Search results for: multivariate conditional autoregressive model

Authors: Melodi Mbuyi Mata, Blessing Olamide Taiwo, Afolabi Ayodele David

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The purpose of this research is to create empirical models for assessing the profitability of granite aggregate production in Akure, Ondo state aggregate quarries. In addition, an artificial neural network (ANN) model and multivariate predicting models for granite profitability were developed in the study. A formal survey questionnaire was used to collect data for the study. The data extracted from the case study mine for this study includes granite marketing operations, royalty, production costs, and mine production information. The following methods were used to achieve the goal of this study: descriptive statistics, MATLAB 2017, and SPSS16.0 software in analyzing and modeling the data collected from granite traders in the study areas. The ANN and Multi Variant Regression models' prediction accuracy was compared using a coefficient of determination (R²), Root mean square error (RMSE), and mean square error (MSE). Due to the high prediction error, the model evaluation indices revealed that the ANN model was suitable for predicting generated profit in a typical quarry. More quarries in Nigeria's southwest region and other geopolitical zones should be considered to improve ANN prediction accuracy.

Keywords: national development, granite, profitability assessment, ANN models

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Authors: Danladi Ali

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In this paper, we measured GSM signal strength in the Dnepropetrovsk city in order to predict path loss in study area using nonlinear autoregressive neural network prediction and we also, used neural network clustering to determine average GSM signal strength receive at the study area. The nonlinear auto-regressive neural network predicted that the GSM signal is attenuated with the mean square error (MSE) of 2.6748dB, this attenuation value is used to modify the COST 231 Hata and the Okumura-Hata models. The neural network clustering revealed that -75dB to -95dB is received more frequently. This means that the signal strength received at the study is mostly weak signal

Keywords: one-dimensional multilevel wavelets, path loss, GSM signal strength, propagation, urban environment and model

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Authors: Soheila Sadeghi

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Accurate forecasting of project performance metrics is crucial for successfully managing and delivering urban road reconstruction projects. Traditional methods often rely on static baseline plans and fail to consider the dynamic nature of project progress and external factors. This research proposes a machine learning-based approach to forecast project performance metrics, such as cost variance and earned value, for each Work Breakdown Structure (WBS) category in an urban road reconstruction project. The proposed model utilizes time series forecasting techniques, including Autoregressive Integrated Moving Average (ARIMA) and Long Short-Term Memory (LSTM) networks, to predict future performance based on historical data and project progress. The model also incorporates external factors, such as weather patterns and resource availability, as features to enhance the accuracy of forecasts. By applying the predictive power of machine learning, the performance forecasting model enables proactive identification of potential deviations from the baseline plan, which allows project managers to take timely corrective actions. The research aims to validate the effectiveness of the proposed approach using a case study of an urban road reconstruction project, comparing the model's forecasts with actual project performance data. The findings of this research contribute to the advancement of project management practices in the construction industry, offering a data-driven solution for improving project performance monitoring and control.

Keywords: project performance forecasting, machine learning, time series forecasting, cost variance, earned value management

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Authors: Selma R. Oliveira, E. W. Cazarini

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Recently, studies have referenced innovation as a key factor affecting the performance of firms. Companies make use of its innovative capacities to achieve sustainable competitive advantage. In this perspective, the objective of this paper is to contribute to innovation planning policies in industry 4.0. Thus, this paper examines the disruptive innovation capacity on firm performance in Europe. This procedure was prepared according to the following phases: Phase 1: Determination of the conceptual model; and Phase 2: Verification of the conceptual model. The research was initially conducted based on the specialized literature, which extracted the data regarding the constructs/structure and content in order to build the model. The research involved the intervention of experts knowledgeable on the object studied, selected by technical-scientific criteria. The data were extracted using an assessment matrix. To reduce subjectivity in the results achieved the following methods were used complementarily and in combination: multicriteria analysis, multivariate analysis, psychometric scaling and neurofuzzy technology. The data were extracted using an assessment matrix and the results were satisfactory, validating the modeling approach.

Keywords: disruptive innovation, capacity, performance, Industry 4.0

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Authors: Intan Maisarah Abd Rahim, Herlina Abdul Rahim, Rashidah Ghazali

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Diabetes is a medical condition that can lead to various diseases such as stroke, heart disease, blindness and obesity. In clinical practice, the concern of the diabetic patients towards the blood glucose examination is rather alarming as some of the individual describing it as something painful with pinprick and pinch. As for some patient with high level of glucose level, pricking the fingers multiple times a day with the conventional glucose meter for close monitoring can be tiresome, time consuming and painful. With these concerns, several non-invasive techniques were used by researchers in measuring the glucose level in blood, including ultrasonic sensor implementation, multisensory systems, absorbance of transmittance, bio-impedance, voltage intensity, and thermography. This paper is discussing the application of the near-infrared (NIR) spectroscopy as a non-invasive method in measuring the glucose level and the implementation of the linear system identification model in predicting the output data for the NIR measurement. In this study, the wavelengths considered are at the 1450 nm and 1950 nm. Both of these wavelengths showed the most reliable information on the glucose presence in blood. Then, the linear Autoregressive Moving Average Exogenous model (ARMAX) model with both un-regularized and regularized methods was implemented in predicting the output result for the NIR measurement in order to investigate the practicality of the linear system in this study. However, the result showed only 50.11% accuracy obtained from the system which is far from the satisfying results that should be obtained.

Keywords: diabetes, glucose level, linear, near-infrared, non-invasive, prediction system

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Authors: Sumit Sen, Sohan Khedekar, Umang Shinde, Shivam Bhargava

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This study has been undertaken to investigate whether the deep learning models are able to predict the future stock prices by training the model with the historical stock price data. Since this work required time series analysis, various models are present today to perform time series analysis such as Recurrent Neural Network LSTM, ARIMA and Facebook Prophet. Applying these models the movement of stock price of stocks are predicted and also tried to provide the future prediction of the stock price of a stock. Final product will be a stock price prediction web application that is developed for providing the user the ease of analysis of the stocks and will also provide the predicted stock price for the next seven days.

Keywords: Autoregressive Integrated Moving Average, Deep Learning, Long Short Term Memory, Time-series

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Authors: Hongmeng Su, Luyu Zhao, Yanyan Qian, Hong Fan

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Aim: Hepatocellular carcinoma (HCC) is one of the most common malignant tumors that endanger human health seriously. RNA methylation, especially N6-methyladenosine (m⁶A) and 5-methylcytosine (m⁵C), a crucial epigenetic transcriptional regulatory mechanism, plays an important role in tumorigenesis, progression and prognosis. This research aims to systematically evaluate the prognostic value of m⁶A and m⁵C modulators in HCC patients. Methods: Twenty-four modulators of m⁶A and m⁵C were candidates to analyze their expression level and their contribution to predict the prognosis of HCC. Consensus clustering analysis was applied to classify HCC patients. Cox and LASSO regression were used to construct the risk model. According to the risk score, HCC patients were divided into high-risk and low/medium-risk groups. The clinical pathology factors of HCC patients were analyzed by univariate and multivariate Cox regression analysis. Results: The HCC patients were classified into 2 clusters with significant differences in overall survival and clinical characteristics. Nine-gene risk model was constructed including METTL3, VIRMA, YTHDF1, YTHDF2, NOP2, NSUN4, NSUN5, DNMT3A and ALYREF. It was indicated that the risk score could serve as an independent prognostic factor for patients with HCC. Conclusion: This study constructed a Nine-gene risk model by modulators of m⁶A and m⁵C and investigated its effect on the clinical prognosis of HCC. This model may provide important consideration for the therapeutic strategy and prognosis evaluation analysis of patients with HCC.

Keywords: hepatocellular carcinoma, m⁶A, m⁵C, prognosis, RNA methylation

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Authors: Hyun-Woo Cho

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The detection and identification of multivariate manufacturing processes are quite important in order to maintain good product quality. Unusual behaviors or events encountered during its operation can have a serious impact on the process and product quality. Thus they should be detected and identified as soon as possible. This paper focused on the efficient representation of process measurement data in detecting and identifying abnormalities. This qualitative method is effective in representing fault patterns of process data. In addition, it is quite sensitive to measurement noise so that reliable outcomes can be obtained. To evaluate its performance a simulation process was utilized, and the effect of adopting linear and nonlinear methods in the detection and identification was tested with different simulation data. It has shown that the use of a nonlinear technique produced more satisfactory and more robust results for the simulation data sets. This monitoring framework can help operating personnel to detect the occurrence of process abnormalities and identify their assignable causes in an on-line or real-time basis.

Keywords: detection, monitoring, identification, measurement data, multivariate techniques

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Authors: Jeh-Nan Pan, Chung-I Li

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Measurement system analysis (MSA) plays an important role in helping organizations to improve their product quality. Generally speaking, the gauge repeatability and reproducibility (GRR) study is performed according to the MSA handbook stated in QS9000 standards. Usually, GRR study for assessing the adequacy of gauge variation needs to be conducted prior to the process capability analysis. Traditional MSA only considers a single quality characteristic. With the advent of modern technology, industrial products have become very sophisticated with more than one quality characteristic. Thus, it becomes necessary to perform multivariate GRR analysis for a measurement system when collecting data with multiple responses. In this paper, we take the correlation coefficients among tolerances into account to revise the multivariate precision-to-tolerance (P/T) ratio as proposed by Majeske (2008). We then compare the performance of our revised P/T ratio with that of the existing ratios. The simulation results show that our revised P/T ratio outperforms others in terms of robustness and proximity to the actual value. Moreover, the optimal allocation of several parameters such as the number of quality characteristics (v), sample size of parts (p), number of operators (o) and replicate measurements (r) is discussed using the confidence interval of the revised P/T ratio. Finally, a standard operating procedure (S.O.P.) to perform the GRR study for multivariate measurement systems is proposed based on the research results. Hopefully, it can be served as a useful reference for quality practitioners when conducting such study in industries. Measurement system analysis (MSA) plays an important role in helping organizations to improve their product quality. Generally speaking, the gauge repeatability and reproducibility (GRR) study is performed according to the MSA handbook stated in QS9000 standards. Usually, GRR study for assessing the adequacy of gauge variation needs to be conducted prior to the process capability analysis. Traditional MSA only considers a single quality characteristic. With the advent of modern technology, industrial products have become very sophisticated with more than one quality characteristic. Thus, it becomes necessary to perform multivariate GRR analysis for a measurement system when collecting data with multiple responses. In this paper, we take the correlation coefficients among tolerances into account to revise the multivariate precision-to-tolerance (P/T) ratio as proposed by Majeske (2008). We then compare the performance of our revised P/T ratio with that of the existing ratios. The simulation results show that our revised P/T ratio outperforms others in terms of robustness and proximity to the actual value. Moreover, the optimal allocation of several parameters such as the number of quality characteristics (v), sample size of parts (p), number of operators (o) and replicate measurements (r) is discussed using the confidence interval of the revised P/T ratio. Finally, a standard operating procedure (S.O.P.) to perform the GRR study for multivariate measurement systems is proposed based on the research results. Hopefully, it can be served as a useful reference for quality practitioners when conducting such study in industries.

Keywords: gauge repeatability and reproducibility, multivariate measurement system analysis, precision-to-tolerance ratio, Gauge repeatability

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Authors: Bing-Bing E. Goh

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Plant counting is a labour intensive and time-consuming task for the farmers. However, it is an important indicator for farmers to make decisions on subsequent field management. This study is to evaluate the potential of Sentinel-2 images using statistical analysis to retrieve information on plant density for monitoring, especially during critical period at the beginning of March. The model was calibrated with in-situ data from 19 winter wheat fields in Republic of Ireland during the crop growing season in 2019-2020. The model for plant density resulted in R2 = 0.77, RMSECV = 103 and NRMSE = 14%. This study has shown the potential of using Sentinel-2 to estimate plant density and quantify plant establishment to effectively monitor crop progress and to ensure proper field management.

Keywords: winter wheat, remote sensing, crop monitoring, multivariate analysis

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Authors: Malay Bhattacharyya, Saparya Suresh

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The Correlation Structure associated with a portfolio is subjected to vary across time. Studying the structural breaks in the time-dependent Correlation matrix associated with a collection had been a subject of interest for a better understanding of the market movements, portfolio selection, etc. The current paper proposes a methodology for testing the change in the time-dependent correlation structure of a portfolio in the high dimensional data using the techniques of generalized inverse, singular valued decomposition and multivariate distribution theory which has not been addressed so far. The asymptotic properties of the proposed test are derived. Also, the performance and the validity of the method is tested on a real data set. The proposed test performs well for detecting the change in the dependence of global markets in the context of high dimensional data.

Keywords: correlation structure, high dimensional data, multivariate distribution theory, singular valued decomposition

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Authors: Yi-Hsiang Pan, Chen-Hui Huang, Ching-Hsiang Chen, Wei-Ting Hsu

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The purposes of the study were to explore the students' learning effect of physical education curriculum between merging Teaching Personal and Social Responsibility (TPSR) with sport education model and TPSR with traditional teaching model, which these learning effects included sport self-efficacy, sport enthusiastic, group cohesion, responsibility and game performance. The participants include 3 high school physical education teachers and 6 physical education classes, 133 participants with experience group 75 students and control group 58 students, and each teacher taught an experimental group and a control group for 16 weeks. The research methods used questionnaire investigation, interview, focus group meeting. The research instruments included personal and social responsibility questionnaire, sport enthusiastic scale, group cohesion scale, sport self-efficacy scale and game performance assessment instrument. Multivariate Analysis of covariance and Repeated measure ANOVA were used to test difference of students' learning effects between merging TPSR with sport education model and TPSR with traditional teaching model. The findings of research were: 1) The sport education model with TPSR could improve students' learning effects, including sport self-efficacy, game performance, sport enthusiastic, group cohesion and responsibility. 2) The traditional teaching model with TPSR could improve students' learning effect, including sport self-efficacy, responsibility and game performance. 3) the sport education model with TPSR could improve more learning effects than traditional teaching model with TPSR, including sport self-efficacy, sport enthusiastic,responsibility and game performance. 4) Based on qualitative data about learning experience of teachers and students, sport education model with TPSR significant improve learning motivation, group interaction and game sense. The conclusions indicated sport education model with TPSR could improve more learning effects in physical education curriculum. On other hand, the curricular projects of hybrid TPSR-Sport Education model and TPSR-Traditional Teaching model are both good curricular projects of moral character education, which may be applied in school physical education.

Keywords: character education, sport season, game performance, sport competence

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Authors: Ubaidillah Zuhdi, Shunsuke Mori, Kazuhisa Kamegai

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The purpose of this study is to forecast the influences of Information and Communication Technology (ICT) on the structural changes of Japanese economies based on Leontief Input-Output (IO) coefficients. This study establishes a statistical analysis to predict the future interrelationships among industries. We employ the Constrained Multivariate Regression (CMR) model to analyze the historical changes of input-output coefficients. Statistical significance of the model is then tested by Likelihood Ratio Test (LRT). In our model, ICT is represented by two explanatory variables, i.e. computers (including main parts and accessories) and telecommunications equipment. A previous study, which analyzed the influences of these variables on the structural changes of Japanese industrial sectors from 1985-2005, concluded that these variables had significant influences on the changes in the business circumstances of Japanese commerce, business services and office supplies, and personal services sectors. The projected future Japanese economic structure based on the above forecast generates the differentiated direct and indirect outcomes of ICT penetration.

Keywords: forecast, ICT, industrial structural changes, statistical analysis

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Authors: Mohamed Mohamed, Philip Bonello, Peter Russhard

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Blade Tip Timing (BTT) is a technology concerned with the estimation of both frequency and amplitude of rotating blades. A BTT system comprises two main parts: (a) the arrival time measurement system, and (b) the analysis algorithms. Simulators play an important role in the development of the analysis algorithms since they generate blade tip displacement data from the simulated blade vibration under controlled conditions. This enables an assessment of the performance of the different algorithms with respect to their ability to accurately reproduce the original simulated vibration. Such an assessment is usually not possible with real engine data since there is no practical alternative to BTT for blade vibration measurement. Most simulators used in the literature are based on a simple spring-mass-damper model to determine the vibration. In this work, a more realistic experimentally validated simulator based on the Finite Element (FE) model of a bladed disc (blisk) is first presented. It is then used to generate the necessary data for the assessment of different BTT algorithms. The FE modelling is validated using both a hammer test and two firewire cameras for the mode shapes. A number of autoregressive methods, fitting methods and state-of-the-art inverse methods (i.e. Russhard) are compared. All methods are compared with respect to both synchronous and asynchronous excitations with both single and simultaneous frequencies. The study assesses the applicability of each method for different conditions of vibration, amount of sampling data, and testing facilities, according to its performance and efficiency under these conditions.

Keywords: blade tip timing, blisk, finite element, vibration measurement

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Authors: Ekapon Thienthaworn

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This research aims to study the reliability of the forecasting factor in social media by using survey research methods with questionnaires. The sampling is the group of undergraduate students in Bangkok. A multiple-step random number of 400 persons, data analysis are descriptive statistics with multivariate regression analysis. The research found the average of the overall trust at the intermediate level for reading the news in social media and the results of the multivariate regression analysis to find out the factors that forecast credibility of the media found the only content that has the power to forecast reliability of undergraduate students in Bangkok to reading the news on social media at the significance level.at 0.05.These can be factors with forecasts reliability of news in social media by a variable that has the highest influence factor of the media content and the speed is also important for reliability of the news.

Keywords: credibility of news, behaviors and attitudes, social media, web board

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Authors: Surya R. Niraula, Devendra B Chhetry, Girish K. Singh, S. Nagesh, Frederick A. Connell

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Background: Although random sampling is generally considered to be the gold standard for population-based research, the majority of drug abuse research is based on non-random sampling despite the well-known limitations of this kind of sampling. Method: We compared the statistical properties of two surveys of drug abuse in the same community: one using snowball sampling of drug users who then identified “friend controls” and the other using a random sample of non-drug users (controls) who then identified “friend cases.” Models to predict drug abuse based on risk factors were developed for each data set using conditional logistic regression. We compared the precision of each model using bootstrapping method and the predictive properties of each model using receiver operating characteristics (ROC) curves. Results: Analysis of 100 random bootstrap samples drawn from the snowball-sample data set showed a wide variation in the standard errors of the beta coefficients of the predictive model, none of which achieved statistical significance. One the other hand, bootstrap analysis of the random-sample data set showed less variation, and did not change the significance of the predictors at the 5% level when compared to the non-bootstrap analysis. Comparison of the area under the ROC curves using the model derived from the random-sample data set was similar when fitted to either data set (0.93, for random-sample data vs. 0.91 for snowball-sample data, p=0.35); however, when the model derived from the snowball-sample data set was fitted to each of the data sets, the areas under the curve were significantly different (0.98 vs. 0.83, p < .001). Conclusion: The proposed method of random sampling of controls appears to be superior from a statistical perspective to snowball sampling and may represent a viable alternative to snowball sampling.

Keywords: drug abuse, matched case-control study, non-probability sampling, probability sampling

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Authors: Swati Srivastava, Ashish Kumar Upadhyay

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Background: According to United Nation Children’s Fund, it has been estimated that worldwide about 165 million children were stunted in 2012 and India alone accounts for 38% of global burden of stunting. In terms of incidence, India is home of more than 60 million stunted children worldwide. Our study aims to examine the effect of pregnancy intention and maternal postnatal depressive symptoms on early childhood stunting in India. We hypothesized that effect of pregnancy intention and postnatal maternal depressive symptoms were mediated by social support. Methods: We used data from first wave of Young Lives Study India. Out of 2011 children recruited in original cohort, 1833 children had complete information on pregnancy intention, maternal depression and other variables. A series of multivariate logistic regression model were used to examine the effect of pregnancy intention and postnatal depressive symptoms on early childhood stunting. Results: Bivariate result indicates that a higher percent of children born after unintended pregnancy (40%) were stunted than children of intended pregnancy (26%). Likewise, proportion of stunted children was also higher among women of high postnatal depressive symptoms (35%) than low level of depression (24%). Results of multivariate logistic regression model indicate that children born after unintended pregnancy were significantly more likely to be stunted than children born after intended pregnancy (Coefficient: 1.70, CI: 1.17, 2.48). Likewise, early childhood stunting was also associated with maternal postnatal depressive symptoms among women (Coefficient: 1.48, CI: 1.16, 1.88). The effect of pregnancy intention and postnatal depressive symptoms on early childhood stunting remains unchanged after controlling for social support and other variables. Conclusions: The findings of this study provide conclusive evidence regarding consequences of pregnancy intention and postnatal depressive symptoms on early childhood stunting in India. Therefore, there is need to identify the women with unintended pregnancy and incorporate the promotion of mental health into their national reproductive and child health programme.

Keywords: pregnancy intention, postnatal depressive symptoms, social support, childhood stunting, young lives study, India

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Authors: Mayank Raj, V. G. Narendra

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Ever since the DARPA challenge on autonomous vehicles in 2005, there has been a lot of buzz about ‘Autonomous Vehicles’ amongst the major tech giants such as Google, Uber, and Tesla. Numerous approaches have been adopted to solve this problem, which can have a long-lasting impact on mankind. In this paper, we have used Deep Learning techniques and TensorFlow framework with the goal of building a neural network model to predict (speed, acceleration, steering angle, and brake) features needed for navigation of autonomous vehicles. The Deep Neural Network has been trained on images and sensor data obtained from the comma.ai dataset. A heatmap was used to check for correlation among the features, and finally, four important features were selected. This was a multivariate regression problem. The final model had five convolutional layers, followed by five dense layers. Finally, the calculated values were tested against the labeled data, where the mean squared error was used as a performance metric.

Keywords: autonomous vehicles, deep learning, computer vision, artificial intelligence

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Authors: Boulis M. Ibrahim, Iordanis A. Kalaitzoglou

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A micro structural pricing model is proposed in which price components account for learning by incorporating changing expectations of the trading intensity and the risk level of incoming trades. An analysis of European carbon futures transactions finds expected trading intensity to increase the information component and decrease the liquidity component of price changes, but at different rates. Among the results, the expected persistence in trading intensity explains the majority of the auto correlations in the level and the conditional volatility of price changes, helps predict hourly patterns in the bid–ask spread and differentiates between the impact of buy versus sell and continuing versus reversing trades.

Keywords: CO2 emission allowances, market microstructure, duration, price discovery

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Authors: Unity Chipfupa, Aluwani Tagwi, Edilegnaw Wale

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Climate change adaptation studies are challenged by a limited understanding of how non-cognitive factors such as psychological capital affect adaptation decisions of smallholder farmers. The concept of psychological capital has not been fully applied in the empirical literature on climate change adaptation strategies. Hence, the study was meant to assess how psychological capital endowment affects climate change adaptation among smallholder farmers. A multivariate probit regression model was estimated using data collected from 328 smallholder farmers in KwaZulu-Natal, South Africa. The findings indicate that, among other factors, self-confidence and hope or aspirations in farming influence climate change adaptation decisions of smallholders. The psychological capital theory proved to be comprehensive in identifying specific psychological dimensions associated with adaptation decisions. However, the non-alignment of approaches for measuring non-cognitive factors made it difficult to compare results among different studies. In conclusion, the study recommends the need for practical ways for enhancing smallholders’ endowment with key non-cognitive abilities. Researchers should develop and agree on a comprehensive framework for assessing non-cognitive factors critical for climate change adaptation. This will improve the use of positive psychology theories to advance the literature on climate change adaptation. Other key recommendations include targeted support for communities facing higher risks of climate change, improving smallholders’ ability to adapt, promotion of social networks and the inclusion of farming objectives as an important indicator in climate change adaptation research.

Keywords: adaptive capacity, climate change adaptation, psychological capital, multivariate probit, non-cognitive factors.

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Authors: Yalda Zarnegarnia, Shari Messinger

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Receiver operating characteristic (ROC) curves have been widely used in medical research to illustrate the performance of the biomarker in correctly distinguishing the diseased and non-diseased groups. Correlated biomarker data arises in study designs that include subjects that contain same genetic or environmental factors. The information about correlation might help to identify family members at increased risk of disease development, and may lead to initiating treatment to slow or stop the progression to disease. Approaches appropriate to a case-control design matched by family identification, must be able to accommodate both the correlation inherent in the design in correctly estimating the biomarker’s ability to differentiate between cases and controls, as well as to handle estimation from a matched case control design. This talk will review some developed methods for ROC curve estimation in settings with correlated data from case control design and will discuss the limitations of current methods for analyzing correlated familial paired data. An alternative approach using Conditional ROC curves will be demonstrated, to provide appropriate ROC curves for correlated paired data. The proposed approach will use the information about the correlation among biomarker values, producing conditional ROC curves that evaluate the ability of a biomarker to discriminate between diseased and non-diseased subjects in a familial paired design.

Keywords: biomarker, correlation, familial paired design, ROC curve

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Authors: Zeynep Karaçor, Volkan Alptekin, Gökhan Akar, Tuba Akar

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This paper aims to review the phenomenon of triplet deficit which is called interaction of budget balance that make up the overall balance of the economy, investment savings balance and current accounts balance in terms of Turkey. In this paper, triplet deficit state in Turkish economy has been analyzed with vector autoregressive model and Granger causality test using data covering the period of 1980-2010. According to VAR results, increase in current accounts is perceived on public sector borrowing requirement. These two variables influence each other bilaterally. Therefore, current accounts increase public deficit, whereas public deficit increases current accounts. It is not possible to mention the existence of a short-term Granger causality between variables at issue.

Keywords: internal and external deficit, stability, triplet deficit, Turkey economy

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Authors: Soheila Sadeghi

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In construction projects, predicting project performance metrics accurately is essential for effective management and successful delivery. However, conventional methods often depend on fixed baseline plans, disregarding the evolving nature of project progress and external influences. To address this issue, we introduce a distinct approach based on machine learning to forecast key performance indicators, such as cost variance and earned value, for each Work Breakdown Structure (WBS) category within an urban road reconstruction project. Our proposed model leverages time series forecasting techniques, namely Autoregressive Integrated Moving Average (ARIMA) and Long Short-Term Memory (LSTM) networks, to predict future performance by analyzing historical data and project progress. Additionally, the model incorporates external factors, including weather patterns and resource availability, as features to improve forecast accuracy. By harnessing the predictive capabilities of machine learning, our performance forecasting model enables project managers to proactively identify potential deviations from the baseline plan and take timely corrective measures. To validate the effectiveness of the proposed approach, we conduct a case study on an urban road reconstruction project, comparing the model's predictions with actual project performance data. The outcomes of this research contribute to the advancement of project management practices in the construction industry by providing a data-driven solution for enhancing project performance monitoring and control.

Keywords: project performance forecasting, machine learning, time series forecasting, cost variance, schedule variance, earned value management

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Authors: Peter Shi

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Algorithmic trading is a rapidly expanding domain within quantitative finance, constituting a substantial portion of trading volumes in the US financial market. The demand for rigorous and robust mathematical theories underpinning these trading algorithms is ever-growing. In this study, the author establishes a new stock market model that integrates the Efficient Market Hypothesis and the statistical arbitrage. The model, for the first time, finds probabilistic relations between the rational price and the market price in terms of the conditional expectation. The theory consequently leads to a mathematical justification of the old market adage: buy-low and sell-high. The thresholds for “low” and “high” are precisely derived using a max-min operation on Bayes’s error. This explicit connection harmonizes the Efficient Market Hypothesis and Statistical Arbitrage, demonstrating their compatibility in explaining market dynamics. The amalgamation represents a pioneering contribution to quantitative finance. The study culminates in comprehensive numerical tests using historical market data, affirming that the “buy-low” and “sell-high” algorithm derived from this theory significantly outperforms the general market over the long term in four out of six distinct market environments.

Keywords: efficient market hypothesis, behavioral finance, Bayes' decision, algorithmic trading, risk control, stock market

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Authors: Saad Alkentar, Abdulkareem Assalem

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Recognizing small targets has always posed a significant challenge in image analysis. Over long distances, the image signal-to-noise ratio tends to be low, limiting the amount of useful information available to detection systems. Consequently, visual target recognition becomes an intricate task to tackle. In this study, we introduce a Track Before Detect (TBD) approach that leverages target trajectory information (coordinates) to effectively distinguish between noise and potential targets. By reframing the problem as a multivariate time series classification, we have achieved remarkable results. Specifically, our TBD method achieves an impressive 97% accuracy in separating target signals from noise within a mere half-second time span (consisting of 10 data points). Furthermore, when classifying the identified targets into our predefined categories—airplane, drone, and bird—we achieve an outstanding classification accuracy of 96% over a more extended period of 1.5 seconds (comprising 30 data points).

Keywords: small targets, drones, trajectory information, TBD, multivariate time series

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Authors: Abdullah Eqal Al Mazrooei

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In this work, a new nonlinear model will be introduced. The model is in the state-space form. The nonlinearity of this model is in the state equation where the state vector is multiplied by its self. This technique makes our model generalizes many famous models as Lotka-Volterra model and Lorenz model which have many applications in the real life. We will apply our new model to estimate the wind speed by using a new nonlinear estimator which suitable to work with our model.

Keywords: nonlinear systems, state-space model, Kronecker product, nonlinear estimator

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Authors: Atinkut Atinafu Yilma, Eyob Messele Sefene

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Anomaly detection is one of the essential mechanisms to control and reduce production loss, especially in today's smart manufacturing. Quick anomaly detection aids in reducing the cost of production by minimizing the possibility of producing defective products. However, developing an anomaly detection model that can rapidly detect a production change is challenging. This paper proposes Gated Recurrent Unit (GRU) combined with Random Forest (RF) to detect anomalies in the production process in real-time quickly. The GRU is used as a feature detector, and RF as a classifier using the input features from GRU. The model was tested using various synthesis and real-world datasets against benchmark methods. The results show that the proposed GRU-RF outperforms the benchmark methods with the shortest time taken to detect anomalies in the production process. Based on the investigation from the study, this proposed model can eliminate or reduce unnecessary production costs and bring a competitive advantage to manufacturing industries.

Keywords: anomaly detection, multivariate time series data, smart manufacturing, gated recurrent unit network, random forest

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Authors: Marco Barassi, Nicola Spagnolo

Abstract:

This paper uses a DCC-GARCH model framework to examine mean and volatility spillovers (i.e. causality in mean and variance) dynamics between financial centers and the stock market indexes of the BRICS countries. In addition, tests for changes in the transmission mechanism are carried out by first testing for structural breaks and then setting a dummy variable to control for the 2008 financial crises. We use weekly data for nine countries, four financial centers (Germany, Japan, UK and USA) and the five BRICS countries (Brazil, Russia, India, China and South Africa). Furthermore, we control for monetary policy using domestic interest rates (90-day Treasury Bill interest rate) over the period 03/1/1990 - 04/2/2014, for a total of 1204 observations. Results show that the 2008 financial crises changed the causality dynamics for most of the countries considered. The same pattern can also be observed in conditional correlation showing a shift upward following the turbulence associated to the 2008 crises. The magnitude of these effects suggests a leading role played by the financial centers in effecting Brazil and South Africa, whereas Russia, India and China show a higher degree of resilience.

Keywords: financial crises, DCC-GARCH model, volatility spillovers, economics

Procedia PDF Downloads 339

Authors: A. Boateng, La Gil-Alana, M. Lesaoana; Hj. Siweya, A. Belete

Abstract:

This study examines long memory or long-range dependence in the CPI inflation rates of Ghana and South Africa using Whittle methods and autoregressive fractionally integrated moving average (ARFIMA) models. Standard I(0)/I(1) methods such as Augmented Dickey-Fuller (ADF), Philips-Perron (PP) and Kwiatkowski–Phillips–Schmidt–Shin (KPSS) tests were also employed. Our findings indicate that long memory exists in the CPI inflation rates of both countries. After processing fractional differencing and determining the short memory components, the models were specified as ARFIMA (4,0.35,2) and ARFIMA (3,0.49,3) respectively for Ghana and South Africa. Consequently, the CPI inflation rates of both countries are fractionally integrated and mean reverting. The implication of this result will assist in policy formulation and identification of inflationary pressures in an economy.

Keywords: Consumer Price Index (CPI) inflation rates, Whittle method, long memory, ARFIMA model

Procedia PDF Downloads 340

Authors: Fouzi Harrou, Ying Sun, Sofiane Khadraoui

Abstract:

Anomaly detection based on Principal Component Analysis (PCA) was studied intensively and largely applied to multivariate processes with highly cross-correlated process variables. Monitoring metrics such as the Hotelling's T2 and the Q statistics are usually used in PCA-based monitoring to elucidate the pattern variations in the principal and residual subspaces, respectively. However, these metrics are ill suited to detect small faults. In this paper, the Exponentially Weighted Moving Average (EWMA) based on the Q and T statistics, T2-EWMA and Q-EWMA, were developed for detecting faults in the process mean. The performance of the proposed methods was compared with that of the conventional PCA-based fault detection method using synthetic data. The results clearly show the benefit and the effectiveness of the proposed methods over the conventional PCA method, especially for detecting small faults in highly correlated multivariate data.

Keywords: data-driven method, process control, anomaly detection, dimensionality reduction

Procedia PDF Downloads 274