Search results for: estimates

Authors: Nurul Izzati Abd Karim, Samira Albati Kamaruddin, Rozaimi Che Hasan

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The appropriate petrophysical relationship is needed for Soil Water Content (SWC) estimation especially when using Ground Penetrating Radar (GPR). Ground penetrating radar is a geophysical tool that provides indirectly the parameter of SWC. This paper examines the performance of few published petrophysical relationships to obtain SWC estimates from in-situ GPR common- offset survey measurements with gravimetric measurements at peat soil area. Gravimetric measurements were conducted to support of GPR measurements for the accuracy assessment. Further, GPR with dual frequencies (250MHhz and 700MHz) were used in the survey measurements to obtain the dielectric permittivity. Three empirical equations (i.e., Roth’s equation, Schaap’s equation and Idi’s equation) were selected for the study, used to compute the soil water content from dielectric permittivity of the GPR profile. The results indicate that Schaap’s equation provides strong correlation with SWC as measured by GPR data sets and gravimetric measurements.

Keywords: common-offset measurements, ground penetrating radar, petrophysical relationship, soil water content

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Authors: Ping Xu, Gregory T. Golm, Guanghan (Frank) Liu

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In the presence of competing events, traditional survival analysis may not be appropriate and can result in biased estimates, as it assumes independence between competing events and the event of interest. Instead, competing risk analysis should be considered to correctly estimate the survival probability of the event of interest and the hazard ratio between treatment groups. The COVID-19 pandemic has provided a potential source of competing risks in clinical trials, as participants in trials may experienceCOVID-related competing events before the occurrence of the event of interest, for instance, death due to COVID-19, which can affect the incidence rate of the event of interest. We have performed simulation studies to compare multiple competing risk analysis models, including the cumulative incidence function, the sub-distribution hazard function, and the cause-specific hazard function, to the traditional survival analysis model under various scenarios. We also provide a general recommendation on conducting competing risk analysis in randomized clinical trials during the era of the COVID-19 pandemic based on the extensive simulation results.

Keywords: competing risk, survival analysis, simulations, randomized clinical trial, COVID-19 pandemic

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Authors: Shabana Noureen, Zafar Mahmood

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Economies consistently engage in trade across borders and face tariff, non-tariff barriers and other quotas that constitute trade costs. The trade costs imposed by policy barriers on exports are considered an impediment in the export growth rate. This work aims to measure over-year trends in total and bilateral trade costs and their trends in relevance to policy barriers (tariff and non-tariff). The analysis through the micro-founded theoretically based gravity model showed that the total trade costs have a general decreasing trend in the world while in the case of developing countries, the rate by which these trends decline is very low. Bilateral trade cost estimates associated with the policy barriers represent that the non-tariff barriers in a developing country have a major role in sustaining the high trade costs as compared to the tariff barriers. This ultimately leads to a low net declining rate. This work emphasizes that for developing countries the non-tariff barriers are a major factor that renders their exports and to be uncompetitive in the world market.

Keywords: trade costs, policy barriers, tariff barriers, non-tariff barriers, trade policies, export growth

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Authors: Fabrizio Iezzi, Claudio Valente

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The viscous damping in dynamic systems can be proportional or non-proportional. In the first case, the mode shapes are real whereas in the second case they are complex. From an engineering point of view, the complexity of the mode shapes is important in order to quantify the non-proportional damping. Different indices exist to provide estimates of the modal complexity. These indices are or not zero, depending whether the mode shapes are not or are complex. The modal density problem arises in the experimental identification when the dynamic systems have close modal frequencies. Depending on the entity of this closeness, the mode shapes can hold fictitious imaginary quantities that affect the values of the modal complexity indices. The results are the failing in the identification of the real or complex mode shapes and then of the proportional or non-proportional damping. The paper aims to show the influence of the modal density on the values of these indices in case of both proportional and non-proportional damping. Theoretical and pseudo-experimental solutions are compared to analyze the problem according to an appropriate mechanical system.

Keywords: complex mode shapes, dynamic systems identification, modal density, non-proportional damping

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Authors: F. H. Abanda, B. Kamsu-Foguem, J. H. M. Tah

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Construction cost estimation is one of the most important aspects of construction project design. For generations, the process of cost estimating has been manual, time-consuming and error-prone. This has partly led to most cost estimates to be unclear and riddled with inaccuracies that at times lead to over- or under-estimation of construction cost. The development of standard set of measurement rules that are understandable by all those involved in a construction project, have not totally solved the challenges. Emerging Building Information Modelling (BIM) technologies can exploit standard measurement methods to automate cost estimation process and improves accuracies. This requires standard measurement methods to be structured in ontologically and machine readable format; so that BIM software packages can easily read them. Most standard measurement methods are still text-based in textbooks and require manual editing into tables or Spreadsheet during cost estimation. The aim of this study is to explore the development of an ontology based on New Rules of Measurement (NRM) commonly used in the UK for cost estimation. The methodology adopted is Methontology, one of the most widely used ontology engineering methodologies. The challenges in this exploratory study are also reported and recommendations for future studies proposed.

Keywords: BIM, construction projects, cost estimation, NRM, ontology

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Authors: M. Yushalify Misro, Ahmad Ramli, Jamaludin M. Ali

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Bezier curves have useful properties for path generation problem, for instance, it can generate the reference trajectory for vehicles to satisfy the path constraints. Both algorithms join cubic Bezier curve segment smoothly to generate the path. Some of the useful properties of Bezier are curvature. In mathematics, the curvature is the amount by which a geometric object deviates from being flat, or straight in the case of a line. Another extrinsic example of curvature is a circle, where the curvature is equal to the reciprocal of its radius at any point on the circle. The smaller the radius, the higher the curvature thus the vehicle needs to bend sharply. In this study, we use Bezier curve to fit highway-like curve. We use the different approach to finding the best approximation for the curve so that it will resemble highway-like curve. We compute curvature value by analytical differentiation of the Bezier Curve. We will then compute the maximum speed for driving using the curvature information obtained. Our research works on some assumptions; first the Bezier curve estimates the real shape of the curve which can be verified visually. Even, though, the fitting process of Bezier curve does not interpolate exactly on the curve of interest, we believe that the estimation of speed is acceptable. We verified our result with the manual calculation of the curvature from the map.

Keywords: speed estimation, path constraints, reference trajectory, Bezier curve

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Authors: Zhengkun Guo, Yanbin Li, Wenqing Wang, Bo Zou

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The statically fused converted position and doppler measurements Kalman filter (SF-CMKF) with additive debiased measurement conversion has been previously presented to combine the resulting states of converted position measurements Kalman filter (CPMKF) and converted doppler measurement Kalman filter (CDMKF) to yield the final state estimates under minimum mean squared error (MMSE) criterion. However, the exact compensation for the bias in the polar-to-cartesian and spherical-to-cartesian conversion are multiplicative and depend on the statistics of the cosine of the angle measurement errors. As a result, the consistency and performance of the SF-CMKF may be suboptimal in large-angle error situations. In this paper, the multiplicative unbiased position and Doppler measurement conversion for 2D (polar-to-cartesian) tracking are derived, and the SF-CMKF is improved to use those conversions. Monte Carlo simulations are presented to demonstrate the statistical consistency of the multiplicative unbiased conversion and the superior performance of the modified SF-CMKF (SF-UCMKF).

Keywords: measurement conversion, Doppler, Kalman filter, estimation, tracking

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Authors: Karim Kootahi, Seyed Abolhasan Naeini

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The soil-water characteristic curve (SWCC), which represents the relationship between suction and water content (or degree of saturation), is an important property of unsaturated soils. The conventional method for determining SWCC is through specialized testing procedures. Since these procedures require specialized unsaturated soil testing apparatus and lengthy testing programs, several index properties-based correlations have been developed for estimating the SWCC of fine-grained soils. There are, however, considerable inconsistencies among the published correlations and there is no validation study on the predictive ability of existing correlations. In the present study, all existing index properties-based correlations are evaluated using a high quality worldwide database. The performances of existing correlations are assessed both graphically and quantitatively using statistical measures. The results of the validation indicate that most of the existing correlations provide unacceptable estimates of degree of saturation but the most recent model appears to be promising.

Keywords: SWCC, correlations, index properties, validation

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Authors: Ahmed Bellakhdhar

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This paper aims to test the impact of various variables-namely, investment in physical capital, investment in human capital, openness to trade and foreign direct investments, and distance from the technology frontier-on economic growth in the Tunisian context during the period 1976-2010. Empirical results identify that the impact of human capital is significantly positive. This finding confirms the hypothesis that human capital is a main driver of economic performance through its role of improving the internal productive capacity and the absorption of foreign technology especially via foreign direct investments. The effect of FDI is significantly positive in all alternative regressions and the coefficient associated to physical capital variable is positive, but not significant overall. Concerning the import of technologically advanced equipments, our estimates show the absence of a significant direct impact on economic growth in Tunisia. Our empirical results also support the assumption of a non linear relationship between tax and growth and demonstrate the existence of an inverted-U curve between the two variables, in the spirit of the “Laffer curve”.

Keywords: Endogenous growth, Human capital, Technology transfer, Absorptive capacity

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Authors: Altaf H. Khan, Frank Stenger, Mohammed A. Hussein, Reaz A. Chaudhuri, Sameera Asif

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This paper discusses a novel approach to approximate quadrature integrals that arise in the estimation of likelihood parameters for the generalized linear mixed models (GLMM) as well as Bayesian methodology also requires computation of multidimensional integrals with respect to the posterior distributions in which computation are not only tedious and cumbersome rather in some situations impossible to find solutions because of singularities, irregular domains, etc. An attempt has been made in this work to apply Sinc function based quadrature rules to approximate intractable integrals, as there are several advantages of using Sinc based methods, for example: order of convergence is exponential, works very well in the neighborhood of singularities, in general quite stable and provide high accurate and double precisions estimates. The Sinc function based approach seems to be utilized first time in statistical domain to our knowledge, and it's viability and future scopes have been discussed to apply in the estimation of parameters for GLMM models as well as some other statistical areas.

Keywords: generalized linear mixed model, likelihood parameters, qudarature, Sinc function

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Authors: Jong Yeop Kim, Sung Young Park, Dae Hee Kim, Han Bum Joe, Ji Young Yoo, Jong Bum Choi, Sook Young Lee

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Emergence agitation (EA) is commonly reported adverse events after sevoflurane anesthesia in pediatric patients. The efficacy of prophylactic remifentanil, one of mu opioid agonist, in preventing EA is controversial. This meta-analysis assessed the effectiveness of remifentanil to decrease the incidence of EA from sevoflurane anesthesia in children. We searched for randomized controlled trials comparing sevoflurane alone anesthesia with sevoflurane and remifentanil anesthesia to prevent EA in the Cochrane Library, Embase, Pubmed, and KoreaMed, and included 6 studies with 361 patients. The number of patients of reporting EA was summarized using risk ratio (RR) with 95% confidence interval (CI), with point estimates and 95CIs derived from a random effects Mantel-Haenszel method. Overall incidence of EA was about 41%. Compared with sevoflurane alone anesthesia, intravenous infusion of remifentanil with sevoflurane significantly reduced the incidence of EA (RR 0.53, 95% CI 0.39-0.73, P < 0.0001), (heterogeneity, I2 = 0, P = 0.42). This meta-analysis suggested that continuous infusion of remifentanil could be effective in decreasing the EA of about 47% after sevoflurane anesthesia. However, considering limitations of the included studies, more randomized controlled studies are required to verify our results.

Keywords: emergence agitation, meta-analysis, remifentanil, pediatrics

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Authors: Shahadut Hossain

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Measurement errors in continuous covariates and/or misclassifications in categorical covariates are common in epidemiological studies. Regression analysis ignoring such mismeasurements seriously biases the estimated main and interaction effects of covariates on the outcome of interest. Thus, adjustments for such mismeasurements are necessary. In this research, we propose a Bayesian parametric framework for eliminating deleterious impacts of covariate mismeasurements in logistic regression. The proposed adjustment method is unified and thus can be applied to any generalized linear and non-linear regression models. Furthermore, adjustment for covariate mismeasurements requires validation data usually in the form of either gold standard measurements or replicates of the mismeasured covariates on a subset of the study population. Initial investigation shows that adequacy of such adjustment depends on the sizes of main and validation samples, especially when prevalences of the categorical covariates are low. Thus, we investigate the impact of main and validation sample sizes on the adjusted estimates, and provide a general guideline about these sample sizes based on simulation studies.

Keywords: measurement errors, misclassification, mismeasurement, validation sample, Bayesian adjustment

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Authors: Japnoor Garcha, Andrew P. Smith, A. James

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There has been a significant increase in the prevalence and estimates of neurodevelopmental disorders, especially autism spectrum disorders, in the last decade. The literature has seen increasing research on understanding wellbeing and mental health. To understand the association and interaction of wellbeing and mental health with autism and ADHD, a survey was given to 560 secondary school students. The survey used the wellbeing process questionnaire, the autism spectrum quotient, the ADHD self-report scale, and the strengths and difficulties questionnaire. The analysis conducted using SPSS showed that there was a significant correlation between anxiety, depression, A.Q., and ADHD. Anxiety and depression were also significantly correlated with all wellbeing and SDQ variables. The regression analysis showed that anxiety was significantly associated with positive wellbeing, negative wellbeing, emotional problems, and prosocial behaviour, whereas depression was significantly associated with positive wellbeing, negative wellbeing, physical health, flourishing, conduct problems, emotional problems and peer problems.

Keywords: ADHD traits, anxiety, autistic traits, depression

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Authors: Ilkay Turk Cakir, Murat Altinli, Zekeriya Uysal, Abdulkadir Senol, Olcay Bolukbasi Yalcinkaya, Ali Yilmaz

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The Higgs boson was discovered by the ATLAS and CMS experimental groups in 2012 at the Large Hadron Collider (LHC). Production and decay properties of the Higgs boson, Standard Model (SM) couplings, and limits on effective scale of the Higgs boson’s couplings with other bosons are investigated at particle colliders. Deviations from SM estimates are parametrized by effective Lagrangian terms to investigate Higgs couplings. This is a model-independent method for describing the new physics. In this study, sensitivity to neutral gauge boson anomalous couplings with the Higgs boson is investigated using the parameters of the Large Hadron electron Collider (LHeC) and the Future Circular electron-hadron Collider (FCC-eh) with a model-independent approach. By using MadGraph5_aMC@NLO multi-purpose event generator with the parameters of LHeC and FCC-eh, the bounds on the anomalous Hγγ, HγZ and HZZ couplings in e− p → e− q H process are obtained. Detector simulations are also taken into account in the calculations.

Keywords: anomalos couplings, FCC-eh, Higgs, Z boson

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Authors: Nadezhda Kvatashidze

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The conceptual framework of International Financial Reporting Standards determines the basic principles of accounting. The said principles have multiple applications, with professional judgments being one of those. Recognition and assessment of the information contained in financial reporting, especially so the somewhat uncertain events and transactions and/or the ones regarding which there is no standard or interpretation are based on professional judgments. Professional judgments aim at the formulation of expert assumptions regarding the specifics of the circumstances and events to be entered into the report based on the conceptual framework terms and principles. Experts have to make a choice in favor of one of the aforesaid and simulate the situations applying multi-variant accounting estimates and judgment. In making the choice, one should consider all the factors, which may help represent the information in the best way possible. Professional judgment determines the relevance and faithful representation of the presented information, which makes it more useful for the existing and potential investors. In order to assess the prospected net cash flows, the information must be predictable and reliable. The publication contains critical analysis of the aforementioned problems. The fact that the International Financial Reporting Standards are developed continuously makes the issue all the more important and that is another point discussed in the study.

Keywords: conceptual framework, faithful representation, professional judgement, relevance

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Authors: Muhammd Usman Sardar, Mazhar Hussain Baloch, Muhammad Shahbaz Ahmad, Zahir Javed Paracha

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Likewise other developing countries in the world, Pakistan is furthermore suffering from electrical energy deficiency as adverse well-being nominated. Its generation of electricity has become reliant onto a great range of conventional sources since the last ten of years. The foreseeable exhaustion of petroleum and conventional resources will be alarming in continued growth and development for future in Pakistan so renewable energy interchange have to be employed by interesting the majority of power grid network. Energy adding-up through solar photovoltaic based systems and projects can offset the shortfall to such an extent with this sustainable natural resources and most promising technologies. An assessment of solar energy potential for electricity generation is being presented for fulfilling the energy demands with higher level of reliability. This research study estimates the present and future approaching renewable energy resource for power generation to off-grid independent setup or energizing the existed conventional power grids of Pakistan to becoming self-sustained for its entire outfit.

Keywords: powergrid network, solar photovoltaic setups, solar power generation, solar energy technology

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Authors: H. Krarcha

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The structural, elastic, vibrational and thermal properties of AHfO3 compounds with the cubic perovskites structure have been investigated, by employing a first principles method, using the plane wave pseudo potential calculations (PP-PW), based on the density functional theory (DFT), within the local density approximation (LDA). The optimized lattice parameters, independent elastic constants (C11, C12 and C44), bulk modulus (B), compressibility (b), shear modulus (G), Young’s modulus (Y ), Poisson’s ratio (n), Lame´’s coefficients (m, l), as well as band structure, density of states and electron density distributions are obtained and analyzed in comparison with the available theoretical and experimental data. For the first time the numerical estimates of elastic parameters of the polycrystalline AHfO3 ceramics (in framework of the VoigteReusseHill approximation) are performed. The quasi-harmonic Debye model, by means of total energy versus volume calculations obtained with the FP-LAPW method, is applied to study the thermal and vibrational effects. Predicted temperature and pressure effects on the structural parameters, thermal expansions, heat capacities, and Debye temperatures are determined from the non-equilibrium Gibbs functions.

Keywords: Hafnium, elastic propreties, first principles calculation, perovskite

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Authors: K. A. Adeleke

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Often in epidemiological research, introducing stratified Cox model can account for the existence of interactions of some inherent factors with some major/noticeable factors. This research work aimed at modelling correlated variables in infant mortality with the existence of some inherent factors affecting the infant survival function. An alternative semiparametric Stratified Cox model is proposed with a view to take care of multilevel factors that have interactions with others. This, however, was used as a tool to model infant mortality data from Nigeria Demographic and Health Survey (NDHS) with some multilevel factors (Tetanus, Polio, and Breastfeeding) having correlation with main factors (Sex, Size, and Mode of Delivery). Asymptotic properties of the estimators are also studied via simulation. The tested model via data showed good fit and performed differently depending on the levels of the interaction of the strata variable Z*. An evidence that the baseline hazard functions and regression coefficients are not the same from stratum to stratum provides a gain in information as against the usage of Cox model. Simulation result showed that the present method produced better estimates in terms of bias, lower standard errors, and or mean square errors.

Keywords: stratified Cox, semiparametric model, infant mortality, multilevel factors, cofounding variables

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Authors: Al Omari Moahmmed Ahmed

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These papers describe the Bayesian Estimator using Markov Chain Monte Carlo and Lindley’s approximation and the maximum likelihood estimation of the Weibull distribution with Type-I censored data. The maximum likelihood method can’t estimate the shape parameter in closed forms, although it can be solved by numerical methods. Moreover, the Bayesian estimates of the parameters, the survival and hazard functions cannot be solved analytically. Hence Markov Chain Monte Carlo method and Lindley’s approximation are used, where the full conditional distribution for the parameters of Weibull distribution are obtained via Gibbs sampling and Metropolis-Hastings algorithm (HM) followed by estimate the survival and hazard functions. The methods are compared to Maximum Likelihood counterparts and the comparisons are made with respect to the Mean Square Error (MSE) and absolute bias to determine the better method in scale and shape parameters, the survival and hazard functions.

Keywords: weibull distribution, bayesian method, markov chain mote carlo, survival and hazard functions

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Authors: Kadhim Alabady

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Background: Mental illnesses after childbirth are common. After childbirth, women may experience a variety of postpartum complications such as developing depression during pregnancy and after childbirth. Postpartum depression might increases the risk of developing major depression in the future. The most common is postnatal depression also known as postpartum depression that is believed to affect between 10% – 15% of mothers and the most serious, puerperal psychosis (affecting less than 1%). Purpose: This research simply applies the predictions to the population of Dubai, without any adjustment for local conditions. It is intended to help stakeholders to discuss the scale of the issue locally. Method: Applying the above rates of postnatal depression prevalence (10%–15%) to the number of total live births in Dubai 2014. Setting: Birth registry for Dubai 2011/14. Key findings: it is estimated there would be approximately 2,928–4,392 mothers suffering from postnatal depression in 2014 of which 858–1,287 were nationals and 2,070–3,105 were non–nationals. These figures are likely to fluctuate depending on the number of mothers who have twin births, and these estimates of the level of postnatal depression do not take into account related factors such as the age of the mother and education. Recommendations: To establish mother-infant psychiatric care to target women suffering from depression during pregnancy and puerperium.

Keywords: post natal depression, women, mental health, birth

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Authors: Lidia Sanchis-Marco, Antonio Rubia, Pedro Serrano

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This paper studies the informational content of pricing errors in the term structure of sovereign CDS spreads. The residuals from a non-arbitrage model are employed to construct a Price discrepancy estimate, or noise measure. The noise estimate is understood as an indicator of market distress and reflects frictions such as illiquidity. Empirically, the noise measure is computed for an extensive panel of CDS spreads. Our results reveal an important fraction of systematic risk is not priced in default swap contracts. When projecting the noise measure onto a set of financial variables, the panel-data estimates show that greater price discrepancies are systematically related to a higher level of offsetting transactions of CDS contracts. This evidence suggests that arbitrage capital flows exit the marketplace during time of distress, and this consistent with a market segmentation among investors and arbitrageurs where professional arbitrageurs are particularly ineffective at bringing prices to their fundamental values during turbulent periods. Our empirical findings are robust for the most common CDS pricing models employed in the industry.

Keywords: credit default swaps, noise measure, illiquidity, capital arbitrage

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Authors: G. Venkata Rao, P. Kalpana, R. Srinivasa Rao

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Adequate and reliable estimates of aquifer parameters are of utmost importance for proper management of vital groundwater resources. At present scenario the ground water is polluted because of industrial waste disposed over the land and the contaminants are transported in the aquifer from one area to another area which is depending on the characteristics of the aquifer and contaminants. To know the contaminant transport, the accurate estimation of aquifer properties is highly needed. Conventionally, these properties are estimated through pumping tests carried out on water wells. The occurrence and movement of ground water in the aquifer are characteristically defined by the aquifer parameters. The pumping (aquifer) test is the standard technique for estimating various hydraulic properties of aquifer systems, viz, transmissivity (T), hydraulic conductivity (K), storage coefficient (S) etc., for which the graphical method is widely used. The study area for conducting pumping test is Pydibheemavaram Industrial area near the coastal belt of Srikulam, AP, India. The main objective of the present work is to estimate the aquifer properties for developing contaminant transport model for the study area.

Keywords: aquifer, contaminant transport, hydraulic conductivity, industrial waste, pumping test

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Authors: Amitha Puranik, V. S. Binu, Seena Biju

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Missing data is a common problem in spatial analysis especially at the aggregate level. Missing can either occur in covariate or in response variable or in both in a given location. Many missing data techniques are available to estimate the missing data values but not all of these methods can be applied on spatial data since the data are autocorrelated. Hence there is a need to develop a method that estimates the missing values in both response variable and covariates in spatial data by taking account of the spatial autocorrelation. The present study aims to develop a model to estimate the missing data points at the aggregate level in spatial data by accounting for (a) Spatial autocorrelation of the response variable (b) Spatial autocorrelation of covariates and (c) Correlation between covariates and the response variable. Estimating the missing values of spatial data requires a model that explicitly account for the spatial autocorrelation. The proposed model not only accounts for spatial autocorrelation but also utilizes the correlation that exists between covariates, within covariates and between a response variable and covariates. The precise estimation of the missing data points in spatial data will result in an increased precision of the estimated effects of independent variables on the response variable in spatial regression analysis.

Keywords: spatial regression, missing data estimation, spatial autocorrelation, simulation analysis

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Authors: Ayhan Ince

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In this paper, an analytical simplified method for calculating elasto-plastic stresses strains of notched bodies subject to non-proportional loading paths is discussed. The method was based on the Neuber notch correction, which relates the incremental elastic and elastic-plastic strain energy densities at the notch root and the material constitutive relationship. The validity of the method was presented by comparing computed results of the proposed model against finite element numerical data of notched shaft. The comparison showed that the model estimated notch-root elasto-plastic stresses strains with good accuracy using linear-elastic stresses. The prosed model provides more efficient and simple analysis method preferable to expensive experimental component tests and more complex and time consuming incremental non-linear FE analysis. The model is particularly suitable to perform fatigue life and fatigue damage estimates of notched components subjected to non-proportional loading paths.

Keywords: elasto-plastic, stress-strain, notch analysis, nonprortional loadings, cyclic plasticity, fatigue

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Authors: Fariba Azizi, Firoozeh Haghighi, Viliam Makis

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In this paper, we propose a method to model the relationship between failure time and degradation for a simple step stress test where underlying degradation path is linear and different causes of failure are possible. It is assumed that the intensity function depends only on the degradation value. No assumptions are made about the distribution of the failure times. A simple step-stress test is used to shorten failure time of products and a tampered failure rate (TFR) model is proposed to describe the effect of the changing stress on the intensities. We assume that some of the products that fail during the test have a cause of failure that is only known to belong to a certain subset of all possible failures. This case is known as masking. In the presence of masking, the maximum likelihood estimates (MLEs) of the model parameters are obtained through an expectation-maximization (EM) algorithm by treating the causes of failure as missing values. The effect of incomplete information on the estimation of parameters is studied through a Monte-Carlo simulation. Finally, a real example is analyzed to illustrate the application of the proposed methods.

Keywords: cause of failure, linear degradation path, reliability function, expectation-maximization algorithm, intensity, masked data

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Authors: Badreddine Chemali, Boualem Tiliouine

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This article presents the main results of a numerical investigation on the uncertainty of dynamic response of structures with statistically correlated random damping Gamma distributed. A computational method based on a Linear Statistical Model (LSM) is implemented to predict second order statistics for the response of a typical industrial building structure. The significance of random damping with correlated parameters and its implications on the sensitivity of structural peak response in the neighborhood of a resonant frequency are discussed in light of considerable ranges of damping uncertainties and correlation coefficients. The results are compared to those generated using Monte Carlo simulation techniques. The numerical results obtained show the importance of damping uncertainty and statistical correlation of damping coefficients when obtaining accurate probabilistic estimates of dynamic response of structures. Furthermore, the effectiveness of the LSM model to efficiently predict uncertainty propagation for structural dynamic problems with correlated damping parameters is demonstrated.

Keywords: correlated random damping, linear statistical model, Monte Carlo simulation, uncertainty of dynamic response

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Authors: Anderson Ngowa Chembe, John Olukuru

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Greenhouse emissions by human activities are known to irreversibly increase global temperatures through the greenhouse effect. This study seeks to propose a mortality model with sensitivity to heat-change effects as one of the underlying parameters in the model. As such, the study sought to establish the relationship between greenhouse emissions and mortality indices in five OECD countries (USA, UK, Japan, Canada & Germany). Upon the establishment of the relationship using correlation analysis, an additional parameter that accounts for the sensitivity of heat-changes to mortality rates was incorporated in the Lee-Carter model. Based on the proposed model, new parameter estimates were calculated using iterative algorithms for optimization. Finally, the goodness of fit for the original Lee-Carter model and the proposed model were compared using deviance comparison. The proposed model provides a better fit to mortality rates especially in USA, UK and Germany where the mortality indices have a strong positive correlation with the level of greenhouse emissions. The results of this study are of particular importance to actuaries, demographers and climate-risk experts who seek to use better mortality-modeling techniques in the wake of heat effects caused by increased greenhouse emissions.

Keywords: climate risk, greenhouse emissions, Lee-Carter model, OECD

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Authors: Serge B. Provost

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Numerous statistical inference and modeling methodologies are based on sample moments rather than the actual observations. A result justifying the validity of this approach is introduced. More specifically, it will be established that given the first n moments of a sample of size n, one can recover the original n sample points. This implies that a sample of size n and its first associated n moments contain precisely the same amount of information. However, it is efficient to make use of a limited number of initial moments as most of the relevant distributional information is included in them. Two types of density estimation techniques that rely on such moments will be discussed. The first one expresses a density estimate as the product of a suitable base density and a polynomial adjustment whose coefficients are determined by equating the moments of the density estimate to the sample moments. The second one assumes that the derivative of the logarithm of a density function can be represented as a rational function. This gives rise to a system of linear equations involving sample moments, the density estimate is then obtained by solving a differential equation. Unlike kernel density estimation, these methodologies are ideally suited to model ‘big data’ as they only require a limited number of moments, irrespective of the sample size. What is more, they produce simple closed form expressions that are amenable to algebraic manipulations. They also turn out to be more accurate as will be shown in several illustrative examples.

Keywords: density estimation, log-density, polynomial adjustments, sample moments

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Authors: Yasmine Essafi Zouari, Aya Nasreddine

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Following a long inflationary period from the post-war era to the mid-1980s (+10.1% annually), France went through a moderate inflation period between 1986 and 2001 (+2.1% annually) and even lower inflation between 2002 and 2016 (+1.4% annually). In 2022, inflation in France increased rapidly and reached 4.5% over one year in March, according to INSEE estimates. Over a long period, even low inflation has an impact on portfolio value and households’ purchasing power. In such a context, inflation hedging should remain an important issue for investors. In particular, long-term investors, who are concerned with the protection of their wealth, seek to hold effective hedging assets. Considering a mixed-asset portfolio composed of housing assets (residential real estate in 150 Grand Paris communes) as well as financial assets, and using both correlation and regression analysis, results confirm the attribute of the direct housing investment as an inflation hedge especially particularly against its unexpected component. Further, cash and bonds were found to provide respectively a partial and an over hedge against unexpected inflation. Stocks act as a perverse hedge against unexpected inflation and provide no significant positive hedge against expected inflation.

Keywords: direct housing, inflation, hedging ability, optimal portfolio, Grand Paris metropolis

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Authors: Nouha Ben Salah, Mohamed Ali Omri

Abstract:

This paper treats the association between disclosure level and the cost of equity capital in Tunisian’slisted firms. This relation is tested by using two models. The first is used for testing this relation directly by regressing firm specific estimates of cost of equity capital on market beta, firm size and a measure of disclosure level. The second model is used for testing this relation by introducing information asymmetry as mediator variable. This model is suggested by Baron and Kenny (1986) to demonstrate the role of mediator variable in general. Based on a sample of 21 non-financial Tunisian’s listed firms over a period from 2000 to 2004, the results prove that greater disclosure is associated with a lower cost of equity capital. However, the results of indirect relationship indicate a significant positive association between the level of voluntary disclosure and information asymmetry and a significant negative association between information asymmetry and cost of equity capital in contradiction with our previsions. Perhaps this result is due to the biases of measure of information asymmetry.

Keywords: cost of equity capital, voluntary disclosure, information asymmetry, and Tunisian’s listed non-financial firms

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