Search results for: conditional density estimation

Authors: Ender Su, Kai Wen Wong, I-Ling Ju, Ya-Ling Wang

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In this study, the systemic risk change of Taiwan’s banking sector is analyzed during the financial crisis. The risk expose of each financial institutions to the whole Taiwan banking systemic risk or vice versa under financial distress are measured by conditional Value-at-Risk (CoVaR) and conditional coherent expected shortfall (CoES). The CoVaR and CoES are estimated by using vector quantile autoregression (MVMQ-CaViaR) with the daily stock returns of each banks included domestic and foreign banks in Taiwan. The daily in-sample data covered the period from 05/20/2002 to 07/31/2007 and the out-of-sample period until 12/31/2013 spanning the 2008 U.S. subprime crisis, 2010 Greek debt crisis, and post risk duration. All banks in Taiwan are categorised into several groups according to their size of market capital, leverage and domestic/foreign to find out what the extent of changes of the systemic risk as the risk changes between the individuals in the bank groups and vice versa. The final results can provide a guidance to financial supervisory commission of Taiwan to gauge the downside risk in the system of financial institutions and determine the minimum capital requirement hold by financial institutions due to the sensibility changes in CoVaR and CoES of each banks.

Keywords: bank financial distress, vector quantile autoregression, CoVaR, CoES

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Authors: Farag Ahwide, Souhel Bousheha

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A technical assessment has been made of electricity generation, considering wind turbines ranging between Vestas (V80-2.0 MW and V112-3.0 MW) and the air density is equal to 1.225 Kg/m3, at different towns in Libya. Wind speed might have been measured each 3 hours during 10 m stature at a time for 10 quite sometime between 2000 Furthermore 2009, these towns which are spotted on the bank from claiming Mediterranean ocean also how in the desert, which need aid Derna 1, Derna 2, Shahat, Benghazi, Ajdabya, Sirte, Misurata, Tripoli-Airport, Al-Zawya, Al-Kofra, Sabha, Nalut. The work presented long term "wind data analysis in terms of annual, seasonal, monthly and diurnal variations at these sites. Wind power density with different heights has been studied. Excel sheet program was used to calculate the values of wind power density and the values of wind speed frequency for the stations; their seasonally values have been estimated. Limit variable with rated wind pace to 10 different wind turbines need to be been estimated, which is used to focus those required yearly vitality yield of a wind vitality change framework (WECS), acknowledging wind turbines extending between 600 kW and 3000 kW).

Keywords: energy yield, wind turbines, wind speed, wind power density

Procedia PDF Downloads 272

Authors: Kwabena Asare, Ezekiel N. N. Nortey, Felix O. Mettle

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Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana Stock Exchange All-Shares indices (2000-2010) by applying the Extreme Value Theory to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before EVT method was applied. The Peak Over Threshold (POT) approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model’s goodness of fit was assessed graphically using Q-Q, P-P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the Value at Risk (VaR) and Expected Shortfall (ES) risk measures at some high quantiles, based on the fitted GPD model.

Keywords: extreme value theory, expected shortfall, generalized pareto distribution, peak over threshold, value at risk

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Authors: Alexander Marx

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Measuring and mitigating market risk is essential for the stability of enterprises, especially for major banking corporations and investment bank firms. To employ these risk measurement and mitigation processes, the Value at Risk (VaR) is the most commonly used risk metric by practitioners. In the past years, we have seen significant weaknesses in the predictive performance of the VaR in times of financial market crisis. To address this issue, the purpose of this study is to investigate the value-at-risk (VaR) estimation models and their predictive performance by applying a series of backtesting methods on the stock market indices of the G7 countries (Canada, France, Germany, Italy, Japan, UK, US, Europe). The study employs parametric, non-parametric, and semi-parametric VaR estimation models and is conducted during three different periods which cover the most recent financial market crisis: the overall period (2006–2022), the global financial crisis period (2008–2009), and COVID-19 period (2020–2022). Since the regulatory authorities have introduced and mandated the Conditional Value at Risk (Expected Shortfall) as an additional regulatory risk management metric, the study will analyze and compare both risk metrics on their predictive performance.

Keywords: value at risk, financial market risk, banking, quantitative risk management

Procedia PDF Downloads 58

Authors: Ahmet Faruk Akyuz, Hasan Sakir Bilge

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Depth estimation using stereo images is a challenging problem in computer vision. Many different studies have been carried out to solve this problem. With advancing machine learning, tackling this problem is often done with neural network-based solutions. The images used in these studies are mostly in the visible spectrum. However, the need to use the Infrared (IR) spectrum for depth estimation has emerged because it gives better results than visible spectra in some conditions. At this point, we recommend using thermal-thermal (IR) image pairs for depth estimation. In this study, we used two well-known networks (PSMNet, FADNet) with minor modifications to demonstrate the viability of this idea.

Keywords: thermal stereo matching, deep neural networks, CNN, Depth estimation

Procedia PDF Downloads 237

Authors: A. Mohammadi, S. Asghari, M. Aien, M. Rashidinejad

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After emergent of alternative current networks and their popularity, asynchronous motors became more widespread than other kinds of industrial motors. In order to control and run these motors efficiently, an accurate estimation of motor parameters is needed. There are different methods to obtain these parameters such as rotor locked test, no load test, DC test, analytical methods, and so on. The most common drawback of these methods is their inaccuracy in estimation of some motor parameters. In order to remove this concern, a novel method for parameter estimation of induction motors using particle swarm optimization (PSO) algorithm is proposed. In the proposed method, transient state of motor is used for parameter estimation. Comparison of the simulation results purtuined to the PSO algorithm with other available methods justifies the effectiveness of the proposed method.

Keywords: induction motor, motor parameter estimation, PSO algorithm, analytical method

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Authors: Cheng Fang, Lingwei Quan, Cunyue Lu

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Human pose estimation and tracking are to accurately identify and locate the positions of human joints in the video. It is a computer vision task which is of great significance for human motion recognition, behavior understanding and scene analysis. There has been remarkable progress on human pose estimation in recent years. However, more researches are needed for human pose tracking especially for online tracking. In this paper, a framework, called PoseSRPN, is proposed for online single-person pose estimation and tracking. We use Siamese network attaching a pose estimation branch to incorporate Single-person Pose Tracking (SPT) and Visual Object Tracking (VOT) into one framework. The pose estimation branch has a simple network structure that replaces the complex upsampling and convolution network structure with deconvolution. By augmenting the loss of fully convolutional Siamese network with the pose estimation task, pose estimation and tracking can be trained in one stage. Once trained, PoseSRPN only relies on a single bounding box initialization and producing human joints location. The experimental results show that while maintaining the good accuracy of pose estimation on COCO and PoseTrack datasets, the proposed method achieves a speed of 59 frame/s, which is superior to other pose tracking frameworks.

Keywords: computer vision, pose estimation, pose tracking, Siamese network

Procedia PDF Downloads 126

Authors: Khandoker Akib Mohammad

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While analyzing time-to-event data, it is possible that a certain fraction of subjects will never experience the event of interest, and they are said to be cured. When this feature of survival models is taken into account, the models are commonly referred to as cure models. In the presence of covariates, the conditional survival function of the population can be modelled by using the cure model, which depends on the probability of being uncured (incidence) and the conditional survival function of the uncured subjects (latency), and a combination of logistic regression and Cox proportional hazards (PH) regression is used to model the incidence and latency respectively. In this paper, we have shown the asymptotic normality of the profile likelihood estimator via asymptotic expansion of the profile likelihood and obtain the explicit form of the variance estimator with an implicit function in the profile likelihood. We have also shown the efficient score function based on projection theory and the profile likelihood score function are equal. Our contribution in this paper is that we have expressed the efficient information matrix as the variance of the profile likelihood score function. A simulation study suggests that the estimated standard errors from bootstrap samples (SMCURE package) and the profile likelihood score function (our approach) are providing similar and comparable results. The numerical result of our proposed method is also shown by using the melanoma data from SMCURE R-package, and we compare the results with the output obtained from the SMCURE package.

Keywords: Cox PH model, cure model, efficient score function, EM algorithm, implicit function, profile likelihood

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Authors: Ben Tappin, Ryan McKay

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The political left and right appear to disagree not only over questions of value but, also, over questions of fact—over what is true “out there” in society and the world. Alarmingly, a large body of survey data collected during the past decade suggests that this disagreement tends to be greatest among the most educated and most cognitively sophisticated opposing partisans. In other words, the data show that these individuals display the widest political polarization in their reported factual beliefs. Explanations of this polarization pattern draw heavily on cultural and political factors; yet, the large majority of the evidence originates from one cultural and political context—the United States, a country with a rather unique cultural and political history. One consequence is that widening political polarization conditional on education and cognitive sophistication may be due to idiosyncratic cultural, political or historical factors endogenous to US society—rather than a more general, international phenomenon. We examined widening political polarization conditional on education across Europe, over a topic that is culturally and politically contested; immigration. To do so, we analyzed data from the European Social Survey, a premier survey of countries in and around the European area conducted biennially since 2002. Our main results are threefold. First, we see widening political polarization conditional on education over beliefs about the economic impact of immigration. The foremost countries showing this pattern are the most influential in Europe: Germany and France. However, we also see heterogeneity across countries, with some—such as Belgium—showing no evidence of such polarization. Second, we find that widening political polarization conditional on education is a product of sorting. That is, highly educated partisans exhibit stronger within-group consensus in their beliefs about immigration—the data do not support the view that the more educated partisans are more polarized simply because the less educated fail to adopt a position on the question. Third, and finally, we find some evidence that shocks to the political climate of countries in the European area—for example, the “refugee crisis” of summer 2015—were associated with a subsequent increase in political polarization over immigration conditional on education. The largest increase was observed in Germany, which was at the centre of the so-called refugee crisis in 2015. These results reveal numerous insights: they show that widening political polarization conditional on education is not restricted to the US or native English-speaking culture; that such polarization emerges in the domain of immigration; that it is a product of within-group consensus among the more educated; and, finally, that exogenous shocks to the political climate may be associated with subsequent increases in political polarization conditional on education.

Keywords: beliefs, Europe, immigration, political polarization

Procedia PDF Downloads 117

Authors: Dilip K. De, Olukunle C. Olawole, Emmanuel S. Joel, Moses Emetere

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A good number of electronic properties such as electrical and thermal conductivities depend on charge carrier densities of nanomaterials. By controlling the charge carrier densities during the fabrication (or growth) processes, the physical properties can be tuned. In this paper, we discuss a new technique of estimating the charge carrier densities of nanomaterials from the thermionic emission data using the newly modified Richardson-Dushman equation. We find that the technique yields excellent results for graphene and carbon nanotube.

Keywords: charge carrier density, nano materials, new technique, thermionic emission

Procedia PDF Downloads 286

Authors: P. S. Jagadeesh Kumar, Mingmin Pan, Yang Yung, Tracy Lin Huan

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Glaucoma is a group of visual maladies represented by the scheduled optic nerve neuropathy; means to the increasing dwindling in vision ground, resulting in loss of sight. In this paper, a novel support vector machine based retinal therapeutic for glaucoma using machine learning algorithm is conservative. The algorithm has fitting pragmatism; subsequently sustained on correlation clustering mode, it visualizes perfect computations in the multi-dimensional space. Support vector clustering turns out to be comparable to the scale-space advance that investigates the cluster organization by means of a kernel density estimation of the likelihood distribution, where cluster midpoints are idiosyncratic by the neighborhood maxima of the concreteness. The predicted planning has 91% attainment rate on data set deterrent on a consolidation of 500 realistic images of resolute and glaucoma retina; therefore, the computational benefit of depending on the cluster overlapping system pedestal on machine learning algorithm has complete performance in glaucoma therapeutic.

Keywords: machine learning algorithm, correlation clustering mode, cluster overlapping system, glaucoma, kernel density estimation, retinal therapeutic

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Authors: Salman Mohamadi, Seyed Mohammad Ali Tayaranian Hosseini, Hamidreza Amindavar

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In this paper, we provide a procedure to analyze and model EEG (electroencephalogram) signal as a time series using ARIMA-GARCH to predict an epileptic attack. The heteroskedasticity of EEG signal is examined through the ARCH or GARCH, (Autore- gressive conditional heteroskedasticity, Generalized autoregressive conditional heteroskedasticity) test. The best ARIMA-GARCH model in AIC sense is utilized to measure the volatility of the EEG from epileptic canine subjects, to forecast the future values of EEG. ARIMA-only model can perform prediction, but the ARCH or GARCH model acting on the residuals of ARIMA attains a con- siderable improved forecast horizon. First, we estimate the best ARIMA model, then different orders of ARCH and GARCH modelings are surveyed to determine the best heteroskedastic model of the residuals of the mentioned ARIMA. Using the simulated conditional variance of selected ARCH or GARCH model, we suggest the procedure to predict the oncoming seizures. The results indicate that GARCH modeling determines the dynamic changes of variance well before the onset of seizure. It can be inferred that the prediction capability comes from the ability of the combined ARIMA-GARCH modeling to cover the heteroskedastic nature of EEG signal changes.

Keywords: epileptic seizure prediction , ARIMA, ARCH and GARCH modeling, heteroskedasticity, EEG

Procedia PDF Downloads 376

Authors: Rao Fu, Jie Chen, Shutian Zeng, Yiping Zhuang, Agus Sudjianto

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Generative Adversarial Net (GAN) has proved to be a powerful machine learning tool in image data analysis and generation. In this paper, we propose to use Conditional Generative Adversarial Net (CGAN) to learn and simulate time series data. The conditions include both categorical and continuous variables with different auxiliary information. Our simulation studies show that CGAN has the capability to learn different types of normal and heavy-tailed distributions, as well as dependent structures of different time series. It also has the capability to generate conditional predictive distributions consistent with training data distributions. We also provide an in-depth discussion on the rationale behind GAN and the neural networks as hierarchical splines to establish a clear connection with existing statistical methods of distribution generation. In practice, CGAN has a wide range of applications in market risk and counterparty risk analysis: it can be applied to learn historical data and generate scenarios for the calculation of Value-at-Risk (VaR) and Expected Shortfall (ES), and it can also predict the movement of the market risk factors. We present a real data analysis including a backtesting to demonstrate that CGAN can outperform Historical Simulation (HS), a popular method in market risk analysis to calculate VaR. CGAN can also be applied in economic time series modeling and forecasting. In this regard, we have included an example of hypothetical shock analysis for economic models and the generation of potential CCAR scenarios by CGAN at the end of the paper.

Keywords: conditional generative adversarial net, market and credit risk management, neural network, time series

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Authors: Vladimir S. Timofeev

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In this article the problem of distributional moments estimation is considered. The new approach of moments estimation based on usage of the characteristic function is proposed. By statistical simulation technique, author shows that new approach has some robust properties. For calculation of the derivatives of characteristic function there is used numerical differentiation. Obtained results confirmed that author’s idea has a certain working efficiency and it can be recommended for any statistical applications.

Keywords: characteristic function, distributional moments, robustness, outlier, statistical estimation problem, statistical simulation

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Authors: Shay Kee Tan, Kok Haur Ng, Jennifer So-Kuen Chan

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This paper extends the conditional autoregressive range (CARR) model to multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The first stage model fits the scaled realised Parkinson volatility measures using individual series and their pairwise sums of indices to the MCARR model to obtain in-sample estimates and forecasts of volatilities for these individual and pairwise sum series. Then covariances are calculated to construct the fitted variance-covariance matrix of returns which are imputed into the stage-two return model to capture the heteroskedasticity of assets’ returns. We investigate different choices of mean functions to describe the volatility dynamics. Empirical applications are based on the Standard and Poor 500, Dow Jones Industrial Average and Dow Jones United States Financial Service Indices. Results show that the stage-one MCARR models using asymmetric mean functions give better in-sample model fits than those based on symmetric mean functions. They also provide better out-of-sample volatility forecasts than those using CARR models based on two robust loss functions with the scaled realised open-to-close volatility measure as the proxy for the unobserved true volatility. We also find that the stage-two return models with constant means and multivariate Student-t errors give better in-sample fits than the Baba, Engle, Kraft, and Kroner type of generalized autoregressive conditional heteroskedasticity (BEKK-GARCH) models. The estimates and forecasts of value-at-risk (VaR) and conditional VaR based on the best MCARR-return models for each asset are provided and tested using Kupiec test to confirm the accuracy of the VaR forecasts.

Keywords: range-based volatility, correlation, multivariate CARR-return model, value-at-risk, conditional value-at-risk

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Authors: Khalifa Maha, Ben Othman Hakim, Khaled Hussainey

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Prior empirical studies have investigated the economic consequences of accounting conservatism by examining its impact on the cost of equity capital (COEC). However, findings are not conclusive. We assume that inconsistent results of such association may be attributed to the regression models used in data analysis. To address this issue, we re-examine the effect of different dimension of accounting conservatism: unconditional conservatism (U_CONS) and conditional conservatism (C_CONS) on the COEC for a sample of listed firms from Middle Eastern and North Africa (MENA) countries, applying quantile regression (QR) approach developed by Koenker and Basset (1978). While classical ordinary least square (OLS) method is widely used in empirical accounting research, however it may produce inefficient and bias estimates in the case of departures from normality or long tail error distribution. QR method is more powerful than OLS to handle this kind of problem. It allows the coefficient on the independent variables to shift across the distribution of the dependent variable whereas OLS method only estimates the conditional mean effects of a response variable. We find as predicted that U_CONS has a significant positive effect on the COEC however, C_CONS has a negative impact. Findings suggest also that the effect of the two dimensions of accounting conservatism differs considerably across COEC quantiles. Comparing results from QR method with those of OLS, this study throws more lights on the association between accounting conservatism and COEC.

Keywords: unconditional conservatism, conditional conservatism, cost of equity capital, OLS, quantile regression, emerging markets, MENA countries

Procedia PDF Downloads 333

Authors: Wael M. Bazzi, Amir Rastegarnia, Azam Khalili

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In this paper we consider the issue of reliability of measurements in distributed adaptive estimation problem. To this aim, we assume a sensor network with different observation noise variance among the sensors and propose new estimation method based on incremental distributed least mean-square (IDLMS) algorithm. The proposed method contains two phases: I) Estimation of each sensors observation noise variance, and II) Estimation of the desired parameter using the estimated observation variances. To deal with the reliability of measurements, in the second phase of the proposed algorithm, the step-size parameter is adjusted for each sensor according to its observation noise variance. As our simulation results show, the proposed algorithm considerably improves the performance of the IDLMS algorithm in the same condition.

Keywords: adaptive filter, distributed estimation, sensor network, IDLMS algorithm

Procedia PDF Downloads 611

Authors: R. Simutis, V. Galvanauskas, D. Levisauskas, J. Repsyte, V. Grincas

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This paper deals with advanced state estimation algorithms for estimation of biomass concentration and specific growth rate in a typical fed-batch biotechnological process. This biotechnological process was represented by a nonlinear mass-balance based process model. Extended Kalman Filter (EKF) and Particle Filter (PF) was used to estimate the unmeasured state variables from oxygen uptake rate (OUR) and base consumption (BC) measurements. To obtain more general results, a simplified process model was involved in EKF and PF estimation algorithms. This model doesn’t require any special growth kinetic equations and could be applied for state estimation in various bioprocesses. The focus of this investigation was concentrated on the comparison of the estimation quality of the EKF and PF estimators by applying different measurement noises. The simulation results show that Particle Filter algorithm requires significantly more computation time for state estimation but gives lower estimation errors both for biomass concentration and specific growth rate. Also the tuning procedure for Particle Filter is simpler than for EKF. Consequently, Particle Filter should be preferred in real applications, especially for monitoring of industrial bioprocesses where the simplified implementation procedures are always desirable.

Keywords: biomass concentration, extended Kalman filter, particle filter, state estimation, specific growth rate

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Authors: Nilay K. Doshi

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A theoretical probe describing the excited energy states of the electron density surrounding a nanoparticle (NP) is presented. An electromagnetic (EM) wave interacts with a NP much smaller than the incident wavelength. The plasmon that oscillates locally around the NP comprises of excited conduction electrons. The system is based on the Jellium model of a cluster of metal atoms. Hohenberg-Kohn (HK) equations and the variational Kohn-Sham (SK) scheme have been used to obtain the NP electron density in the ground state. Furthermore, a time-dependent density functional (TDDFT) theory is used to treat the excited states in a density functional theory (DFT) framework. The non-interacting fermionic kinetic energy is shown to be a functional of the electron density. The time dependent potential is written as the sum of the nucleic potential and the incoming EM field. This view of the quantum oscillation of the electron density is a part of the localized surface plasmon resonance.

Keywords: electron density, energy, electromagnetic, DFT, TDDFT, plasmon, resonance

Procedia PDF Downloads 293

Authors: M. R. Al-Rashidi, K. M. El-Naggar, M. F. Al-Hajri

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The fuel cost function describes the electric power generation-cost relationship in thermal plants, hence, it sheds light on economical aspects of power industry. Different models have been proposed to describe this relationship with the quadratic function model being the most popular one. Parameters of second order fuel cost function are estimated in this paper using cuckoo search algorithm. It is a new population based meta-heuristic optimization technique that has been used in this study primarily as an accurate estimation tool. Its main features are flexibility, simplicity, and effectiveness when compared to other estimation techniques. The parameter estimation problem is formulated as an optimization one with the goal being minimizing the error associated with the estimated parameters. A case study is considered in this paper to illustrate cuckoo search promising potential as a valuable estimation and optimization technique.

Keywords: cuckoo search, parameters estimation, fuel cost function, economic dispatch

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Authors: S. Ilakkiya, A. Merline

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A multiple-input multiple-output (MIMO) radar systems use modulated waveforms and directive antennas to transmit electromagnetic energy into a specific volume in space to search for targets. This paper deals with the design of transmit beamspace matrix and DOA estimation for multiple-input multiple-output (MIMO) radar with collocated antennas.The design of transmit beamspace matrix is based on minimizing the difference between a desired transmit beampattern and the actual one while enforcing the constraint of uniform power distribution across the transmit array elements. Rotational invariance property is established at the transmit array by imposing a specific structure on the beamspace matrix. Semidefinite programming and spatial-division based design (SDD) are also designed separately. In MIMO radar systems, DOA estimation is an essential process to determine the direction of incoming signals and thus to direct the beam of the antenna array towards the estimated direction. This estimation deals with non-adaptive spectral estimation and adaptive spectral estimation techniques. The design of the transmit beamspace matrix and spectral estimation techniques are studied through simulation.

Keywords: adaptive and non-adaptive spectral estimation, direction of arrival estimation, MIMO radar, rotational invariance property, transmit, receive beamforming

Procedia PDF Downloads 482

Authors: Olesya Bolkhovskaya, Alexey Davydov, Alexander Maltsev

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In this paper two approaches to joint signal detection, time of arrival (ToA) and angle of arrival (AoA) estimation in multi-element antenna array are investigated. Two scenarios were considered: first one, when the waveform of the useful signal is known a priori and, second one, when the waveform of the desired signal is unknown. For first scenario, the antenna array signal processing based on multi-element matched filtering (MF) with the following non-coherent detection scheme and maximum likelihood (ML) parameter estimation blocks is exploited. For second scenario, the signal processing based on the antenna array elements covariance matrix estimation with the following eigenvector analysis and ML parameter estimation blocks is applied. The performance characteristics of both signal processing schemes are thoroughly investigated and compared for different useful signals and noise parameters.

Keywords: antenna array, signal detection, ToA, AoA estimation

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Authors: Keunhong Chae, Seokho Yoon

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We address a new integer frequency offset (IFO) estimation scheme with an aid of a pilot for orthogonal frequency division multiplexing systems. After correlating each continual pilot with a predetermined scattered pilot, the correlation value is again correlated to alleviate the influence of the timing offset. From numerical results, it is demonstrated that the influence of the timing offset on the IFO estimation is significantly decreased.

Keywords: estimation, integer frequency offset, OFDM, timing offset

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Authors: Yoshimoto Kurihara, Tad Gonsalves

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Currently, in the field of object posture estimation, there is research on estimating the position and angle of an object by storing a 3D model of the object to be estimated in advance in a computer and matching it with the model. However, in this research, we have succeeded in creating a module that is much simpler, smaller in scale, and faster in operation. Our 6D pose estimation model consists of two different networks – a classification network and a regression network. From a single RGB image, the trained model estimates the class of the object in the image, the coordinates of the object, and its rotation angle in 3D space. In addition, we compared the estimation accuracy of each camera position, i.e., the angle from which the object was captured. The highest accuracy was recorded when the camera position was 75°, the accuracy of the classification was about 87.3%, and that of regression was about 98.9%.

Keywords: 6D posture estimation, image recognition, deep learning, AlexNet

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Authors: Miljan B. Petrović, Dušan B. Petrović, Goran S. Nikolić

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This paper describes a method for AWGN (Additive White Gaussian Noise) variance estimation in noisy stochastic signals, referred to as Multiplicative-Noising Variance Estimation (MNVE). The aim was to develop an estimation algorithm with minimal number of assumptions on the original signal structure. The provided MATLAB simulation and results analysis of the method applied on speech signals showed more accuracy than standardized AR (autoregressive) modeling noise estimation technique. In addition, great performance was observed on very low signal-to-noise ratios, which in general represents the worst case scenario for signal denoising methods. High execution time appears to be the only disadvantage of MNVE. After close examination of all the observed features of the proposed algorithm, it was concluded it is worth of exploring and that with some further adjustments and improvements can be enviably powerful.

Keywords: noise, signal-to-noise ratio, stochastic signals, variance estimation

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Authors: Kalai Lamia, Jilani Faouzi

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Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of “persistence” of conditional variance and the presence of a degree of a leverage effect. In order to resolve for the problem of “asymmetry” in volatility, the retained specifications point to the importance of stocks reactions in response to news. Effects of shocks on volatility highlight also the need to study the “long term” behaviour of conditional variance of stocks returns and articulate the presence of long memory and dependence of time series in the long run. We note that the integrated fractional autoregressive model allows for representing time series that show long-term conditional variance thanks to fractional integration parameters. In order to stop at the dynamics that manage time series, a comparative study of the results of the different models will allow for better understanding volatility structure over the Tunisia stock market, with the aim of accurately predicting fluctuation risks.

Keywords: asymmetry volatility, clustering, stylised facts, leverage effect

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Authors: Ilaria Lucrezia Amerise

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The statistical modelling of precipitation data for a given portion of territory is fundamental for the monitoring of climatic conditions and for Hydrogeological Management Plans (HMP). This modelling is rendered particularly complex by the changes taking place in the frequency and intensity of precipitation, presumably to be attributed to the global climate change. This paper applies the Wakeby distribution (with 5 parameters) as a theoretical reference model. The number and the quality of the parameters indicate that this distribution may be the appropriate choice for the interpolations of the hydrological variables and, moreover, the Wakeby is particularly suitable for describing phenomena producing heavy tails. The proposed estimation methods for determining the value of the Wakeby parameters are the same as those used for density functions with heavy tails. The commonly used procedure is the classic method of moments weighed with probabilities (probability weighted moments, PWM) although this has often shown difficulty of convergence, or rather, convergence to a configuration of inappropriate parameters. In this paper, we analyze the problem of the likelihood estimation of a random variable expressed through its quantile function. The method of maximum likelihood, in this case, is more demanding than in the situations of more usual estimation. The reasons for this lie, in the sampling and asymptotic properties of the estimators of maximum likelihood which improve the estimates obtained with indications of their variability and, therefore, their accuracy and reliability. These features are highly appreciated in contexts where poor decisions, attributable to an inefficient or incomplete information base, can cause serious damages.

Keywords: generalized extreme values, likelihood estimation, precipitation data, Wakeby distribution

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Authors: Wikanda Phaphan

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Mixture generalized gamma distribution is a combination of two distributions: generalized gamma distribution and length biased generalized gamma distribution. These two distributions were presented by Suksaengrakcharoen and Bodhisuwan in 2014. The findings showed that probability density function (pdf) had fairly complexities, so it made problems in estimating parameters. The problem occurred in parameter estimation was that we were unable to calculate estimators in the form of critical expression. Thus, we will use numerical estimation to find the estimators. In this study, we presented a new method of the parameter estimation by using the expectation – maximization algorithm (EM), the conjugate gradient method, and the quasi-Newton method. The data was generated by acceptance-rejection method which is used for estimating α, β, λ and p. λ is the scale parameter, p is the weight parameter, α and β are the shape parameters. We will use Monte Carlo technique to find the estimator's performance. Determining the size of sample equals 10, 30, 100; the simulations were repeated 20 times in each case. We evaluated the effectiveness of the estimators which was introduced by considering values of the mean squared errors and the bias. The findings revealed that the EM-algorithm had proximity to the actual values determined. Also, the maximum likelihood estimators via the conjugate gradient and the quasi-Newton method are less precision than the maximum likelihood estimators via the EM-algorithm.

Keywords: conjugate gradient method, quasi-Newton method, EM-algorithm, generalized gamma distribution, length biased generalized gamma distribution, maximum likelihood method

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Authors: Andi Syahputra, R. H. Jatmiko, D. R. Hizbaron

Abstract:

Land surface temperature (LST) in an area is influenced by conditions of vegetation density, building density, and the number of inhabitants who live in the area. Medan City is one of the largest cities in Indonesia, with a high rate of change from vegetation to developed land. This study aims to identify the relationship between the percentage of building density and land surface temperature in Medan City. Pixel image analysis method is carried out to obtain the value of building density in pixel images of Landsat 8 images with the help of WorldView-2 satellite imagery. The results showed the highest land surface temperature in 2018 of 35, 4°C was found in Medan Perjuangan District, and the lowest was 22.5°C in Medan Belawan District. Building density samples with a density level of 889.17 m were also found in Medan Perjuangan District, while the lowest building density sample was found in Medan Timur District. Linear regression analysis of the effect of building density with land surface temperature obtained a correlation (R) was 0.64, and a coefficient of determination (R²) was 0.411 and modeling of building density based on the LST has a correlation (R), and a coefficient of determination (R²) was 0.72 with The RMSE obtained 0.853.

Keywords: land surface temperature, Landsat, imagery, building density, vegetation, density

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Authors: F. Benhamida, A. Graa, L. Benameur, I. Ziane

Abstract:

The state estimation of the electrical power system operation state is very important for supervising task. With the nonlinearity of the AC power flow model, the state estimation problem (SEP) is a nonlinear mathematical problem with many local optima. This paper treat the mathematical model for the SEP and the monitoring of the nonlinear systems of great dimensions with an application on power electrical system, the modelling, the analysis and state estimation synthesis in order to supervise the power system behavior. in fact, it is very difficult, to see impossible, (for reasons of accessibility, techniques and/or of cost) to measure the excessive number of the variables of state in a large-sized system. It is thus important to develop software sensors being able to produce a reliable estimate of the variables necessary for the diagnosis and also for the control.

Keywords: power system, state estimation, robustness, observability

Procedia PDF Downloads 489