Search results for: model correlation

Authors: Piotr Fiszeder, Marcin Fałdziński, Peter Molnár

Abstract:

The dynamic conditional correlation model of Engle (2002) is one of the most popular multivariate volatility models. However, this model is based solely on closing prices. It has been documented in the literature that the high and low price of the day can be used in an efficient volatility estimation. We, therefore, suggest a model which incorporates high and low prices into the dynamic conditional correlation framework. Empirical evaluation of this model is conducted on three datasets: currencies, stocks, and commodity exchange-traded funds. The utilisation of realized variances and covariances as proxies for true variances and covariances allows us to reach a strong conclusion that our model outperforms not only the standard dynamic conditional correlation model but also a competing range-based dynamic conditional correlation model.

Keywords: volatility, DCC model, high and low prices, range-based models, covariance forecasting

Procedia PDF Downloads 147

Authors: Roger L. Goodwin

Abstract:

This paper presents a rank correlation curve. The traditional correlation coefficient is valid for both continuous variables and for integer variables using rank statistics. Since the correlation coefficient has already been established in rank statistics by Spearman, such a calculation can be extended to the correlation curve. This paper presents two survey questions. The survey collected non-continuous variables. We will show weak to moderate correlation. Obviously, one question has a negative effect on the other. A review of the qualitative literature can answer which question and why. The rank correlation curve shows which collection of responses has a positive slope and which collection of responses has a negative slope. Such information is unavailable from the flat, "first-glance" correlation statistics.

Keywords: Bayesian estimation, regression model, rank statistics, correlation, correlation curve

Procedia PDF Downloads 428

Authors: Okolie Chukwulozie Paul, Iwenofu Chinwe Onyedika, Sinebe Jude Ebieladoh, M. C. Nwosu

Abstract:

The research work is based on the statistical analysis of the processing data. The essence is to analyze the data statistically and to generate a design model for the production mix of soap manufacturing products in Bejoy manufacturing company Nkpologwu, Aguata Local Government Area, Anambra state, Nigeria. The statistical analysis shows the statistical analysis and the correlation of the data. T test, Partial correlation and bi-variate correlation were used to understand what the data portrays. The design model developed was used to model the data production yield and the correlation of the variables show that the R2 is 98.7%. However, the results confirm that the data is fit for further analysis and modeling. This was proved by the correlation and the R-squared.

Keywords: General Linear Model, correlation, variables, pearson, significance, T-test, soap, production mix and statistic

Procedia PDF Downloads 409

Authors: Ibrahim Suliman Hanaish

Abstract:

Disaggregation daily rainfall using stochastic models formulated based on multivariate approach (MuDRain) is discussed in this paper. Seven rain gauge stations are considered in this study for different distances from the referred station starting from 4 km to 160 km in Peninsular Malaysia. The hourly rainfall data used are covered the period from 1973 to 2008 and July and November months are considered as an example of dry and wet periods. The cross-correlation among the rain gauges is considered for the available hourly rainfall information at the neighboring stations or not. This paper discussed the applicability of the MuDRain model for disaggregation daily rainfall to hourly rainfall for both sources of cross-correlation. The goodness of fit of the model was based on the reproduction of fitting statistics like the means, variances, coefficients of skewness, lag zero cross-correlation of coefficients and the lag one auto correlation of coefficients. It is found the correlation coefficients based on extracted correlations that was based on daily are slightly higher than correlations based on available hourly rainfall especially for neighboring stations not more than 28 km. The results showed also the MuDRain model did not reproduce statistics very well. In addition, a bad reproduction of the actual hyetographs comparing to the synthetic hourly rainfall data. Mean while, it is showed a good fit between the distribution function of the historical and synthetic hourly rainfall. These discrepancies are unavoidable because of the lowest cross correlation of hourly rainfall. The overall performance indicated that the MuDRain model would not be appropriate choice for disaggregation daily rainfall.

Keywords: rainfall disaggregation, multivariate disaggregation rainfall model, correlation, stochastic model

Procedia PDF Downloads 465

Authors: Pouya Molana, Zeinab Alimohammadi

Abstract:

Determining wind wave characteristics is essential for implementing projects related to Coastal and Marine engineering such as designing coastal and marine structures, estimating sediment transport rates and coastal erosion rates in order to predict significant wave height (H_s), this study applies the third generation spectral wave model, Mike 21 SW, along with CEM model. For SW model calibration and verification, two data sets of meteorology and wave spectroscopy are used. The model was exposed to time-varying wind power and the results showed that difference ratio mean, standard deviation of difference ratio and correlation coefficient in SW model for H_s parameter are 1.102, 0.279 and 0.983, respectively. Whereas, the difference ratio mean, standard deviation and correlation coefficient in The Choice Experiment Method (CEM) for the same parameter are 0.869, 1.317 and 0.8359, respectively. Comparing these expected results it is revealed that the Choice Experiment Method CEM has more errors in comparison to MIKE 21 SW third generation spectral wave model and higher correlation coefficient does not necessarily mean higher accuracy.

Keywords: MIKE 21 SW, CEM method, significant wave height, difference ratio

Procedia PDF Downloads 362

Authors: A. P. Joshi, H. V. Warrior, J. P. Panda

Abstract:

This paper is a continuation of the work carried out by various turbulence modelers in Oceanography on the topic of oceanic turbulent mixing. It evaluates the evolution of ocean water temperature and salinity by the appropriate modeling of turbulent mixing utilizing proper prescription of eddy viscosity. Many modelers in past have suggested including terms like shear, buoyancy and vorticity to be the parameters that decide the slow pressure strain correlation. We add to it the fact that dissipation anisotropy also modifies the correlation through eddy viscosity parameterization. This recalibrates the established correlation constants slightly and gives improved results. This anisotropization of dissipation implies that the critical Richardson’s number increases much beyond unity (to 1.66) to accommodate enhanced mixing, as is seen in reality. The model is run for a couple of test cases in the General Ocean Turbulence Model (GOTM) and the results are presented here.

Keywords: Anisotropy, GOTM, pressure-strain correlation, Richardson critical number

Procedia PDF Downloads 141

Authors: A. Abdikian

Abstract:

Using the linearized quantum hydrodynamic model (QHD) and by considering the role of quantum parameter (Bohm’s potential) and electron exchange-correlation potential in conjunction with Maxwell’s equations, electromagnetic wave propagation in a single-walled carbon nanotubes was studied. The electronic excitations are described. By solving the mentioned equations with appropriate boundary conditions and by assuming the low-frequency electromagnetic waves, two general expressions of dispersion relations are derived for the transverse magnetic (TM) and transverse electric (TE) modes, respectively. The dispersion relations are analyzed numerically and it was found that the dependency of dispersion curves with the exchange-correlation effects (which have been ignored in previous works) in the low frequency would be limited. Moreover, it has been realized that asymptotic behaviors of the TE and TM modes are similar in single wall carbon nanotubes (SWCNTs). The results show that by adding the function of electron exchange-correlation potential lead to the phenomena and make to extend the validity range of QHD model. The results can be important in the study of collective phenomena in nanostructures.

Keywords: transverse magnetic, transverse electric, quantum hydrodynamic model, electron exchange-correlation potential, single-wall carbon nanotubes

Procedia PDF Downloads 424

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

Abstract:

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

Procedia PDF Downloads 626

Authors: Jingling Li, Yi Zhang, Wei Liang, Tao Cui, Jun Li

Abstract:

Compared with terrestrial network, the traffic of spatial information network has both self-similarity and short correlation characteristics. By studying its traffic prediction method, the resource utilization of spatial information network can be improved, and the method can provide an important basis for traffic planning of a spatial information network. In this paper, considering the accuracy and complexity of the algorithm, the spatial information network traffic is decomposed into approximate component with long correlation and detail component with short correlation, and a time series hybrid prediction model based on wavelet decomposition is proposed to predict the spatial network traffic. Firstly, the original traffic data are decomposed to approximate components and detail components by using wavelet decomposition algorithm. According to the autocorrelation and partial correlation smearing and truncation characteristics of each component, the corresponding model (AR/MA/ARMA) of each detail component can be directly established, while the type of approximate component modeling can be established by ARIMA model after smoothing. Finally, the prediction results of the multiple models are fitted to obtain the prediction results of the original data. The method not only considers the self-similarity of a spatial information network, but also takes into account the short correlation caused by network burst information, which is verified by using the measured data of a certain back bone network released by the MAWI working group in 2018. Compared with the typical time series model, the predicted data of hybrid model is closer to the real traffic data and has a smaller relative root means square error, which is more suitable for a spatial information network.

Keywords: spatial information network, traffic prediction, wavelet decomposition, time series model

Procedia PDF Downloads 108

Authors: P. S. Hsi, Y. F. Wang, Y. F. Ho, P. C. Hung

Abstract:

The aim of the present study was to explore the dermal exposure assessment model of chemicals that have been developed abroad and to evaluate the feasibility of chemical dermal exposure assessment model for manufacturing industry in Taiwan. We conducted and analyzed six semi-quantitative risk management tools, including UK - Control of substances hazardous to health ( COSHH ) Europe – Risk assessment of occupational dermal exposure ( RISKOFDERM ), Netherlands - Dose related effect assessment model ( DREAM ), Netherlands – Stoffenmanager ( STOFFEN ), Nicaragua-Dermal exposure ranking method ( DERM ) and USA / Canada - Public Health Engineering Department ( PHED ). Five types of manufacturing industry were selected to evaluate. The Monte Carlo simulation was used to analyze the sensitivity of each factor, and the correlation between the assessment results of each semi-quantitative model and the exposure factors used in the model was analyzed to understand the important evaluation indicators of the dermal exposure assessment model. To assess the effectiveness of the semi-quantitative assessment models, this study also conduct quantitative dermal exposure results using prediction model and verify the correlation via Pearson's test. Results show that COSHH was unable to determine the strength of its decision factor because the results evaluated at all industries belong to the same risk level. In the DERM model, it can be found that the transmission process, the exposed area, and the clothing protection factor are all positively correlated. In the STOFFEN model, the fugitive, operation, near-field concentrations, the far-field concentration, and the operating time and frequency have a positive correlation. There is a positive correlation between skin exposure, work relative time, and working environment in the DREAM model. In the RISKOFDERM model, the actual exposure situation and exposure time have a positive correlation. We also found high correlation with the DERM and RISKOFDERM models, with coefficient coefficients of 0.92 and 0.93 (p<0.05), respectively. The STOFFEN and DREAM models have poor correlation, the coefficients are 0.24 and 0.29 (p>0.05), respectively. According to the results, both the DERM and RISKOFDERM models are suitable for performance in these selected manufacturing industries. However, considering the small sample size evaluated in this study, more categories of industries should be evaluated to reduce its uncertainty and enhance its applicability in the future.

Keywords: dermal exposure, risk management, quantitative estimation, feasibility evaluation

Procedia PDF Downloads 140

Authors: O. P. Oladipo, O. A. Falode

Abstract:

The determination of Recovery Factor is of great importance to the reservoir engineer since it relates reserves to the initial oil in place. Reserves are the producible portion of reservoirs and give an indication of the profitability of a field Development. The core objective of this project is to develop an artificial neural network model using selected reservoir data to predict Recovery Factors (RF) of hydrocarbon reservoirs and compare the model with a couple of the existing correlations. The type of Artificial Neural Network model developed was the Single Layer Feed Forward Network. MATLAB was used as the network simulator and the network was trained using the supervised learning method, Afterwards, the network was tested with input data never seen by the network. The results of the predicted values of the recovery factors of the Artificial Neural Network Model, API Correlation for water drive reservoirs (Sands and Sandstones) and Guthrie and Greenberger Correlation Equation were obtained and compared. It was noted that the coefficient of correlation of the Artificial Neural Network Model was higher than the coefficient of correlations of the other two correlation equations, thus making it a more accurate prediction tool. The Artificial Neural Network, because of its accurate prediction ability is helpful in the correct prediction of hydrocarbon reservoir factors. Artificial Neural Network could be applied in the prediction of other Petroleum Engineering parameters because it is able to recognise complex patterns of data set and establish a relationship between them.

Keywords: recovery factor, reservoir, reserves, artificial neural network, hydrocarbon, MATLAB, API, Guthrie, Greenberger

Procedia PDF Downloads 406

Authors: Wei Yang, Xiaohui Cui, Weiping Zhu, Liqun Liu

Abstract:

The rapid development of the Confucius Institute is attracting more and more attention from mainstream media around the world. Mainstream media plays a large role in public information dissemination and public opinion. This study presents efforts to analyze the correlation and functional relationship between domestic and foreign mainstream media by analyzing the amount of reports on the Confucius Institute. Three kinds of correlation calculation methods, the Pearson correlation coefficient (PCC), the Spearman correlation coefficient (SCC), and the Kendall rank correlation coefficient (KCC), were applied to analyze the correlations among mainstream media from three regions: mainland of China; Hong Kong and Macao (the two special administration regions of China denoted as SARs); and overseas countries excluding China, such as the United States, England, and Canada. Further, the paper measures the functional relationships among the regions using a regression model. The experimental analyses found high correlations among mainstream media from the different regions. Additionally, we found that there is a linear relationship between the mainstream media of overseas countries and those of the SARs by analyzing the amount of reports on the Confucius Institute based on a data set obtained by crawling the websites of 106 mainstream media during the years 2004 to 2014.

Keywords: mainstream media, Confucius institute, correlation analysis, regression model

Procedia PDF Downloads 286

Authors: Nureni O. Adeboye, Dawud A. Agunbiade

Abstract:

This research attempts to investigate the effects of heteroscedasticity and periodicity in a Panel Data Regression Model (PDRM) by extending previous works on balanced panel data estimation within the context of fitting PDRM for Banks audit fee. The estimation of such model was achieved through the derivation of Joint Lagrange Multiplier (LM) test for homoscedasticity and zero-serial correlation, a conditional LM test for zero serial correlation given heteroscedasticity of varying degrees as well as conditional LM test for homoscedasticity given first order positive serial correlation via a two-way error component model. Monte Carlo simulations were carried out for 81 different variations, of which its design assumed a uniform distribution under a linear heteroscedasticity function. Each of the variation was iterated 1000 times and the assessment of the three estimators considered are based on Variance, Absolute bias (ABIAS), Mean square error (MSE) and the Root Mean Square (RMSE) of parameters estimates. Eighteen different models at different specified conditions were fitted, and the best-fitted model is that of within estimator when heteroscedasticity is severe at either zero or positive serial correlation value. LM test results showed that the tests have good size and power as all the three tests are significant at 5% for the specified linear form of heteroscedasticity function which established the facts that Banks operations are severely heteroscedastic in nature with little or no periodicity effects.

Keywords: audit fee lagrange multiplier test, heteroscedasticity, lagrange multiplier test, Monte-Carlo scheme, periodicity

Procedia PDF Downloads 113

Authors: Razieh Khalafi

Abstract:

Myocardial infarction (MI) or acute myocardial infarction (AMI), commonly known as a heart attack, occurs when blood flow stops to part of the heart causing damage to the heart muscle. An ECG can often show evidence of a previous heart attack or one that's in progress. The patterns on the ECG may indicate which part of your heart has been damaged, as well as the extent of the damage. In chaos theory, the correlation dimension is a measure of the dimensionality of the space occupied by a set of random points, often referred to as a type of fractal dimension. In this research by considering ECG signal as a random walk we work on forecasting the oncoming heart attack by analyzing the ECG signals using the correlation dimension. In order to test the model a set of ECG signals for patients before and after heart attack was used and the strength of model for forecasting the behavior of these signals were checked. Results shows this methodology can forecast the ECG and accordingly heart attack with high accuracy.

Keywords: heart attack, ECG, random walk, correlation dimension, forecasting

Procedia PDF Downloads 501

Authors: Razi Khalafi

Abstract:

Myocardial Infarction (MI) or acute Myocardial Infarction (AMI), commonly known as a heart attack, occurs when blood flow stops to part of the heart causing damage to the heart muscle. An ECG can often show evidence of a previous heart attack or one that's in progress. The patterns on the ECG may indicate which part of your heart has been damaged, as well as the extent of the damage. In chaos theory, the correlation dimension is a measure of the dimensionality of the space occupied by a set of random points, often referred to as a type of fractal dimension. In this research by considering ECG signal as a random walk we work on forecasting the oncoming heart attack by analysing the ECG signals using the correlation dimension. In order to test the model a set of ECG signals for patients before and after heart attack was used and the strength of model for forecasting the behaviour of these signals were checked. Results show this methodology can forecast the ECG and accordingly heart attack with high accuracy.

Keywords: heart attack, ECG, random walk, correlation dimension, forecasting

Procedia PDF Downloads 465

Authors: Leila Momenzadeh, Alexander V. Evteev, Elena V. Levchenko, Tanvir Ahmed, Irina Belova, Graeme Murch

Abstract:

In this work, the phonon thermal conductivity of f.c.c. Al is investigated in detail in the temperature range 100 – 900 K within the framework of equilibrium molecular dynamics simulations making use of the Green-Kubo formalism and one of the most reliable embedded-atom method potentials. It is found that the heat current auto-correlation function of the f.c.c. Al model demonstrates a two-stage temporal decay similar to the previously observed for f.c.c Cu model. After the first stage of decay, the heat current auto-correlation function of the f.c.c. Al model demonstrates a peak in the temperature range 100-800 K. The intensity of the peak decreases as the temperature increases. At 900 K, it transforms to a shoulder. To describe the observed two-stage decay of the heat current auto-correlation function of the f.c.c. Al model, we employ decomposition model recently developed for phonon-mediated thermal transport in a monoatomic lattice. We found that the electronic contribution to the total thermal conductivity of f.c.c. Al dominates over the whole studied temperature range. However, the phonon contribution to the total thermal conductivity of f.c.c. Al increases as temperature decreases. It is about 1.05% at 900 K and about 12.5% at 100 K.

Keywords: aluminum, gGreen-Kubo formalism, molecular dynamics, phonon thermal conductivity

Procedia PDF Downloads 383

Authors: Agnieszka Dudzik

Abstract:

The problem of correlation between random variables in the structural reliability analysis has been extensively discussed in literature on the subject. The cases taken under consideration were usually related to correlation between random variables from one side of ultimate limit state: correlation between particular loads applied on structure or correlation between resistance of particular members of a structure as a system. It has been proved that positive correlation between these random variables reduces the reliability of structure and increases the probability of failure. In the paper, the problem of correlation between random variables from both side of the limit state equation will be taken under consideration. The simplest case where these random variables are of the normal distributions will be concerned. The case when a degree of that correlation is described by the covariance or the coefficient of correlation will be used. Special attention will be paid on questions: how much that correlation changes the reliability level and can it be ignored. In reliability analysis will be used well-known methods for assessment of the failure probability: based on the Hasofer-Lind reliability index and Monte Carlo method adapted to the problem of correlation. The main purpose of this work will be a presentation how correlation of random variables influence on reliability index of steel bar structures. Structural design parameters will be defined as deterministic values and random variables. The latter will be correlated. The criterion of structural failure will be expressed by limit functions related to the ultimate and serviceability limit state. In the description of random variables will be used only for the normal distribution. Sensitivity of reliability index to the random variables will be defined. If the reliability index sensitivity due to the random variable X will be low when compared with other variables, it can be stated that the impact of this variable on failure probability is small. Therefore, in successive computations, it can be treated as a deterministic parameter. Sensitivity analysis leads to simplify the description of the mathematical model, determine the new limit functions and values of the Hasofer-Lind reliability index. In the examples, the NUMPRESS software will be used in the reliability analysis.

Keywords: correlation of random variables, reliability index, sensitivity of reliability index, steel structure

Procedia PDF Downloads 204

Authors: Anderson Ngowa Chembe, John Olukuru

Abstract:

Greenhouse emissions by human activities are known to irreversibly increase global temperatures through the greenhouse effect. This study seeks to propose a mortality model with sensitivity to heat-change effects as one of the underlying parameters in the model. As such, the study sought to establish the relationship between greenhouse emissions and mortality indices in five OECD countries (USA, UK, Japan, Canada & Germany). Upon the establishment of the relationship using correlation analysis, an additional parameter that accounts for the sensitivity of heat-changes to mortality rates was incorporated in the Lee-Carter model. Based on the proposed model, new parameter estimates were calculated using iterative algorithms for optimization. Finally, the goodness of fit for the original Lee-Carter model and the proposed model were compared using deviance comparison. The proposed model provides a better fit to mortality rates especially in USA, UK and Germany where the mortality indices have a strong positive correlation with the level of greenhouse emissions. The results of this study are of particular importance to actuaries, demographers and climate-risk experts who seek to use better mortality-modeling techniques in the wake of heat effects caused by increased greenhouse emissions.

Keywords: climate risk, greenhouse emissions, Lee-Carter model, OECD

Procedia PDF Downloads 309

Authors: Reena Murali, David Peter S.

Abstract:

The small interfering RNA (siRNA) alters the regulatory role of mRNA during gene expression by translational inhibition. Recent studies shows that up regulation of mRNA cause serious diseases like Cancer. So designing effective siRNA with good knockdown effects play an important role in gene silencing. Various siRNA design tools had been developed earlier. In this work, we are trying to analyze the existing good scoring second generation siRNA predicting tools and to optimize the efficiency of siRNA prediction by designing a computational model using Artificial Neural Network and whole stacking energy (ΔG), which may help in gene silencing and drug design in cancer therapy. Our model is trained and tested against a large data set of siRNA sequences. Validation of our results is done by finding correlation coefficient of experimental versus observed inhibition efficacy of siRNA. We achieved a correlation coefficient of 0.727 in our previous computational model and we could improve the correlation coefficient up to 0.753 when the threshold of whole tacking energy is greater than or equal to -32.5 kcal/mol.

Keywords: artificial neural network, double stranded RNA, RNA interference, short interfering RNA

Procedia PDF Downloads 500

Authors: Yuyang Cheng, Marcos Escobar-Anel

Abstract:

This paper introduces a multivariate 4/2 stochastic covariance process generalizing the one-dimensional counterparts presented in Grasselli (2017). Our construction permits stochastic correlation not only among stocks but also among volatilities, also known as co-volatility movements, both driven by more convenient 4/2 stochastic structures. The parametrization is flexible enough to separate these types of correlation, permitting their individual study. Conditions for proper changes of measure and closed-form characteristic functions under risk-neutral and historical measures are provided, allowing for applications of the model to risk management and derivative pricing. We apply the model to an expected utility theory problem in incomplete markets. Our analysis leads to closed-form solutions for the optimal allocation and value function. Conditions are provided for well-defined solutions together with a verification theorem. Our numerical analysis highlights and separates the impact of key statistics on equity portfolio decisions, in particular, volatility, correlation, and co-volatility movements, with the latter being the least important in an incomplete market.

Keywords: stochastic covariance process, 4/2 stochastic volatility model, stochastic co-volatility movements, characteristic function, expected utility theory, verication theorem

Procedia PDF Downloads 122

Authors: S. Channgam, A. Sae-Tang, T. Termsaithong

Abstract:

In this research, the occurrences of large size events in various system sizes of the Bak-Tang-Wiesenfeld sandpile model are considered. The system sizes (square lattice) of model considered here are 25×25, 50×50, 75×75 and 100×100. The cross-correlation between the ratio of sites containing 3 grain time series and the large size event time series for these 4 system sizes are also analyzed. Moreover, a prediction method of the large-size event for the 50×50 system size is also introduced. Lastly, it can be shown that this prediction method provides a slightly higher efficiency than random predictions.

Keywords: Bak-Tang-Wiesenfeld sandpile model, cross-correlation, avalanches, prediction method

Procedia PDF Downloads 349

Authors: Mehrnaz Alibeikloo, Hadi Khabbaz, Behzad Fatahi

Abstract:

Probabilistic analysis has become one of the most popular methods to quantify and manage geotechnical risks due to the spatial variability of soil input parameters. The correlation length is one of the key factors of quantifying spatial variability of soil parameters which is defined as a distance within which the random variables are correlated strongly. This paper aims to assess the impact of correlation length on the long-term settlement of soft soils improved with preloading. The concept of 'worst-case' spatial correlation length was evaluated by determining the probability of failure of a real case study of Vasby test fill. For this purpose, a finite difference code was developed based on axisymmetric consolidation equations incorporating the non-linear elastic visco-plastic model and the Karhunen-Loeve expansion method. The results show that correlation length has a significant impact on the post-construction settlement of soft soils in a way that by increasing correlation length, probability of failure increases and the approach to asymptote.

Keywords: Karhunen-Loeve expansion, probability of failure, soft soil settlement, 'worst case' spatial correlation length

Procedia PDF Downloads 135

Authors: Timothée Bligny, Clément Codron, Antoine Estruch, Nicolas Girodet, Clément Ginet

Abstract:

Collateralized Debt Obligations are not as widely used nowadays as they were before 2007 Subprime crisis. Nonetheless there remains an enthralling challenge to optimize cash flows associated with synthetic CDOs. A Gaussian-based model is used here in which default correlation and unconditional probabilities of default are highlighted. Then numerous simulations are performed based on this model for different scenarios in order to evaluate the associated cash flows given a specific number of defaults at different periods of time. Cash flows are not solely calculated on a single bought or sold tranche but rather on a combination of bought and sold tranches. With some assumptions, the simplex algorithm gives a way to find the maximum cash flow according to correlation of defaults and maturities. The used Gaussian model is not realistic in crisis situations. Besides present system does not handle buying or selling a portion of a tranche but only the whole tranche. However the work provides the investor with relevant elements on how to know what and when to buy and sell.

Keywords: synthetic collateralized debt obligation (CDO), credit default swap (CDS), cash flow optimization, probability of default, default correlation, strategies, simulation, simplex

Procedia PDF Downloads 241

Authors: İsmail Ay

Abstract:

In this study, it was aimed to determine the relations between need for psychological help and psychological symptoms. The sample of the study consists of 530 university students getting educated in University of Atatürk in 2015-2016 academic years. Need for Psychological Help Scale and Brief Symptom Inventory were used to collect data in the study. In data analysis, correlation analysis and structural equation model with latent variables were used. Normality and homogeneity analyses were used to analyze the basic conditions of parametric tests. The findings obtained from the study show that as the psychological symptoms increase, need for psychological help also increases. The findings obtained through the study were approached according to the literature.

Keywords: psychological symptoms, need for psychological help, structural equation model, correlation

Procedia PDF Downloads 336

Authors: Tokuei Sako

Abstract:

The ground and low-lying singly-excited states of He and He-like atomic ions have been studied by the Full Configuration Interaction (FCI) method focusing on the angular correlation between two electrons in the studied systems. The two-electron angle density distribution obtained by integrating the square-modulus of the FCI wave function over the coordinates other than the interelectronic angle shows a distinct trend between the singlet-triplet pair of states for different values of the nuclear charge Zn. Further, both of these singlet and triplet distributions tend to show an increasingly stronger dependence on the interelectronic angle as Zn increases, in contrast to the well-known fact that the correlation energy approaches towards zero for increasing Zn. This controversial observation has been rationalized on the basis of the recently introduced concept of so-called conjugate Fermi holes.

Keywords: He-like systems, angular correlation, configuration interaction wave function, conjugate Fermi hole

Procedia PDF Downloads 384

Authors: Nelson Nenuwe

Abstract:

The behavior of interacting electrons in one dimension was studied by calculating correlation functions and critical exponents at zero and external magnetic fields for arbitrary band filling. The technique employed in this study is based on the conformal field theory (CFT). The charge and spin degrees of freedom are separated, and described by two independent conformal theories. A detailed comparison of the t-J model with the repulsive Hubbard model was then undertaken with emphasis on their Tomonaga-Luttinger (TL) liquid properties. Near half-filling the exponents of the t-J model take the values of the strong-correlation limit of the Hubbard model, and in the low-density limit the exponents are those of a non-interacting system. The critical exponents obtained in this study belong to the repulsive TL liquid (conducting phase) and attractive TL liquid (superconducting phase). The theoretical results from this study find applications in one-dimensional organic conductors (TTF-TCNQ), organic superconductors (Bechgaard salts) and carbon nanotubes (SWCNTs, DWCNTs and MWCNTs). For instance, the critical exponent at from this study is consistent with the experimental result from optical and photoemission evidence of TL liquid in one-dimensional metallic Bechgaard salt- (TMTSF)2PF6.

Keywords: critical exponents, conformal field theory, Hubbard model, t-J model

Procedia PDF Downloads 313

Authors: Zongyan Li, Matt Best

Abstract:

This paper presents an optimization method for reducing the number of input channels and the complexity of the feed-forward NARX neural network (NN) without compromising the accuracy of the NN model. By utilizing the correlation analysis method, the most significant regressors are selected to form the input layer of the NN structure. An application of vehicle dynamic model identification is also presented in this paper to demonstrate the optimization technique and the optimal input layer structure and the optimal number of neurons for the neural network is investigated.

Keywords: correlation analysis, F-ratio, levenberg-marquardt, MSE, NARX, neural network, optimisation

Procedia PDF Downloads 339

Authors: L. Q. Yuan, J. Yang, A. Siddiqui

Abstract:

A new regression uncertainty analysis methodology was applied to determine the uncertainties of the critical heat flux (CHF) power correlation for an advanced 43-element bundle design, which was developed by Canadian Nuclear Laboratories (CNL) to achieve improved economics, resource utilization and energy sustainability. The new methodology is considered more appropriate than the traditional methodology in the assessment of the experimental uncertainty associated with regressions. The methodology was first assessed using both the Monte Carlo Method (MCM) and the Taylor Series Method (TSM) for a simple linear regression model, and then extended successfully to a non-linear CHF power regression model (CHF power as a function of inlet temperature, outlet pressure and mass flow rate). The regression uncertainty assessed by MCM agrees well with that by TSM. An equation to evaluate the CHF power regression uncertainty was developed and expressed as a function of independent variables that determine the CHF power.

Keywords: CHF experiment, CHF correlation, regression uncertainty, Monte Carlo Method, Taylor Series Method

Procedia PDF Downloads 387

Authors: Wafaa Salah, Mostafa A. Salama, Jane Doe

Abstract:

Recently, the corporate social performance (CSP) is not less important than the corporate financial performance (CFP). Debate still exists about the nature of the relationship between the CSP and CFP, whether it is a positive, negative or a neutral correlation. The objective of this study is to explore the relationship between corporate social responsibility (CSR) reports and CFP. The study uses the accounting-based and market-based quantitative measures to quantify the financial performance of seven organizations listed on the Egyptian Stock Exchange in 2007-2014. Then uses the information retrieval technologies to quantify the contribution of each of the three dimensions of the corporate social responsibility report (environmental, social and economic). Finally, the correlation between these two sets of variables is viewed together in a model to detect the correlations between them. This model is applied on seven firms that generate social responsibility reports. The results show a positive correlation between the Earnings per share (market based measure) and the economical dimension in the CSR report. On the other hand, total assets and property, plant and equipment (accounting-based measure) are positively correlated to the environmental and social dimensions of the CSR reports. While there is not any significant relationship between ROA, ROE, Operating income and corporate social responsibility. This study contributes to the literature by providing more clarification of the relationship between CFP and the isolated CSR activities in a developing country.

Keywords: financial, social, machine learning, corporate social performance, corporate social responsibility

Procedia PDF Downloads 278

Authors: Karim Hamidi Machekposhti, Hossein Sedghi

Abstract:

This study was designed to find the best stochastic model (using of time series analysis) for annual extreme streamflow (peak and maximum streamflow) of Karkheh River at Iran. The Auto-regressive Integrated Moving Average (ARIMA) model used to simulate these series and forecast those in future. For the analysis, annual extreme streamflow data of Jelogir Majin station (above of Karkheh dam reservoir) for the years 1958–2005 were used. A visual inspection of the time plot gives a little increasing trend; therefore, series is not stationary. The stationarity observed in Auto-Correlation Function (ACF) and Partial Auto-Correlation Function (PACF) plots of annual extreme streamflow was removed using first order differencing (d=1) in order to the development of the ARIMA model. Interestingly, the ARIMA(4,1,1) model developed was found to be most suitable for simulating annual extreme streamflow for Karkheh River. The model was found to be appropriate to forecast ten years of annual extreme streamflow and assist decision makers to establish priorities for water demand. The Statistical Analysis System (SAS) and Statistical Package for the Social Sciences (SPSS) codes were used to determinate of the best model for this series.

Keywords: stochastic models, ARIMA, extreme streamflow, Karkheh river

Procedia PDF Downloads 120