Search results for: generalized willenborg model

Authors: A. S. Issa, S. K. Q. AL-Omari

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In this paper, we investigate certain spaces of generalized functions for the Fourier and Fourier type integral transforms. We discuss convolution theorems and establish certain spaces of distributions for the considered integrals. The new Fourier type integral is well-defined, linear, one-to-one and continuous with respect to certain types of convergences. Many properties and an inverse problem are also discussed in some details.

Keywords: Boehmian, Fourier integral, Fourier type integral, generalized quotient

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Authors: Warda Nasir, M. N. S. Qureshi

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Whistler waves are right handed circularly polarized waves and are frequently observed in space plasmas. The Low frequency branch of the Whistler waves having frequencies nearly around 100 Hz, known as Lion roars, are frequently observed in magnetosheath. Another feature of the magnetosheath is the observations of flat top electron distributions with single as well as two electron populations. In the past, lion roars were studied by employing kinetic model using classical bi-Maxwellian distribution function, however, could not be justified both on quantitatively as well as qualitatively grounds. We studied Whistler waves by employing kinetic model using non-Maxwellian distribution function such as the generalized (r,q) distribution function which is the generalized form of kappa and Maxwellian distribution functions by employing kinetic theory with single or two electron populations. We compare our results with the Cluster observations and found good quantitative and qualitative agreement between them. At times when lion roars are observed (not observed) in the data and bi-Maxwellian could not provide the sufficient growth (damping) rates, we showed that when generalized (r,q) distribution function is employed, the resulted growth (damping) rates exactly match the observations.

Keywords: kinetic model, whistler waves, non-maxwellian distribution function, space plasmas

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Authors: Jonathan Heng, Yoong Cheah Huei

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A strategic model that does not trigger any false alarms to detect anomalies in Secure Water Treatment (SWaT) test bed is presented. This model uses machine learning invariants formulated from streamlining the general form of Auto-Regressive models with eXogenous input. A creative generalized CUSUM algorithm to integrate the invariants and the detection strategy technique is successfully developed and tested in the SWaT Programmable Logic Controllers (PLCs). Three steps to fine-tune parameters, b and τ in the generalized algorithm are stated and an example used to demonstrate the tuning process is discussed. This approach can swiftly and effectively detect various scopes of cyber-attacks such as multiple points single stage and multiple points multiple stages in SWaT. This technique can be applied in water treatment plants and other cyber physical systems like power and gas plants too.

Keywords: machine learning invariants, generalized CUSUM algorithm with invariants and detection strategy, scope of cyber attacks, strategic model, tuning parameters

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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: Wikanda Phaphan

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

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

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Authors: Ruchi, A. M. Acu, Purshottam N. Agrawal

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The purpose of this paper to introduce the Durrmeyer type modification of q-generalized-Bernstein operators which include the Bernstein polynomials in the particular α = 0. We investigate the rate of convergence by means of the Lipschitz class and the Peetre’s K-functional. Also, we define the bivariate case of Durrmeyer type modification of q-generalized-Bernstein operators and study the degree of approximation with the aid of the partial modulus of continuity and the Peetre’s K-functional. Finally, we introduce the GBS (Generalized Boolean Sum) of the Durrmeyer type modification of q- generalized-Bernstein operators and investigate the approximation of the Bögel continuous and Bögel differentiable functions with the aid of the Lipschitz class and the mixed modulus of smoothness.

Keywords: Bögel continuous, Bögel differentiable, generalized Boolean sum, Peetre’s K-functional, Lipschitz class, mixed modulus of smoothness

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Authors: Marianna Bolla

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The aim of this paper is to compare spectral, discrepancy, and degree properties of expanding graph sequences. As we can prove equivalences and implications between them and the definition of the generalized (multiclass) quasirandomness of Lovasz–Sos (2008), they can be regarded as generalized quasirandom properties akin to the equivalent quasirandom properties of the seminal Chung-Graham-Wilson paper (1989) in the one-class scenario. Since these properties are valid for deterministic graph sequences, irrespective of stochastic models, the partial implications also justify for low-dimensional embedding of large-scale graphs and for discrepancy minimizing spectral clustering.

Keywords: generalized random graphs, multiway discrepancy, normalized modularity spectra, spectral clustering

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Authors: Tahmidul Islam

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Propensity Score Matching (PSM) technique has been widely used for estimating causal effect of treatment in observational studies. One major step of implementing PSM is estimating the propensity score (PS). Logistic regression model with additive linear terms of covariates is most used technique in many studies. Logistics regression model is also used with cubic splines for retaining flexibility in the model. However, choosing the functional form of the logistic regression model has been a question since the effectiveness of PSM depends on how accurately the PS been estimated. In many situations, the linearity assumption of linear logistic regression may not hold and non-linear relation between the logit and the covariates may be appropriate. One can estimate PS using machine learning techniques such as random forest, neural network etc for more accuracy in non-linear situation. In this study, an attempt has been made to compare the efficacy of Generalized Additive Model (GAM) in various linear and non-linear settings and compare its performance with usual logistic regression. GAM is a non-parametric technique where functional form of the covariates can be unspecified and a flexible regression model can be fitted. In this study various simple and complex models have been considered for treatment under several situations (small/large sample, low/high number of treatment units) and examined which method leads to more covariate balance in the matched dataset. It is found that logistic regression model is impressively robust against inclusion quadratic and interaction terms and reduces mean difference in treatment and control set equally efficiently as GAM does. GAM provided no significantly better covariate balance than logistic regression in both simple and complex models. The analysis also suggests that larger proportion of controls than treatment units leads to better balance for both of the methods.

Keywords: accuracy, covariate balances, generalized additive model, logistic regression, non-linearity, propensity score matching

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Authors: Rana Rimawi, Ayman Baklizi

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Skewed distributions are important models that are frequently used in applications. Generalized distributions form a class of skewed distributions and gain widespread use in applications because of their flexibility in data analysis. More specifically, the Generalized Logistic Distribution with its different types has received considerable attention recently. In this study, based on progressively type-II censored data, we will consider point estimation in type II Generalized Logistic Distribution (Type II GLD). We will develop several estimators for its unknown parameters, including maximum likelihood estimators (MLE), Bayes estimators and linear estimators (BLUE). The estimators will be compared using simulation based on the criteria of bias and Mean square error (MSE). An illustrative example of a real data set will be given.

Keywords: point estimation, type II generalized logistic distribution, progressive censoring, maximum likelihood estimation

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Authors: Suraka Bhattacharjee, Ranjan Chaudhury

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The interaction between the charge degrees of freedom for itinerant antiferromagnets is investigated in terms of generalized charge stiffness constant corresponding to nearest neighbour t-J model and t1-t2-t3-J model. The low dimensional hole doped antiferromagnets are the well known systems that can be described by the t-J-like models. Accordingly, we have used these models to investigate the fermionic pairing possibilities and the coupling between the itinerant charge degrees of freedom. A detailed comparison between spin and charge couplings highlights that the charge and spin couplings show very similar behaviour in the over-doped region, whereas, they show completely different trends in the lower doping regimes. Moreover, a qualitative equivalence between generalized charge stiffness and effective Coulomb interaction is also established based on the comparisons with other theoretical and experimental results. Thus it is obvious that the enhanced possibility of fermionic pairing is inherent in the reduction of Coulomb repulsion with increase in doping concentration. However, the increased possibility can not give rise to pairing without the presence of any other pair producing mechanism outside the t-J model. Therefore, one can conclude that the t-J-like models themselves solely are not capable of producing conventional momentum-based superconducting pairing on their own.

Keywords: generalized charge stiffness constant, charge coupling, effective Coulomb interaction, t-J-like models, momentum-space pairing

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Authors: Longqing Li

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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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Authors: Jafar Khodagholizadeh

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In this talk, we study the tensor mode equation of perturbation in the presence of nonzero $-\Lambda$ as dark energy, whose dynamic nature depends on the Hubble parameter $ H$ and/or its time derivative. Dark energy, according to the total vacuum contribution, has little effect during the radiation-dominated era, but it reduces the squared amplitude of gravitational waves (GWs) up to $60\%$ for the wavelengths that enter the horizon during the matter-dominated era. Moreover, the observations bound on dark energy models, such as running vacuum model (RVM), generalized running vacuum model (GRVM), and generalized running vacuum subcase (GRVS), are effective in reducing the GWs’ amplitude. Although this effect is less for the wavelengths that enter the horizon at later times, this reduction is stable and permanent.

Keywords: gravitational waves, dark energy, GW's amplitude, all stage universe

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Authors: Hirofumi Miyajima, Kazuya Kishida, Noritaka Shigei, Hiromi Miyajima

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Most of self-tuning fuzzy systems, which are automatically constructed from learning data, are based on the steepest descent method (SDM). However, this approach often requires a large convergence time and gets stuck into a shallow local minimum. One of its solutions is to use fuzzy rule modules with a small number of inputs such as DIRMs (Double-Input Rule Modules) and SIRMs (Single-Input Rule Modules). In this paper, we consider a (generalized) DIRMs model composed of double and single-input rule modules. Further, in order to reduce the redundant modules for the (generalized) DIRMs model, pruning and generative learning algorithms for the model are suggested. In order to show the effectiveness of them, numerical simulations for function approximation, Box-Jenkins and obstacle avoidance problems are performed.

Keywords: Box-Jenkins's problem, double-input rule module, fuzzy inference model, obstacle avoidance, single-input rule module

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Authors: Shahrokh Barati

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In this paper, we introduced AIDS disease at first, then proposed dynamic model illustrate its progress, after expression of a short history of nonlinear modeling by polynomial phasing systems, we considered the stability conditions of the systems, which contained a huge amount of researches in order to modeling and control of AIDS in dynamic nonlinear form, in this approach using a frame work of control any polynomial phasing modeling system which have been generalized by part of phasing model of T-S, in order to control the system in better way, the stability conditions were achieved based on polynomial functions, then we focused to design the appropriate controller, firstly we considered the equilibrium points of system and their conditions and in order to examine changes in the parameters, we presented polynomial phase model that was the generalized approach rather than previous Takagi Sugeno models, then with using case we evaluated the equations in both open loop and close loop and with helping the controlling feedback, the close loop equations of system were calculated, to simulate nonlinear model of AIDS disease, we used polynomial phasing controller output that was capable to make the parameters of a nonlinear system to follow a sustainable reference model properly.

Keywords: polynomial fuzzy, AIDS, nonlinear AIDS model, fuzzy control systems

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Authors: Fatemah A. Alqallaf, Debasis Kundu

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The aim of this paper is to introduce a bivariate inverse generalized exponential distribution which has a singular component. The proposed bivariate distribution can be used when the marginals have heavy-tailed distributions, and they have non-monotone hazard functions. Due to the presence of the singular component, it can be used quite effectively when there are ties in the data. Since it has four parameters, it is a very flexible bivariate distribution, and it can be used quite effectively for analyzing various bivariate data sets. Several dependency properties and dependency measures have been obtained. The maximum likelihood estimators cannot be obtained in closed form, and it involves solving a four-dimensional optimization problem. To avoid that, we have proposed to use an EM algorithm, and it involves solving only one non-linear equation at each `E'-step. Hence, the implementation of the proposed EM algorithm is very straight forward in practice. Extensive simulation experiments and the analysis of one data set have been performed. We have observed that the proposed bivariate inverse generalized exponential distribution can be used for modeling dependent competing risks data. One data set has been analyzed to show the effectiveness of the proposed model.

Keywords: Block and Basu bivariate distributions, competing risks, EM algorithm, Marshall-Olkin bivariate exponential distribution, maximum likelihood estimators

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Authors: Alena Zemanová, Jan Zeman, Michal Šejnoha

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The polymer foil used for manufacturing of laminated glass members behaves in a viscoelastic manner with temperature dependence. This contribution aims at incorporating the time/temperature-dependent behavior of interlayer to our earlier elastic finite element model for laminated glass beams. The model is based on a refined beam theory: each layer behaves according to the finite-strain shear deformable formulation by Reissner and the adjacent layers are connected via the Lagrange multipliers ensuring the inter-layer compatibility of a laminated unit. The time/temperature-dependent behavior of the interlayer is accounted for by the generalized Maxwell model and by the time-temperature superposition principle due to the Williams, Landel, and Ferry. The resulting system is solved by the Newton method with consistent linearization and the viscoelastic response is determined incrementally by the exponential algorithm. By comparing the model predictions against available experimental data, we demonstrate that the proposed formulation is reliable and accurately reproduces the behavior of the laminated glass units.

Keywords: finite element method, finite-strain Reissner model, Lagrange multipliers, generalized Maxwell model, laminated glass, Newton method, Williams-Landel-Ferry equation

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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: V. Churkin, M. Lopatin

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The purpose of the paper is to estimate the US small wind turbines market potential and forecast the small wind turbines sales in the US. The forecasting method is based on the application of the Bass model and the generalized Bass model of innovations diffusion under replacement purchases. In the work an exponential distribution is used for modeling of replacement purchases. Only one parameter of such distribution is determined by average lifetime of small wind turbines. The identification of the model parameters is based on nonlinear regression analysis on the basis of the annual sales statistics which has been published by the American Wind Energy Association (AWEA) since 2001 up to 2012. The estimation of the US average market potential of small wind turbines (for adoption purchases) without account of price changes is 57080 (confidence interval from 49294 to 64866 at P = 0.95) under average lifetime of wind turbines 15 years, and 62402 (confidence interval from 54154 to 70648 at P = 0.95) under average lifetime of wind turbines 20 years. In the first case the explained variance is 90,7%, while in the second - 91,8%. The effect of the wind turbines price changes on their sales was estimated using generalized Bass model. This required a price forecast. To do this, the polynomial regression function, which is based on the Berkeley Lab statistics, was used. The estimation of the US average market potential of small wind turbines (for adoption purchases) in that case is 42542 (confidence interval from 32863 to 52221 at P = 0.95) under average lifetime of wind turbines 15 years, and 47426 (confidence interval from 36092 to 58760 at P = 0.95) under average lifetime of wind turbines 20 years. In the first case the explained variance is 95,3%, while in the second –95,3%.

Keywords: bass model, generalized bass model, replacement purchases, sales forecasting of innovations, statistics of sales of small wind turbines in the United States

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Authors: Manideepa Saha, Jahnavi Chakrabarty

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Generalized Jacobi (GJ) and Generalized Gauss-Seidel (GGS) methods are most effective than conventional Jacobi and Gauss-Seidel methods for solving linear system of equations. It is known that GJ and GGS methods converge for strictly diagonally dominant (SDD) and for M-matrices. In this paper, we study the convergence of GJ and GGS converge for symmetric positive definite (SPD) matrices, L-matrices and H-matrices. We introduce a generalization of successive overrelaxation (SOR) method for solving linear systems and discuss its convergence for the classes of SDD matrices, SPD matrices, M-matrices, L-matrices and for H-matrices. Advantages of generalized SOR method are established through numerical experiments over GJ, GGS, and SOR methods.

Keywords: convergence, Gauss-Seidel, iterative method, Jacobi, SOR

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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: Zubdahe Noor, Haseeb Athar

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In this article, first a relation for conditional expectation is developed and then is used to characterize a general class of distributions F(x) = 1-e^(-ah(x)) through conditional expectation of difference of pair of generalized order statistics. Some results are reduced for particular cases. In the end, a list of distributions is presented in the form of table that are compatible with the given general class.

Keywords: generalized order statistics, order statistics, record values, conditional expectation, characterization

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Authors: Nicolas Plamondon, Stuart Atkinson, Shuzi Zhou

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The insurance industry is usually not the first topic one has in mind when thinking about applications of data science. However, the use of data science in the finance and insurance industry is growing quickly for several reasons, including an abundance of reliable customer data, ferocious competition requiring more accurate pricing, etc. Among the top use cases of data science, we find pricing optimization, customer segmentation, customer risk assessment, fraud detection, marketing, and triage analytics. The objective of this paper is to present an application of the generalized additive model (GAM) on a commercial automobile insurance product: an individually rated commercial automobile. These are vehicles used for commercial purposes, but for which there is not enough volume to apply pricing to several vehicles at the same time. The GAM model was selected as an improvement over GLM for its ease of use and its wide range of applications. The model was trained using the largest split of the data to determine model parameters. The remaining part of the data was used as testing data to verify the quality of the modeling activity. We used the Gini coefficient to evaluate the performance of the model. For long-term monitoring, commonly used metrics such as RMSE and MAE will be used. Another topic of interest in the insurance industry is to process of producing the model. We will discuss at a high level the interactions between the different teams with an insurance company that needs to work together to produce a model and then monitor the performance of the model over time. Moreover, we will discuss the regulations in place in the insurance industry. Finally, we will discuss the maintenance of the model and the fact that new data does not come constantly and that some metrics can take a long time to become meaningful.

Keywords: insurance, data science, modeling, monitoring, regulation, processes

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Authors: Takashi Shimizu, Tomoaki Hashimoto

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A class of implicit systems is known as a more generalized class of systems than a class of explicit systems. To establish a control method for such a generalized class of systems, we adopt model predictive control method which is a kind of optimal feedback control with a performance index that has a moving initial time and terminal time. However, model predictive control method is inapplicable to systems whose all state variables are not exactly known. In other words, model predictive control method is inapplicable to systems with limited measurable states. In fact, it is usual that the state variables of systems are measured through outputs, hence, only limited parts of them can be used directly. It is also usual that output signals are disturbed by process and sensor noises. Hence, it is important to establish a state estimation method for nonlinear implicit systems with taking the process noise and sensor noise into consideration. To this purpose, we apply the model predictive control method and unscented Kalman filter for solving the optimization and estimation problems of nonlinear implicit systems, respectively. The objective of this study is to establish a model predictive control with unscented Kalman filter for nonlinear implicit systems.

Keywords: optimal control, nonlinear systems, state estimation, Kalman filter

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Authors: Muhammad Zeeshan

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This case study is about a 54 years man named Mr. U, referred to Capital Hospital, Islamabad, with the presenting complaints of Generalized Anxiety Disorder (GAD). Contrary to his complaints, the client reported psychological symptoms such as restlessness, low mood and fear of darkness and fear from closed places from the last 30 days. He also had a fear of death and his existence in the grave. His sleep was also disturbed due to excessive urination due to diabetes. He was also suffering from semantic symptoms such as headache, numbness of feet and pain in the chest and blockage of the nose. A complete history was taken and informal assessment (clinical interview and MSE) and formal testing (BAI) was applied that showed the clear diagnosis of Generalized Anxiety Disorder. CBT, relaxation techniques, prayer chart and behavioural techniques were applied for the treatment purposes.

Keywords: generalized anxiety disorder, presenting complaints, formal and informal assessment, diagnosis

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Authors: Weiping Liu

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This paper presents an equation to calculate stock prices of different growth model. This equation is mathematically derived by using discounted cash flow method. It has the advantages of being very easy to use and very accurate. It can still be used even when the first stage is lengthy. This equation is more generalized because it can be used for all the three popular stock price models. It can be programmed into financial calculator or electronic spreadsheets. In addition, it can be extended to a multistage model. It is more versatile and efficient than the traditional methods.

Keywords: stock price, multistage model, different growth model, discounted cash flow method

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Authors: Naushad Mamode Khan

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

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

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Authors: Kehinde Peter Oyeduntan, Kayode Oshinubi

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Nigeria is referred as the ‘Giant of Africa’ due to high population, land mass and large economy. However, it still trails far behind many smaller economies in the continent in terms of maritime operations. As we have seen that the maritime industry is the spark plug for national growth, because it houses the most crucial infrastructure that generates wealth for a nation, it is worrisome that a nation with six seaports lag in maritime activities. In this research, we have studied how the Gross Domestic Product (GDP) of the maritime transport influences the Nigerian economy. To do this, we applied Simple Linear Regression (SLR), Support Vector Machine (SVM), Polynomial Regression Model (PRM), Generalized Additive Model (GAM) and Generalized Linear Mixed Model (GLMM) to model the relationship between the nation’s Total GDP (TGDP) and the Maritime Transport GDP (MGDP) using a time series data of 20 years. The result showed that the MGDP is statistically significant to the Nigerian economy. Amongst the statistical tool applied, the PRM of order 4 describes the relationship better when compared to other methods. The recommendations presented in this study will guide policy makers and help improve the economy of Nigeria in terms of its GDP.

Keywords: maritime transport, economy, GDP, regression, port

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

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

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

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Authors: 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: Silvia Faroni, Olivier Le Courtois, Krzysztof Ostaszewski

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While a lot of research concentrates on the merits of VaR and TCE, which are the two most classic risk indicators used by financial institutions, little has been written on explaining why regulators favor the choice of VaR or TCE in their set of rules. In this paper, we investigate the preferences of regulators with the aim of understanding why, for instance, a VaR with a given confidence level is ultimately retained. Further, this paper provides equivalence rules that explain how a given choice of VaR can be equivalent to a given choice of TCE. Then, we introduce a new risk indicator that extends TCE by providing a more versatile weighting of the constituents of probability distribution tails. All of our results are illustrated using the generalized Pareto distribution.

Keywords: generalized pareto distribution, generalized tail conditional expectation, regulator preferences, risk measure

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