Search results for: bilinear autoregressive model

Authors: Jayaprakash Kar, Daniyal M. Alghazzawi

Abstract:

The article proposes a novel construction of signcryption scheme with provable security which is most suited to implement on smart card. It is secure in random oracle model and the security relies on Decisional Bilinear Diffie-Hellmann Problem. The proposed scheme is secure against adaptive chosen ciphertext attack (indistiguishbility) and adaptive chosen message attack (unforgebility). Also, it is inspired by zero-knowledge proof. The two most important security goals for smart card are Confidentiality and authenticity. These functions are performed in one logical step in low computational cost.

Keywords: random oracle, provable security, unforgebility, smart card

Procedia PDF Downloads 566

Authors: Y. Sunecher, N. Mamode Khan, V. Jowaheer

Abstract:

This paper considers the modelling of a non-stationary bivariate integer-valued autoregressive moving average of order one (BINARMA(1,1)) with correlated Poisson innovations. The BINARMA(1,1) model is specified using the binomial thinning operator and by assuming that the cross-correlation between the two series is induced by the innovation terms only. Based on these assumptions, the non-stationary marginal and joint moments of the BINARMA(1,1) are derived iteratively by using some initial stationary moments. As regards to the estimation of parameters of the proposed model, the conditional maximum likelihood (CML) estimation method is derived based on thinning and convolution properties. The forecasting equations of the BINARMA(1,1) model are also derived. A simulation study is also proposed where BINARMA(1,1) count data are generated using a multivariate Poisson R code for the innovation terms. The performance of the BINARMA(1,1) model is then assessed through a simulation experiment and the mean estimates of the model parameters obtained are all efficient, based on their standard errors. The proposed model is then used to analyse a real-life accident data on the motorway in Mauritius, based on some covariates: policemen, daily patrol, speed cameras, traffic lights and roundabouts. The BINARMA(1,1) model is applied on the accident data and the CML estimates clearly indicate a significant impact of the covariates on the number of accidents on the motorway in Mauritius. The forecasting equations also provide reliable one-step ahead forecasts.

Keywords: non-stationary, BINARMA(1, 1) model, Poisson innovations, conditional maximum likelihood, CML

Procedia PDF Downloads 100

Authors: A. Mansouri, F. Krim

Abstract:

This paper presents two techniques for DC motor parameters identification. We propose a numerical method using the adaptive extensive recursive least squares (AERLS) algorithm for real time parameters estimation. This algorithm, based on minimization of quadratic criterion, is realized in simulation for parameters identification of DC motor autoregressive moving average with extra inputs (ARMAX). As advanced technique, we use genetic algorithms (GA) identification with biased estimation for high dynamic performance speed regulation. DC motors are extensively used in variable speed drives, for robot and solar panel trajectory control. GA effectiveness is derived through comparison of the two approaches.

Keywords: ARMAX model, DC motor, AERLS, GA, optimization, parameter identification, PID speed regulation

Procedia PDF Downloads 349

Authors: Zahid Ahmad, Nosheen Imran, Nauman Ali, Farah Amir

Abstract:

The objective of the study is to forecast the US Dollar and Pak Rupee exchange rate by using time series models. For this purpose, daily exchange rates of US and Pakistan for the period of January 01, 2007 - June 2, 2017, are employed. The data set is divided into in sample and out of sample data set where in-sample data are used to estimate as well as forecast the models, whereas out-of-sample data set is exercised to forecast the exchange rate. The ADF test and PP test are used to make the time series stationary. To forecast the exchange rate ARIMA model and GARCH model are applied. Among the different Autoregressive Integrated Moving Average (ARIMA) models best model is selected on the basis of selection criteria. Due to the volatility clustering and ARCH effect the GARCH (1, 1) is also applied. Results of analysis showed that ARIMA (0, 1, 1 ) and GARCH (1, 1) are the most suitable models to forecast the future exchange rate. Further the GARCH (1,1) model provided the volatility with non-constant conditional variance in the exchange rate with good forecasting performance. This study is very useful for researchers, policymakers, and businesses for making decisions through accurate and timely forecasting of the exchange rate and helps them in devising their policies.

Keywords: exchange rate, ARIMA, GARCH, PAK/USD

Procedia PDF Downloads 514

Authors: Krisada Lekdee, Sunee Sammatat, Nittaya Boonsit

Abstract:

This paper proposes a GLMM with spatial and temporal effects for malaria data in Thailand. A Bayesian method is used for parameter estimation via Gibbs sampling MCMC. A conditional autoregressive (CAR) model is assumed to present the spatial effects. The temporal correlation is presented through the covariance matrix of the random effects. The malaria quarterly data have been extracted from the Bureau of Epidemiology, Ministry of Public Health of Thailand. The factors considered are rainfall and temperature. The result shows that rainfall and temperature are positively related to the malaria morbidity rate. The posterior means of the estimated morbidity rates are used to construct the malaria maps. The top 5 highest morbidity rates (per 100,000 population) are in Trat (Q3, 111.70), Chiang Mai (Q3, 104.70), Narathiwat (Q4, 97.69), Chiang Mai (Q2, 88.51), and Chanthaburi (Q3, 86.82). According to the DIC criterion, the proposed model has a better performance than the GLMM with spatial effects but without temporal terms.

Keywords: Bayesian method, generalized linear mixed model (GLMM), malaria, spatial effects, temporal correlation

Procedia PDF Downloads 414

Authors: Omar Alzeley, Sergey Utev

Abstract:

Minimizing a constrained multivariate function is the fundamental of Machine learning, and these algorithms are at the core of data mining and data visualization techniques. The decision function that maps input points to output points is based on the result of optimization. This optimization is the central of learning theory. One approach to complex systems where the dynamics of the system is inferred by a statistical analysis of the fluctuations in time of some associated observable is time series analysis. The purpose of this paper is a mathematical transition from the autoregressive model of classical time series to the matrix formalization of quantum theory. Firstly, we have proposed a quantum time series model (QTS). Although Hamiltonian technique becomes an established tool to detect a deterministic chaos, other approaches emerge. The quantum probabilistic technique is used to motivate the construction of our QTS model. The QTS model resembles the quantum dynamic model which was applied to financial data. Secondly, various statistical methods, including machine learning algorithms such as the Kalman filter algorithm, are applied to estimate and analyses the unknown parameters of the model. Finally, simulation techniques such as Markov chain Monte Carlo have been used to support our investigations. The proposed model has been examined by using real and simulated data. We establish the relation between quantum statistical machine and quantum time series via random matrix theory. It is interesting to note that the primary focus of the application of QTS in the field of quantum chaos was to find a model that explain chaotic behaviour. Maybe this model will reveal another insight into quantum chaos.

Keywords: machine learning, simulation techniques, quantum probability, tensor product, time series

Procedia PDF Downloads 430

Authors: Manit Pollar

Abstract:

Identifying the dengue epidemic periods early would be helpful to take necessary actions to prevent the dengue outbreaks. Providing an accurate prediction on dengue epidemic seasons will allow sufficient time to take the necessary decisions and actions to safeguard the situation for local authorities. This study aimed to develop a forecasting model on number of dengue incidences in Nakhon Si Thammarat Province, Southern Thailand using time series analysis. We develop Seasonal Autoregressive Moving Average (SARIMA) models on the monthly data collected between 2003-2011 and validated the models using data collected between January-September 2012. The result of this study revealed that the SARIMA(1,1,0)(1,2,1)12 model closely described the trends and seasons of dengue incidence and confirmed the existence of dengue fever cases in Nakhon Si Thammarat for the years between 2003-2011. The study showed that the one-step approach for predicting dengue incidences provided significantly more accurate predictions than the twelve-step approach. The model, even if based purely on statistical data analysis, can provide a useful basis for allocation of resources for disease prevention.

Keywords: SARIMA, time series model, dengue cases, Thailand

Procedia PDF Downloads 324

Authors: Naushad Mamode Khan

Abstract:

The Com-Poisson (CMP) model is one of the most popular discrete generalized linear models (GLMS) that handles both equi-, over- and under-dispersed data. In longitudinal context, an integer-valued autoregressive (INAR(1)) process that incorporates covariate specification has been developed to model longitudinal CMP counts. However, the joint likelihood CMP function is difficult to specify and thus restricts the likelihood based estimating methodology. The joint generalized quasilikelihood approach (GQL-I) was instead considered but is rather computationally intensive and may not even estimate the regression effects due to a complex and frequently ill conditioned covariance structure. This paper proposes a new GQL approach for estimating the regression parameters (GQLIII) that are based on a single score vector representation. The performance of GQL-III is compared with GQL-I and separate marginal GQLs (GQL-II) through some simulation experiments and is proved to yield equally efficient estimates as GQL-I and is far more computationally stable.

Keywords: longitudinal, com-Poisson, ill-conditioned, INAR(1), GLMS, GQL

Procedia PDF Downloads 330

Authors: Oliver Takawira, Thembi Hope

Abstract:

This study will analyse the relationship between Bitcoin price movements and the Johannesburg stock exchange (JSE). The aim is to determine whether Bitcoin price movements affect the stock market performance. As crypto currencies continue to gain prominence as a safe asset during periods of economic distress, this raises the question of whether Bitcoin’s prosperity could affect investment in the stock market. To identify the existence of a short run and long run linear relationship, the study will apply the Autoregressive Distributed Lag Model (ARDL) bounds test and a Vector Error Correction Model (VECM) after testing the data for unit roots and cointegration using the Augmented Dicker Fuller (ADF) and Phillips-Perron (PP). The Non-Linear Auto Regressive Distributed Lag (NARDL) will then be used to check if there is a non-linear relationship between bitcoin prices and stock market prices.

Keywords: bitcoin, stock market, interest rates, ARDL

Procedia PDF Downloads 72

Authors: Amartya Hatua, Trung Nguyen, Andrew Sung

Abstract:

In this paper, we study the information diffusion process on Twitter as a multivariate time series problem. Our model concerns three measures (volume, network influence, and sentiment of tweets) based on 10 features, and we collected 27 million tweets to build our information diffusion time series dataset for analysis. Then, different time series clustering techniques with Dynamic Time Warping (DTW) distance were used to identify different patterns of information diffusion. Finally, we built the information diffusion prediction models for new hashtags which comprise two phrases: The first phrase is recognizing the pattern using k-NN with DTW distance; the second phrase is building the forecasting model using the traditional Autoregressive Integrated Moving Average (ARIMA) model and the non-linear recurrent neural network of Long Short-Term Memory (LSTM). Preliminary results of performance evaluation between different forecasting models show that LSTM with clustering information notably outperforms other models. Therefore, our approach can be applied in real-world applications to analyze and predict the information diffusion characteristics of selected topics or memes (hashtags) in Twitter.

Keywords: ARIMA, DTW, information diffusion, LSTM, RNN, time series clustering, time series forecasting, Twitter

Procedia PDF Downloads 360

Authors: Hueiwang Anna Jeng, Norou Diawara, Nancy Welch, Cynthia Jackson, Rekha Singh, Kyle Curtis, Raul Gonzalez, David Jurgens, Sasanka Adikari

Abstract:

Modeling effort is needed to predict the COVID-19 trends for developing management strategies and adaptation measures. The objective of this study was to assess whether SARS-CoV-2 viral load in wastewater could serve as a predictor for forecasting COVID-19 cases, hospitalization cases, and death cases using copula-based time series modeling. SARS-CoV-2 RNA load in raw wastewater in Chesapeake VA was measured using the RT-qPCR method. Gaussian copula time series marginal regression model, incorporating an autoregressive moving average model and the copula function, served as a forecasting model. COVID-19 cases were correlated with wastewater viral load, hospitalization cases, and death cases. The forecasted trend of COVID-19 cases closely paralleled one of the reported cases, with over 90% of the forecasted COVID-19 cases falling within the 99% confidence interval of the reported cases. Wastewater SARS-CoV-2 viral load could serve as a predictor for COVID-19 cases and hospitalization cases.

Keywords: COVID-19, modeling, time series, copula function

Procedia PDF Downloads 35

Authors: Ashkan Shafee, Ahamd Fahimifar, Sajjad V. Maghvan

Abstract:

Promotion of the Fiber Reinforced Concrete (FRC) as a construction material for civil engineering projects has invoked numerous researchers to investigate their mechanical behavior. Even though there is satisfactory information about the effects of fiber type and length, concrete mixture, casting type and other variables on the strength and deformability parameters of FRC, the numerical modeling of such materials still needs research attention. The focus of this study is to investigate the feasibility of Concrete Damaged Plasticity (CDP) model in prediction of Macro-synthetic FRC structures behavior. CDP model requires the tensile behavior of concrete to be well characterized. For this purpose, a series of uniaxial direct tension and four point bending tests were conducted on the notched specimens to define bilinear tension softening (post-peak tension stress-strain) behavior. With these parameters obtained, the flexural behavior of macro-synthetic FRC beams were modeled and the results showed a good agreement with the experimental measurements.

Keywords: concrete damaged plasticity, fiber reinforced concrete, finite element modeling, macro-synthetic fibers, uniaxial tensile test

Procedia PDF Downloads 386

Authors: Manoel Pereira, Alvaro Veiga, Camila Epprecht, Renato Costa

Abstract:

This paper introduces an empirical version of the Esscher transform for risk-neutral option pricing. Traditional parametric methods require the formulation of an explicit risk-neutral model and are operational only for a few probability distributions for the returns of the underlying. In our proposal, we make only mild assumptions on the pricing kernel and there is no need for the formulation of the risk-neutral model for the returns. First, we simulate sample paths for the returns under the physical distribution. Then, based on the empirical Esscher transform, the sample is reweighted, giving rise to a risk-neutralized sample from which derivative prices can be obtained by a weighted sum of the options pay-offs in each path. We compare our proposal with some traditional parametric pricing methods in four experiments with artificial and real data.

Keywords: esscher transform, generalized autoregressive Conditional Heteroscedastic (GARCH), nonparametric option pricing

Procedia PDF Downloads 456

Authors: Gajaanuja Megalathan, Banuka Athuraliya

Abstract:

Crime is one of our society's most intimidating and threatening challenges. With the majority of the population residing in cities, many experts and data provided by local authorities suggest a rapid increase in the number of crimes committed in these cities in recent years. There has been an increasing graph in the crime rates. People living in Sri Lanka have the right to know the exact crime rates and the crime rates in the future of the place they are living in. Due to the current economic crisis, crime rates have spiked. There have been so many thefts and murders recorded within the last 6-10 months. Although there are many sources to find out, there is no solid way of searching and finding out the safety of the place. Due to all these reasons, there is a need for the public to feel safe when they are introduced to new places. Through this research, the author aims to develop a mobile application that will be a solution to this problem. It is mainly targeted at tourists, and people who recently relocated will gain advantage of this application. Moreover, the Arima Model combined with ANN is to be used to predict crime rates. From the past researchers' works, it is evidently clear that they haven’t used the Arima model combined with Artificial Neural Networks to forecast crimes.

Keywords: arima model, ANN, crime prediction, data analysis

Procedia PDF Downloads 75

Authors: Shingo Murakami, Shinichi Enoki

Abstract:

In structures, stress concentration is a factor of fatigue fracture. Basically, the stress concentration is a phenomenon that should be avoided. However, it is difficult to avoid the stress concentration. Therefore, relaxation of the stress concentration is important. The stress concentration arises from notches and circular holes. There is a relaxation method that a composite patch covers a notch and a circular hole. This relaxation method is used to repair aerial wings, but it is not systematized. Composites are more expensive than single materials. Accordingly, we propose the relaxation method that a single material patch covers a notch and a circular hole, and aim to systematize this relaxation method. We performed FEA (Finite Element Analysis) about an object by using a three-dimensional FEA model. The object was that a patch adheres to a plate with a circular hole. And, a uniaxial tensile load acts on the patched plate with a circular hole. In the three-dimensional FEA model, it is not easy to model the adhesion layer. Basically, the yield stress of the adhesive is smaller than that of adherents. Accordingly, the adhesion layer gets to plastic deformation earlier than the adherents under the yield stress of adherents. Therefore, we propose the three-dimensional FEA model which is applied a nonlinear elastic region to the adhesion layer. The nonlinear elastic region was calculated by a bilinear approximation. We compared the analysis results with the tensile test results to confirm whether the analysis model has usefulness. As a result, the analysis results agreed with the tensile test results. And, we confirmed that the analysis model has usefulness. As a result that the three-dimensional FEA model was used to the analysis, it was confirmed that an out-of-plane deformation occurred to the patched plate with a circular hole. The out-of-plane deformation causes stress increase of the patched plate with a circular hole. Therefore, we investigate that the out-of-plane deformation affects relaxation of the stress concentration in the plate with a circular hole on this relaxation method. As a result, it was confirmed that the out-of-plane deformation inhibits relaxation of the stress concentration on the plate with a circular hole.

Keywords: stress concentration, patch, out-of-plane deformation, Finite Element Analysis

Procedia PDF Downloads 238

Authors: Shingo Murakami, Shinichi Enoki

Abstract:

In structures, stress concentration is a factor of fatigue fracture. Basically, the stress concentration is a phenomenon that should be avoided. However, it is difficult to avoid the stress concentration. Therefore, relaxation of the stress concentration is important. The stress concentration arises from notches and circular holes. There is a relaxation method that a composite patch covers a notch and a circular hole. This relaxation method is used to repair aerial wings, but it is not systematized. Composites are more expensive than single materials. Accordingly, we propose the relaxation method that a single material patch covers a notch and a circular hole, and aim to systematize this relaxation method. We performed FEA (Finite Element Analysis) about an object by using a three-dimensional FEA model. The object was that a patch adheres to a plate with a circular hole. And, a uniaxial tensile load acts on the patched plate with a circular hole. In the three-dimensional FEA model, it is not easy to model the adhesion layer. Basically, the yield stress of the adhesive is smaller than that of adherents. Accordingly, the adhesion layer gets to plastic deformation earlier than the adherents under the yield load of adherents. Therefore, we propose the three-dimensional FEA model which is applied a nonlinear elastic region to the adhesion layer. The nonlinear elastic region was calculated by a bilinear approximation. We compared the analysis results with the tensile test results to confirm whether the analysis model has usefulness. As a result, the analysis results agreed with the tensile test results. And, we confirmed that the analysis model has usefulness. As a result that the three-dimensional FEA model was used to the analysis, it was confirmed that an out-of-plane deformation occurred to the patched plate with a circular hole. The out-of-plane deformation causes stress increase of the patched plate with a circular hole. Therefore, we investigated that the out-of-plane deformation affects relaxation of the stress concentration in the plate with a circular hole on this relaxation method. As a result, it was confirmed that the out-of-plane deformation inhibits relaxation of the stress concentration on the plate with a circular hole.

Keywords: stress concentration, patch, out-of-plane deformation, Finite Element Analysis

Procedia PDF Downloads 274

Authors: Kanokwan Chancharoenchai

Abstract:

Economic growth can be considered as an important element of countries’ development process. For developing countries, like Thailand, to ensure the continuous growth of the economy, the Thai government usually implements various policies to stimulate economic growth. They may take the form of fiscal, monetary, trade, and other policies. Because of these different aspects, understanding factors relating to economic growth could allow the government to introduce the proper plan for the future economic stimulating scheme. Consequently, this issue has caught interest of not only policymakers but also academics. This study, therefore, investigates explanatory variables for economic growth in Thailand from 2005 to 2017 with a total of 52 quarters. The findings would contribute to the field of economic growth and become helpful information to policymakers. The investigation is estimated throughout the production function with non-linear Cobb-Douglas equation. The rate of growth is indicated by the change of GDP in the natural logarithmic form. The relevant factors included in the estimation cover three traditional means of production and implicit effects, such as human capital, international activity and technological transfer from developed countries. Besides, this investigation takes the internal and external instabilities into account as proxied by the unobserved inflation estimation and the real effective exchange rate (REER) of the Thai baht, respectively. The unobserved inflation series are obtained from the AR(1)-ARCH(1) model, while the unobserved REER of Thai baht is gathered from naive OLS-GARCH(1,1) model. According to empirical results, the AR(|2|) equation which includes seven significant variables, namely capital stock, labor, the imports of capital goods, trade openness, the REER of Thai baht uncertainty, one previous GDP, and the world financial crisis in 2009 dummy, presents the most suitable model. The autoregressive model is assumed constant estimator that would somehow cause the unbias. However, this is not the case of the recursive coefficient model from the state space model that allows the transition of coefficients. With the powerful state space model, it provides the productivity or effect of each significant factor more in detail. The state coefficients are estimated based on the AR(|2|) with the exception of the one previous GDP and the 2009 world financial crisis dummy. The findings shed the light that those factors seem to be stable through time since the occurrence of the world financial crisis together with the political situation in Thailand. These two events could lower the confidence in the Thai economy. Moreover, state coefficients highlight the sluggish rate of machinery replacement and quite low technology of capital goods imported from abroad. The Thai government should apply proactive policies via taxation and specific credit policy to improve technological advancement, for instance. Another interesting evidence is the issue of trade openness which shows the negative transition effect along the sample period. This could be explained by the loss of price competitiveness to imported goods, especially under the widespread implementation of free trade agreement. The Thai government should carefully handle with regulations and the investment incentive policy by focusing on strengthening small and medium enterprises.

Keywords: autoregressive model, economic growth, state space model, Thailand

Procedia PDF Downloads 120

Authors: Andres F. Ramirez, Carlos F. Valencia

Abstract:

The increasing interest in renewable energies strategies application and the path for diminishing the use of carbon related energy sources have encouraged the development of novel strategies for integration of solar energy into the electricity network. A correct inclusion of the fluctuating energy output of a photovoltaic (PV) energy system into an electric grid requires improvements in the forecasting and simulation methodologies for solar energy potential, and the understanding not only of the mean value of the series but the associated underlying stochastic process. We present a methodology for synthetic generation of solar irradiance (shortwave flux) and air temperature bivariate time series based on copula functions to represent the cross-dependence and temporal structure of the data. We explore the advantages of using this nonlinear time series method over traditional approaches that use a transformation of the data to normal distributions as an intermediate step. The use of copulas gives flexibility to represent the serial variability of the real data on the simulation and allows having more control on the desired properties of the data. We use discrete zero mass density distributions to assess the nature of solar irradiance, alongside vector generalized linear models for the bivariate time series time dependent distributions. We found that the copula autoregressive methodology used, including the zero mass characteristics of the solar irradiance time series, generates a significant improvement over state of the art strategies. These results will help to better understand the fluctuating nature of solar energy forecasting, the underlying stochastic process, and quantify the potential of a photovoltaic (PV) energy generating system integration into a country electricity network. Experimental analysis and real data application substantiate the usage and convenience of the proposed methodology to forecast solar irradiance time series and solar energy across northern hemisphere, southern hemisphere, and equatorial zones.

Keywords: copula autoregressive, solar irradiance forecasting, solar energy forecasting, time series generation

Procedia PDF Downloads 291

Authors: Evelyn Nwamaka Ogbeide-Osaretin, Bright Orhewere

Abstract:

This study examined the role of the population in the linkage between energy consumption and economic development in Nigeria. Time series data on energy consumption, population, and economic development were used for the period 1995 to 2020. The Autoregressive Distributed Lag -Error Correction Model (ARDL-ECM) was engaged. Economic development had a negative substantial impact on energy consumption in the long run. Population growth had a positive significant effect on energy consumption. Government expenditure was also found to impact the level of energy consumption, while energy consumption is not a function of oil price in Nigeria.

Keywords: dynamic analysis, energy consumption, population, economic development, Nigeria

Procedia PDF Downloads 145

Authors: Xu Wang

Abstract:

This research builds linear regressions of U.S. macroeconomic condition and volatility measures in the investment grade and high yield Credit Default Swap index spreads using monthly data from March 2009 to July 2016, to study the relationship between different dimensions of macroeconomy and overall credit risk quality. The most significant contribution of this research is systematically examining individual and joint effects of macroeconomic condition and volatility on CDX spreads by including macroeconomic time series that captures different dimensions of the U.S. economy. The industrial production index growth, non-farm payroll growth, consumer price index growth, 3-month treasury rate and consumer sentiment are introduced to capture the condition of real economic activity, employment, inflation, monetary policy and risk aversion respectively. The conditional variance of the macroeconomic series is constructed using ARMA-GARCH model and is used to measure macroeconomic volatility. The linear regression model is conducted to capture relationships between monthly average CDX spreads and macroeconomic variables. The Newey–West estimator is used to control for autocorrelation and heteroskedasticity in error terms. Furthermore, the sensitivity factor analysis and standardized coefficients analysis are conducted to compare the sensitivity of CDX spreads to different macroeconomic variables and to compare relative effects of macroeconomic condition versus macroeconomic uncertainty respectively. This research shows that macroeconomic condition can have a negative effect on CDX spread while macroeconomic volatility has a positive effect on determining CDX spread. Macroeconomic condition and volatility variables can jointly explain more than 70% of the whole variation of the CDX spread. In addition, sensitivity factor analysis shows that the CDX spread is the most sensitive to Consumer Sentiment index. Finally, the standardized coefficients analysis shows that both macroeconomic condition and volatility variables are important in determining CDX spread but macroeconomic condition category of variables have more relative importance in determining CDX spread than macroeconomic volatility category of variables. This research shows that the CDX spread can reflect the individual and joint effects of macroeconomic condition and volatility, which suggests that individual investors or government should carefully regard CDX spread as a measure of overall credit risk because the CDX spread is influenced by macroeconomy. In addition, the significance of macroeconomic condition and volatility variables, such as Non-farm Payroll growth rate and Industrial Production Index growth volatility suggests that the government, should pay more attention to the overall credit quality in the market when macroecnomy is low or volatile.

Keywords: autoregressive moving average model, credit spread puzzle, credit default swap spread, generalized autoregressive conditional heteroskedasticity model, macroeconomic conditions, macroeconomic uncertainty

Procedia PDF Downloads 139

Authors: Amro Issam Hamed Attia Ramadan, Marco Zappatore, Pasquale Balena, Antonella Longo

Abstract:

Considering the energetic crisis that is hitting Europe, it becomes more and more necessary to change the energy policies to depend less on fossil fuels and replace them with energy from renewable sources. This has triggered the urge to use clean energy not only to satisfy energy needs and fulfill the required consumption but also to decrease the danger of climatic changes due to harmful emissions. Many countries have already started creating energetic communities based on renewable energy sources. The first step to understanding energy needs in any place is to perfectly know the consumption. In this work, we aim to estimate electricity consumption for a municipality that makes up part of a rural area located in southern Italy using forecast models that allow for the estimation of electricity consumption for the next ten years, and we then apply the same model to the province where the municipality is located and estimate the future consumption for the same period to examine whether it is possible to start from the municipality level to reach the province level when creating energy communities.

Keywords: ARIMA, electricity consumption, forecasting models, time series

Procedia PDF Downloads 127

Authors: Pei-Chen Wu

Abstract:

Both preexisting cross-sectional and longitudinal studies of personality-depression relationship have suffered from one main limitation: they ignored the stability of the construct of interest (e.g., personality and depression) can be expected to influence the estimate of the association between personality and depression. To address this limitation, the Trait-State-Occasion (TSO) modeling was adopted to analyze the sources of variance of the focused constructs. A TSO modeling was operated by partitioning a state variance into time-invariant (trait) and time-variant (occasion) components. Within a TSO framework, it is possible to predict change on the part of construct that really changes (i.e., time-variant variance), when controlling the trait variances. 750 high school students were followed for 4 waves over six-month intervals. The baseline data (T1) were collected from the senior high schools (aged 14 to 15 years). Participants were given Beck Depression Inventory and Big Five Inventory at each assessment. TSO modeling revealed that 70~78% of the variance in personality (five constructs) was stable over follow-up period; however, 57~61% of the variance in depression was stable. For personality construct, there were 7.6% to 8.4% of the total variance from the autoregressive occasion factors; for depression construct there were 15.2% to 18.1% of the total variance from the autoregressive occasion factors. Additionally, results showed that when controlling initial symptom severity, the time-invariant components of all five dimensions of personality were predictive of change in depression (Extraversion: B= .32, Openness: B = -.21, Agreeableness: B = -.27, Conscientious: B = -.36, Neuroticism: B = .39). Because five dimensions of personality shared some variance, the models in which all five dimensions of personality were simultaneous to predict change in depression were investigated. The time-invariant components of five dimensions were still significant predictors for change in depression (Extraversion: B = .30, Openness: B = -.24, Agreeableness: B = -.28, Conscientious: B = -.35, Neuroticism: B = .42). In sum, the majority of the variability of personality was stable over 2 years. Individuals with the greater tendency of Extraversion and Neuroticism have higher degrees of depression; individuals with the greater tendency of Openness, Agreeableness and Conscientious have lower degrees of depression.

Keywords: assessment, depression, personality, trait-state-occasion model

Procedia PDF Downloads 149

Authors: C. Senabre, S. Valero, M. Lopez, E. Velasco, M. Sanchez

Abstract:

This paper focuses on an application of linear mixed models to short-term load forecasting. The challenge of this research is to improve a currently working model at the Spanish Transport System Operator, programmed by us, and based on linear autoregressive techniques and neural networks. The forecasting system currently forecasts each of the regions within the Spanish grid separately, even though the behavior of the load in each region is affected by the same factors in a similar way. A load forecasting system has been verified in this work by using the real data from a utility. In this research it has been used an integration of several regions into a linear mixed model as starting point to obtain the information from other regions. Firstly, the systems to learn general behaviors present in all regions, and secondly, it is identified individual deviation in each regions. The technique can be especially useful when modeling the effect of special days with scarce information from the past. The three most relevant regions of the system have been used to test the model, focusing on special day and improving the performance of both currently working models used as benchmark. A range of comparisons with different forecasting models has been conducted. The forecasting results demonstrate the superiority of the proposed methodology.

Keywords: short-term load forecasting, mixed effects models, neural networks, mixed effects models

Procedia PDF Downloads 160

Authors: Faris A. Uriayer, Mehtab Alam

Abstract:

The concept of using a hybrid composite by combining two or more different materials to produce bilinear stress–strain behaviour has become a subject of interest. Having studied the mechanical properties of steel-CFRP specimens (CFRP Laminate Sandwiched between Mild Steel Strips), full size steel-CFRP composite reinforcement were fabricated and used as a new reinforcing material inside beams in lieu of traditional steel bars. Four beams, three beams reinforced with steel-CFRP composite reinforcement and one beam reinforced with traditional steel bars were cast, cured and tested under quasi-static loading. The flexural test results of the beams reinforced with this composite reinforcement showed that the beams with steel-CFRP composite reinforcement had comparable flexural strength and flexural ductility with beams reinforced with traditional steel bars.

Keywords: CFRP laminate, steel strip, flexural behaviour, modified model, concrete beam

Procedia PDF Downloads 655

Authors: Donatello Cardone

Abstract:

Bilinear hysteresis models are usually used to describe the cyclic behavior of high damping rubber bearings. However, they neglect a number of phenomena (such as the interaction between axial load and shear force, buckling and post-buckling behavior, cavitation, scragging effects, etc.) that can significantly influence the dynamic behavior of such isolation devices. In this work, an advanced hysteresis model is examined and properly calibrated using consolidated procedures. Results of preliminary numerical analyses, performed in OpenSees, are shown and compared with the results of experimental tests on high damping rubber bearings and simulation analyses using alternative nonlinear models. The findings of this study can provide an useful tool for the accurate evaluation of the seismic response of structures with rubber-based isolation systems.

Keywords: seismic isolation, high damping rubber bearings, numerical modeling, axial-shear force interaction

Procedia PDF Downloads 96

Authors: Sara ElElimy, Samir Moustafa

Abstract:

Mobile network operators start to face many challenges in the digital era, especially with high demands from customers. Since mobile network operators are considered a source of big data, traditional techniques are not effective with new era of big data, Internet of things (IoT) and 5G; as a result, handling effectively different big datasets becomes a vital task for operators with the continuous growth of data and moving from long term evolution (LTE) to 5G. So, there is an urgent need for effective Big data analytics to predict future demands, traffic, and network performance to full fill the requirements of the fifth generation of mobile network technology. In this paper, we introduce data science techniques using machine learning and deep learning algorithms: the autoregressive integrated moving average (ARIMA), Bayesian-based curve fitting, and recurrent neural network (RNN) are employed for a data-driven application to mobile network operators. The main framework included in models are identification parameters of each model, estimation, prediction, and final data-driven application of this prediction from business and network performance applications. These models are applied to Telecom Italia Big Data challenge call detail records (CDRs) datasets. The performance of these models is found out using a specific well-known evaluation criteria shows that ARIMA (machine learning-based model) is more accurate as a predictive model in such a dataset than the RNN (deep learning model).

Keywords: big data analytics, machine learning, CDRs, 5G

Procedia PDF Downloads 109

Authors: Maria C. Mariani, Md Al Masum Bhuiyan, Osei K. Tweneboah, Hector G. Huizar

Abstract:

This work is devoted to the study of modeling geophysical time series. A stochastic technique with time-varying parameters is used to forecast the volatility of data arising in geophysics. In this study, the volatility is defined as a logarithmic first-order autoregressive process. We observe that the inclusion of log-volatility into the time-varying parameter estimation significantly improves forecasting which is facilitated via maximum likelihood estimation. This allows us to conclude that the estimation algorithm for the corresponding one-step-ahead suggested volatility (with ±2 standard prediction errors) is very feasible since it possesses good convergence properties.

Keywords: Augmented Dickey Fuller Test, geophysical time series, maximum likelihood estimation, stochastic volatility model

Procedia PDF Downloads 272

Authors: Sherif D. El Wakil, John Rice

Abstract:

The aim of the current work was to employ the finite element method to model a slab, with a small hole across its width, undergoing plastic plane strain deformation. The computational model had, however, to be validated by comparing its results with those obtained experimentally. Since they were in good agreement, the finite element method can therefore be considered a reliable tool that can help gain better understanding of the mechanism of ductile failure in structural members having stress raisers. The finite element software used was ANSYS, and the PLANE183 element was utilized. It is a higher order 2-D, 8-node or 6-node element with quadratic displacement behavior. A bilinear stress-strain relationship was used to define the material properties, with constants similar to those of the material used in the experimental study. The model was run for several tensile loads in order to observe the progression of the plastic deformation region, and the stress concentration factor was determined in each case. The experimental study involved employing the visioplasticity technique, where a circular mesh (each circle was 0.5 mm in diameter, with 0.05 mm line thickness) was initially printed on the side of an aluminum slab having a small hole across its width. Tensile loading was then applied to produce a small increment of plastic deformation. Circles in the plastic region became ellipses, where the directions of the principal strains and stresses coincided with the major and minor axes of the ellipses. Next, we were able to determine the directions of the maximum and minimum shear stresses at the center of each ellipse, and the slip-line field was then constructed. We were then able to determine the stress at any point in the plastic deformation zone, and hence the stress concentration factor. The experimental results were found to be in good agreement with the analytical ones.

Keywords: finite element method to model a slab, slab undergoing plastic deformation, stress distribution around a circular hole, visioplasticity

Procedia PDF Downloads 295

Authors: Mahdieh Khalilinezhad, Silvana Dellepiane, Gianni Vernazza

Abstract:

The aim of the present work is to build a model based on tissue characterization that is able to discriminate pathological and non-pathological regions from three-phasic CT images. Based on feature selection in different phases, in this research, we design a neural network system that has optimal neuron number in a hidden layer. Our approach consists of three steps: feature selection, feature reduction, and classification. For each ROI, 6 distinct set of texture features are extracted such as first order histogram parameters, absolute gradient, run-length matrix, co-occurrence matrix, autoregressive model, and wavelet, for a total of 270 texture features. We show that with the injection of liquid and the analysis of more phases the high relevant features in each region changed. Our results show that for detecting HCC tumor phase3 is the best one in most of the features that we apply to the classification algorithm. The percentage of detection between these two classes according to our method, relates to first order histogram parameters with the accuracy of 85% in phase 1, 95% phase 2, and 95% in phase 3.

Keywords: multi-phasic liver images, texture analysis, neural network, hidden layer

Procedia PDF Downloads 237

Authors: Osung Im, Neha Yadav, Eui Hoon Lee, Joong Hoon Kim

Abstract:

Artificial Neural Network (ANN) approach is commonly used in lots of fields for forecasting. In water resources engineering, forecast of water level or inflow of reservoir is useful for various kind of purposes. Due to advantages of ANN, many papers were written for inflow prediction in river networks, but in this study, ANN is used in urban sewer networks. The growth of severe rain storm in Korea has increased flood damage severely, and the precipitation distribution is getting more erratic. Therefore, effective pump operation in pump station is an essential task for the reduction in urban area. If real time inflow of pump station reservoir can be predicted, it is possible to operate pump effectively for reducing the flood damage. This study used ANN model for pump station reservoir inflow prediction using upstream sewer depth data. For this study, rainfall events, sewer depth, and inflow into Banpo pump station reservoir between years of 2013-2014 were considered. Feed – Forward Back Propagation (FFBF), Cascade – Forward Back Propagation (CFBP), Elman Back Propagation (EBP) and Nonlinear Autoregressive Exogenous (NARX) were used as ANN model for prediction. A comparison of results with ANN model suggests that ANN is a powerful tool for inflow prediction using the sewer depth data.

Keywords: artificial neural network, forecasting, reservoir inflow, sewer depth

Procedia PDF Downloads 283