Search results for: estimation after selection
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 4024

Search results for: estimation after selection

4024 Bayesian Network and Feature Selection for Rank Deficient Inverse Problem

Authors: Kyugneun Lee, Ikjin Lee

Abstract:

Parameter estimation with inverse problem often suffers from unfavorable conditions in the real world. Useless data and many input parameters make the problem complicated or insoluble. Data refinement and reformulation of the problem can solve that kind of difficulties. In this research, a method to solve the rank deficient inverse problem is suggested. A multi-physics system which has rank deficiency caused by response correlation is treated. Impeditive information is removed and the problem is reformulated to sequential estimations using Bayesian network (BN) and subset groups. At first, subset grouping of the responses is performed. Feature selection with singular value decomposition (SVD) is used for the grouping. Next, BN inference is used for sequential conditional estimation according to the group hierarchy. Directed acyclic graph (DAG) structure is organized to maximize the estimation ability. Variance ratio of response to noise is used to pairing the estimable parameters by each response.

Keywords: Bayesian network, feature selection, rank deficiency, statistical inverse analysis

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4023 A Two-Stage Bayesian Variable Selection Method with the Extension of Lasso for Geo-Referenced Data

Authors: Georgiana Onicescu, Yuqian Shen

Abstract:

Due to the complex nature of geo-referenced data, multicollinearity of the risk factors in public health spatial studies is a commonly encountered issue, which leads to low parameter estimation accuracy because it inflates the variance in the regression analysis. To address this issue, we proposed a two-stage variable selection method by extending the least absolute shrinkage and selection operator (Lasso) to the Bayesian spatial setting, investigating the impact of risk factors to health outcomes. Specifically, in stage I, we performed the variable selection using Bayesian Lasso and several other variable selection approaches. Then, in stage II, we performed the model selection with only the selected variables from stage I and compared again the methods. To evaluate the performance of the two-stage variable selection methods, we conducted a simulation study with different distributions for the risk factors, using geo-referenced count data as the outcome and Michigan as the research region. We considered the cases when all candidate risk factors are independently normally distributed, or follow a multivariate normal distribution with different correlation levels. Two other Bayesian variable selection methods, Binary indicator, and the combination of Binary indicator and Lasso were considered and compared as alternative methods. The simulation results indicated that the proposed two-stage Bayesian Lasso variable selection method has the best performance for both independent and dependent cases considered. When compared with the one-stage approach, and the other two alternative methods, the two-stage Bayesian Lasso approach provides the highest estimation accuracy in all scenarios considered.

Keywords: Lasso, Bayesian analysis, spatial analysis, variable selection

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4022 Applicant Perceptions in Admission Process to Higher Education: The Influence of Social Anxiety

Authors: I. Diamant, R. Srouji

Abstract:

Applicant perceptions are attitudes, feelings, and cognitions which individuals have about selection procedures and have been mostly studied in the context of personnel selection. The main aim of the present study is to expand the understanding of applicant perceptions, using the framework of Organizational Justice Theory, in the domain of selection for higher education. The secondary aim is to explore the relationships between individual differences in social anxiety and applicants’ perceptions. The selection process is an accept/reject situation; it was hypothesized that applicants with higher social anxiety would experience negative perceptions and a lower success estimation, especially when subjected to social interaction elements in the process (interview and group simulation). Also, the effects of prior preparation and post-process explanations offered at the end of the selection process were explored. One hundred sixty psychology M.A. program applicants participated in this research, and following the selection process completed questionnaires measuring social anxiety, social exclusion, ratings on several justice dimensions for each of the methods in the selection process, feelings of success, and self-estimation of compatibility. About half of the applicants also received explanations regarding the significance and the aims of the selection process. Results provided support for most of our hypotheses: applicants with higher social anxiety experienced an increased level of social exclusion in the selection process, perceived the selection as less fair and ended with a lower feeling of success relative to those applicants without social anxiety. These relationships were especially salient in the selection procedures which included social interaction. Additionally, preparation for the selection process was positively related to the favorable perception of fairness in the selection process. Finally, contrary to our hypothesis, it was found that explanations did not affect the applicant’s perceptions. The results enhance our understanding of which factors affect applicant perceptions in applicants to higher education studies and contribute uniquely to the understanding of the effect of social anxiety on different aspects of selection experienced by applicants. The findings clearly show that some individuals may be predisposed to react unfavorably to certain selection situations. In an age of increasing awareness towards fairness in evaluation and selection and hiring procedures, these findings may be of relevance and may contribute to the design of future personnel selection methods in general and of higher education selection in particular.

Keywords: applicant perceptions, selection and assessment, organizational justice theory, social anxiety

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4021 Regression Model Evaluation on Depth Camera Data for Gaze Estimation

Authors: James Purnama, Riri Fitri Sari

Abstract:

We investigate the machine learning algorithm selection problem in the term of a depth image based eye gaze estimation, with respect to its essential difficulty in reducing the number of required training samples and duration time of training. Statistics based prediction accuracy are increasingly used to assess and evaluate prediction or estimation in gaze estimation. This article evaluates Root Mean Squared Error (RMSE) and R-Squared statistical analysis to assess machine learning methods on depth camera data for gaze estimation. There are 4 machines learning methods have been evaluated: Random Forest Regression, Regression Tree, Support Vector Machine (SVM), and Linear Regression. The experiment results show that the Random Forest Regression has the lowest RMSE and the highest R-Squared, which means that it is the best among other methods.

Keywords: gaze estimation, gaze tracking, eye tracking, kinect, regression model, orange python

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4020 Orthogonal Regression for Nonparametric Estimation of Errors-In-Variables Models

Authors: Anastasiia Yu. Timofeeva

Abstract:

Two new algorithms for nonparametric estimation of errors-in-variables models are proposed. The first algorithm is based on penalized regression spline. The spline is represented as a piecewise-linear function and for each linear portion orthogonal regression is estimated. This algorithm is iterative. The second algorithm involves locally weighted regression estimation. When the independent variable is measured with error such estimation is a complex nonlinear optimization problem. The simulation results have shown the advantage of the second algorithm under the assumption that true smoothing parameters values are known. Nevertheless the use of some indexes of fit to smoothing parameters selection gives the similar results and has an oversmoothing effect.

Keywords: grade point average, orthogonal regression, penalized regression spline, locally weighted regression

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4019 Estimation of the Mean of the Selected Population

Authors: Kalu Ram Meena, Aditi Kar Gangopadhyay, Satrajit Mandal

Abstract:

Two normal populations with different means and same variance are considered, where the variances are known. The population with the smaller sample mean is selected. Various estimators are constructed for the mean of the selected normal population. Finally, they are compared with respect to the bias and MSE risks by the method of Monte-Carlo simulation and their performances are analysed with the help of graphs.

Keywords: estimation after selection, Brewster-Zidek technique, estimators, selected populations

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4018 Estimation of Fragility Curves Using Proposed Ground Motion Selection and Scaling Procedure

Authors: Esra Zengin, Sinan Akkar

Abstract:

Reliable and accurate prediction of nonlinear structural response requires specification of appropriate earthquake ground motions to be used in nonlinear time history analysis. The current research has mainly focused on selection and manipulation of real earthquake records that can be seen as the most critical step in the performance based seismic design and assessment of the structures. Utilizing amplitude scaled ground motions that matches with the target spectra is commonly used technique for the estimation of nonlinear structural response. Representative ground motion ensembles are selected to match target spectrum such as scenario-based spectrum derived from ground motion prediction equations, Uniform Hazard Spectrum (UHS), Conditional Mean Spectrum (CMS) or Conditional Spectrum (CS). Different sets of criteria exist among those developed methodologies to select and scale ground motions with the objective of obtaining robust estimation of the structural performance. This study presents ground motion selection and scaling procedure that considers the spectral variability at target demand with the level of ground motion dispersion. The proposed methodology provides a set of ground motions whose response spectra match target median and corresponding variance within a specified period interval. The efficient and simple algorithm is used to assemble the ground motion sets. The scaling stage is based on the minimization of the error between scaled median and the target spectra where the dispersion of the earthquake shaking is preserved along the period interval. The impact of the spectral variability on nonlinear response distribution is investigated at the level of inelastic single degree of freedom systems. In order to see the effect of different selection and scaling methodologies on fragility curve estimations, results are compared with those obtained by CMS-based scaling methodology. The variability in fragility curves due to the consideration of dispersion in ground motion selection process is also examined.

Keywords: ground motion selection, scaling, uncertainty, fragility curve

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4017 Health as a Proxy for Labour Productivity: The Impact on Wages in Egypt’s Private Sector

Authors: Yasmine Ahmed Shemeis

Abstract:

Determining the impact of productivity increases on wage levels is often difficult due to the unavailability of individual-level productivity data. Accordingly, we proxy for productivity using a self-perceived measure of health based on the postulated positive relationship between better health and productivity improvements. Using Egypt’s labour market data for the years 2012 and 2018 and utilizing a Maximum Likelihood Estimation method, we address two issues: the endogeneity of health in the estimation of wages and a sample selection bias. Our findings indicate the great value that better health has in enhancing wage levels in Egypt’s private sector. Also, we find that overlooking the endogeneity of health underestimates its effect on wages. Thus, the improvement of health states is likely to be beneficial in improving labour market outcomes in terms of wages as well as labour productivity in Egypt.

Keywords: labour, Productivity, Wages, Endogeneity, Sample Selection

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4016 Efficient Relay Selection Scheme Utilizing OVSF Code in Cooperative Communication System

Authors: Yeong-Seop Ahn, Myoung-Jin Kim, Young-Min Ko, Hyoung-Kyu Song

Abstract:

This paper proposes a relay selection scheme utilizing an orthogonal variable spreading factor (OVSF) code in a cooperative communication. The relay selection scheme influences on the communication performance in the cooperative communication. Conventional relay selection schemes such as the best harmonic mean relay selection scheme or the threshold-based relay selection scheme should know information such as channel state information (CSI) in advance. The proposed relay selection scheme does not require information in advance by using a reference signal utilizing the OVSF code. The simulation result shows that bit error rate (BER) performance of proposed relay selection scheme is similar to the best harmonic mean relay selection scheme that is known as one of the optimal relay selection schemes.

Keywords: cooperative communication, relay selection, OFDM, OVSF code

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4015 Merit Measures and Validation in Employee Evaluation and Selection

Authors: Wilson P. R. Malebye, Solly M. Seeletse

Abstract:

Applicants for space in selection problems are usually compared subjectively, and the selection made are not reliable and often cannot be verified scientifically. The paper illustrates objective selection by involving a mathematical measure in selecting a candidate applying for a job, and then using other two independent measures, validates the choice made. The scientific process followed is SToR (SAW, TOPSIS, WP) in which Simple Additive Weighting (SAW) is used to select, and the TOPSIS (technique for order preference by similarity to ideal solution) and weighted product (WP) are used to validate. A practical exercise was obtained from a factual selection problem in a recruitment task undertaken in an organization in which the authors consulted, and their Human Resources (HR) department wanted to check if their selection was justifiable. The result was that our approach was consistent and convincing to that HR, and theirs was not because our selection was satisfactory while theirs could not be corroborated using any method.

Keywords: candidate selection, SToR, SW, TOPSIS, WP

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4014 Optimal Selection of Replenishment Policies Using Distance Based Approach

Authors: Amit Gupta, Deepak Juneja, Sorabh Gupta

Abstract:

This paper presents a model based on distance based approach (DBA) method employed for evaluation, selection, and ranking of replenishment policies for a single location inventory, which hitherto not developed in the literature. This work recognizes the significance of the selection problem, identifies the selection criteria, the relative importance of selection criteria for this research problem. The developed model is capable of comparing any number of alternate inventory policies for various selection criteria where cardinal values are assigned as a rating to alternate inventory polices for selection criteria and weights of selection criteria. The illustrated example demonstrates the model and presents the result in terms of ranking of replenishment policies.

Keywords: DBA, ranking, replenishment policies, selection criteria

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4013 On the Cluster of the Families of Hybrid Polynomial Kernels in Kernel Density Estimation

Authors: Benson Ade Eniola Afere

Abstract:

Over the years, kernel density estimation has been extensively studied within the context of nonparametric density estimation. The fundamental components of kernel density estimation are the kernel function and the bandwidth. While the mathematical exploration of the kernel component has been relatively limited, its selection and development remain crucial. The Mean Integrated Squared Error (MISE), serving as a measure of discrepancy, provides a robust framework for assessing the effectiveness of any kernel function. A kernel function with a lower MISE is generally considered to perform better than one with a higher MISE. Hence, the primary aim of this article is to create kernels that exhibit significantly reduced MISE when compared to existing classical kernels. Consequently, this article introduces a cluster of hybrid polynomial kernel families. The construction of these proposed kernel functions is carried out heuristically by combining two kernels from the classical polynomial kernel family using probability axioms. We delve into the analysis of error propagation within these kernels. To assess their performance, simulation experiments, and real-life datasets are employed. The obtained results demonstrate that the proposed hybrid kernels surpass their classical kernel counterparts in terms of performance.

Keywords: classical polynomial kernels, cluster of families, global error, hybrid Kernels, Kernel density estimation, Monte Carlo simulation

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4012 Sparsity Order Selection and Denoising in Compressed Sensing Framework

Authors: Mahdi Shamsi, Tohid Yousefi Rezaii, Siavash Eftekharifar

Abstract:

Compressed sensing (CS) is a new powerful mathematical theory concentrating on sparse signals which is widely used in signal processing. The main idea is to sense sparse signals by far fewer measurements than the Nyquist sampling rate, but the reconstruction process becomes nonlinear and more complicated. Common dilemma in sparse signal recovery in CS is the lack of knowledge about sparsity order of the signal, which can be viewed as model order selection procedure. In this paper, we address the problem of sparsity order estimation in sparse signal recovery. This is of main interest in situations where the signal sparsity is unknown or the signal to be recovered is approximately sparse. It is shown that the proposed method also leads to some kind of signal denoising, where the observations are contaminated with noise. Finally, the performance of the proposed approach is evaluated in different scenarios and compared to an existing method, which shows the effectiveness of the proposed method in terms of order selection as well as denoising.

Keywords: compressed sensing, data denoising, model order selection, sparse representation

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4011 The Effect of Feature Selection on Pattern Classification

Authors: Chih-Fong Tsai, Ya-Han Hu

Abstract:

The aim of feature selection (or dimensionality reduction) is to filter out unrepresentative features (or variables) making the classifier perform better than the one without feature selection. Since there are many well-known feature selection algorithms, and different classifiers based on different selection results may perform differently, very few studies consider examining the effect of performing different feature selection algorithms on the classification performances by different classifiers over different types of datasets. In this paper, two widely used algorithms, which are the genetic algorithm (GA) and information gain (IG), are used to perform feature selection. On the other hand, three well-known classifiers are constructed, which are the CART decision tree (DT), multi-layer perceptron (MLP) neural network, and support vector machine (SVM). Based on 14 different types of datasets, the experimental results show that in most cases IG is a better feature selection algorithm than GA. In addition, the combinations of IG with DT and IG with SVM perform best and second best for small and large scale datasets.

Keywords: data mining, feature selection, pattern classification, dimensionality reduction

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4010 Simulation of 3-D Direction-of-Arrival Estimation Using MUSIC Algorithm

Authors: Duckyong Kim, Jong Kang Park, Jong Tae Kim

Abstract:

DOA (Direction of Arrival) estimation is an important method in array signal processing and has a wide range of applications such as direction finding, beam forming, and so on. In this paper, we briefly introduce the MUSIC (Multiple Signal Classification) Algorithm, one of DOA estimation methods for analyzing several targets. Then we apply the MUSIC algorithm to the two-dimensional antenna array to analyze DOA estimation in 3D space through MATLAB simulation. We also analyze the design factors that can affect the accuracy of DOA estimation through simulation, and proceed with further consideration on how to apply the system.

Keywords: DOA estimation, MUSIC algorithm, spatial spectrum, array signal processing

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4009 Robust Variable Selection Based on Schwarz Information Criterion for Linear Regression Models

Authors: Shokrya Saleh A. Alshqaq, Abdullah Ali H. Ahmadini

Abstract:

The Schwarz information criterion (SIC) is a popular tool for selecting the best variables in regression datasets. However, SIC is defined using an unbounded estimator, namely, the least-squares (LS), which is highly sensitive to outlying observations, especially bad leverage points. A method for robust variable selection based on SIC for linear regression models is thus needed. This study investigates the robustness properties of SIC by deriving its influence function and proposes a robust SIC based on the MM-estimation scale. The aim of this study is to produce a criterion that can effectively select accurate models in the presence of vertical outliers and high leverage points. The advantages of the proposed robust SIC is demonstrated through a simulation study and an analysis of a real dataset.

Keywords: influence function, robust variable selection, robust regression, Schwarz information criterion

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4008 Determining of Importance Level of Factors Affecting Job Selection with the Method of AHP

Authors: Nurullah Ekmekci, Ömer Akkaya, Kazım Karaboğa, Mahmut Tekin

Abstract:

Job selection is one of the most important decisions that affect their lives in the name of being more useful to themselves and the society. There are many criteria to consider in the job selection. The amount of criteria in the job selection makes it a multi-criteria decision-making (MCDM) problem. In this study; job selection has been discussed as multi-criteria decision-making problem and has been solved by Analytic Hierarchy Process (AHP), one of the multi-criteria decision making methods. A survey, contains 5 different job selection criteria (finding a job friendliness, salary status, job , social security, work in the community deems reputation and business of the degree of difficulty) within many job selection criteria and 4 different job alternative (being academician, working at the civil service, working at the private sector and working at in their own business), has been conducted to the students of Selcuk University Faculty of Economics and Administrative Sciences. As a result of pairwise comparisons, the highest weighted criteria in the job selection and the most coveted job preferences were identified.

Keywords: analytical hierarchy process, job selection, multi-criteria, decision making

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4007 Lithium-Ion Battery State of Charge Estimation Using One State Hysteresis Model with Nonlinear Estimation Strategies

Authors: Mohammed Farag, Mina Attari, S. Andrew Gadsden, Saeid R. Habibi

Abstract:

Battery state of charge (SOC) estimation is an important parameter as it measures the total amount of electrical energy stored at a current time. The SOC percentage acts as a fuel gauge if it is compared with a conventional vehicle. Estimating the SOC is, therefore, essential for monitoring the amount of useful life remaining in the battery system. This paper looks at the implementation of three nonlinear estimation strategies for Li-Ion battery SOC estimation. One of the most common behavioral battery models is the one state hysteresis (OSH) model. The extended Kalman filter (EKF), the smooth variable structure filter (SVSF), and the time-varying smoothing boundary layer SVSF are applied on this model, and the results are compared.

Keywords: state of charge estimation, battery modeling, one-state hysteresis, filtering and estimation

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4006 Selection Standards for National Teams: Theory and Practice

Authors: Alexey Kulik

Abstract:

This article deals with selection standards for national sport teams. The author examines the legal framework for selection criteria and suggests using the most honest criteria.

Keywords: national teams, standards of forming teams, selection standards, sport legislations

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4005 Frequency Offset Estimation Schemes Based on ML for OFDM Systems in Non-Gaussian Noise Environments

Authors: Keunhong Chae, Seokho Yoon

Abstract:

In this paper, frequency offset (FO) estimation schemes robust to the non-Gaussian noise environments are proposed for orthogonal frequency division multiplexing (OFDM) systems. First, a maximum-likelihood (ML) estimation scheme in non-Gaussian noise environments is proposed, and then, the complexity of the ML estimation scheme is reduced by employing a reduced set of candidate values. In numerical results, it is demonstrated that the proposed schemes provide a significant performance improvement over the conventional estimation scheme in non-Gaussian noise environments while maintaining the performance similar to the estimation performance in Gaussian noise environments.

Keywords: frequency offset estimation, maximum-likelihood, non-Gaussian noise environment, OFDM, training symbol

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4004 The Role of Recruitment and Selection in Financial Performance of Enterprises in Kosovo

Authors: Arta Jashari, Enver Kutllovci

Abstract:

Abstract— The purpose of this study is to examine the relationship of recruitment and selection practice and performance in medium service enterprises in Kosovo. A total of 110 managers from public and private sector was analyzed. Our empirical results show that enterprises in Kosovo use recruitment and selection practice and they know how important is to have the right people with skills and knowledge accordingly with the job requirements. The outcome of Pearson correlation analysis provides evidence that recruitment and selection practice, positively and significantly influence the financial performance. Also, our results show a significant relationship between the education of managers and the use of the recruitment and selection practice. From our results we can conclude and suggest that with a good recruiting and selection, the organization will fill with a group of potentially qualified candidates who will be able to fulfill the enterprises objective.

Keywords: Human Resource, Kosovo, Recruitment and Selection, Performance

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4003 Hybrid Feature Selection Method for Sentiment Classification of Movie Reviews

Authors: Vishnu Goyal, Basant Agarwal

Abstract:

Sentiment analysis research provides methods for identifying the people’s opinion written in blogs, reviews, social networking websites etc. Sentiment analysis is to understand what opinion people have about any given entity, object or thing. Sentiment analysis research can be broadly categorised into three types of approaches i.e. semantic orientation, machine learning and lexicon based approaches. Feature selection methods improve the performance of the machine learning algorithms by eliminating the irrelevant features. Information gain feature selection method has been considered best method for sentiment analysis; however, it has the drawback of selection of threshold. Therefore, in this paper, we propose a hybrid feature selection methods comprising of information gain and proposed feature selection method. Initially, features are selected using Information Gain (IG) and further more noisy features are eliminated using the proposed feature selection method. Experimental results show the efficiency of the proposed feature selection methods.

Keywords: feature selection, sentiment analysis, hybrid feature selection

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4002 Parameters Estimation of Multidimensional Possibility Distributions

Authors: Sergey Sorokin, Irina Sorokina, Alexander Yazenin

Abstract:

We present a solution to the Maxmin u/E parameters estimation problem of possibility distributions in m-dimensional case. Our method is based on geometrical approach, where minimal area enclosing ellipsoid is constructed around the sample. Also we demonstrate that one can improve results of well-known algorithms in fuzzy model identification task using Maxmin u/E parameters estimation.

Keywords: possibility distribution, parameters estimation, Maxmin u\E estimator, fuzzy model identification

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4001 A Packet Loss Probability Estimation Filter Using Most Recent Finite Traffic Measurements

Authors: Pyung Soo Kim, Eung Hyuk Lee, Mun Suck Jang

Abstract:

A packet loss probability (PLP) estimation filter with finite memory structure is proposed to estimate the packet rate mean and variance of the input traffic process in real-time while removing undesired system and measurement noises. The proposed PLP estimation filter is developed under a weighted least square criterion using only the finite traffic measurements on the most recent window. The proposed PLP estimation filter is shown to have several inherent properties such as unbiasedness, deadbeat, robustness. A guideline for choosing appropriate window length is described since it can affect significantly the estimation performance. Using computer simulations, the proposed PLP estimation filter is shown to be superior to the Kalman filter for the temporarily uncertain system. One possible explanation for this is that the proposed PLP estimation filter can have greater convergence time of a filtered estimate as the window length M decreases.

Keywords: packet loss probability estimation, finite memory filter, infinite memory filter, Kalman filter

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4000 Competence-Based Human Resources Selection and Training: Making Decisions

Authors: O. Starineca, I. Voronchuk

Abstract:

Human Resources (HR) selection and training have various implementation possibilities depending on an organization’s abilities and peculiarities. We propose to base HR selection and training decisions about on a competence-based approach. HR selection and training of employees are topical as there is room for improvement in this field; therefore, the aim of the research is to propose rational decision-making approaches for an organization HR selection and training choice. Our proposals are based on the training development and competence-based selection approaches created within previous researches i.e. Analytic-Hierarchy Process (AHP) and Linear Programming. Literature review on non-formal education, competence-based selection, AHP form our theoretical background. Some educational service providers in Latvia offer employees training, e.g. motivation, computer skills, accounting, law, ethics, stress management, etc. that are topical for Public Administration. Competence-based approach is a rational base for rational decision-making in both HR selection and considering HR training.

Keywords: competence-based selection, human resource, training, decision-making

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3999 Supplier Selection by Bi-Objectives Mixed Integer Program Approach

Authors: K.-H. Yang

Abstract:

In the past, there was a lot of excellent research studies conducted on topics related to supplier selection. Because the considered factors of supplier selection are complicated and difficult to be quantified, most researchers deal supplier selection issues by qualitative approaches. Compared to qualitative approaches, quantitative approaches are less applicable in the real world. This study tried to apply the quantitative approach to study a supplier selection problem with considering operation cost and delivery reliability. By those factors, this study applies Normalized Normal Constraint Method to solve the dual objectives mixed integer program of the supplier selection problem.

Keywords: bi-objectives MIP, normalized normal constraint method, supplier selection, quantitative approach

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3998 Time Delay Estimation Using Signal Envelopes for Synchronisation of Recordings

Authors: Sergei Aleinik, Mikhail Stolbov

Abstract:

In this work, a method of time delay estimation for dual-channel acoustic signals (speech, music, etc.) recorded under reverberant conditions is investigated. Standard methods based on cross-correlation of the signals show poor results in cases involving strong reverberation, large distances between microphones and asynchronous recordings. Under similar conditions, a method based on cross-correlation of temporal envelopes of the signals delivers a delay estimation of acceptable quality. This method and its properties are described and investigated in detail, including its limits of applicability. The method’s optimal parameter estimation and a comparison with other known methods of time delay estimation are also provided.

Keywords: cross-correlation, delay estimation, signal envelope, signal processing

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3997 VaR Estimation Using the Informational Content of Futures Traded Volume

Authors: Amel Oueslati, Olfa Benouda

Abstract:

New Value at Risk (VaR) estimation is proposed and investigated. The well-known two stages Garch-EVT approach uses conditional volatility to generate one step ahead forecasts of VaR. With daily data for twelve stocks that decompose the Dow Jones Industrial Average (DJIA) index, this paper incorporates the volume in the first stage volatility estimation. Afterwards, the forecasting ability of this conditional volatility concerning the VaR estimation is compared to that of a basic volatility model without considering any trading component. The results are significant and bring out the importance of the trading volume in the VaR measure.

Keywords: Garch-EVT, value at risk, volume, volatility

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3996 A Case-Based Reasoning-Decision Tree Hybrid System for Stock Selection

Authors: Yaojun Wang, Yaoqing Wang

Abstract:

Stock selection is an important decision-making problem. Many machine learning and data mining technologies are employed to build automatic stock-selection system. A profitable stock-selection system should consider the stock’s investment value and the market timing. In this paper, we present a hybrid system including both engage for stock selection. This system uses a case-based reasoning (CBR) model to execute the stock classification, uses a decision-tree model to help with market timing and stock selection. The experiments show that the performance of this hybrid system is better than that of other techniques regarding to the classification accuracy, the average return and the Sharpe ratio.

Keywords: case-based reasoning, decision tree, stock selection, machine learning

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3995 A Flexible Pareto Distribution Using α-Power Transformation

Authors: Shumaila Ehtisham

Abstract:

In Statistical Distribution Theory, considering an additional parameter to classical distributions is a usual practice. In this study, a new distribution referred to as α-Power Pareto distribution is introduced by including an extra parameter. Several properties of the proposed distribution including explicit expressions for the moment generating function, mode, quantiles, entropies and order statistics are obtained. Unknown parameters have been estimated by using maximum likelihood estimation technique. Two real datasets have been considered to examine the usefulness of the proposed distribution. It has been observed that α-Power Pareto distribution outperforms while compared to different variants of Pareto distribution on the basis of model selection criteria.

Keywords: α-power transformation, maximum likelihood estimation, moment generating function, Pareto distribution

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