Search results for: generalized estimators

Authors: Weiwen Li, Hao Huang, Chengmao You, Jianji Liao, Lei Wang, Lina An

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Zooplankton are a central issue in the ecology which makes a great contribution to maintaining the balance of an ecosystem. It is critical in promoting the material cycle and energy flow within the ecosystems. A generalized additive model (GAM) was applied to analyze the relationships between the density (individuals per m³) of zooplankton and other variables in West Daya Bay. All data used in this analysis (the survey month, survey station (longitude and latitude), the depth of the water column, the superficial concentration of chlorophyll a, the benthonic concentration of chlorophyll a, the number of zooplankton species and the number of zooplankton species) were collected through monthly scientific surveys during January to December 2016. GLM model (generalized linear model) was used to choose the significant variables’ impact on the density of zooplankton, and the GAM was employed to analyze the relationship between the density of zooplankton and the significant variables. The results showed that the density of zooplankton increased with an increase of the benthonic concentration of chlorophyll a, but decreased with a decrease in the depth of the water column. Both high numbers of zooplankton species and the overall total number of zooplankton individuals led to a higher density of zooplankton.

Keywords: density, generalized linear model, generalized additive model, the West Daya Bay, zooplankton

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Authors: B. Siva Kumar Reddy, B. Lakshmi

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WiMAX has adopted an Adaptive Modulation and Coding (AMC) in OFDM to endure higher data rates and error free transmission. AMC schemes employ the Channel State Information (CSI) to efficiently utilize the channel and maximize the throughput and for better spectral efficiency. This CSI has given to the transmitter by the channel estimators. In this paper, LSE (Least Square Error) and MMSE (Minimum Mean square Error) estimators are suggested and BER (Bit Error Rate) performance has been analyzed. Channel equalization is also integrated with with AMC-OFDM system and presented with Constant Modulus Algorithm (CMA) and Least Mean Square (LMS) algorithms with convergence rates analysis. Simulation results proved that increment in modulation scheme size causes to improvement in throughput along with BER value. There is a trade-off among modulation size, throughput, BER value and spectral efficiency. Results also reported the requirement of channel estimation and equalization in high data rate systems.

Keywords: AMC, CSI, CMA, OFDM, OFDMA, WiMAX

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Authors: Aysha Zamir

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This study examines to what extent foreign private investment (FPI) affects the clean industrial environment and sustainable economic growth through developed countries investment in China. Moreover, this study investiage an association among FPI, CO2 emission, energy consumption, and sustainable economic growth. This study uses random effects and generalized least squares (GLS) and panel VAR estimators for data analysis. The results indicate that the Chinese economy has a vastly positive influenced regarding the location and choice of emerging and developed countries’ investment in the domestic market. Furthermore, emerging and developed economies investment increases the contribution among domestic firms, environment sustainability toward the national economy. The further results show that foreign private investment and gross domestic investment have a positive impact on sustainable economic growth.

Keywords: clean industrial environment, energy consumption, CO2 emmission, foreign private investment, developed and emerging economies

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Authors: Mohammad Mehdi Mazarei, Ali Asghar Behroozpoor

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In this paper, we define an optimization problem corresponding to smooth and nonsmooth functions which its optimal solution is the first derivative of these functions in a domain. For this purpose, a linear programming problem corresponding to optimization problem is obtained. The optimal solution of this linear programming problem is the approximate generalized first derivative. In fact, we approximate generalized first derivative of nonsmooth functions as tailor series. We show the efficiency of our approach by some smooth and nonsmooth functions in some examples.

Keywords: general derivative, linear programming, optimization problem, smooth and nonsmooth functions

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Authors: Yohei Saika

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On the basis of Bayesian inference using the maximizer of the posterior marginal estimate, we carry out phase unwrapping using multiple interferograms via generalized mean-field theory. Numerical calculations for a typical wave-front in remote sensing using the synthetic aperture radar interferometry, phase diagram in hyper-parameter space clarifies that the present method succeeds in phase unwrapping perfectly under the constraint of surface- consistency condition, if the interferograms are not corrupted by any noises. Also, we find that prior is useful for extending a phase in which phase unwrapping under the constraint of the surface-consistency condition. These results are quantitatively confirmed by the Monte Carlo simulation.

Keywords: Bayesian inference, generalized mean-field theory, phase unwrapping, multiple interferograms, statistical mechanics

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Authors: Mohammad Farid

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In this paper, we introduce and study an explicit iterative method based on hybrid extragradient method to approximate a common solution of generalized mixed equilibrium problem and fixed point problem for a nonexpansive semigroup in Hilbert space. Further, we prove that the sequence generated by the proposed iterative scheme converge strongly to the common solution of generalized mixed equilibrium problem and fixed point problem for a nonexpansive semigroup. This common solution is the unique solution of a variational inequality problem and is the optimality condition for a minimization problem. The results presented in this paper are the supplement, extension and generalization of the previously known results in this area.

Keywords: generalized mixed equilibrium problem, fixed-point problem, nonexpansive semigroup, variational inequality problem, iterative algorithms, hybrid extragradient method

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Authors: Shiva Abdoli, Daniel T.Semere

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Several researches have been conducted to study consumption of energy in cutting process. Most of these researches are focusing to measure the consumption and propose consumption reduction methods. In this work, the relation between the cutting parameters and the consumption is investigated in order to establish a generalized energy consumption model that can be used for process and production planning in real production lines. Using the generalized model, the process planning will be carried out by taking into account the energy as a function of the selected process parameters. Similarly, the generalized model can be used in production planning to select the right operational parameters like batch sizes, routing, buffer size, etc. in a production line. The description and derivation of the model as well as a case study are given in this paper to illustrate the applicability and validity of the model.

Keywords: process parameters, cutting process, energy efficiency, Material Removal Rate (MRR)

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Authors: Alan Wan

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

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

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Authors: Imaneh Abbasi, Ladan Fata, Majid Sadeghi, Sara Banihashemi, Abolfazl Mohammadee

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Background: Dimensional and transdiagnostic approaches as a result of high comorbidity among mental disorders have captured researchers and clinicians interests for exploring the latent factors of development and maintenance of some psychological disorders. The goal of present study is to compare some of these common factors between generalized anxiety disorder and unipolar mood disorder. Methods: 27 patients with generalized anxiety disorder, 29 patients with depression disorder were recruited using SCID-I and 69 non-clinical population were selected using GHQ cut off point. MANCOVA was used for analyzing data. Results: The results show that worry, rumination, intolerance of uncertainty, maladaptive metacognitive beliefs, and experiential avoidance were all significantly different between GAD and unipolar mood disorder groups. However, there were not any significant differences in difficulties in emotion regulation and neuroticism between GAD and unipolar mood disorder groups. Discussion: Results indicate that although there are some transdiagnostic and common factors in GAD and unipolar mood disorder, there may be some specific vulnerability factors for each disorder. Further study is needed for answering these questions.

Keywords: transdiagnostic, depression, generalized anxiety disorder, emotion regulation

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Authors: Nada Farhani, Naim Terbeh, Mounir Zrigui

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The recognition of the objects contained in images has always presented a challenge in the field of research because of several difficulties that the researcher can envisage because of the variability of shape, position, contrast of objects, etc. In this paper, we will be interested in the recognition of objects. The classical Hough Transform (HT) presented a tool for detecting straight line segments in images. The technique of HT has been generalized (GHT) for the detection of arbitrary forms. With GHT, the forms sought are not necessarily defined analytically but rather by a particular silhouette. For more precision, we proposed to combine the results from the GHT with the results from a calculation of similarity between the histograms and the spatiograms of the images. The main purpose of our work is to use the concepts from recognition to generate sentences in Arabic that summarize the content of the image.

Keywords: recognition of shape, generalized hough transformation, histogram, spatiogram, learning

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Authors: Shahadut Hossain, Jacek Wesolowski, Zahirul Hoque

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In many epidemiological and environmental studies covariate measurements are subject to the detection limit. In most applications, covariate measurements are usually truncated from below which is known as left-truncation. Because the measuring device, which we use to measure the covariate, fails to detect values falling below the certain threshold. In regression analyses, it causes inflated bias and inaccurate mean squared error (MSE) to the estimators. This paper suggests a response-based regression calibration method to correct the deleterious impact introduced by the covariate detection limit in the estimators of the parameters of simple logistic regression model. Compared to the maximum likelihood method, the proposed method is computationally simpler, and hence easier to implement. It is robust to the violation of distributional assumption about the covariate of interest. In producing correct inference, the performance of the proposed method compared to the other competing methods has been investigated through extensive simulations. A real-life application of the method is also shown using data from a population-based case-control study of non-Hodgkin lymphoma.

Keywords: environmental exposure, detection limit, left truncation, bias, ad-hoc substitution

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Authors: M. Guemmadi, A. Ouibrahim

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This numerical investigation aims to evaluate how a viscoelastic lubricant described by a generalized Maxwell model, affects the pressure distribution, the load capacity and thermal effect in a journal bearing lubrication. We use for the purpose the CFD package software completed by adapted user define functions (UDFs) to solve the coupled equations of momentum, of energy and of the viscoelastic model (generalized Maxwell model). Two parameters, viscosity and relaxation time are involved to show how viscoelasticity substantially affect the pressure distribution, the load capacity and the thermal transfer by comparison to Newtonian lubricant. These results were also compared with the available published results.

Keywords: journal bearing, lubrication, Maxwell model, viscoelastic fluids, computational modelling, load capacity

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Authors: Kailash C. Madan

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We study the steady state behaviour of a batch arrival single server queue in which the first service with general service times is compulsory and the second service with general service times is optional. We term such a two phase service as generalized Coxian-2 service. Just after completion of a service the server must take a vacation of random length of time with general vacation times. We obtain steady state probability generating functions for the queue size as well as the steady state mean queue size at a random epoch of time in explicit and closed forms. Some particular cases of interest including some known results have been derived.

Keywords: batch arrivals, compound Poisson process, generalized Coxian-2 service, steady state

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Authors: Ih-Ching Hsu

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Inspired by the so called Jacobi Identity (x y) z + (y z) x + (z x) y = 0, the following class of functional equations EQ I: F [F (x, y), z] + F [F (y, z), x] + F [F (z, x), y] = 0 is proposed, researched and generalized. Research methodologies begin with classical methods for functional equations, then evolve into discovering of any implicit algebraic structures. One of this paper’s major findings is that EQ I, under two additional conditions F (x, x) = 0 and F (x, y) + F (y, x) = 0, proves to be a fundamental functional equation for Lie Algebras. Existence of non-trivial solutions for EQ I can be proven by defining F (p, q) = [p q] = pq –qp, where p and q are quaternions, and pq is the quaternion product of p and q. EQ I can be generalized to the following class of functional equations EQ II: F [G (x, y), z] + F [G (y, z), x] + F [G (z, x), y] = 0. Concluding Statement: With a major finding proven, and non-trivial solutions derived, this research paper illustrates and provides a new functional equation scheme for studies in two major areas: (1) What underlying algebraic structures can be defined and/or derived from EQ I or EQ II? (2) What conditions can be imposed so that conditional general solutions to EQ I and EQ II can be found, investigated and applied?

Keywords: fundamental functional equation, generalized functional equations, Lie algebras, quaternions

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Authors: Puttharapong Sakulwaropas, Uraiwan Jaroengeratikun

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Casualty insurance business, the optimal premium pricing and adequate cost for an insurance company are important in risk management. Normally, the insurance pure premium can be determined by multiplying the claim frequency with the claim cost. The aim of this research was to study in the application of generalized linear models to select the risk factor for model of claim frequency and claim cost for estimating a pure premium. In this study, the data set was the claim of comprehensive motor insurance, which was provided by one of the insurance company in Thailand. The results of this study found that the risk factors significantly related to pure premium at the 0.05 level consisted of no claim bonus (NCB) and used of the car (Car code).

Keywords: generalized linear models, risk factor, pure premium, regression model

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Authors: Md. Rashidul Hasan, Atikur Rahman Baizid

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The Bayesian estimation approach is a non-classical estimation technique in statistical inference and is very useful in real world situation. The aim of this paper is to study the Bayes estimators of the parameter of exponential distribution under different loss functions and then compared among them as well as with the classical estimator named maximum likelihood estimator (MLE). In our real life, we always try to minimize the loss and we also want to gather some prior information (distribution) about the problem to solve it accurately. Here the gamma prior is used as the prior distribution of exponential distribution for finding the Bayes estimator. In our study, we also used different symmetric and asymmetric loss functions such as squared error loss function, quadratic loss function, modified linear exponential (MLINEX) loss function and non-linear exponential (NLINEX) loss function. Finally, mean square error (MSE) of the estimators are obtained and then presented graphically.

Keywords: Bayes estimator, maximum likelihood estimator (MLE), modified linear exponential (MLINEX) loss function, Squared Error (SE) loss function, non-linear exponential (NLINEX) loss function

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Authors: Muhammad Sameer Ahmed, Piotr Remlein, Tansal Gucluoglu

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The technique called as Generalized frequency division multiplexing (GFDM) used in the free space optical channel can be a good option for implementation free space optical communication systems. This technique has several strengths e.g. good spectral efficiency, low peak-to-average power ratio (PAPR), adaptability and low co-channel interference. In this paper, the impact of weather conditions such as haze, rain and fog on GFDM over the gamma-gamma channel model is discussed. A Trade off between link distance and system performance under intense weather conditions is also analysed. The symbol error probability (SEP) of GFDM over the gamma-gamma turbulence channel is derived and verified with the computer simulations.

Keywords: free space optics, generalized frequency division multiplexing, weather conditions, gamma gamma distribution

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Authors: A. Ishag Mohamed, A. A. Rabah

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The objective of this research is to develop a generalized correlation for the prediction of thermal conductivity of n-Alkanes and Alkenes. There is a minority of research and lack of correlation for thermal conductivity of liquids in the open literature. The available experimental data are collected covering the groups of n-Alkanes and Alkenes.The data were assumed to correlate to temperature using Filippov correlation. Nonparametric regression of Grace Algorithm was used to develop the generalized correlation model. A spread sheet program based on Microsoft Excel was used to plot and calculate the value of the coefficients. The results obtained were compared with the data that found in Perry's Chemical Engineering Hand Book. The experimental data correlated to the temperature ranged "between" 273.15 to 673.15 K, with R2 = 0.99.The developed correlation reproduced experimental data that which were not included in regression with absolute average percent deviation (AAPD) of less than 7 %. Thus the spread sheet was quite accurate which produces reliable data.

Keywords: N-Alkanes, N-Alkenes, nonparametric, regression

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Authors: Fu Jinyu, Lin Jinguan

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This paper introduces a novel approach that unifies two types of models: one is the continuous-time jump-diffusion used to model high-frequency data, and the other is discrete-time GQARCH employed to model low-frequency financial data by embedding the discrete GQARCH structure with jumps in the instantaneous volatility process. This model is named “GQARCH-It\^{o} -Jumps mode.” We adopt the realized range-based threshold estimation for high-frequency financial data rather than the realized return-based volatility estimators, which entail the loss of intra-day information of the price movement. Meanwhile, a quasi-likelihood function for the low-frequency GQARCH structure with jumps is developed for the parametric estimate. The asymptotic theories are mainly established for the proposed estimators in the case of finite activity jumps. Moreover, simulation studies are implemented to check the finite sample performance of the proposed methodology. Specifically, it is demonstrated that how our proposed approaches can be practically used on some financial data.

Keywords: It\^{o} process, GQARCH, leverage effects, threshold, realized range-based volatility estimator, quasi-maximum likelihood estimate

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Authors: Juan F. Muñoz-Rosas, Rosa M. García-Fernández, Encarnación Álvarez-Verdejo, Pablo J. Moya-Fernández

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Poverty measurement is a very important topic in many studies in social sciences. One of the most important indicators when measuring poverty is the low income proportion. This indicator gives the proportion of people of a population classified as poor. This indicator is generally unknown, and for this reason, it is estimated by using survey data, which are obtained by official surveys carried out by many statistical agencies such as Eurostat. The main feature of the mentioned survey data is the fact that they contain several variables. The variable used to estimate the low income proportion is called as the variable of interest. The survey data may contain several additional variables, also named as the auxiliary variables, related to the variable of interest, and if this is the situation, they could be used to improve the estimation of the low income proportion. In this paper, we use Monte Carlo simulation studies to analyze numerically the performance of estimators based on several auxiliary variables. In this simulation study, we considered real data sets obtained from the 2011 European Union Survey on Income and Living Condition. Results derived from this study indicate that the estimators based on auxiliary variables are more accurate than the naive estimator.

Keywords: inclusion probability, poverty, poverty line, survey sampling

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Authors: Wajdi Mohamed Ratemi

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The very well-known stacked sets of numbers referred to as Pascal’s triangle present the coefficients of the binomial expansion of the form (x+y)n. This paper presents an approach (the Staircase Horizontal Vertical, SHV-method) to the generalization of planar Pascal’s triangle for polynomial expansion of the form (x+y+z+w+r+⋯)n. The presented generalization of Pascal’s triangle is different from other generalizations of Pascal’s triangles given in the literature. The coefficients of the generalized Pascal’s triangles, presented in this work, are generated by inspection, using embedded Pascal’s triangles. The coefficients of I-variables expansion are generated by horizontally laying out the Pascal’s elements of (I-1) variables expansion, in a staircase manner, and multiplying them with the relevant columns of vertically laid out classical Pascal’s elements, hence avoiding factorial calculations for generating the coefficients of the polynomial expansion. Furthermore, the classical Pascal’s triangle has some pattern built into it regarding its odd and even numbers. Such pattern is known as the Sierpinski’s triangle. In this study, a presentation of Sierpinski-like patterns of the generalized Pascal’s triangles is given. Applications related to those coefficients of the binomial expansion (Pascal’s triangle), or polynomial expansion (generalized Pascal’s triangles) can be in areas of combinatorics, and probabilities.

Keywords: pascal’s triangle, generalized pascal’s triangle, polynomial expansion, sierpinski’s triangle, combinatorics, probabilities

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Authors: Youngji Lee, Yonghyeon Jeon, Sunyoung Bu, Philsu Kim

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The aim of this paper is to construct an algorithm of time step control for the error correction method most recently developed by one of the authors for solving stiff initial value problems. It is achieved with the generalized Chebyshev polynomial and the corresponding error correction method. The main idea of the proposed scheme is in the usage of the duplicated node points in the generalized Chebyshev polynomials of two different degrees by adding necessary sample points instead of re-sampling all points. At each integration step, the proposed method is comprised of two equations for the solution and the error, respectively. The constructed algorithm controls both the error and the time step size simultaneously and possesses a good performance in the computational cost compared to the original method. Two stiff problems are numerically solved to assess the effectiveness of the proposed scheme.

Keywords: stiff initial value problem, error correction method, generalized Chebyshev polynomial, node points

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Authors: M. Z. Raqab, Debasis Kundu, M. A. Meraou

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In this paper, we have analyzed maximum precipitation data during a particular period of time obtained from different stations in the Global Historical Climatological Network of the USA. One important point to mention is that some stations are shut down on certain days for some reason or the other. Hence, the maximum values are recorded by excluding those readings. It is assumed that the number of stations that operate follows zero-truncated Poisson random variables, and the daily precipitation follows a lognormal random variable. We call this model a compound truncated Poisson lognormal model. The proposed model has three unknown parameters, and it can take a variety of shapes. The maximum likelihood estimators can be obtained quite conveniently using Expectation-Maximization (EM) algorithm. Approximate maximum likelihood estimators are also derived. The associated confidence intervals also can be obtained from the observed Fisher information matrix. Simulation results have been performed to check the performance of the EM algorithm, and it is observed that the EM algorithm works quite well in this case. When we analyze the precipitation data set using the proposed model, it is observed that the proposed model provides a better fit than some of the existing models.

Keywords: compound Poisson lognormal distribution, EM algorithm, maximum likelihood estimation, approximate maximum likelihood estimation, Fisher information, skew distribution

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Authors: Sara Kanzi, Izzet Sakalli

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The effect of Lorentz symmetry breaking (LSB) on the Hawking radiation of Schwarzschild-like black hole found in the bumblebee gravity model (SBHBGM) is studied in the framework of quantum gravity. To this end, we consider Hawking radiation spin-0 (bosons) and spin-12particles (fermions), which go in and out through the event horizon of the SBHBGM. We use the modified Klein-Gordon and Dirac equations, which are obtained from the generalized uncertainty principle (GUP) to show how Hawking radiation is affected by the GUP and LSB. In particular, we reveal that independent of the spin of the emitted particles, GUP causes a change in the Hawking temperature of the SBHBGM. Furthermore, we compute the semi-analytic greybody factors (for both bosons and fermions) of the SBHBGM. Thus, we reveal that LSB is effective on the greybody factor of the SBHBGM such that its redundancy decreases the value of the greybody factor. Our findings are graphically depicted.

Keywords: bumblebee gravity model, Hawking radiation, generalized uncertainty principle, Lorentz symmetry breaking

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Authors: H. R. Fazlollahi

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Dark Energy origin is unknown and so describing this mysterious component in large scale structure needs to manipulate our theories in general relativity. Although in most models, dark energy arises from extra terms through modifying Einstein-Hilbert action, maybe its origin traces back to fundamental aspects of ground energy of space-time given in quantum mechanics. Hence, diluting space-time in general relativity with quantum mechanics properties leads to the Karolyhazy relation corresponding energy density of quantum fluctuations of space-time. Through generalized uncertainty principle and an eye to Karolyhazy approach in this study we extend energy density of quantum fluctuations of space-time. Also, the application of this idea is considered in late time evolution and we have shown how extra term in generalized uncertainty principle plays as a plausible interaction term role in suggested model.

Keywords: generalized uncertainty principle, karolyhazy approach, agegraphic dark energy, cosmology

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Authors: Guesh Simretab Gebremedhin, Saumya Rajan Jena

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In this work, a septic B-spline scheme has been used to simplify the process of solving an approximate solution of the generalized Rosenau-regularized long-wave equation (GR-RLWE) with initial boundary conditions. The resulting system of first-order ODEs has dealt with Butcher’s fifth order Runge-Kutta (BFRK) approach without using finite difference techniques for discretizing the time-dependent variables at each time level. Here, no transformation or any kind of linearization technique is employed to tackle the nonlinearity of the equation. Two test problems have been selected for numerical justifications and comparisons with other researchers on the basis of efficiency, accuracy, and results of the two invariants Mᵢ (mass) and Eᵢ (energy) of some motion that has been used to test the conservative properties of the proposed scheme.

Keywords: septic B-spline scheme, Butcher's fifth order Runge-Kutta approach, error norms, generalized Rosenau-RLW equation

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Authors: Jose Francisco Ferreira Ribeiro, Alexandre Bevilacqua Leoneti, Andre Lucirton Costa

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This paper presents a mathematical model in binary variables 0/1 to make the assignment of surgical procedures to the operating rooms in a hospital. The proposed mathematical model is based on the generalized assignment problem, which maximizes the sum of preferences for the use of the operating rooms by doctors, respecting the time available in each room. The corresponding program was written in Visual Basic of Microsoft Excel, and tested to schedule surgeries at St. Lydia Hospital in Ribeirao Preto, Brazil.

Keywords: generalized assignment problem, logistics, optimization, scheduling

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Authors: Nkongho Ayuketang Arreyndip, Ebobenow Joseph

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In this paper, temperature extremes are forecast by employing the block maxima method of the generalized extreme value (GEV) distribution to analyse temperature data from the Cameroon Development Corporation (CDC). By considering two sets of data (raw data and simulated data) and two (stationary and non-stationary) models of the GEV distribution, return levels analysis is carried out and it was found that in the stationary model, the return values are constant over time with the raw data, while in the simulated data the return values show an increasing trend with an upper bound. In the non-stationary model, the return levels of both the raw data and simulated data show an increasing trend with an upper bound. This clearly shows that although temperatures in the tropics show a sign of increase in the future, there is a maximum temperature at which there is no exceedance. The results of this paper are very vital in agricultural and environmental research.

Keywords: forecasting, generalized extreme value (GEV), meteorology, return level

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Authors: Farrukh Javed, Krzysztof Podgórski

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We propose a new model that accounts for the asymmetric response of volatility to positive ('good news') and negative ('bad news') shocks in economic time series the so-called leverage effect. In the past, asymmetric powers of errors in the conditionally heteroskedastic models have been used to capture this effect. Our model is using the gamma difference representation of the generalized Laplace distributions that efficiently models the asymmetry. It has one additional natural parameter, the shape, that is used instead of power in the asymmetric power models to capture the strength of a long-lasting effect of shocks. Some fundamental properties of the model are provided including the formula for covariances and an explicit form for the conditional distribution of 'bad' and 'good' news processes given the past the property that is important for the statistical fitting of the model. Relevant features of volatility models are illustrated using S&P 500 historical data.

Keywords: heavy tails, volatility clustering, generalized asymmetric laplace distribution, leverage effect, conditional heteroskedasticity, asymmetric power volatility, GARCH models

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Authors: M. O. Olayiwola

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Numerical solutions of the generalized Burger-Fisher are obtained using a Modified Variational Iteration Method (MVIM) with minimal computational efforts. The computed results with this technique have been compared with other results. The present method is seen to be a very reliable alternative method to some existing techniques for such nonlinear problems.

Keywords: burger-fisher, modified variational iteration method, lagrange multiplier, Taylor’s series, partial differential equation

Procedia PDF Downloads 402