Search results for: kurtosis

Authors: Alexander N. Pisarchik, Parth Chholak

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Intrinsic brain noise was estimated via magneto-encephalograms (MEG) recorded during perception of flickering visual stimuli with frequencies of 6.67 and 8.57 Hz. First, we measured the mean phase difference between the flicker signal and steady-state event-related field (SSERF) in the occipital area where the brain response at the flicker frequencies and their harmonics appeared in the power spectrum. Then, we calculated the probability distribution of the phase fluctuations in the regions of frequency locking and computed its kurtosis. Since kurtosis is a measure of the distribution’s sharpness, we suppose that inverse kurtosis is related to intrinsic brain noise. In our experiments, the kurtosis value varied among subjects from K = 3 to K = 5 for 6.67 Hz and from 2.6 to 4 for 8.57 Hz. The majority of subjects demonstrated leptokurtic kurtosis (K < 3), i.e., the distribution tails approached zero more slowly than Gaussian. In addition, we found a strong correlation between kurtosis and brain complexity measured as the correlation dimension, so that the MEGs of subjects with higher kurtosis exhibited lower complexity. The obtained results are discussed in the framework of nonlinear dynamics and complex network theories. Specifically, in a network of coupled oscillators, phase synchronization is mainly determined by two antagonistic factors, noise, and the coupling strength. While noise worsens phase synchronization, the coupling improves it. If we assume that each neuron and each synapse contribute to brain noise, the larger neuronal network should have stronger noise, and therefore phase synchronization should be worse, that results in smaller kurtosis. The described method for brain noise estimation can be useful for diagnostics of some brain pathologies associated with abnormal brain noise.

Keywords: brain, flickering, magnetoencephalography, MEG, visual perception, perception time

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Authors: Henry Ogbemudia Omoregbee, Mabel Usunobun Olanipekun

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Debris fault diagnosis based on acoustic signals in rolling element bearing running at low speed and high radial loads are more of low amplitudes, particularly in the case of debris faults whose signals necessitate high sensitivity analyses. As the rollers in the bearing roll over debris trapped in grease used to lubricate the bearings, the envelope signal created by amplitude demodulation carries additional diagnostic information that is not available through ordinary spectrum analysis of the raw signal. The kurtosis value obtained for three different scenarios (debris induced, outer crack induced, and a normal good bearing) couldn't be used to easily identify whether the used bearings were defective or not. It was established in this work that the envelope spectrum analysis detected the fault signature and its harmonics induced in the debris bearings when bandpass filtering of the raw signal with the frequency band specified by kurtogram and spectral kurtosis was made.

Keywords: rolling bearings, rolling element bearing noise, bandpass filtering, harmonics, envelope spectrum analysis, spectral kurtosis

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Authors: S. Gao, S. Srirattayawong

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In this study, a computational fluid dynamics (CFD) model has been developed for studying the effect of surface roughness profile on the EHL problem. The cylinders contact geometry, meshing and calculation of the conservation of mass and momentum equations are carried out by using the commercial software packages ICEMCFD and ANSYS Fluent. The user defined functions (UDFs) for density, viscosity and elastic deformation of the cylinders as the functions of pressure and temperature have been defined for the CFD model. Three different surface roughness profiles are created and incorporated into the CFD model. It is found that the developed CFD model can predict the characteristics of fluid flow and heat transfer in the EHL problem, including the leading parameters such as the pressure distribution, minimal film thickness, viscosity, and density changes. The obtained results show that the pressure profile at the center of the contact area directly relates to the roughness amplitude. The rough surface with kurtosis value over 3 influences the fluctuated shape of pressure distribution higher than other cases.

Keywords: CFD, EHL, kurtosis, surface roughness

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Diego Saqui, José H. Saito, José R. Campos, Lúcio A. de C. Jorge

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Hyperspectral images and remote sensing are important for many applications. A problem in the use of these images is the high volume of data to be processed, stored and transferred. Dimensionality reduction techniques can be used to reduce the volume of data. In this paper, an approach to band selection based on clustering algorithms is presented. This approach allows to reduce the volume of data. The proposed structure is based on Fuzzy C-Means (or K-Means) and NWHFC algorithms. New attributes in relation to other studies in the literature, such as kurtosis and low correlation, are also considered. A comparison of the results of the approach using the Fuzzy C-Means and K-Means with different attributes is performed. The use of both algorithms show similar good results but, particularly when used attributes variance and kurtosis in the clustering process, however applicable in hyperspectral images.

Keywords: band selection, fuzzy c-means, k-means, hyperspectral image

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Authors: Faisal Alshammari, Abdulmajid Addali, Mosab Alrashed, Taihiret Alhashan

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The application of acoustic emission techniques is gaining popularity, as it can monitor the condition of gears and bearings and detect early symptoms of a defect in the form of pitting, wear, and flaking of surfaces. Early detection of these defects is essential as it helps to avoid major failures and the associated catastrophic consequences. Signal processing techniques are required for early defect detection – in this article, a time domain technique called the Energy Index (EI) is used. This article presents an investigation into the Energy Index’s effectiveness to detect early-stage defect initiation and deterioration, and compares it with the common r.m.s. index, Kurtosis, and the Kolmogorov-Smirnov statistical test. It is concluded that EI is a more effective technique for monitoring defect initiation and development than other statistical parameters.

Keywords: acoustic emission, signal processing, kurtosis, Kolmogorov-Smirnov test

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Authors: Santanu Chattopadhyay, Gautam Sarkar, Arabinda Das

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This paper presents wavelet based classification of various heart diseases. Electrocardiogram signals of different heart patients have been studied. Statistical natures of electrocardiogram signals for different heart diseases have been compared with the statistical nature of electrocardiograms for normal persons. Under this study four different heart diseases have been considered as follows: Myocardial Ischemia (MI), Congestive Heart Failure (CHF), Arrhythmia and Sleep Apnea. Statistical nature of electrocardiograms for each case has been considered in terms of kurtosis values of two types of wavelet coefficients: approximate and detail. Nine wavelet decomposition levels have been considered in each case. Kurtosis corresponding to both approximate and detail coefficients has been considered for decomposition level one to decomposition level nine. Based on significant difference, few decomposition levels have been chosen and then used for classification.

Keywords: arrhythmia, congestive heart failure, discrete wavelet transform, electrocardiogram, myocardial ischemia, sleep apnea

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Authors: Tawfik Thelaidjia, Salah Chenikher

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Bearing fault diagnosis has attracted significant attention over the past few decades. It consists of two major parts: vibration signal feature extraction and condition classification for the extracted features. In this paper, feature extraction from faulty bearing vibration signals is performed by a combination of the signal’s Kurtosis and features obtained through the preprocessing of the vibration signal samples using Db2 discrete wavelet transform at the fifth level of decomposition. In this way, a 7-dimensional vector of the vibration signal feature is obtained. After feature extraction from vibration signal, the support vector machine (SVM) was applied to automate the fault diagnosis procedure. To improve the classification accuracy for bearing fault prediction, particle swarm optimization (PSO) is employed to simultaneously optimize the SVM kernel function parameter and the penalty parameter. The results have shown feasibility and effectiveness of the proposed approach

Keywords: condition monitoring, discrete wavelet transform, fault diagnosis, kurtosis, machine learning, particle swarm optimization, roller bearing, rotating machines, support vector machine, vibration measurement

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Authors: Mai A. Ibrahim, Mohammed El-Beltagy, Motaz Khorshid

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Emerging Markets return distributions have shown significance departure from normality were they are characterized by fatter tails relative to the normal distribution and exhibit levels of skewness and kurtosis that constitute a significant departure from normality. Therefore, the classical Markowitz Mean-Variance is not applicable for emerging markets since it assumes normally-distributed returns (with zero skewness and kurtosis) and a quadratic utility function. Moreover, the Markowitz mean-variance analysis can be used in cases of moderate non-normality and it still provides a good approximation of the expected utility, but it may be ineffective under large departure from normality. Higher moments models and median models have been suggested in the literature for asset allocation in this case. Higher moments models have been introduced to account for the insufficiency of the description of a portfolio by only its first two moments while the median model has been introduced as a robust statistic which is less affected by outliers than the mean. Tail risk measures such as Value-at Risk (VaR) and Conditional Value-at-Risk (CVaR) have been introduced instead of Variance to capture the effect of risk. In this research, higher moment models including the Mean-Variance-Skewness (MVS) and Mean-Variance-Skewness-Kurtosis (MVSK) are formulated as single-objective non-linear programming problems (NLP) and median models including the Median-Value at Risk (MedVaR) and Median-Mean Absolute Deviation (MedMAD) are formulated as a single-objective mixed-integer linear programming (MILP) problems. The higher moment models and median models are compared to some benchmark portfolios and tested on real financial data in the Egyptian main Index EGX30. The results show that all the median models outperform the higher moment models were they provide higher final wealth for the investor over the entire period of study. In addition, the results have confirmed the inapplicability of the classical Markowitz Mean-Variance to the Egyptian stock market as it resulted in very low realized profits.

Keywords: Egyptian stock exchange, emerging markets, higher moment models, median models, mixed-integer linear programming, non-linear programming

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Authors: B. Siva Kumar Reddy, B. Lakshmi

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WiMAX is a high speed broadband wireless access technology that adopted OFDM/OFDMA techniques to supply higher data rates with high spectral efficiency. However, OFDM suffers in view of high Peak to Average Power Ratio (PAPR) and high affect to synchronization errors. In this paper, the high PAPR problem is solved by using phase modulation to get Constant Envelop Orthogonal Frequency Division Multiplexing (CE-OFDM). The synchronization failures are brought down by employing a frequency lock loop, Poly phase clock synchronizer, Costas loop and blind equalizers such as Constant Modulus Algorithm (CMA) equalizer and Sign Kurtosis Maximization Adaptive Algorithm (SKMAA) equalizers. The WiMAX physical layer is executed on Software Defined Radio (SDR) prototype by utilizing USRP N210 as hardware and GNU Radio as software plat-forms. A SNR estimation is performed on the signal received through USRP N210. To empathize wireless propagation in specific environments, a sliding correlator wireless channel sounding system is designed by using SDR testbed.

Keywords: BER, CMA equalizer, Kurtosis equalizer, GNU Radio, OFDM/OFDMA, USRP N210

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Authors: Matteo Gentilucci, Marco Materazzi, Gilberto Pambianchi

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Climate change is an increasingly central issue in the world, because it affects many of human activities. In this context regional studies are of great importance because they sometimes differ from the general trend. This research focuses on a small area of central Italy which overlooks the Adriatic Sea, the province of Macerata. The aim is to analyze space-based climate changes, for precipitation and temperatures, in the last 3 climatological standard normals (1961-1990; 1971-2000; 1981-2010) through GIS software. The data collected from 30 weather stations for temperature and 61 rain gauges for precipitation were subject to quality controls: validation and homogenization. These data were fundamental for the spatialization of the variables (temperature and precipitation) through geostatistical techniques. To assess the best geostatistical technique for interpolation, the results of cross correlation were used. The co-kriging method with altitude as independent variable produced the best cross validation results for all time periods, among the methods analysed, with 'root mean square error standardized' close to 1, 'mean standardized error' close to 0, 'average standard error' and 'root mean square error' with similar values. The maps resulting from the analysis were compared by subtraction between rasters, producing 3 maps of annual variation and three other maps for each month of the year (1961/1990-1971/2000; 1971/2000-1981/2010; 1961/1990-1981/2010). The results show an increase in average annual temperature of about 0.1°C between 1961-1990 and 1971-2000 and 0.6 °C between 1961-1990 and 1981-2010. Instead annual precipitation shows an opposite trend, with an average difference from 1961-1990 to 1971-2000 of about 35 mm and from 1961-1990 to 1981-2010 of about 60 mm. Furthermore, the differences in the areas have been highlighted with area graphs and summarized in several tables as descriptive analysis. In fact for temperature between 1961-1990 and 1971-2000 the most areally represented frequency is 0.08°C (77.04 Km² on a total of about 2800 km²) with a kurtosis of 3.95 and a skewness of 2.19. Instead, the differences for temperatures from 1961-1990 to 1981-2010 show a most areally represented frequency of 0.83 °C, with -0.45 as kurtosis and 0.92 as skewness (36.9 km²). Therefore it can be said that distribution is more pointed for 1961/1990-1971/2000 and smoother but more intense in the growth for 1961/1990-1981/2010. In contrast, precipitation shows a very similar shape of distribution, although with different intensities, for both variations periods (first period 1961/1990-1971/2000 and second one 1961/1990-1981/2010) with similar values of kurtosis (1st = 1.93; 2nd = 1.34), skewness (1st = 1.81; 2nd = 1.62 for the second) and area of the most represented frequency (1st = 60.72 km²; 2nd = 52.80 km²). In conclusion, this methodology of analysis allows the assessment of small scale climate change for each month of the year and could be further investigated in relation to regional atmospheric dynamics.

Keywords: climate change, GIS, interpolation, co-kriging

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Authors: Nilson Barbieri, Bruno Matos Martins, Gabriel de Sant'Anna Vitor Barbieri

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In more complex systems, such as automotive gearbox, a rigorous treatment of the data is necessary because there are several moving parts (gears, bearings, shafts, etc.), and in this way, there are several possible sources of errors and also noise. The basic objective of this work is the detection of damage in automotive gearbox. The detection methods used are the wavelet method, the bispectrum; advanced filtering techniques (selective filtering) of vibrational signals and mathematical morphology. Gearbox vibration tests were performed (gearboxes in good condition and with defects) of a production line of a large vehicle assembler. The vibration signals are obtained using five accelerometers in different positions of the sample. The results obtained using the kurtosis, bispectrum, wavelet and mathematical morphology showed that it is possible to identify the existence of defects in automotive gearboxes.

Keywords: automotive gearbox, mathematical morphology, wavelet, bispectrum

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Authors: Alexandre Gurchumelia, Luca Sorriso-Valvo, David Burgess, Khatuna Elbakidze, Oleg Kharshiladze, Diana Kvaratskhelia

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The terrestrial magnetosheath is a highly turbulent medium, with a high level of magnetic1field fluctuations throughout a broad range of scales. These often include an inertial range where a2magnetohydrodynamic turbulent cascade is observed. The multifractal properties of the turbulent3cascade, strictly related to intermittency, are observed here during the transition from quasi-parallel to4quasi-perpendicular magnetic field with respect to the bow-shock normal. The different multifractal5behavior in the two regions is analyzed. A standard coarse-graining technique has been used6to evaluate the generalized dimensions and the corresponding multifractal spectrumf(α). A7p-model fit provided a quantitative measure of multifractality and intermittency, to be compared with8standard indicators: the width of the multifractal spectrum, the peak of the kurtosis, and its scaling9exponent. Results show a clear transition and sharp differences in the intermittency properties for the two regions.

Keywords: magnetos heath, turbulence, multifractal, instabilities

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Authors: Kajingulu Malandala, Ranganai Edmore

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The asymmetric Laplace distribution (ADL) is commonly used as the likelihood function of the Bayesian quantile regression, and it offers different families of likelihood method for quantile regression. Notwithstanding their popularity and practicality, ADL is not smooth and thus making it difficult to maximize its likelihood. Furthermore, Bayesian inference is time consuming and the selection of likelihood may mislead the inference, as the Bayes theorem does not automatically establish the posterior inference. Furthermore, ADL does not account for greater skewness and Kurtosis. This paper develops a new aspect of quantile regression approach for count data based on inverse of the cumulative density function of the Poisson, binomial and Delaporte distributions using the integrated nested Laplace Approximations. Our result validates the benefit of using the integrated nested Laplace Approximations and support the approach for count data.

Keywords: quantile regression, Delaporte distribution, count data, integrated nested Laplace approximation

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Authors: Rachid Belhachemi, Pierre Rostan, Alexandra Rostan

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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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Authors: Rafida M. Elobaid

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Most of the literature on goodness-of-fit test try to provide a theoretical basis for studying empirical distribution functions. Such goodness-of-fit tests are Kolmogorove-Simirnov and Crumer-Von Mises Type tests. However, it is likely that most of literature has not focused in details on the relationship of the values of the test statistics and skewness or kurtosis. The aim of this study is to investigate the behavior of the values of the χ2 test statistic with the variation of the skewness of right skewed distribution. A simulation study is conducted to generate random numbers from Weibull distribution. For a fixed sample sizes, different levels of skewness are considered, and the corresponding values of the χ2 test statistic are calculated. Using different sample sizes, the results show an inverse relationship between the value of χ2 test and the level of skewness for Wiebull distribution, i.e the value of χ2 test statistic decreases as the value of skewness increases. The research results also show that with large values of skewness we are more confident that the data follows the assumed distribution. Nonparametric Kendall τ test is used to confirm these results.

Keywords: goodness-of-fit test, chi-square test, simulation, continuous right skewed distributions

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Authors: Youhang Zhou, Weimin Zeng, Qi Xie

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Abstract: In order to solve the wear recognition problem of the machine tool guide surface, a new machine tool guide surface recognition method based on the radar-graph barycentre feature is presented in this paper. Firstly, the gray mean value, skewness, projection variance, flat degrees and kurtosis features of the guide surface image data are defined as primary characteristics. Secondly, data Visualization technology based on radar graph is used. The visual barycentre graphical feature is demonstrated based on the radar plot of multi-dimensional data. Thirdly, a classifier based on the support vector machine technology is used, the radar-graph barycentre feature and wear original feature are put into the classifier separately for classification and comparative analysis of classification and experiment results. The calculation and experimental results show that the method based on the radar-graph barycentre feature can detect the guide surface effectively.

Keywords: guide surface, wear defects, feature extraction, data visualization

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Authors: Jucelia Appio, Danielle Deimling De Carli, Bruno Henrique Rocha Fernandes, Nelson Natalino Frizon

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The purpose of this paper is to investigate if there are positive and significant correlations between the dimensions of Person-Environment Fit (Person-Job, Person-Organization, Person-Group and Person-Supervisor) at the “Best Companies to Work for” in Brazil in 2017. For that, a quantitative approach was used with a descriptive method being defined as a research sample the "150 Best Companies to Work for", according to data base collected in 2017 and provided by Fundação Instituto of Administração (FIA) of the University of São Paulo (USP). About the data analysis procedures, asymmetry and kurtosis, factorial analysis, Kaiser-Meyer-Olkin (KMO) tests, Bartlett sphericity and Cronbach's alpha were used for the 69 research variables, and as a statistical technique for the purpose of analyzing the hypothesis, Pearson's correlation analysis was performed. As a main result, we highlight that there was a positive and significant correlation between the dimensions of Person-Environment Fit, corroborating the H1 hypothesis that there is a positive and significant correlation between Person-Job Fit, Person-Organization Fit, Person-Group Fit and Person-Supervisor Fit.

Keywords: Human Resource Management (HRM), Person-Environment Fit (PE), strategic people management, best companies to work for

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Authors: Mayowa Philips Ibitola, Abe Oluwaseun Banji, Olorunfemi Akinade-Solomon

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A total of 20 bottom sediment samples were collected from the Lekki Lagoon during the wet and dry season. The study was carried out to determine the textural characteristics, sediment distribution pattern and energy of transportation within the lagoon system. The sediment grain sizes and depth profiling was analyzed using dry sieving method and MATLAB algorithm for processing. The granulometric reveals fine grained sand both for the wet and dry season with an average mean value of 2.03 ϕ and -2.88 ϕ, respectively. Sediments were moderately sorted with an average inclusive standard deviation of 0.77 ϕ and -0.82 ϕ. Skewness varied from strongly coarse and near symmetrical 0.34- ϕ and 0.09 ϕ. The kurtosis average value was 0.87 ϕ and -1.4 ϕ (platykurtic and leptokurtic). Entirely, the bathymetry shows an average depth of 4.0 m. The deepest and shallowest area has a depth of 11.2 m and 0.5 m, respectively. High concentration of fine sand was observed at deep areas compared to the shallow areas during wet and dry season. Statistical parameter results show that the overall sediments are sorted, and deposited under low energy condition over a long distance. However, sediment distribution and sediment transport pattern of Lekki Lagoon is controlled by a low energy current and the down slope configuration of the bathymetry enhances the sorting and the deposition rate in the Lekki Lagoon.

Keywords: Lekki Lagoon, Marine sediment, bathymetry, grain size distribution

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Authors: Jayanta Pokharel, Gokarna Aryal, Netra Kanaal, Chris Tsokos

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Investment in stocks and shares aims to seek potential gains while weighing the risk of future needs, such as retirement, children's education etc. Analysis of the behavior of the stock market returns and making prediction is important for investors to mitigate risk on investment. Historically, the normal variance models have been used to describe the behavior of stock market returns. However, the returns of the financial assets are actually skewed with higher kurtosis, heavier tails, and a higher center than the normal distribution. The Laplace distribution and its family are natural candidates for modeling stock returns. The Variance-Gamma (VG) distribution is the most sought-after distributions for modeling asset returns and has been extensively discussed in financial literatures. In this paper, it explore the other Laplace family, such as Asymmetric Laplace, Skewed Laplace, Kumaraswamy Laplace (KS) together with Variance-Gamma to model the weekly returns of the S&P 500 Index and it's eleven business sector indices. The method of maximum likelihood is employed to estimate the parameters of the distributions and our empirical inquiry shows that the Kumaraswamy Laplace distribution performs much better for stock returns modeling among the choice of distributions used in this study and in practice, KS can be used as a strong alternative to VG distribution.

Keywords: stock returns, variance-gamma, kumaraswamy laplace, maximum likelihood

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Authors: Youngsun Moon, Yeong-Ju Go, Jong-Soo Choi

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Most drones that currently have surveillance/reconnaissance missions are basically equipped with optical equipment, but we also need to use a microphone array to estimate the location of the acoustic source. This can provide additional information in the absence of optical equipment. The purpose of this study is to estimate Direction of Arrival (DOA) based on Time Difference of Arrival (TDOA) estimation of the acoustic source in the drone. The problem is that it is impossible to measure the clear target acoustic source because of the drone noise. To overcome this problem is to separate the drone noise and the target acoustic source using Blind Source Separation(BSS) based on Independent Component Analysis(ICA). ICA can be performed assuming that the drone noise and target acoustic source are independent and each signal has non-gaussianity. For maximized non-gaussianity each signal, we use Negentropy and Kurtosis based on probability theory. As a result, we can improve TDOA estimation and DOA estimation of the target source in the noisy environment. We simulated the performance of the DOA algorithm applying BSS algorithm, and demonstrated the simulation through experiment at the anechoic wind tunnel.

Keywords: aeroacoustics, acoustic source detection, time difference of arrival, direction of arrival, blind source separation, independent component analysis, drone

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Authors: Mahya Naghipoor

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Purpose: Non-small cell lung cancer (NSCLC) is the most common lung cancer type. Epidermal growth factor receptor (EGFR) mutation is the main reason which causes NSCLC. Computed tomography (CT) is used for diagnosis and prognosis of lung cancers because of low price and little invasion. Semantic analyses of qualitative CT features are based on visual evaluation by radiologist. However, the naked eye ability may not assess all image features. On the other hand, radiomics provides the opportunity of quantitative analyses for CT images features. The aim of this review study was comparing accuracy of semantic and radiomics features in prognosis of EGFR mutation in NSCLC. Methods: For this purpose, the keywords including: non-small cell lung cancer, epidermal growth factor receptor mutation, semantic, radiomics, feature, receiver operating characteristics curve (ROC) and area under curve (AUC) were searched in PubMed and Google Scholar. Totally 29 papers were reviewed and the AUC of ROC analyses for semantic and radiomics features were compared. Results: The results showed that the reported AUC amounts for semantic features (ground glass opacity, shape, margins, lesion density and presence or absence of air bronchogram, emphysema and pleural effusion) were %41-%79. For radiomics features (kurtosis, skewness, entropy, texture, standard deviation (SD) and wavelet) the AUC values were found %50-%86. Conclusions: In conclusion, the accuracy of radiomics analysis is a little higher than semantic in prognosis of EGFR mutation in NSCLC.

Keywords: lung cancer, radiomics, computer tomography, mutation

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Authors: M. A. Alqahtani, D. P. Coleman, N. D. Pugh, L. D. M. Nokes

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In diagnostic ultrasound, the echo graphic B-scan texture is an important area of investigation since it can be analyzed to characterize the histological state of internal tissues. An important factor requiring consideration when evaluating ultrasonic tissue texture is the depth. The effect of attenuation with depth of ultrasound, the size of the region of interest, gain, and dynamic range are important variables to consider as they can influence the analysis of texture features. These sources of variability have to be considered carefully when evaluating image texture as different settings might influence the resultant image. The aim of this study is to investigate the effect of depth on the texture features in-vivo using a 3D ultrasound probe. The left leg medial head of the gastrocnemius muscle of 10 healthy subjects were scanned. Two regions A and B were defined at different depth within the gastrocnemius muscle boundary. The size of both ROI’s was 280*20 pixels and the distance between region A and B was kept constant at 5 mm. Texture parameters include gray level, variance, skewness, kurtosis, co-occurrence matrix; run length matrix, gradient, autoregressive (AR) model and wavelet transform were extracted from the images. The paired t –test was used to test the depth effect for the normally distributed data and the Wilcoxon–Mann-Whitney test was used for the non-normally distributed data. The gray level, variance, and run length matrix were significantly lowered when the depth increased. The other texture parameters showed similar values at different depth. All the texture parameters showed no significant difference between depths A and B (p > 0.05) except for gray level, variance and run length matrix (p < 0.05). This indicates that gray level, variance, and run length matrix are depth dependent.

Keywords: ultrasound image, texture parameters, computational biology, biomedical engineering

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Authors: Faisal AlShammari, Abdulmajid Addali, Mosab Alrashed

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It is widely acknowledged that bearing failures are the primary reason for breakdowns in rotating machinery. These failures are extremely costly, particularly in terms of lost production. Roller bearings are widely used in industrial machinery and need to be maintained in good condition to ensure the continuing efficiency, effectiveness, and profitability of the production process. The research presented here is an investigation of the use of acoustic emission (AE) to monitor bearing conditions at low speeds. Many machines, particularly large, expensive machines operate at speeds below 100 rpm, and such machines are important to the industry. However, the overwhelming proportion of studies have investigated the use of AE techniques for condition monitoring of higher-speed machines (typically several hundred rpm, or even higher). Few researchers have investigated the application of these techniques to low-speed machines ( < 100 rpm). This paper addressed this omission and has established which, of the available, AE techniques are suitable for the detection of incipient faults and measurement of fault growth in low-speed bearings. The first objective of this paper program was to assess the applicability of AE techniques to monitor low-speed bearings. It was found that the measured statistical parameters successfully monitored bearing conditions at low speeds (10-100 rpm). The second objective was to identify which commonly used statistical parameters derived from the AE signal (RMS, kurtosis, amplitude and counts) could identify the onset of a fault in the out race. It was found that these parameters effectually identify the presence of a small fault seeded into the outer races. Also, it is concluded that rotational speed has a strong influence on the measured AE parameters but that they are entirely independent of the load under such load and speed conditions.

Keywords: acoustic emission, condition monitoring, NDT, statistical analysis

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Authors: Gong Zhilin, Jing Yang, Jian Yin

Abstract:

The purpose of this paper is to develop a novel system for credit card fraud detection based on sequential modeling of data using hybrid deep learning models. The projected model encapsulates five major phases are pre-processing, imbalance-data handling, feature extraction, optimal feature selection, and fraud detection with an ensemble classifier. The collected raw data (input) is pre-processed to enhance the quality of the data through alleviation of the missing data, noisy data as well as null values. The pre-processed data are class imbalanced in nature, and therefore they are handled effectively with the K-means clustering-based SMOTE model. From the balanced class data, the most relevant features like improved Principal Component Analysis (PCA), statistical features (mean, median, standard deviation) and higher-order statistical features (skewness and kurtosis). Among the extracted features, the most optimal features are selected with the Self-improved Arithmetic Optimization Algorithm (SI-AOA). This SI-AOA model is the conceptual improvement of the standard Arithmetic Optimization Algorithm. The deep learning models like Long Short-Term Memory (LSTM), Convolutional Neural Network (CNN), and optimized Quantum Deep Neural Network (QDNN). The LSTM and CNN are trained with the extracted optimal features. The outcomes from LSTM and CNN will enter as input to optimized QDNN that provides the final detection outcome. Since the QDNN is the ultimate detector, its weight function is fine-tuned with the Self-improved Arithmetic Optimization Algorithm (SI-AOA).

Keywords: credit card, data mining, fraud detection, money transactions

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

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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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Authors: Oliver Ikechukwu Inyiama, Boniface Uche Ugwuanyi

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The aim of the research is to evaluate the key financial performance indicators that help both managers and their shareholders of Nigerian Banks to determine the appropriate dividend payout to their ordinary shareholders in an accounting year. Profitability, total asset, and earnings of commercial banks were selected as key performance indicators in Nigeria Banking Sector. They represent the independent variables of the study while dividend per share is the proxy for the dividend paid on ordinary shares which represent the dependent variable. The effect of profitability, total asset and earnings on dividend per share were evaluated through the ordinary least square method of multiple regression analysis. Test for normality of frequency distribution was conducted through descriptive statistics such as Jacque Bera Statistic, skewness and kurtosis. Rate of dividend payout was subsequently applied as an alternate dependent variable to test for robustness of the earlier results. The 64% adjusted R-squared of the pooled data indicates that profitability, total asset, and earnings explain the variation in dividend per share during the period under research while the remaining 36% variation in dividend per share could be explained by changes in other variables not captured by this study as well as the error term. The study concentrated on four leading Nigeria Commercial Banks namely; First Bank of Nigeria Plc, GTBank Plc, United Bank for Africa Plc and Zenith International Bank Plc. Dividend per share was found to be positively affected by total assets and earnings of the commercial banks. However, profitability which was proxied by profit after tax had a negative effect on dividend per share. The implication of the findings is that commercial banks in Nigeria pay more dividend when they are having a dwindling fortune in order to retain the confidence of the shareholders provided their gross earnings and size is on the increase. Therefore, the management and board of directors of Nigeria commercial banks should apply decent marketing strategies to enhance earnings through investment in profitable ventures for an improved dividend payout rate.

Keywords: assets, banks, indicators, performance, profitability, shares

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Authors: Zuzanna Miodonska, Michal Krecichwost, Pawel Badura

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Sigmatism (lisping) is a speech disorder in which sibilant consonants are mispronounced. The diagnosis of this phenomenon is usually based on the auditory assessment. However, the progress in speech analysis techniques creates a possibility of developing computer-aided sigmatism diagnosis tools. The aim of the study is to statistically verify whether specific acoustic features of sibilant sounds may be related to pronunciation correctness. Such knowledge can be of great importance while implementing classifiers and designing novel tools for automatic sibilants pronunciation evaluation. The study covers analysis of various speech signal measures, including features proposed in the literature for the description of normative sibilants realization. Amplitudes and frequencies of three fricative formants (FF) are extracted based on local spectral maxima of the friction noise. Skewness, kurtosis, four normalized spectral moments (SM) and 13 mel-frequency cepstral coefficients (MFCC) with their 1st and 2nd derivatives (13 Delta and 13 Delta-Delta MFCC) are included in the analysis as well. The resulting feature vector contains 51 measures. The experiments are performed on the speech corpus containing words with selected sibilant sounds (/ʃ, ʒ/) pronounced by 60 preschool children with proper pronunciation or with natural pathologies. In total, 224 /ʃ/ segments and 191 /ʒ/ segments are employed in the study. The Mann-Whitney U test is employed for the analysis of stigmatism and normative pronunciation. Statistically, significant differences are obtained in most of the proposed features in children divided into these two groups at p < 0.05. All spectral moments and fricative formants appear to be distinctive between pathology and proper pronunciation. These metrics describe the friction noise characteristic for sibilants, which makes them particularly promising for the use in sibilants evaluation tools. Correspondences found between phoneme feature values and an expert evaluation of the pronunciation correctness encourage to involve speech analysis tools in diagnosis and therapy of sigmatism. Proposed feature extraction methods could be used in a computer-assisted stigmatism diagnosis or therapy systems.

Keywords: computer-aided pronunciation evaluation, sigmatism diagnosis, speech signal analysis, statistical verification

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Authors: Melik Kara, Gulsah Tulger Kara

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The soil is a crucial component of the ecosystem, and in industrial and urban areas it receives large amounts of trace elements from several sources. Therefore, accumulated pollutants in surface soils can be transported to different environmental components, such as deep soil, water, plants, and dust particles. While elemental contamination of soils is caused mainly by atmospheric deposition, soil also affects the air quality since enriched trace elemental contents in atmospheric particulate matter originate from resuspension of polluted soils. The objectives of this study were to determine the total and leachate concentrations of trace elements in soils of city area in Izmir and characterize their spatial distribution and to identify the possible sources of trace elements in surface soils. The surface soil samples were collected from 20 sites. They were analyzed for total element concentrations and leachate concentrations. Analyses of trace elements (Ag, Al, As, B, Ba, Be, Bi, Ca, Cd, Ce, Co, Cr, Cs, Cu, Dy, Er, Eu, Fe, Ga, Gd, Hf, Ho, K, La, Li, Lu, Mg, Mn, Mo, Na, Nd, Ni, P, Pb, Pr, Rb, Sb, Sc, Se, Si, Sm, Sn, Sr, Tb, Th, Ti, Tl, Tm, U, V, W, Y, Yb, Zn and Zr) were carried out using ICP-MS (Inductively Coupled Plasma-Mass Spectrometer). The elemental concentrations were calculated along with overall median, kurtosis, and skewness statistics. Elemental composition indicated that the soil samples were dominated by crustal elements such as Si, Al, Fe, Ca, K, Mg and the sea salt element, Na which is typical for Aegean region. These elements were followed by Ti, P, Mn, Ba and Sr. On the other hand, Zn, Cr, V, Pb, Cu, and Ni (which are anthropogenic based elements) were measured as 61.6, 39.4, 37.9, 26.9, 22.4, and 19.4 mg/kg dw, respectively. The leachate element concentrations were showed similar sorting although their concentrations were much lower than total concentrations. In the study area, the spatial distribution patterns of elemental concentrations varied among sampling sites. The highest concentrations were measured in the vicinity of industrial areas and main roads. To determine the relationships among elements and to identify the possible sources, PCA (Principal Component Analysis) was applied to the data. The analysis resulted in six factors. The first factor exhibited high loadings of Co, K, Mn, Rb, V, Al, Fe, Ni, Ga, Se, and Cr. This factor could be interpreted as residential heating because of Co, K, Rb, and Se. The second factor associated positively with V, Al, Fe, Na, Ba, Ga, Sr, Ti, Se, and Si. Therefore, this factor presents mixed city dust. The third factor showed high loadings with Fe, Ni, Sb, As, Cr. This factor could be associated with industrial facilities. The fourth factor associated with Cu, Mo, Zn, Sn which are the marker elements of traffic. The fifth factor presents crustal dust, due to its high correlation with Si, Ca, and Mg. The last factor is loaded with Pb and Cd emitted from industrial activities.

Keywords: trace elements, surface soil, source apportionment, Izmir

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Authors: Yao Cheng, Weihua Zhang

Abstract:

Although the measured vibration signal contains rich information on machine health conditions, the white noise interferences and the discrete harmonic coming from blade, shaft and mash make the fault diagnosis of rolling element bearings difficult. In order to overcome the interferences of useless signals, a new fault diagnosis method combining Complete Ensemble Empirical Mode Decomposition with adaptive noise (CEEMDAN) and Multipoint Optimal Minimum Entropy Deconvolution (MOMED) is proposed for the fault diagnosis of high-speed train bearings. Firstly, the CEEMDAN technique is applied to adaptively decompose the raw vibration signal into a series of finite intrinsic mode functions (IMFs) and a residue. Compared with Ensemble Empirical Mode Decomposition (EEMD), the CEEMDAN can provide an exact reconstruction of the original signal and a better spectral separation of the modes, which improves the accuracy of fault diagnosis. An effective sensitivity index based on the Pearson's correlation coefficients between IMFs and raw signal is adopted to select sensitive IMFs that contain bearing fault information. The composite signal of the sensitive IMFs is applied to further analysis of fault identification. Next, for propose of identifying the fault information precisely, the MOMED is utilized to enhance the periodic impulses in composite signal. As a non-iterative method, the MOMED has better deconvolution performance than the classical deconvolution methods such Minimum Entropy Deconvolution (MED) and Maximum Correlated Kurtosis Deconvolution (MCKD). Third, the envelope spectrum analysis is applied to detect the existence of bearing fault. The simulated bearing fault signals with white noise and discrete harmonic interferences are used to validate the effectiveness of the proposed method. Finally, the superiorities of the proposed method are further demonstrated by high-speed train bearing fault datasets measured from test rig. The analysis results indicate that the proposed method has strong practicability.

Keywords: bearing, complete ensemble empirical mode decomposition with adaptive noise, fault diagnosis, multipoint optimal minimum entropy deconvolution

Procedia PDF Downloads 364