Search results for: asymptotic analysis
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 26789

Search results for: asymptotic analysis

26729 Curve Designing Using an Approximating 4-Point C^2 Ternary Non-Stationary Subdivision Scheme

Authors: Muhammad Younis

Abstract:

A ternary 4-point approximating non-stationary subdivision scheme has been introduced that generates the family of $C^2$ limiting curves. The theory of asymptotic equivalence is being used to analyze the convergence and smoothness of the scheme. The comparison of the proposed scheme has been demonstrated using different examples with the existing 4-point ternary approximating schemes, which shows that the limit curves of the proposed scheme behave more pleasantly and can generate conic sections as well.

Keywords: ternary, non-stationary, approximation subdivision scheme, convergence and smoothness

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26728 Confidence Envelopes for Parametric Model Selection Inference and Post-Model Selection Inference

Authors: I. M. L. Nadeesha Jayaweera, Adao Alex Trindade

Abstract:

In choosing a candidate model in likelihood-based modeling via an information criterion, the practitioner is often faced with the difficult task of deciding just how far up the ranked list to look. Motivated by this pragmatic necessity, we construct an uncertainty band for a generalized (model selection) information criterion (GIC), defined as a criterion for which the limit in probability is identical to that of the normalized log-likelihood. This includes common special cases such as AIC & BIC. The method starts from the asymptotic normality of the GIC for the joint distribution of the candidate models in an independent and identically distributed (IID) data framework and proceeds by deriving the (asymptotically) exact distribution of the minimum. The calculation of an upper quantile for its distribution then involves the computation of multivariate Gaussian integrals, which is amenable to efficient implementation via the R package "mvtnorm". The performance of the methodology is tested on simulated data by checking the coverage probability of nominal upper quantiles and compared to the bootstrap. Both methods give coverages close to nominal for large samples, but the bootstrap is two orders of magnitude slower. The methodology is subsequently extended to two other commonly used model structures: regression and time series. In the regression case, we derive the corresponding asymptotically exact distribution of the minimum GIC invoking Lindeberg-Feller type conditions for triangular arrays and are thus able to similarly calculate upper quantiles for its distribution via multivariate Gaussian integration. The bootstrap once again provides a default competing procedure, and we find that similar comparison performance metrics hold as for the IID case. The time series case is complicated by far more intricate asymptotic regime for the joint distribution of the model GIC statistics. Under a Gaussian likelihood, the default in most packages, one needs to derive the limiting distribution of a normalized quadratic form for a realization from a stationary series. Under conditions on the process satisfied by ARMA models, a multivariate normal limit is once again achieved. The bootstrap can, however, be employed for its computation, whence we are once again in the multivariate Gaussian integration paradigm for upper quantile evaluation. Comparisons of this bootstrap-aided semi-exact method with the full-blown bootstrap once again reveal a similar performance but faster computation speeds. One of the most difficult problems in contemporary statistical methodological research is to be able to account for the extra variability introduced by model selection uncertainty, the so-called post-model selection inference (PMSI). We explore ways in which the GIC uncertainty band can be inverted to make inferences on the parameters. This is being attempted in the IID case by pivoting the CDF of the asymptotically exact distribution of the minimum GIC. For inference one parameter at a time and a small number of candidate models, this works well, whence the attained PMSI confidence intervals are wider than the MLE-based Wald, as expected.

Keywords: model selection inference, generalized information criteria, post model selection, Asymptotic Theory

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26727 Model Averaging in a Multiplicative Heteroscedastic Model

Authors: Alan Wan

Abstract:

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

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

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26726 Bias-Corrected Estimation Methods for Receiver Operating Characteristic Surface

Authors: Khanh To Duc, Monica Chiogna, Gianfranco Adimari

Abstract:

With three diagnostic categories, assessment of the performance of diagnostic tests is achieved by the analysis of the receiver operating characteristic (ROC) surface, which generalizes the ROC curve for binary diagnostic outcomes. The volume under the ROC surface (VUS) is a summary index usually employed for measuring the overall diagnostic accuracy. When the true disease status can be exactly assessed by means of a gold standard (GS) test, unbiased nonparametric estimators of the ROC surface and VUS are easily obtained. In practice, unfortunately, disease status verification via the GS test could be unavailable for all study subjects, due to the expensiveness or invasiveness of the GS test. Thus, often only a subset of patients undergoes disease verification. Statistical evaluations of diagnostic accuracy based only on data from subjects with verified disease status are typically biased. This bias is known as verification bias. Here, we consider the problem of correcting for verification bias when continuous diagnostic tests for three-class disease status are considered. We assume that selection for disease verification does not depend on disease status, given test results and other observed covariates, i.e., we assume that the true disease status, when missing, is missing at random. Under this assumption, we discuss several solutions for ROC surface analysis based on imputation and re-weighting methods. In particular, verification bias-corrected estimators of the ROC surface and of VUS are proposed, namely, full imputation, mean score imputation, inverse probability weighting and semiparametric efficient estimators. Consistency and asymptotic normality of the proposed estimators are established, and their finite sample behavior is investigated by means of Monte Carlo simulation studies. Two illustrations using real datasets are also given.

Keywords: imputation, missing at random, inverse probability weighting, ROC surface analysis

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26725 Optimal Perturbation in an Impulsively Blocked Channel Flow

Authors: Avinash Nayak, Debopam Das

Abstract:

The current work implements the variational principle to find the optimum initial perturbation that provides maximum growth in an impulsively blocked channel flow. The conventional method for studying temporal stability has always been through modal analysis. In most of the transient flows, this modal analysis is still followed with the quasi-steady assumption, i.e. change in base flow is much slower compared to perturbation growth rate. There are other studies where transient analysis on time dependent flows is done by formulating the growth of perturbation as an initial value problem. But the perturbation growth is sensitive to the initial condition. This study intends to find the initial perturbation that provides the maximum growth at a later time. Here, the expression of base flow for blocked channel is derived and the formulation is based on the two dimensional perturbation with stream function representing the perturbation quantity. Hence, the governing equation becomes the Orr-Sommerfeld equation. In the current context, the cost functional is defined as the ratio of disturbance energy at a terminal time 'T' to the initial energy, i.e. G(T) = ||q(T)||2/||q(0)||2 where q is the perturbation and ||.|| defines the norm chosen. The above cost functional needs to be maximized against the initial perturbation distribution. It is achieved with the constraint that perturbation follows the basic governing equation, i.e. Orr-Sommerfeld equation. The corresponding adjoint equation is derived and is solved along with the basic governing equation in an iterative manner to provide the initial spatial shape of the perturbation that provides the maximum growth G (T). The growth rate is plotted against time showing the development of perturbation which achieves an asymptotic shape. The effects of various parameters, e.g. Reynolds number, are studied in the process. Thus, the study emphasizes on the usage of optimal perturbation and its growth to understand the stability characteristics of time dependent flows. The assumption of quasi-steady analysis can be verified against these results for the transient flows like impulsive blocked channel flow.

Keywords: blocked channel flow, calculus of variation, hydrodynamic stability, optimal perturbation

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26724 Error Probability of Multi-User Detection Techniques

Authors: Komal Babbar

Abstract:

Multiuser Detection is the intelligent estimation/demodulation of transmitted bits in the presence of Multiple Access Interference. The authors have presented the Bit-error rate (BER) achieved by linear multi-user detectors: Matched filter (which treats the MAI as AWGN), Decorrelating and MMSE. In this work, authors investigate the bit error probability analysis for Matched filter, decorrelating, and MMSE. This problem arises in several practical CDMA applications where the receiver may not have full knowledge of the number of active users and their signature sequences. In particular, the behavior of MAI at the output of the Multi-user detectors (MUD) is examined under various asymptotic conditions including large signal to noise ratio; large near-far ratios; and a large number of users. In the last section Authors also shows Matlab Simulation results for Multiuser detection techniques i.e., Matched filter, Decorrelating, MMSE for 2 users and 10 users.

Keywords: code division multiple access, decorrelating, matched filter, minimum mean square detection (MMSE) detection, multiple access interference (MAI), multiuser detection (MUD)

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26723 BIASS in the Estimation of Covariance Matrices and Optimality Criteria

Authors: Juan M. Rodriguez-Diaz

Abstract:

The precision of parameter estimators in the Gaussian linear model is traditionally accounted by the variance-covariance matrix of the asymptotic distribution. However, this measure can underestimate the true variance, specially for small samples. Traditionally, optimal design theory pays attention to this variance through its relationship with the model's information matrix. For this reason it seems convenient, at least in some cases, adapt the optimality criteria in order to get the best designs for the actual variance structure, otherwise the loss in efficiency of the designs obtained with the traditional approach may be very important.

Keywords: correlated observations, information matrix, optimality criteria, variance-covariance matrix

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26722 An Approximation Method for Exact Boundary Controllability of Euler-Bernoulli

Authors: A. Khernane, N. Khelil, L. Djerou

Abstract:

The aim of this work is to study the numerical implementation of the Hilbert uniqueness method for the exact boundary controllability of Euler-Bernoulli beam equation. This study may be difficult. This will depend on the problem under consideration (geometry, control, and dimension) and the numerical method used. Knowledge of the asymptotic behaviour of the control governing the system at time T may be useful for its calculation. This idea will be developed in this study. We have characterized as a first step the solution by a minimization principle and proposed secondly a method for its resolution to approximate the control steering the considered system to rest at time T.

Keywords: boundary control, exact controllability, finite difference methods, functional optimization

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26721 A Mathematical Model for Hepatitis B Virus Infection and the Impact of Vaccination on Its Dynamics

Authors: T. G. Kassem, A. K. Adunchezor, J. P. Chollom

Abstract:

This paper describes a mathematical model developed to predict the dynamics of Hepatitis B virus (HBV) infection and to evaluate the potential impact of vaccination and treatment on its dynamics. We used a compartmental model expressed by a set of differential equations based on the characteristic of HBV transmission. With these, we find the threshold quantity R0, then find the local asymptotic stability of disease free equilibrium and endemic equilibrium. Furthermore, we find the global stability of the disease free and endemic equilibrium.

Keywords: hepatitis B virus, epidemiology, vaccination, mathematical model

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26720 Role of Additional Food Resources in an Ecosystem with Two Discrete Delays

Authors: Ankit Kumar, Balram Dubey

Abstract:

This study proposes a three dimensional prey-predator model with additional food, provided to predator individuals, including gestation delay in predators and delay in supplying the additional food to predators. It is assumed that the interaction between prey and predator is followed by Holling type-II functional response. We discussed the steady states and their local and global asymptotic behavior for the non-delayed system. Hopf-bifurcation phenomenon with respect to different parameters has also been studied. We obtained a range of predator’s tendency factor on provided additional food, in which the periodic solutions occur in the system. We have shown that oscillations can be controlled from the system by increasing the tendency factor. Moreover, the existence of periodic solutions via Hopf-bifurcation is shown with respect to both the delays. Our analysis shows that both delays play an important role in governing the dynamics of the system. It changes the stability behavior into instability behavior. The direction and stability of Hopf-bifurcation are also investigated through the normal form theory and the center manifold theorem. Lastly, some numerical simulations and graphical illustrations have been carried out to validate our analytical findings.

Keywords: additional food, gestation delay, Hopf-bifurcation, prey-predator

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26719 Robust Variogram Fitting Using Non-Linear Rank-Based Estimators

Authors: Hazem M. Al-Mofleh, John E. Daniels, Joseph W. McKean

Abstract:

In this paper numerous robust fitting procedures are considered in estimating spatial variograms. In spatial statistics, the conventional variogram fitting procedure (non-linear weighted least squares) suffers from the same outlier problem that has plagued this method from its inception. Even a 3-parameter model, like the variogram, can be adversely affected by a single outlier. This paper uses the Hogg-Type adaptive procedures to select an optimal score function for a rank-based estimator for these non-linear models. Numeric examples and simulation studies will demonstrate the robustness, utility, efficiency, and validity of these estimates.

Keywords: asymptotic relative efficiency, non-linear rank-based, rank estimates, variogram

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26718 Stability and Boundedness Theorems of Solutions of Certain Systems of Differential Equations

Authors: Adetunji A. Adeyanju., Mathew O. Omeike, Johnson O. Adeniran, Biodun S. Badmus

Abstract:

In this paper, we discuss certain conditions for uniform asymptotic stability and uniform ultimate boundedness of solutions to some systems of Aizermann-type of differential equations by means of second method of Lyapunov. In achieving our goal, some Lyapunov functions are constructed to serve as basic tools. The stability results in this paper, extend some stability results for some Aizermann-type of differential equations found in literature. Also, we prove some results on uniform boundedness and uniform ultimate boundedness of solutions of systems of equations study.

Keywords: Aizermann, boundedness, first order, Lyapunov function, stability

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26717 A Survey on Linear Time Invariant Multivariable Positive Real Systems

Authors: Mojtaba Hakimi-Moghaddam

Abstract:

Positive realness as the most important property of driving point impedance of passive electrical networks appears in the control systems stability theory in 1960’s. There are three important subsets of positive real (PR) systems are introduced by researchers, that is, loos-less positive real (LLPR) systems, weakly strictly positive real (WSPR) systems and strictly positive real (SPR) systems. In this paper, definitions, properties, lemmas, and theorems related to family of positive real systems are summarized. Properties in both frequency domain and state space representation of system are explained. Also, several illustrative examples are presented.

Keywords: real rational matrix transfer functions, positive realness property, strictly positive realness property, Hermitian form asymptotic property, pole-zero properties

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26716 Survey of Methods for Solutions of Spatial Covariance Structures and Their Limitations

Authors: Joseph Thomas Eghwerido, Julian I. Mbegbu

Abstract:

In modelling environment processes, we apply multidisciplinary knowledge to explain, explore and predict the Earth's response to natural human-induced environmental changes. Thus, the analysis of spatial-time ecological and environmental studies, the spatial parameters of interest are always heterogeneous. This often negates the assumption of stationarity. Hence, the dispersion of the transportation of atmospheric pollutants, landscape or topographic effect, weather patterns depends on a good estimate of spatial covariance. The generalized linear mixed model, although linear in the expected value parameters, its likelihood varies nonlinearly as a function of the covariance parameters. As a consequence, computing estimates for a linear mixed model requires the iterative solution of a system of simultaneous nonlinear equations. In other to predict the variables at unsampled locations, we need to know the estimate of the present sampled variables. The geostatistical methods for solving this spatial problem assume covariance stationarity (locally defined covariance) and uniform in space; which is not apparently valid because spatial processes often exhibit nonstationary covariance. Hence, they have globally defined covariance. We shall consider different existing methods of solutions of spatial covariance of a space-time processes at unsampled locations. This stationary covariance changes with locations for multiple time set with some asymptotic properties.

Keywords: parametric, nonstationary, Kernel, Kriging

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26715 Particle Swarm Optimisation of a Terminal Synergetic Controllers for a DC-DC Converter

Authors: H. Abderrezek, M. N. Harmas

Abstract:

DC-DC converters are widely used as reliable power source for many industrial and military applications, computers and electronic devices. Several control methods were developed for DC-DC converters control mostly with asymptotic convergence. Synergetic control (SC) is a proven robust control approach and will be used here in a so-called terminal scheme to achieve finite time convergence. Lyapunov synthesis is adopted to assure controlled system stability. Furthermore particle swarm optimization (PSO) algorithm, based on an integral time absolute of error (ITAE) criterion will be used to optimize controller parameters. Simulation of terminal synergetic control of a DC-DC converter is carried out for different operating conditions and results are compared to classic synergetic control performance, that which demonstrate the effectiveness and feasibility of the proposed control method.

Keywords: DC-DC converter, PSO, finite time, terminal, synergetic control

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26714 Analytical and Numerical Investigation of Friction-Restricted Growth and Buckling of Elastic Fibers

Authors: Peter L. Varkonyi, Andras A. Sipos

Abstract:

The quasi-static growth of elastic fibers is studied in the presence of distributed contact with an immobile surface, subject to isotropic dry or viscous friction. Unlike classical problems of elastic stability modelled by autonomous dynamical systems with multiple time scales (slowly varying bifurcation parameter, and fast system dynamics), this problem can only be formulated as a non-autonomous system without time scale separation. It is found that the fibers initially converge to a trivial, straight configuration, which is later replaced by divergence reminiscent of buckling phenomena. In order to capture the loss of stability, a new definition of exponential stability against infinitesimal perturbations for systems defined over finite time intervals is developed. A semi-analytical method for the determination of the critical length based on eigenvalue analysis is proposed. The post-critical behavior of the fibers is studied numerically by using variational methods. The emerging post-critical shapes and the asymptotic behavior as length goes to infinity are identified for simple spatial distributions of growth. Comparison with physical experiments indicates reasonable accuracy of the theoretical model. Some applications from modeling plant root growth to the design of soft manipulators in robotics are briefly discussed.

Keywords: buckling, elastica, friction, growth

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26713 The Persistence of Abnormal Return on Assets: An Exploratory Analysis of the Differences between Industries and Differences between Firms by Country and Sector

Authors: José Luis Gallizo, Pilar Gargallo, Ramon Saladrigues, Manuel Salvador

Abstract:

This study offers an exploratory statistical analysis of the persistence of annual profits across a sample of firms from different European Union (EU) countries. To this end, a hierarchical Bayesian dynamic model has been used which enables the annual behaviour of those profits to be broken down into a permanent structural and a transitory component, while also distinguishing between general effects affecting the industry as a whole to which each firm belongs and specific effects affecting each firm in particular. This breakdown enables the relative importance of those fundamental components to be more accurately evaluated by country and sector. Furthermore, Bayesian approach allows for testing different hypotheses about the homogeneity of the behaviour of the above components with respect to the sector and the country where the firm develops its activity. The data analysed come from a sample of 23,293 firms in EU countries selected from the AMADEUS data-base. The period analysed ran from 1999 to 2007 and 21 sectors were analysed, chosen in such a way that there was a sufficiently large number of firms in each country sector combination for the industry effects to be estimated accurately enough for meaningful comparisons to be made by sector and country. The analysis has been conducted by sector and by country from a Bayesian perspective, thus making the study more flexible and realistic since the estimates obtained do not depend on asymptotic results. In general terms, the study finds that, although the industry effects are significant, more important are the firm specific effects. That importance varies depending on the sector or the country in which the firm carries out its activity. The influence of firm effects accounts for around 81% of total variation and display a significantly lower degree of persistence, with adjustment speeds oscillating around 34%. However, this pattern is not homogeneous but depends on the sector and country analysed. Industry effects depends also on sector and country analysed have a more marginal importance, being significantly more persistent, with adjustment speeds oscillating around 7-8% with this degree of persistence being very similar for most of sectors and countries analysed.

Keywords: dynamic models, Bayesian inference, MCMC, abnormal returns, persistence of profits, return on assets

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26712 Robust Adaptation to Background Noise in Multichannel C-OTDR Monitoring Systems

Authors: Andrey V. Timofeev, Viktor M. Denisov

Abstract:

A robust sequential nonparametric method is proposed for adaptation to background noise parameters for real-time. The distribution of background noise was modelled like to Huber contamination mixture. The method is designed to operate as an adaptation-unit, which is included inside a detection subsystem of an integrated multichannel monitoring system. The proposed method guarantees the given size of a nonasymptotic confidence set for noise parameters. Properties of the suggested method are rigorously proved. The proposed algorithm has been successfully tested in real conditions of a functioning C-OTDR monitoring system, which was designed to monitor railways.

Keywords: guaranteed estimation, multichannel monitoring systems, non-asymptotic confidence set, contamination mixture

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26711 Discrete Sliding Modes Regulator with Exponential Holder for Non-Linear Systems

Authors: G. Obregon-Pulido , G. C. Solis-Perales, J. A. Meda-Campaña

Abstract:

In this paper, we present a sliding mode controller in discrete time. The design of the controller is based on the theory of regulation for nonlinear systems. In the problem of disturbance rejection and/or output tracking, it is known that in discrete time, a controller that uses the zero-order holder only guarantees tracking at the sampling instances but not between instances. It is shown that using the so-called exponential holder, it is possible to guarantee asymptotic zero output tracking error, also between the sampling instant. For stabilizing the problem of close loop system we introduce the sliding mode approach relaxing the requirements of the existence of a linear stabilizing control law.

Keywords: regulation theory, sliding modes, discrete controller, ripple-free tracking

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26710 The Uniting Control Lyapunov Functions in Permanent Magnet Synchronous Linear Motor

Authors: Yi-Fei Yang, Nai-Bao He, Shao-Bang Xing

Abstract:

This study investigates the permanent magnet synchronous linear motor (PMSLM) chaotic motion under the specific physical parameters, the stability and the security of motor-driven system will be unavoidably influenced. Therefore, it is really necessary to investigate the methods of controlling or suppressing chaos in PMSLM. Firstly, we derive a chaotic model of PMSLM in the closed-loop system. Secondly, in order to realize the local asymptotic stabilization of the mechanical subsystem and the global stabilization of the motor-driven system including electrical subsystem, we propose an improved uniting control lyapunov functions by introducing backstepping approach. Finally, an illustrated example is also given to show the electiveness of the obtained results.

Keywords: linear motor, lyapunov functions, chao control, hybrid controller

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26709 The Fluid Limit of the Critical Processor Sharing Tandem Queue

Authors: Amal Ezzidani, Abdelghani Ben Tahar, Mohamed Hanini

Abstract:

A sequence of finite tandem queue is considered for this study. Each one has a single server, which operates under the egalitarian processor sharing discipline. External customers arrive at each queue according to a renewal input process and having a general service times distribution. Upon completing service, customers leave the current queue and enter to the next. Under mild assumptions, including critical data, we prove the existence and the uniqueness of the fluid solution. For asymptotic behavior, we provide necessary and sufficient conditions for the invariant state and the convergence to this invariant state. In the end, we establish the convergence of a correctly normalized state process to a fluid limit characterized by a system of algebraic and integral equations.

Keywords: fluid limit, fluid model, measure valued process, processor sharing, tandem queue

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26708 Extraction of Strontium Ions through Ligand Assisted Ionic Liquids

Authors: Pradeep Kumar, Abhishek Kumar Chandra, Ashok Khanna

Abstract:

Extraction of Strontium by crown ether (DCH18C6) hasbeen investigated in [BMIM][TF2N] Ionic Liquid (IL) giving higher extraction ~98% and distribution ratio as compared to other organic solvents (Dodecane, Hexane, & Isodecyl alcohol + Dodecane). Distribution ratio of Sr in IL at 0.15M DCH18C6 indicates an enhancement of 20000, 2000, 500 times over Dodecane, Hexane and 5% Isodecyl Alcohol + 95 % Dodecane at 0.01M aqueous acidity respectively. In presence of IL, Sr extraction decreases with increase in HNO3 concentration in aqueous phase whereas opposite trend was observed with organic solvents.Extraction of Sr initially increases with increase in DCH18C6 concentration in IL, finally reaching an asymptotic constant.

Keywords: distribution ratio, ionic liquid, ligand, organic solvent, stripping

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26707 The Linear Combination of Kernels in the Estimation of the Cumulative Distribution Functions

Authors: Abdel-Razzaq Mugdadi, Ruqayyah Sani

Abstract:

The Kernel Distribution Function Estimator (KDFE) method is the most popular method for nonparametric estimation of the cumulative distribution function. The kernel and the bandwidth are the most important components of this estimator. In this investigation, we replace the kernel in the KDFE with a linear combination of kernels to obtain a new estimator based on the linear combination of kernels, the mean integrated squared error (MISE), asymptotic mean integrated squared error (AMISE) and the asymptotically optimal bandwidth for the new estimator are derived. We propose a new data-based method to select the bandwidth for the new estimator. The new technique is based on the Plug-in technique in density estimation. We evaluate the new estimator and the new technique using simulations and real-life data.

Keywords: estimation, bandwidth, mean square error, cumulative distribution function

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26706 Testing the Change in Correlation Structure across Markets: High-Dimensional Data

Authors: Malay Bhattacharyya, Saparya Suresh

Abstract:

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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26705 Nonparametric Specification Testing for the Drift of the Short Rate Diffusion Process Using a Panel of Yields

Authors: John Knight, Fuchun Li, Yan Xu

Abstract:

Based on a new method of the nonparametric estimator of the drift function, we propose a consistent test for the parametric specification of the drift function in the short rate diffusion process using observations from a panel of yields. The test statistic is shown to follow an asymptotic normal distribution under the null hypothesis that the parametric drift function is correctly specified, and converges to infinity under the alternative. Taking the daily 7-day European rates as a proxy of the short rate, we use our test to examine whether the drift of the short rate diffusion process is linear or nonlinear, which is an unresolved important issue in the short rate modeling literature. The testing results indicate that none of the drift functions in this literature adequately captures the dynamics of the drift, but nonlinear specification performs better than the linear specification.

Keywords: diffusion process, nonparametric estimation, derivative security price, drift function and volatility function

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26704 Modeling and Control Design of a Centralized Adaptive Cruise Control System

Authors: Markus Mazzola, Gunther Schaaf

Abstract:

A vehicle driving with an Adaptive Cruise Control System (ACC) is usually controlled decentrally, based on the information of radar systems and in some publications based on C2X-Communication (CACC) to guarantee stable platoons. In this paper, we present a Model Predictive Control (MPC) design of a centralized, server-based ACC-System, whereby the vehicular platoon is modeled and controlled as a whole. It is then proven that the proposed MPC design guarantees asymptotic stability and hence string stability of the platoon. The Networked MPC design is chosen to be able to integrate system constraints optimally as well as to reduce the effects of communication delay and packet loss. The performance of the proposed controller is then simulated and analyzed in an LTE communication scenario using the LTE/EPC Network Simulator LENA, which is based on the ns-3 network simulator.

Keywords: adaptive cruise control, centralized server, networked model predictive control, string stability

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26703 Enunciation on Complexities of Selected Tree Searching Algorithms

Authors: Parag Bhalchandra, S. D. Khamitkar

Abstract:

Searching trees is a most interesting application of Artificial Intelligence. Over the period of time, many innovative methods have been evolved to better search trees with respect to computational complexities. Tree searches are difficult to understand due to the exponential growth of possibilities when increasing the number of nodes or levels in the tree. Usually it is understood when we traverse down in the tree, traverse down to greater depth, in the search of a solution or a goal. However, this does not happen in reality as explicit enumeration is not a very efficient method and there are many algorithmic speedups that will find the optimal solution without the burden of evaluating all possible trees. It was a common question before all researchers where they often wonder what algorithms will yield the best and fastest result The intention of this paper is two folds, one to review selected tree search algorithms and search strategies that can be applied to a problem space and the second objective is to stimulate to implement recent developments in the complexity behavior of search strategies. The algorithms discussed here apply in general to both brute force and heuristic searches.

Keywords: trees search, asymptotic complexity, brute force, heuristics algorithms

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26702 The Probability Foundation of Fundamental Theoretical Physics

Authors: Quznetsov Gunn

Abstract:

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

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

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26701 Maximum Likelihood Estimation Methods on a Two-Parameter Rayleigh Distribution under Progressive Type-Ii Censoring

Authors: Daniel Fundi Murithi

Abstract:

Data from economic, social, clinical, and industrial studies are in some way incomplete or incorrect due to censoring. Such data may have adverse effects if used in the estimation problem. We propose the use of Maximum Likelihood Estimation (MLE) under a progressive type-II censoring scheme to remedy this problem. In particular, maximum likelihood estimates (MLEs) for the location (µ) and scale (λ) parameters of two Parameter Rayleigh distribution are realized under a progressive type-II censoring scheme using the Expectation-Maximization (EM) and the Newton-Raphson (NR) algorithms. These algorithms are used comparatively because they iteratively produce satisfactory results in the estimation problem. The progressively type-II censoring scheme is used because it allows the removal of test units before the termination of the experiment. Approximate asymptotic variances and confidence intervals for the location and scale parameters are derived/constructed. The efficiency of EM and the NR algorithms is compared given root mean squared error (RMSE), bias, and the coverage rate. The simulation study showed that in most sets of simulation cases, the estimates obtained using the Expectation-maximization algorithm had small biases, small variances, narrower/small confidence intervals width, and small root of mean squared error compared to those generated via the Newton-Raphson (NR) algorithm. Further, the analysis of a real-life data set (data from simple experimental trials) showed that the Expectation-Maximization (EM) algorithm performs better compared to Newton-Raphson (NR) algorithm in all simulation cases under the progressive type-II censoring scheme.

Keywords: expectation-maximization algorithm, maximum likelihood estimation, Newton-Raphson method, two-parameter Rayleigh distribution, progressive type-II censoring

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26700 The Growth Curve of Gompertz Model in Body Weight of Slovak Mixed-Sex Goose Breeds

Authors: Cyril Hrncar, Jozef Bujko, Widya P. B. Putra

Abstract:

The growth curve of poultry is important to evaluate the farming management system. This study was aimed to estimate the growth curve of body weight in goose. The growth curve in this study was estimated with non-linear Gompertz model through CurveExpert 1.4. software. Three Slovak mixed-sex goose breeds of Landes (L), Pomeranian (P) and Steinbacher (S) were used in this study. Total of 28 geese (10 L, 8 P and 10 S) were used to estimate the growth curve. Research showed that the asymptotic weight (A) in those geese were reached of 5332.51 g (L), 6186.14 g (P) and 5048.27 g (S). Thus, the maturing rate (k) in each breed were similar (0.05 g/day). The weight of inflection was reached of 1960.48 g (L), 2274.32 g (P) and 1855.98 g (S). The time of inflection (ti) was reached of 25.6 days (L), 26.2 days (P) and 27.80 days (S). The maximum growth rate (MGR) was reached of 98.02 g/day (L), 113.72 g/day (P) and 92.80 g/day (S). Hence, the coefficient of determination (R2) in Gompertz model was 0.99 for each breed. It can be concluded that Pomeranian geese had highest of growth trait than the other breeds.

Keywords: body weight, growth curve, inflection, Slovak geese, Gompertz model

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