Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 6655

Search results for: extended skew normal distribution

6655 The Modality of Multivariate Skew Normal Mixture

Authors: Bader Alruwaili, Surajit Ray


Finite mixtures are a flexible and powerful tool that can be used for univariate and multivariate distributions, and a wide range of research analysis has been conducted based on the multivariate normal mixture and multivariate of a t-mixture. Determining the number of modes is an important activity that, in turn, allows one to determine the number of homogeneous groups in a population. Our work currently being carried out relates to the study of the modality of the skew normal distribution in the univariate and multivariate cases. For the skew normal distribution, the aims are associated with studying the modality of the skew normal distribution and providing the ridgeline, the ridgeline elevation function, the $\Pi$ function, and the curvature function, and this will be conducive to an exploration of the number and location of mode when mixing the two components of skew normal distribution. The subsequent objective is to apply these results to the application of real world data sets, such as flow cytometry data.

Keywords: mode, modality, multivariate skew normal, finite mixture, number of mode

Procedia PDF Downloads 378
6654 The Extended Skew Gaussian Process for Regression

Authors: M. T. Alodat


In this paper, we propose a generalization to the Gaussian process regression(GPR) model called the extended skew Gaussian process for regression(ESGPr) model. The ESGPR model works better than the GPR model when the errors are skewed. We derive the predictive distribution for the ESGPR model at a new input. Also we apply the ESGPR model to FOREX data and we find that it fits the Forex data better than the GPR model.

Keywords: extended skew normal distribution, Gaussian process for regression, predictive distribution, ESGPr model

Procedia PDF Downloads 386
6653 A Proposed Mechanism for Skewing Symmetric Distributions

Authors: M. T. Alodat


In this paper, we propose a mechanism for skewing any symmetric distribution. The new distribution is called the deflation-inflation distribution (DID). We discuss some statistical properties of the DID such moments, stochastic representation, log-concavity. Also we fit the distribution to real data and we compare it to normal distribution and Azzlaini's skew normal distribution. Numerical results show that the DID fits the the tree ring data better than the other two distributions.

Keywords: normal distribution, moments, Fisher information, symmetric distributions

Procedia PDF Downloads 494
6652 Contribution of Intermediate Diaphragms on LDFs of Straight and Skew Concrete Multicell Box-Girder Bridges

Authors: Iman Mohseni


Current studies indicate that neglecting the effect of intermediate diaphragms might lead to highly conservative values for bending moment distribution factors and result in non-economic designs for skew bridges. This paper reports on a parametric study performed on 160 prototypes of straight and skew concrete multicell box-girder bridges. The obtained results were used to develop practical expressions to account for the diaphragm effects on American Association of State Highway and Transportation Officials formulas for live load distribution factors. It was observed that decks with internal transverse diaphragms perpendicular to the longitudinal webs are the best arrangement for load distribution in skew bridges.

Keywords: box bridges, truck, distribution factor, diaphragm

Procedia PDF Downloads 155
6651 Analytical Downlink Effective SINR Evaluation in LTE Networks

Authors: Marwane Ben Hcine, Ridha Bouallegue


The aim of this work is to provide an original analytical framework for downlink effective SINR evaluation in LTE networks. The classical single carrier SINR performance evaluation is extended to multi-carrier systems operating over frequency selective channels. Extension is achieved by expressing the link outage probability in terms of the statistics of the effective SINR. For effective SINR computation, the exponential effective SINR mapping (EESM) method is used on this work. Closed-form expression for the link outage probability is achieved assuming a log skew normal approximation for single carrier case. Then we rely on the lognormal approximation to express the exponential effective SINR distribution as a function of the mean and standard deviation of the SINR of a generic subcarrier. Achieved formulas is easily computable and can be obtained for a user equipment (UE) located at any distance from its serving eNodeB. Simulations show that the proposed framework provides results with accuracy within 0.5 dB.

Keywords: LTE, OFDMA, effective SINR, log skew normal approximation

Procedia PDF Downloads 256
6650 Analytical Slope Stability Analysis Based on the Statistical Characterization of Soil Shear Strength

Authors: Bernardo C. P. Albuquerque, Darym J. F. Campos


Increasing our ability to solve complex engineering problems is directly related to the processing capacity of computers. By means of such equipments, one is able to fast and accurately run numerical algorithms. Besides the increasing interest in numerical simulations, probabilistic approaches are also of great importance. This way, statistical tools have shown their relevance to the modelling of practical engineering problems. In general, statistical approaches to such problems consider that the random variables involved follow a normal distribution. This assumption tends to provide incorrect results when skew data is present since normal distributions are symmetric about their means. Thus, in order to visualize and quantify this aspect, 9 statistical distributions (symmetric and skew) have been considered to model a hypothetical slope stability problem. The data modeled is the friction angle of a superficial soil in Brasilia, Brazil. Despite the apparent universality, the normal distribution did not qualify as the best fit. In the present effort, data obtained in consolidated-drained triaxial tests and saturated direct shear tests have been modeled and used to analytically derive the probability density function (PDF) of the safety factor of a hypothetical slope based on Mohr-Coulomb rupture criterion. Therefore, based on this analysis, it is possible to explicitly derive the failure probability considering the friction angle as a random variable. Furthermore, it is possible to compare the stability analysis when the friction angle is modelled as a Dagum distribution (distribution that presented the best fit to the histogram) and as a Normal distribution. This comparison leads to relevant differences when analyzed in light of the risk management.

Keywords: statistical slope stability analysis, skew distributions, probability of failure, functions of random variables

Procedia PDF Downloads 240
6649 Assessing Effects of an Intervention on Bottle-Weaning and Reducing Daily Milk Intake from Bottles in Toddlers Using Two-Part Random Effects Models

Authors: Yungtai Lo


Two-part random effects models have been used to fit semi-continuous longitudinal data where the response variable has a point mass at 0 and a continuous right-skewed distribution for positive values. We review methods proposed in the literature for analyzing data with excess zeros. A two-part logit-log-normal random effects model, a two-part logit-truncated normal random effects model, a two-part logit-gamma random effects model, and a two-part logit-skew normal random effects model were used to examine effects of a bottle-weaning intervention on reducing bottle use and daily milk intake from bottles in toddlers aged 11 to 13 months in a randomized controlled trial. We show in all four two-part models that the intervention promoted bottle-weaning and reduced daily milk intake from bottles in toddlers drinking from a bottle. We also show that there are no differences in model fit using either the logit link function or the probit link function for modeling the probability of bottle-weaning in all four models. Furthermore, prediction accuracy of the logit or probit link function is not sensitive to the distribution assumption on daily milk intake from bottles in toddlers not off bottles.

Keywords: two-part model, semi-continuous variable, truncated normal, gamma regression, skew normal, Pearson residual, receiver operating characteristic curve

Procedia PDF Downloads 227
6648 A Characterization of Skew Cyclic Code with Complementary Dual

Authors: Eusebio Jr. Lina, Ederlina Nocon


Cyclic codes are a fundamental subclass of linear codes that enjoy a very interesting algebraic structure. The class of skew cyclic codes (or θ-cyclic codes) is a generalization of the notion of cyclic codes. This a very large class of linear codes which can be used to systematically search for codes with good properties. A linear code with complementary dual (LCD code) is a linear code C satisfying C ∩ C^⊥ = {0}. This subclass of linear codes provides an optimum linear coding solution for a two-user binary adder channel and plays an important role in countermeasures to passive and active side-channel analyses on embedded cryptosystems. This paper aims to identify LCD codes from the class of skew cyclic codes. Let F_q be a finite field of order q, and θ be an automorphism of F_q. Some conditions for a skew cyclic code to be LCD were given. To this end, the properties of a noncommutative skew polynomial ring F_q[x, θ] of automorphism type were revisited, and the algebraic structure of skew cyclic code using its skew polynomial representation was examined. Using the result that skew cyclic codes are left ideals of the ring F_q[x, θ]/〈x^n-1〉, a characterization of a skew cyclic LCD code of length n was derived. A necessary condition for a skew cyclic code to be LCD was also given.

Keywords: LCD cyclic codes, skew cyclic LCD codes, skew cyclic complementary dual codes, theta-cyclic codes with complementary duals

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6647 Jacobson Semisimple Skew Inverse Laurent Series Rings

Authors: Ahmad Moussavi


In this paper, we are concerned with the Jacobson semisimple skew inverse Laurent series rings R((x−1; α, δ)) and the skew Laurent power series rings R[[x, x−1; α]], where R is an associative ring equipped with an automorphism α and an α-derivation δ. Examples to illustrate and delimit the theory are provided.

Keywords: skew polynomial rings, Laurent series, skew inverse Laurent series rings

Procedia PDF Downloads 28
6646 Skew Cyclic Codes over Fq+uFq+…+uk-1Fq

Authors: Jing Li, Xiuli Li


This paper studies a special class of linear codes, called skew cyclic codes, over the ring R= Fq+uFq+…+uk-1Fq, where q is a prime power. A Gray map ɸ from R to Fq and a Gray map ɸ' from Rn to Fnq are defined, as well as an automorphism Θ over R. It is proved that the images of skew cyclic codes over R under map ɸ' and Θ are cyclic codes over Fq, and they still keep the dual relation.

Keywords: skew cyclic code, gray map, automorphism, cyclic code

Procedia PDF Downloads 114
6645 Robust Inference with a Skew T Distribution

Authors: M. Qamarul Islam, Ergun Dogan, Mehmet Yazici


There is a growing body of evidence that non-normal data is more prevalent in nature than the normal one. Examples can be quoted from, but not restricted to, the areas of Economics, Finance and Actuarial Science. The non-normality considered here is expressed in terms of fat-tailedness and asymmetry of the relevant distribution. In this study a skew t distribution that can be used to model a data that exhibit inherent non-normal behavior is considered. This distribution has tails fatter than a normal distribution and it also exhibits skewness. Although maximum likelihood estimates can be obtained by solving iteratively the likelihood equations that are non-linear in form, this can be problematic in terms of convergence and in many other respects as well. Therefore, it is preferred to use the method of modified maximum likelihood in which the likelihood estimates are derived by expressing the intractable non-linear likelihood equations in terms of standardized ordered variates and replacing the intractable terms by their linear approximations obtained from the first two terms of a Taylor series expansion about the quantiles of the distribution. These estimates, called modified maximum likelihood estimates, are obtained in closed form. Hence, they are easy to compute and to manipulate analytically. In fact the modified maximum likelihood estimates are equivalent to maximum likelihood estimates, asymptotically. Even in small samples the modified maximum likelihood estimates are found to be approximately the same as maximum likelihood estimates that are obtained iteratively. It is shown in this study that the modified maximum likelihood estimates are not only unbiased but substantially more efficient than the commonly used moment estimates or the least square estimates that are known to be biased and inefficient in such cases. Furthermore, in conventional regression analysis, it is assumed that the error terms are distributed normally and, hence, the well-known least square method is considered to be a suitable and preferred method for making the relevant statistical inferences. However, a number of empirical researches have shown that non-normal errors are more prevalent. Even transforming and/or filtering techniques may not produce normally distributed residuals. Here, a study is done for multiple linear regression models with random error having non-normal pattern. Through an extensive simulation it is shown that the modified maximum likelihood estimates of regression parameters are plausibly robust to the distributional assumptions and to various data anomalies as compared to the widely used least square estimates. Relevant tests of hypothesis are developed and are explored for desirable properties in terms of their size and power. The tests based upon modified maximum likelihood estimates are found to be substantially more powerful than the tests based upon least square estimates. Several examples are provided from the areas of Economics and Finance where such distributions are interpretable in terms of efficient market hypothesis with respect to asset pricing, portfolio selection, risk measurement and capital allocation, etc.

Keywords: least square estimates, linear regression, maximum likelihood estimates, modified maximum likelihood method, non-normality, robustness

Procedia PDF Downloads 311
6644 Modelling Operational Risk Using Extreme Value Theory and Skew t-Copulas via Bayesian Inference

Authors: Betty Johanna Garzon Rozo, Jonathan Crook, Fernando Moreira


Operational risk losses are heavy tailed and are likely to be asymmetric and extremely dependent among business lines/event types. We propose a new methodology to assess, in a multivariate way, the asymmetry and extreme dependence between severity distributions, and to calculate the capital for Operational Risk. This methodology simultaneously uses (i) several parametric distributions and an alternative mix distribution (the Lognormal for the body of losses and the Generalized Pareto Distribution for the tail) via extreme value theory using SAS®, (ii) the multivariate skew t-copula applied for the first time for operational losses and (iii) Bayesian theory to estimate new n-dimensional skew t-copula models via Markov chain Monte Carlo (MCMC) simulation. This paper analyses a newly operational loss data set, SAS Global Operational Risk Data [SAS OpRisk], to model operational risk at international financial institutions. All the severity models are constructed in SAS® 9.2. We implement the procedure PROC SEVERITY and PROC NLMIXED. This paper focuses in describing this implementation.

Keywords: operational risk, loss distribution approach, extreme value theory, copulas

Procedia PDF Downloads 455
6643 Generalized π-Armendariz Authentication Cryptosystem

Authors: Areej M. Abduldaim, Nadia M. G. Al-Saidi


Algebra is one of the important fields of mathematics. It concerns with the study and manipulation of mathematical symbols. It also concerns with the study of abstractions such as groups, rings, and fields. Due to the development of these abstractions, it is extended to consider other structures, such as vectors, matrices, and polynomials, which are non-numerical objects. Computer algebra is the implementation of algebraic methods as algorithms and computer programs. Recently, many algebraic cryptosystem protocols are based on non-commutative algebraic structures, such as authentication, key exchange, and encryption-decryption processes are adopted. Cryptography is the science that aimed at sending the information through public channels in such a way that only an authorized recipient can read it. Ring theory is the most attractive category of algebra in the area of cryptography. In this paper, we employ the algebraic structure called skew -Armendariz rings to design a neoteric algorithm for zero knowledge proof. The proposed protocol is established and illustrated through numerical example, and its soundness and completeness are proved.

Keywords: cryptosystem, identification, skew π-Armendariz rings, skew polynomial rings, zero knowledge protocol

Procedia PDF Downloads 94
6642 Modelling of Induction Motor Including Skew Effect Using MWFA for Performance Improvement

Authors: M. Harir, A. Bendiabdellah, A. Chaouch, N. Benouzza


This paper deals with the modelling and simulation of the squirrel cage induction motor by taking into account all space harmonic components, as well as the introduction of the bars skew, in the calculation of the linear evolution of the magnetomotive force (MMF) between the slots extremities. The model used is based on multiple coupled circuits and the modified winding function approach (MWFA). The effect of skewing is included in the calculation of motors inductances with an axial asymmetry in the rotor. The simulation results in both time and spectral domains show the effectiveness and merits of the model and the error that may be caused if the skew of the bars is neglected.

Keywords: modeling, MWFA, skew effect, squirrel cage induction motor, spectral domain

Procedia PDF Downloads 310
6641 Speed Characteristics of Mixed Traffic Flow on Urban Arterials

Authors: Ashish Dhamaniya, Satish Chandra


Speed and traffic volume data are collected on different sections of four lane and six lane roads in three metropolitan cities in India. Speed data are analyzed to fit the statistical distribution to individual vehicle speed data and all vehicles speed data. It is noted that speed data of individual vehicle generally follows a normal distribution but speed data of all vehicle combined at a section of urban road may or may not follow the normal distribution depending upon the composition of traffic stream. A new term Speed Spread Ratio (SSR) is introduced in this paper which is the ratio of difference in 85th and 50th percentile speed to the difference in 50th and 15th percentile speed. If SSR is unity then speed data are truly normally distributed. It is noted that on six lane urban roads, speed data follow a normal distribution only when SSR is in the range of 0.86 – 1.11. The range of SSR is validated on four lane roads also.

Keywords: normal distribution, percentile speed, speed spread ratio, traffic volume

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6640 An Estimating Parameter of the Mean in Normal Distribution by Maximum Likelihood, Bayes, and Markov Chain Monte Carlo Methods

Authors: Autcha Araveeporn


This paper is to compare the parameter estimation of the mean in normal distribution by Maximum Likelihood (ML), Bayes, and Markov Chain Monte Carlo (MCMC) methods. The ML estimator is estimated by the average of data, the Bayes method is considered from the prior distribution to estimate Bayes estimator, and MCMC estimator is approximated by Gibbs sampling from posterior distribution. These methods are also to estimate a parameter then the hypothesis testing is used to check a robustness of the estimators. Data are simulated from normal distribution with the true parameter of mean 2, and variance 4, 9, and 16 when the sample sizes is set as 10, 20, 30, and 50. From the results, it can be seen that the estimation of MLE, and MCMC are perceivably different from the true parameter when the sample size is 10 and 20 with variance 16. Furthermore, the Bayes estimator is estimated from the prior distribution when mean is 1, and variance is 12 which showed the significant difference in mean with variance 9 at the sample size 10 and 20.

Keywords: Bayes method, Markov chain Monte Carlo method, maximum likelihood method, normal distribution

Procedia PDF Downloads 243
6639 Adaptation of Hough Transform Algorithm for Text Document Skew Angle Detection

Authors: Kayode A. Olaniyi, Olabanji F. Omotoye, Adeola A. Ogunleye


The skew detection and correction form an important part of digital document analysis. This is because uncompensated skew can deteriorate document features and can complicate further document image processing steps. Efficient text document analysis and digitization can rarely be achieved when a document is skewed even at a small angle. Once the documents have been digitized through the scanning system and binarization also achieved, document skew correction is required before further image analysis. Research efforts have been put in this area with algorithms developed to eliminate document skew. Skew angle correction algorithms can be compared based on performance criteria. Most important performance criteria are accuracy of skew angle detection, range of skew angle for detection, speed of processing the image, computational complexity and consequently memory space used. The standard Hough Transform has successfully been implemented for text documentation skew angle estimation application. However, the standard Hough Transform algorithm level of accuracy depends largely on how much fine the step size for the angle used. This consequently consumes more time and memory space for increase accuracy and, especially where number of pixels is considerable large. Whenever the Hough transform is used, there is always a tradeoff between accuracy and speed. So a more efficient solution is needed that optimizes space as well as time. In this paper, an improved Hough transform (HT) technique that optimizes space as well as time to robustly detect document skew is presented. The modified algorithm of Hough Transform presents solution to the contradiction between the memory space, running time and accuracy. Our algorithm starts with the first step of angle estimation accurate up to zero decimal place using the standard Hough Transform algorithm achieving minimal running time and space but lacks relative accuracy. Then to increase accuracy, suppose estimated angle found using the basic Hough algorithm is x degree, we then run again basic algorithm from range between ±x degrees with accuracy of one decimal place. Same process is iterated till level of desired accuracy is achieved. The procedure of our skew estimation and correction algorithm of text images is implemented using MATLAB. The memory space estimation and process time are also tabulated with skew angle assumption of within 00 and 450. The simulation results which is demonstrated in Matlab show the high performance of our algorithms with less computational time and memory space used in detecting document skew for a variety of documents with different levels of complexity.

Keywords: hough-transform, skew-detection, skew-angle, skew-correction, text-document

Procedia PDF Downloads 47
6638 Determination of the Best Fit Probability Distribution for Annual Rainfall in Karkheh River at Iran

Authors: Karim Hamidi Machekposhti, Hossein Sedghi


This study was designed to find the best-fit probability distribution of annual rainfall based on 50 years sample (1966-2015) in the Karkheh river basin at Iran using six probability distributions: Normal, 2-Parameter Log Normal, 3-Parameter Log Normal, Pearson Type 3, Log Pearson Type 3 and Gumbel distribution. The best fit probability distribution was selected using Stormwater Management and Design Aid (SMADA) software and based on the Residual Sum of Squares (R.S.S) between observed and estimated values Based on the R.S.S values of fit tests, the Log Pearson Type 3 and then Pearson Type 3 distributions were found to be the best-fit probability distribution at the Jelogir Majin and Pole Zal rainfall gauging station. The annual values of expected rainfall were calculated using the best fit probability distributions and can be used by hydrologists and design engineers in future research at studied region and other region in the world.

Keywords: Log Pearson Type 3, SMADA, rainfall, Karkheh River

Procedia PDF Downloads 73
6637 The Normal-Generalized Hyperbolic Secant Distribution: Properties and Applications

Authors: Hazem M. Al-Mofleh


In this paper, a new four-parameter univariate continuous distribution called the Normal-Generalized Hyperbolic Secant Distribution (NGHS) is defined and studied. Some general and structural distributional properties are investigated and discussed, including: central and non-central n-th moments and incomplete moments, quantile and generating functions, hazard function, Rényi and Shannon entropies, shapes: skewed right, skewed left, and symmetric, modality regions: unimodal and bimodal, maximum likelihood (MLE) estimators for the parameters. Finally, two real data sets are used to demonstrate empirically its flexibility and prove the strength of the new distribution.

Keywords: bimodality, estimation, hazard function, moments, Shannon’s entropy

Procedia PDF Downloads 239
6636 Reliability Analysis of Construction Schedule Plan Based on Building Information Modelling

Authors: Lu Ren, You-Liang Fang, Yan-Gang Zhao


In recent years, the application of BIM (Building Information Modelling) to construction schedule plan has been the focus of more and more researchers. In order to assess the reasonable level of the BIM-based construction schedule plan, that is whether the schedule can be completed on time, some researchers have introduced reliability theory to evaluate. In the process of evaluation, the uncertain factors affecting the construction schedule plan are regarded as random variables, and probability distributions of the random variables are assumed to be normal distribution, which is determined using two parameters evaluated from the mean and standard deviation of statistical data. However, in practical engineering, most of the uncertain influence factors are not normal random variables. So the evaluation results of the construction schedule plan will be unreasonable under the assumption that probability distributions of random variables submitted to the normal distribution. Therefore, in order to get a more reasonable evaluation result, it is necessary to describe the distribution of random variables more comprehensively. For this purpose, cubic normal distribution is introduced in this paper to describe the distribution of arbitrary random variables, which is determined by the first four moments (mean, standard deviation, skewness and kurtosis). In this paper, building the BIM model firstly according to the design messages of the structure and making the construction schedule plan based on BIM, then the cubic normal distribution is used to describe the distribution of the random variables due to the collecting statistical data of the random factors influencing construction schedule plan. Next the reliability analysis of the construction schedule plan based on BIM can be carried out more reasonably. Finally, the more accurate evaluation results can be given providing reference for the implementation of the actual construction schedule plan. In the last part of this paper, the more efficiency and accuracy of the proposed methodology for the reliability analysis of the construction schedule plan based on BIM are conducted through practical engineering case.

Keywords: BIM, construction schedule plan, cubic normal distribution, reliability analysis

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6635 Temperature Distribution Control for Baby Incubator System Using Arduino AT Mega 2560

Authors: W. Widhiada, D. N. K. P. Negara, P. A. Suryawan


The technological advances in the field of health to be very important, especially on the safety of the baby. In this case a lot of premature infants death caused by poorly managed health facilities. Mostly the death of premature baby caused by bacteria since the temperature around the baby is not normal. Related to this, the incubator equipment needs to be important, especially in how to control the temperature in incubator. On/Off controls is used to regulate the temperature distribution in the incubator so that the desired temperature is 36 °C to stay awake and stable. The authors have been observed and analyzed the data to determine the temperature distribution in the incubator using program of MATLAB/Simulink. The output temperature distribution is obtained at 36 °C in 400 seconds using an Arduino AT 2560. This incubator is able to maintain an ambient temperature and maintain the baby's body temperature within normal limits and keep the moisture in the air in accordance with the limit values required in infant incubator.

Keywords: on/off control, distribution temperature, Arduino AT 2560, baby incubator

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6634 Skew Planar Wheel Antenna for First Person View of Unmanned Aerial Vehicle

Authors: Raymond Yudhi Purba, Levy Olivia Nur, Radial Anwar


This research presents the design and measurement of a skew planar wheel antenna that is used to visualize the first person view perspective of unmanned aerial vehicles. The antenna has been designed using CST Studio Suite 2019 to have voltage standing wave ratio (VSWR) ≤ 2, return loss ≤ -10 dB, bandwidth ≥ 100 MHz to covering outdoor access point band from 5.725 to 5.825 GHz, omnidirectional radiation pattern, and elliptical polarization. Dimensions of skew planar wheel antenna have been modified using parameter sweep technique to provide good performances. The simulation results provide VSWR 1.231, return loss -19.693 dB, bandwidth 828.8 MHz, gain 3.292 dB, and axial ratio 9.229 dB. Meanwhile, the measurement results provide VSWR 1.237, return loss -19.476 dB, bandwidth 790.5 MHz, gain 3.2034 dB, and axial ratio 4.12 dB.

Keywords: skew planar wheel, cloverleaf, first-person view, unmanned aerial vehicle, parameter sweep

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6633 Characterising Stable Model by Extended Labelled Dependency Graph

Authors: Asraful Islam


Extended dependency graph (EDG) is a state-of-the-art isomorphic graph to represent normal logic programs (NLPs) that can characterize the consistency of NLPs by graph analysis. To construct the vertices and arcs of an EDG, additional renaming atoms and rules besides those the given program provides are used, resulting in higher space complexity compared to the corresponding traditional dependency graph (TDG). In this article, we propose an extended labeled dependency graph (ELDG) to represent an NLP that shares an equal number of nodes and arcs with TDG and prove that it is isomorphic to the domain program. The number of nodes and arcs used in the underlying dependency graphs are formulated to compare the space complexity. Results show that ELDG uses less memory to store nodes, arcs, and cycles compared to EDG. To exhibit the desirability of ELDG, firstly, the stable models of the kernel form of NLP are characterized by the admissible coloring of ELDG; secondly, a relation of the stable models of a kernel program with the handles of the minimal, odd cycles appearing in the corresponding ELDG has been established; thirdly, to our best knowledge, for the first time an inverse transformation from a dependency graph to the representing NLP w.r.t. ELDG has been defined that enables transferring analytical results from the graph to the program straightforwardly.

Keywords: normal logic program, isomorphism of graph, extended labelled dependency graph, inverse graph transforma-tion, graph colouring

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6632 Lee-Carter Mortality Forecasting Method with Dynamic Normal Inverse Gaussian Mortality Index

Authors: Funda Kul, İsmail Gür


Pension scheme providers have to price mortality risk by accurate mortality forecasting method. There are many mortality-forecasting methods constructed and used in literature. The Lee-Carter model is the first model to consider stochastic improvement trends in life expectancy. It is still precisely used. Mortality forecasting is done by mortality index in the Lee-Carter model. It is assumed that mortality index fits ARIMA time series model. In this paper, we propose and use dynamic normal inverse gaussian distribution to modeling mortality indes in the Lee-Carter model. Using population mortality data for Italy, France, and Turkey, the model is forecasting capability is investigated, and a comparative analysis with other models is ensured by some well-known benchmarking criterions.

Keywords: mortality, forecasting, lee-carter model, normal inverse gaussian distribution

Procedia PDF Downloads 219
6631 Study of Seismic Damage Reinforced Concrete Frames in Variable Height with Logistic Statistic Function Distribution

Authors: P. Zarfam, M. Mansouri Baghbaderani


In seismic design, the proper reaction to the earthquake and the correct and accurate prediction of its subsequent effects on the structure are critical. Choose a proper probability distribution, which gives a more realistic probability of the structure's damage rate, is essential in damage discussions. With the development of design based on performance, analytical method of modal push over as an inexpensive, efficacious, and quick one in the estimation of the structures' seismic response is broadly used in engineering contexts. In this research three concrete frames of 3, 6, and 13 stories are analyzed in non-linear modal push over by 30 different earthquake records by OpenSEES software, then the detriment indexes of roof's displacement and relative displacement ratio of the stories are calculated by two parameters: peak ground acceleration and spectra acceleration. These indexes are used to establish the value of damage relations with log-normal distribution and logistics distribution. Finally the value of these relations is compared and the effect of height on the mentioned damage relations is studied, too.

Keywords: modal pushover analysis, concrete structure, seismic damage, log-normal distribution, logistic distribution

Procedia PDF Downloads 154
6630 Estimation of Location and Scale Parameters of Extended Exponential Distribution Based on Record Statistics

Authors: E. Krishna


An Extended form of exponential distribution using Marshall and Olkin method is introduced.The location scale family of these distributions is considered. For location scale free family, exact expressions for single and product moments of upper record statistics are derived. The mean, variance and covariance of record values are computed for various values of the shape parameter. Using these the BLUE's of location and scale parameters are derived.The variances and covariance of estimates are obtained.Through Monte Carlo simulation the con dence intervals for location and scale parameters are constructed.The Best liner unbiased Predictor (BLUP) of future records are also discussed.

Keywords: BLUE, BLUP, con dence interval, Marshall-Olkin distribution, Monte Carlo simulation, prediction of future records, record statistics

Procedia PDF Downloads 319
6629 A Bayesian Model with Improved Prior in Extreme Value Problems

Authors: Eva L. Sanjuán, Jacinto Martín, M. Isabel Parra, Mario M. Pizarro


In Extreme Value Theory, inference estimation for the parameters of the distribution is made employing a small part of the observation values. When block maxima values are taken, many data are discarded. We developed a new Bayesian inference model to seize all the information provided by the data, introducing informative priors and using the relations between baseline and limit parameters. Firstly, we studied the accuracy of the new model for three baseline distributions that lead to a Gumbel extreme distribution: Exponential, Normal and Gumbel. Secondly, we considered mixtures of Normal variables, to simulate practical situations when data do not adjust to pure distributions, because of perturbations (noise).

Keywords: bayesian inference, extreme value theory, Gumbel distribution, highly informative prior

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6628 Constructing the Joint Mean-Variance Regions for Univariate and Bivariate Normal Distributions: Approach Based on the Measure of Cumulative Distribution Functions

Authors: Valerii Dashuk


The usage of the confidence intervals in economics and econometrics is widespread. To be able to investigate a random variable more thoroughly, joint tests are applied. One of such examples is joint mean-variance test. A new approach for testing such hypotheses and constructing confidence sets is introduced. Exploring both the value of the random variable and its deviation with the help of this technique allows checking simultaneously the shift and the probability of that shift (i.e., portfolio risks). Another application is based on the normal distribution, which is fully defined by mean and variance, therefore could be tested using the introduced approach. This method is based on the difference of probability density functions. The starting point is two sets of normal distribution parameters that should be compared (whether they may be considered as identical with given significance level). Then the absolute difference in probabilities at each 'point' of the domain of these distributions is calculated. This measure is transformed to a function of cumulative distribution functions and compared to the critical values. Critical values table was designed from the simulations. The approach was compared with the other techniques for the univariate case. It differs qualitatively and quantitatively in easiness of implementation, computation speed, accuracy of the critical region (theoretical vs. real significance level). Stable results when working with outliers and non-normal distributions, as well as scaling possibilities, are also strong sides of the method. The main advantage of this approach is the possibility to extend it to infinite-dimension case, which was not possible in the most of the previous works. At the moment expansion to 2-dimensional state is done and it allows to test jointly up to 5 parameters. Therefore the derived technique is equivalent to classic tests in standard situations but gives more efficient alternatives in nonstandard problems and on big amounts of data.

Keywords: confidence set, cumulative distribution function, hypotheses testing, normal distribution, probability density function

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6627 A Comparative Study of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Extreme Value Theory (EVT) Model in Modeling Value-at-Risk (VaR)

Authors: Longqing Li


The paper addresses the inefficiency of the classical model in measuring the Value-at-Risk (VaR) using a normal distribution or a Student’s t distribution. Specifically, the paper focuses on the one day ahead Value-at-Risk (VaR) of major stock market’s daily returns in US, UK, China and Hong Kong in the most recent ten years under 95% confidence level. To improve the predictable power and search for the best performing model, the paper proposes using two leading alternatives, Extreme Value Theory (EVT) and a family of GARCH models, and compares the relative performance. The main contribution could be summarized in two aspects. First, the paper extends the GARCH family model by incorporating EGARCH and TGARCH to shed light on the difference between each in estimating one day ahead Value-at-Risk (VaR). Second, to account for the non-normality in the distribution of financial markets, the paper applies Generalized Error Distribution (GED), instead of the normal distribution, to govern the innovation term. A dynamic back-testing procedure is employed to assess the performance of each model, a family of GARCH and the conditional EVT. The conclusion is that Exponential GARCH yields the best estimate in out-of-sample one day ahead Value-at-Risk (VaR) forecasting. Moreover, the discrepancy of performance between the GARCH and the conditional EVT is indistinguishable.

Keywords: Value-at-Risk, Extreme Value Theory, conditional EVT, backtesting

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6626 Combining a Continuum of Hidden Regimes and a Heteroskedastic Three-Factor Model in Option Pricing

Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan


This paper develops a discrete-time option pricing model for index options. The model consists of two key ingredients. First, daily stock return innovations are driven by a continuous hidden threshold mixed skew-normal (HTSN) distribution which generates conditional non-normality that is needed to fit daily index return. The most important feature of the HTSN is the inclusion of a latent state variable with a continuum of states, unlike the traditional mixture distributions where the state variable is discrete with little number of states. The HTSN distribution belongs to the class of univariate probability distributions where parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution has an interpretation in terms of a mixture distribution with time-varying mixing probabilities. It has been shown empirically that this distribution outperforms its main competitor, the mixed normal (MN) distribution, in terms of capturing the stylized facts known for stock returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence. Second, heteroscedasticity in the model is captured by a threeexogenous-factor GARCH model (GARCHX), where the factors are taken from the principal components analysis of various world indices and presents an application to option pricing. The factors of the GARCHX model are extracted from a matrix of world indices applying principal component analysis (PCA). The empirically determined factors are uncorrelated and represent truly different common components driving the returns. Both factors and the eight parameters inherent to the HTSN distribution aim at capturing the impact of the state of the economy on price levels since distribution parameters have economic interpretations in terms of conditional volatilities and correlations of the returns with the hidden continuous state. The PCA identifies statistically independent factors affecting the random evolution of a given pool of assets -in our paper a pool of international stock indices- and sorting them by order of relative importance. The PCA computes a historical cross asset covariance matrix and identifies principal components representing independent factors. In our paper, factors are used to calibrate the HTSN-GARCHX model and are ultimately responsible for the nature of the distribution of random variables being generated. We benchmark our model to the MN-GARCHX model following the same PCA methodology and the standard Black-Scholes model. We show that our model outperforms the benchmark in terms of RMSE in dollar losses for put and call options, which in turn outperforms the analytical Black-Scholes by capturing the stylized facts known for index returns, namely, volatility clustering, leverage effect, skewness, kurtosis and regime dependence.

Keywords: continuous hidden threshold, factor models, GARCHX models, option pricing, risk-premium

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