study are simple and realistic and can be used for forecasting operating speed on four-lane highways.

Keywords: highway, mixed traffic flow, modeling, operating speed

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Authors: Todd Zhou, Mikhail Yurochkin

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Out-of-distribution (OOD) detection is receiving increasing amounts of attention in the machine learning research community, boosted by recent technologies, such as autonomous driving and image processing. This newly-burgeoning field has called for the need for more effective and efficient methods for out-of-distribution generalization methods. Without accessing the label information, deploying machine learning models to out-of-distribution domains becomes extremely challenging since it is impossible to evaluate model performance on unseen domains. To tackle this out-of-distribution detection difficulty, we designed a model selection pipeline algorithm and developed a model selection framework with different impurity and randomness measurements to evaluate and choose the best-performing models for out-of-distribution data. By exploring different randomness scores based on predicted probabilities, we adopted the out-of-distribution entropy and developed a custom-designed score, ”CombinedScore,” as the evaluation criterion. This proposed score was created by adding labeled source information into the judging space of the uncertainty entropy score using harmonic mean. Furthermore, the prediction bias was explored through the equality of opportunity violation measurement. We also improved machine learning model performance through model calibration. The effectiveness of the framework with the proposed evaluation criteria was validated on the Folktables American Community Survey (ACS) datasets.

Keywords: model selection, domain generalization, model fairness, randomness measurements, bias index

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Authors: Naima Nur, Safa Islam, Saeema Islam, Md. Faridul Alam

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Background: The worldwide increase in pediatric presumptive tuberculosis (TB) is the most life-threatening challenge in effectively controlling TB. The objective of this study was to determine the proportion of presumptive TB and the factors associated with it. Methods: A cross-sectional study was conducted between March and November 2013 at ICDDR-Bangladesh. Two hundred twelve pulmonary and extra-pulmonary specimens were collected from 84 suspected pediatric patients diagnosed with TB based on their clinical symptoms/radiological findings. Presumptive TB and confirmed TB were considered presumptive TB and non-presumptive TB and were isolated by smear-microscopy, culture, and GeneXpert. Logistic regression was used to analyze associations between outcome and predictor variables. Results: The proportion of presumptive TB was 85.7%, and 14.3% of non-presumptive TB. In presumptive TB, vaccine scars, family TB history, and school-going children were 16.6%, 33.3%, and 56.9%, respectively. In contrast, vaccine scars and family TB history were 8.3%, and school-going children were 58.3% in non-presumptive TB. Significant factors did not appear in the logistic regression analysis. Conclusion: Despite the high proportion of presumptive TB, there was no statistically significant between presumptive TB and non-presumptive TB.

Keywords: presumptive tuberculosis, confirmed tuberculosis, patient's characteristics, diagnosis

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Authors: Majid Habib Khan, Jinwei Zhao, Xinhong Hei, Liu Jiedong, Rana Shahzad Noor, Muhammad Imran

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Deep learning is increasingly employed in image classification, yet the scarcity and high cost of labeled data for training remain a challenge. Limited samples often lead to overfitting due to biased sample distribution. This paper introduces a dynamic distribution calibration method for few-shot learning. Initially, base and new class samples undergo normalization to mitigate disparate feature magnitudes. A pre-trained model then extracts feature vectors from both classes. The method dynamically selects distribution characteristics from base classes (both adjacent and remote) in the embedding space, using a threshold value approach for new class samples. Given the propensity of similar classes to share feature distributions like mean and variance, this research assumes a Gaussian distribution for feature vectors. Subsequently, distributional features of new class samples are calibrated using a corrected hyperparameter, derived from the distribution features of both adjacent and distant base classes. This calibration augments the new class sample set. The technique demonstrates significant improvements, with up to 4% accuracy gains in few-shot classification challenges, as evidenced by tests on miniImagenet and CUB datasets.

Keywords: deep learning, computer vision, image classification, few-shot learning, threshold

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Authors: Norazlin Mohamad, Saiful Adli Bukry, Zarina Zahari, Haidzir Manaf, Hanafi Sawalludin

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Background: Deficit in neuromuscular recruitment and decrease force distribution were the common problems among ankle instability patients due to altered joint kinematics that lead to recurrent ankle injuries. Rigid Tape and KT Tape had widely been used as therapeutic and performance enhancement tools in ankle stability. However the difference effect between this two tapes is still controversial. Objective: To investigate the different effect between Rigid Tape and KT Tape on force distribution and muscle activation among ankle instability patients while standing. Study design: Crossover trial. Participants: 27 patients, age between 18 to 30 years old participated in this study. All the subjects were applied with KT Tape & Rigid Tape on their affected ankle with 3 days of interval for each intervention. The subjects were tested with their barefoot (without tape) first to act as a baseline before proceeding with KT Tape, and then with Rigid Tape. Result: There were no significant difference on force distribution at forefoot and back-foot for both tapes while standing. However the mean data shows that Rigid Tape has the highest force distribution at back-foot rather than forefoot when compared with KT Tape that had more force distribution at forefoot while standing. Regarding muscle activation (Peroneus Longus), results showed significant difference between Rigid Tape and KT Tape (p= 0.048). However, there was no significant difference on Tibialis Anterior muscle activation between both tapes while standing. Conclusion: The results indicated that Peroneus longus muscle was more active when applied Rigid Tape rather than KT Tape in ankle instability patients while standing.

Keywords: ankle instability, kinematic, muscle activation, force distribution, Rigid Tape, KT tape

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Authors: Tomoaki Hashimoto

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In recent decades, probabilistic constrained optimal control problems have attracted much attention in many research field. Although probabilistic constraints are generally intractable in an optimization problem, several tractable methods haven been proposed to handle probabilistic constraints. In most methods, probabilistic constraints are reduced to deterministic constraints that are tractable in an optimization problem. However, there is a gap between the transformed deterministic constraints in case of known and unknown probability distribution. This paper examines the conservativeness of probabilistic constrained optimization method with the unknown probability distribution. The objective of this paper is to provide a quantitative assessment of the conservatism for tractable constraints in probabilistic constrained optimization with the unknown probability distribution.

Keywords: optimal control, stochastic systems, discrete time systems, probabilistic constraints

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Authors: Abdel Hadi Ebraheim

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This paper introduces a new extension of the Inverse Pareto distribution in the framework of Marshal-Olkin (1997) family of distributions. This model is capable of modeling various shapes of aging and failure data. The statistical properties of the new model are discussed. Several methods are used to estimate the parameters involved. Explicit expressions are derived for different types of moments of value in reliability analysis are obtained. Besides, the order statistics of samples from the new proposed model have been studied. Finally, the usefulness of the new model for modeling reliability data is illustrated using two real data sets with simulation study.

Keywords: pareto distribution, marshal-Olkin, reliability, hazard functions, moments, estimation

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Authors: Carol Anne Hargreaves

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A key issue in stock investment is how to select representative features for stock selection. The objective of this paper is to firstly determine whether an automated stock investment system, using machine learning techniques, may be used to identify a portfolio of growth stocks that are highly likely to provide returns better than the stock market index. The second objective is to identify the technical features that best characterize whether a stock’s price is likely to go up and to identify the most important factors and their contribution to predicting the likelihood of the stock price going up. Unsupervised machine learning techniques, such as cluster analysis, were applied to the stock data to identify a cluster of stocks that was likely to go up in price – portfolio 1. Next, the principal component analysis technique was used to select stocks that were rated high on component one and component two – portfolio 2. Thirdly, a supervised machine learning technique, the logistic regression method, was used to select stocks with a high probability of their price going up – portfolio 3. The predictive models were validated with metrics such as, sensitivity (recall), specificity and overall accuracy for all models. All accuracy measures were above 70%. All portfolios outperformed the market by more than eight times. The top three stocks were selected for each of the three stock portfolios and traded in the market for one month. After one month the return for each stock portfolio was computed and compared with the stock market index returns. The returns for all three stock portfolios was 23.87% for the principal component analysis stock portfolio, 11.65% for the logistic regression portfolio and 8.88% for the K-means cluster portfolio while the stock market performance was 0.38%. This study confirms that an automated stock investment system using machine learning techniques can identify top performing stock portfolios that outperform the stock market.

Keywords: machine learning, stock market trading, logistic regression, cluster analysis, factor analysis, decision trees, neural networks, automated stock investment system

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Authors: Longqing Li

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The paper addresses the inefficiency of the classical model in measuring the Value-at-Risk (VaR) using a normal distribution or a Student’s t distribution. Specifically, the paper focuses on the one day ahead Value-at-Risk (VaR) of major stock market’s daily returns in US, UK, China and Hong Kong in the most recent ten years under 95% confidence level. To improve the predictable power and search for the best performing model, the paper proposes using two leading alternatives, Extreme Value Theory (EVT) and a family of GARCH models, and compares the relative performance. The main contribution could be summarized in two aspects. First, the paper extends the GARCH family model by incorporating EGARCH and TGARCH to shed light on the difference between each in estimating one day ahead Value-at-Risk (VaR). Second, to account for the non-normality in the distribution of financial markets, the paper applies Generalized Error Distribution (GED), instead of the normal distribution, to govern the innovation term. A dynamic back-testing procedure is employed to assess the performance of each model, a family of GARCH and the conditional EVT. The conclusion is that Exponential GARCH yields the best estimate in out-of-sample one day ahead Value-at-Risk (VaR) forecasting. Moreover, the discrepancy of performance between the GARCH and the conditional EVT is indistinguishable.

Keywords: Value-at-Risk, Extreme Value Theory, conditional EVT, backtesting

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Authors: Shahadut Hossain, Jacek Wesolowski, Zahirul Hoque

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In many epidemiological and environmental studies covariate measurements are subject to the detection limit. In most applications, covariate measurements are usually truncated from below which is known as left-truncation. Because the measuring device, which we use to measure the covariate, fails to detect values falling below the certain threshold. In regression analyses, it causes inflated bias and inaccurate mean squared error (MSE) to the estimators. This paper suggests a response-based regression calibration method to correct the deleterious impact introduced by the covariate detection limit in the estimators of the parameters of simple logistic regression model. Compared to the maximum likelihood method, the proposed method is computationally simpler, and hence easier to implement. It is robust to the violation of distributional assumption about the covariate of interest. In producing correct inference, the performance of the proposed method compared to the other competing methods has been investigated through extensive simulations. A real-life application of the method is also shown using data from a population-based case-control study of non-Hodgkin lymphoma.

Keywords: environmental exposure, detection limit, left truncation, bias, ad-hoc substitution

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Authors: Ramin Rostamkhani, Thurasamy Ramayah

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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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