Search results for: multivariate calibration
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1062

Search results for: multivariate calibration

912 Variation in the Traditional Knowledge of Curcuma longa L. in North-Eastern Algeria

Authors: A. Bouzabata, A. Boukhari

Abstract:

Curcuma longa L. (Zingiberaceae), commonly known as turmeric, has a long history of traditional uses for culinary purposes as a spice and a food colorant. The present study aimed to document the ethnobotanical knowledge about Curcuma longa and to assess the variation in the herbalists’ experience in Northeastern Algeria. Data were collected by semi-structured questionnaires and direct interviews with 30 herbalists. Ethnobotanical indices, including the fidelity level (FL%), the relative frequency citation (RFC) and use value (UV) were determined by quantitative methods. Diversity in the knowledge was analyzed using univariate, non-parametric and multivariate statistical methods. Three main categories of uses were recorded for C. longa: for food, for medicine and for cosmetic purposes. As a medicine, turmeric was used for the treatment of gastrointestinal, dermatological and hepatic diseases. Medicinal and food uses were correlated with both forms of use (rhizome and powder). The age group did not influence the use. Multivariate analyses showed a significant variation in traditional knowledge, associated with the use value, origin, quality and efficacy of the drug. These findings suggested that the geographical origin of C. longa affected the use in Algeria.

Keywords: curcuma, indices, knowledge, variation

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911 Comparison and Validation of a dsDNA biomimetic Quality Control Reference for NGS based BRCA CNV analysis versus MLPA

Authors: A. Delimitsou, C. Gouedard, E. Konstanta, A. Koletis, S. Patera, E. Manou, K. Spaho, S. Murray

Abstract:

Background: There remains a lack of International Standard Control Reference materials for Next Generation Sequencing-based approaches or device calibration. We have designed and validated dsDNA biomimetic reference materials for targeted such approaches incorporating proprietary motifs (patent pending) for device/test calibration. They enable internal single-sample calibration, alleviating sample comparisons to pooled historical population-based data assembly or statistical modelling approaches. We have validated such an approach for BRCA Copy Number Variation analytics using iQRS™-CNVSUITE versus Mixed Ligation-dependent Probe Amplification. Methods: Standard BRCA Copy Number Variation analysis was compared between mixed ligation-dependent probe amplification and next generation sequencing using a cohort of 198 breast/ovarian cancer patients. Next generation sequencing based copy number variation analysis of samples spiked with iQRS™ dsDNA biomimetics were analysed using proprietary CNVSUITE software. Mixed ligation-dependent probe amplification analyses were performed on an ABI-3130 Sequencer and analysed with Coffalyser software. Results: Concordance of BRCA – copy number variation events for mixed ligation-dependent probe amplification and CNVSUITE indicated an overall sensitivity of 99.88% and specificity of 100% for iQRS™-CNVSUITE. The negative predictive value of iQRS-CNVSUITE™ for BRCA was 100%, allowing for accurate exclusion of any event. The positive predictive value was 99.88%, with no discrepancy between mixed ligation-dependent probe amplification and iQRS™-CNVSUITE. For device calibration purposes, precision was 100%, spiking of patient DNA demonstrated linearity to 1% (±2.5%) and range from 100 copies. Traditional training was supplemented by predefining the calibrator to sample cut-off (lock-down) for amplicon gain or loss based upon a relative ratio threshold, following training of iQRS™-CNVSUITE using spiked iQRS™ calibrator and control mocks. BRCA copy number variation analysis using iQRS™-CNVSUITE™ was successfully validated and ISO15189 accredited and now enters CE-IVD performance evaluation. Conclusions: The inclusion of a reference control competitor (iQRS™ dsDNA mimetic) to next generation sequencing-based sequencing offers a more robust sample-independent approach for the assessment of copy number variation events compared to mixed ligation-dependent probe amplification. The approach simplifies data analyses, improves independent sample data analyses, and allows for direct comparison to an internal reference control for sample-specific quantification. Our iQRS™ biomimetic reference materials allow for single sample copy number variation analytics and further decentralisation of diagnostics to single patient sample assessment.

Keywords: validation, diagnostics, oncology, copy number variation, reference material, calibration

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910 Detection of Abnormal Process Behavior in Copper Solvent Extraction by Principal Component Analysis

Authors: Kirill Filianin, Satu-Pia Reinikainen, Tuomo Sainio

Abstract:

Frequent measurements of product steam quality create a data overload that becomes more and more difficult to handle. In the current study, plant history data with multiple variables was successfully treated by principal component analysis to detect abnormal process behavior, particularly, in copper solvent extraction. The multivariate model is based on the concentration levels of main process metals recorded by the industrial on-stream x-ray fluorescence analyzer. After mean-centering and normalization of concentration data set, two-dimensional multivariate model under principal component analysis algorithm was constructed. Normal operating conditions were defined through control limits that were assigned to squared score values on x-axis and to residual values on y-axis. 80 percent of the data set were taken as the training set and the multivariate model was tested with the remaining 20 percent of data. Model testing showed successful application of control limits to detect abnormal behavior of copper solvent extraction process as early warnings. Compared to the conventional techniques of analyzing one variable at a time, the proposed model allows to detect on-line a process failure using information from all process variables simultaneously. Complex industrial equipment combined with advanced mathematical tools may be used for on-line monitoring both of process streams’ composition and final product quality. Defining normal operating conditions of the process supports reliable decision making in a process control room. Thus, industrial x-ray fluorescence analyzers equipped with integrated data processing toolbox allows more flexibility in copper plant operation. The additional multivariate process control and monitoring procedures are recommended to apply separately for the major components and for the impurities. Principal component analysis may be utilized not only in control of major elements’ content in process streams, but also for continuous monitoring of plant feed. The proposed approach has a potential in on-line instrumentation providing fast, robust and cheap application with automation abilities.

Keywords: abnormal process behavior, failure detection, principal component analysis, solvent extraction

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909 Running the Athena Vortex Lattice Code in JAVA through the Java Native Interface

Authors: Paul Okonkwo, Howard Smith

Abstract:

This paper describes a methodology to integrate the Athena Vortex Lattice Aerodynamic Software for automated operation in a multivariate optimisation of the Blended Wing Body Aircraft. The Athena Vortex Lattice code developed at the Massachusetts Institute of Technology allows for the aerodynamic analysis of aircraft using the vortex lattice method. Ordinarily, the Athena Vortex Lattice operation requires a text file containing the aircraft geometry to be loaded into the AVL solver in order to determine the aerodynamic forces and moments. However, automated operation will be required to enable integration into a multidisciplinary optimisation framework. Automated AVL operation within the JAVA design environment will nonetheless require a modification and recompilation of AVL source code into an executable file capable of running on windows and other platforms without the –X11 libraries. This paper describes the procedure for the integrating the FORTRAN written AVL software for automated operation within the multivariate design synthesis optimisation framework for the conceptual design of the BWB aircraft.

Keywords: aerodynamics, automation, optimisation, AVL, JNI

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908 Development and Validation of a Carbon Dioxide TDLAS Sensor for Studies on Fermented Dairy Products

Authors: Lorenzo Cocola, Massimo Fedel, Dragiša Savić, Bojana Danilović, Luca Poletto

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An instrument for the detection and evaluation of gaseous carbon dioxide in the headspace of closed containers has been developed in the context of Packsensor Italian-Serbian joint project. The device is based on Tunable Diode Laser Absorption Spectroscopy (TDLAS) with a Wavelength Modulation Spectroscopy (WMS) technique in order to accomplish a non-invasive measurement inside closed containers of fermented dairy products (yogurts and fermented cheese in cups and bottles). The purpose of this instrument is the continuous monitoring of carbon dioxide concentration during incubation and storage of products over a time span of the whole shelf life of the product, in the presence of different microorganisms. The instrument’s optical front end has been designed to be integrated in a thermally stabilized incubator. An embedded computer provides processing of spectral artifacts and storage of an arbitrary set of calibration data allowing a properly calibrated measurement on many samples (cups and bottles) of different shapes and sizes commonly found in the retail distribution. A calibration protocol has been developed in order to be able to calibrate the instrument on the field also on containers which are notoriously difficult to seal properly. This calibration protocol is described and evaluated against reference measurements obtained through an industry standard (sampling) carbon dioxide metering technique. Some sets of validation test measurements on different containers are reported. Two test recordings of carbon dioxide concentration evolution are shown as an example of instrument operation. The first demonstrates the ability to monitor a rapid yeast growth in a contaminated sample through the increase of headspace carbon dioxide. Another experiment shows the dissolution transient with a non-saturated liquid medium in presence of a carbon dioxide rich headspace atmosphere.

Keywords: TDLAS, carbon dioxide, cups, headspace, measurement

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907 Optimal Maintenance Policy for a Partially Observable Two-Unit System

Authors: Leila Jafari, Viliam Makis, G. B. Akram Khaleghei

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In this paper, we present a maintenance model of a two-unit series system with economic dependence. Unit#1, which is considered to be more expensive and more important, is subject to condition monitoring (CM) at equidistant, discrete time epochs and unit#2, which is not subject to CM, has a general lifetime distribution. The multivariate observation vectors obtained through condition monitoring carry partial information about the hidden state of unit#1, which can be in a healthy or a warning state while operating. Only the failure state is assumed to be observable for both units. The objective is to find an optimal opportunistic maintenance policy minimizing the long-run expected average cost per unit time. The problem is formulated and solved in the partially observable semi-Markov decision process framework. An effective computational algorithm for finding the optimal policy and the minimum average cost is developed and illustrated by a numerical example.

Keywords: condition-based maintenance, semi-Markov decision process, multivariate Bayesian control chart, partially observable system, two-unit system

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906 Study of Sub-Surface Flow in an Unconfined Carbonate Aquifer in a Tropical Karst Area in Indonesia: A Modeling Approach Using Finite Difference Groundwater Model

Authors: Dua K. S. Y. Klaas, Monzur A. Imteaz, Ika Sudiayem, Elkan M. E. Klaas, Eldav C. M. Klaas

Abstract:

Due to its porous nature, karst terrains – geomorphologically developed from dissolved formations, is vulnerable to water shortage and deteriorated water quality. Therefore, a solid comprehension on sub-surface flow of karst landscape is essential to assess the long-term availability of groundwater resources. In this paper, a single-continuum model using a finite difference model, MODLFOW, was constructed to represent an unconfined carbonate aquifer in a tropical karst island of Rote in Indonesia. The model, spatially discretized in 20 x 20 m grid cells, was calibrated and validated using available groundwater level and atmospheric variables. In the calibration and validation steps, Parameter Estimation (PEST) and geostatistical pilot point methods were employed to estimate hydraulic conductivity and specific yield values. The results show that the model is able to represent the sub-surface flow indicated by good model performances both in calibration and validation steps. The final model can be used as a robust representation of the system for future study on climate and land use scenarios.

Keywords: carbonate aquifer, karst, sub-surface flow, groundwater model

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905 The Use of Multivariate Statistical and GIS for Characterization Groundwater Quality in Laghouat Region, Algeria

Authors: Rouighi Mustapha, Bouzid Laghaa Souad, Rouighi Tahar

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Due to rain Shortage and the increase of population in the last years, wells excavation and groundwater use for different purposes had been increased without any planning. This is a great challenge for our country. Moreover, this scarcity of water resources in this region is unfortunately combined with rapid fresh water resources quality deterioration, due to salinity and contamination processes. Therefore, it is necessary to conduct the studies about groundwater quality in Algeria. In this work consists in the identification of the factors which influence the water quality parameters in Laghouat region by using statistical analysis Principal Component Analysis (PCA), Hierarchical Cluster Analysis (HCA) and geographic information system (GIS) in an attempt to discriminate the sources of the variation of water quality variations. The results of PCA technique indicate that variables responsible for water quality composition are mainly related to soluble salts variables; natural processes and the nature of the rock which modifies significantly the water chemistry. Inferred from the positive correlation between K+ and NO3-, NO3- is believed to be human induced rather than naturally originated. In this study, the multivariate statistical analysis and GIS allows the hydrogeologist to have supplementary tools in the characterization and evaluating of aquifers.

Keywords: cluster, analysis, GIS, groundwater, laghouat, quality

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904 Modelling Operational Risk Using Extreme Value Theory and Skew t-Copulas via Bayesian Inference

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

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

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

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903 Process Optimization of Mechanochemical Synthesis for the Production of 4,4 Bipyridine Based MOFS using Twin Screw Extrusion and Multivariate Analysis

Authors: Ahmed Metawea, Rodrigo Soto, Majeida Kharejesh, Gavin Walker, Ahmad B. Albadarin

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In this study, towards a green approach, we have investigated the effect of operating conditions of solvent assessed twin-screw extruder (TSE) for the production of 4, 4-bipyridine (1-dimensional coordinated polymer (1D)) based coordinated polymer using cobalt nitrate as a metal precursor with molar ratio 1:1. Different operating parameters such as solvent percentage, screw speed and feeding rate are considered. The resultant product is characterized using offline characterization methods, namely Powder X-ray diffraction (PXRD), Raman spectroscopy and scanning electron microscope (SEM) in order to investigate the product purity and surface morphology. A lower feeding rate increased the product’s quality as more resident time was provided for the reaction to take place. The most important influencing factor was the amount of liquid added. The addition of water helped in facilitating the reaction inside the TSE by increasing the surface area of the reaction for particles

Keywords: MOFS, multivariate analysis, process optimization, chemometric

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902 Non-Contact Measurement of Soil Deformation in a Cyclic Triaxial Test

Authors: Erica Elice Uy, Toshihiro Noda, Kentaro Nakai, Jonathan Dungca

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Deformation in a conventional cyclic triaxial test is normally measured by using point-wise measuring device. In this study, non-contact measurement technique was applied to be able to monitor and measure the occurrence of non-homogeneous behavior of the soil under cyclic loading. Non-contact measurement is executed through image processing. Two-dimensional measurements were performed using Lucas and Kanade optical flow algorithm and it was implemented Labview. In this technique, the non-homogeneous deformation was monitored using a mirrorless camera. A mirrorless camera was used because it is economical and it has the capacity to take pictures at a fast rate. The camera was first calibrated to remove the distortion brought about the lens and the testing environment as well. Calibration was divided into 2 phases. The first phase was the calibration of the camera parameters and distortion caused by the lens. The second phase was to for eliminating the distortion brought about the triaxial plexiglass. A correction factor was established from this phase. A series of consolidated undrained cyclic triaxial test was performed using a coarse soil. The results from the non-contact measurement technique were compared to the measured deformation from the linear variable displacement transducer. It was observed that deformation was higher at the area where failure occurs.

Keywords: cyclic loading, non-contact measurement, non-homogeneous, optical flow

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901 Using Discriminant Analysis to Forecast Crime Rate in Nigeria

Authors: O. P. Popoola, O. A. Alawode, M. O. Olayiwola, A. M. Oladele

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This research work is based on using discriminant analysis to forecast crime rate in Nigeria between 1996 and 2008. The work is interested in how gender (male and female) relates to offences committed against the government, against other properties, disturbance in public places, murder/robbery offences and other offences. The data used was collected from the National Bureau of Statistics (NBS). SPSS, the statistical package was used to analyse the data. Time plot was plotted on all the 29 offences gotten from the raw data. Eigenvalues and Multivariate tests, Wilks’ Lambda, standardized canonical discriminant function coefficients and the predicted classifications were estimated. The research shows that the distribution of the scores from each function is standardized to have a mean O and a standard deviation of 1. The magnitudes of the coefficients indicate how strongly the discriminating variable affects the score. In the predicted group membership, 172 cases that were predicted to commit crime against Government group, 66 were correctly predicted and 106 were incorrectly predicted. After going through the predicted classifications, we found out that most groups numbers that were correctly predicted were less than those that were incorrectly predicted.

Keywords: discriminant analysis, DA, multivariate analysis of variance, MANOVA, canonical correlation, and Wilks’ Lambda

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900 Astronomical Object Classification

Authors: Alina Muradyan, Lina Babayan, Arsen Nanyan, Gohar Galstyan, Vigen Khachatryan

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We present a photometric method for identifying stars, galaxies and quasars in multi-color surveys, which uses a library of ∼> 65000 color templates for comparison with observed objects. The method aims for extracting the information content of object colors in a statistically correct way, and performs a classification as well as a redshift estimation for galaxies and quasars in a unified approach based on the same probability density functions. For the redshift estimation, we employ an advanced version of the Minimum Error Variance estimator which determines the redshift error from the redshift dependent probability density function itself. The method was originally developed for the Calar Alto Deep Imaging Survey (CADIS), but is now used in a wide variety of survey projects. We checked its performance by spectroscopy of CADIS objects, where the method provides high reliability (6 errors among 151 objects with R < 24), especially for the quasar selection, and redshifts accurate within σz ≈ 0.03 for galaxies and σz ≈ 0.1 for quasars. For an optimization of future survey efforts, a few model surveys are compared, which are designed to use the same total amount of telescope time but different sets of broad-band and medium-band filters. Their performance is investigated by Monte-Carlo simulations as well as by analytic evaluation in terms of classification and redshift estimation. If photon noise were the only error source, broad-band surveys and medium-band surveys should perform equally well, as long as they provide the same spectral coverage. In practice, medium-band surveys show superior performance due to their higher tolerance for calibration errors and cosmic variance. Finally, we discuss the relevance of color calibration and derive important conclusions for the issues of library design and choice of filters. The calibration accuracy poses strong constraints on an accurate classification, which are most critical for surveys with few, broad and deeply exposed filters, but less severe for surveys with many, narrow and less deep filters.

Keywords: VO, ArVO, DFBS, FITS, image processing, data analysis

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899 Comparison of Multivariate Adaptive Regression Splines and Random Forest Regression in Predicting Forced Expiratory Volume in One Second

Authors: P. V. Pramila , V. Mahesh

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Pulmonary Function Tests are important non-invasive diagnostic tests to assess respiratory impairments and provides quantifiable measures of lung function. Spirometry is the most frequently used measure of lung function and plays an essential role in the diagnosis and management of pulmonary diseases. However, the test requires considerable patient effort and cooperation, markedly related to the age of patients esulting in incomplete data sets. This paper presents, a nonlinear model built using Multivariate adaptive regression splines and Random forest regression model to predict the missing spirometric features. Random forest based feature selection is used to enhance both the generalization capability and the model interpretability. In the present study, flow-volume data are recorded for N= 198 subjects. The ranked order of feature importance index calculated by the random forests model shows that the spirometric features FVC, FEF 25, PEF,FEF 25-75, FEF50, and the demographic parameter height are the important descriptors. A comparison of performance assessment of both models prove that, the prediction ability of MARS with the `top two ranked features namely the FVC and FEF 25 is higher, yielding a model fit of R2= 0.96 and R2= 0.99 for normal and abnormal subjects. The Root Mean Square Error analysis of the RF model and the MARS model also shows that the latter is capable of predicting the missing values of FEV1 with a notably lower error value of 0.0191 (normal subjects) and 0.0106 (abnormal subjects). It is concluded that combining feature selection with a prediction model provides a minimum subset of predominant features to train the model, yielding better prediction performance. This analysis can assist clinicians with a intelligence support system in the medical diagnosis and improvement of clinical care.

Keywords: FEV, multivariate adaptive regression splines pulmonary function test, random forest

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898 Portfolio Selection with Active Risk Monitoring

Authors: Marc S. Paolella, Pawel Polak

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The paper proposes a framework for large-scale portfolio optimization which accounts for all the major stylized facts of multivariate financial returns, including volatility clustering, dynamics in the dependency structure, asymmetry, heavy tails, and non-ellipticity. It introduces a so-called risk fear portfolio strategy which combines portfolio optimization with active risk monitoring. The former selects optimal portfolio weights. The latter, independently, initiates market exit in case of excessive risks. The strategy agrees with the stylized fact of stock market major sell-offs during the initial stage of market downturns. The advantages of the new framework are illustrated with an extensive empirical study. It leads to superior multivariate density and Value-at-Risk forecasting, and better portfolio performance. The proposed risk fear portfolio strategy outperforms various competing types of optimal portfolios, even in the presence of conservative transaction costs and frequent rebalancing. The risk monitoring of the optimal portfolio can serve as an early warning system against large market risks. In particular, the new strategy avoids all the losses during the 2008 financial crisis, and it profits from the subsequent market recovery.

Keywords: comfort, financial crises, portfolio optimization, risk monitoring

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897 A Study on the False Alarm Rates of MEWMA and MCUSUM Control Charts When the Parameters Are Estimated

Authors: Umar Farouk Abbas, Danjuma Mustapha, Hamisu Idi

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It is now a known fact that quality is an important issue in manufacturing industries. A control chart is an integrated and powerful tool in statistical process control (SPC). The mean µ and standard deviation σ parameters are estimated. In general, the multivariate exponentially weighted moving average (MEWMA) and multivariate cumulative sum (MCUSUM) are used in the detection of small shifts in joint monitoring of several correlated variables; the charts used information from past data which makes them sensitive to small shifts. The aim of the paper is to compare the performance of Shewhart xbar, MEWMA, and MCUSUM control charts in terms of their false rates when parameters are estimated with autocorrelation. A simulation was conducted in R software to generate the average run length (ARL) values of each of the charts. After the analysis, the results show that a comparison of the false alarm rates of the charts shows that MEWMA chart has lower false alarm rates than the MCUSUM chart at various levels of parameter estimated to the number of ARL0 (in control) values. Also noticed was that the sample size has an advert effect on the false alarm of the control charts.

Keywords: average run length, MCUSUM chart, MEWMA chart, false alarm rate, parameter estimation, simulation

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896 Subpixel Corner Detection for Monocular Camera Linear Model Research

Authors: Guorong Sui, Xingwei Jia, Fei Tong, Xiumin Gao

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Camera calibration is a fundamental issue of high precision noncontact measurement. And it is necessary to analyze and study the reliability and application range of its linear model which is often used in the camera calibration. According to the imaging features of monocular cameras, a camera model which is based on the image pixel coordinates and three dimensional space coordinates is built. Using our own customized template, the image pixel coordinate is obtained by the subpixel corner detection method. Without considering the aberration of the optical system, the feature extraction and linearity analysis of the line segment in the template are performed. Moreover, the experiment is repeated 11 times by constantly varying the measuring distance. At last, the linearity of the camera is achieved by fitting 11 groups of data. The camera model measurement results show that the relative error does not exceed 1%, and the repeated measurement error is not more than 0.1 mm magnitude. Meanwhile, it is found that the model has some measurement differences in the different region and object distance. The experiment results show this linear model is simple and practical, and have good linearity within a certain object distance. These experiment results provide a powerful basis for establishment of the linear model of camera. These works will have potential value to the actual engineering measurement.

Keywords: camera linear model, geometric imaging relationship, image pixel coordinates, three dimensional space coordinates, sub-pixel corner detection

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895 Multivariate Assessment of Mathematics Test Scores of Students in Qatar

Authors: Ali Rashash Alzahrani, Elizabeth Stojanovski

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Data on various aspects of education are collected at the institutional and government level regularly. In Australia, for example, students at various levels of schooling undertake examinations in numeracy and literacy as part of NAPLAN testing, enabling longitudinal assessment of such data as well as comparisons between schools and states within Australia. Another source of educational data collected internationally is via the PISA study which collects data from several countries when students are approximately 15 years of age and enables comparisons in the performance of science, mathematics and English between countries as well as ranking of countries based on performance in these standardised tests. As well as student and school outcomes based on the tests taken as part of the PISA study, there is a wealth of other data collected in the study including parental demographics data and data related to teaching strategies used by educators. Overall, an abundance of educational data is available which has the potential to be used to help improve educational attainment and teaching of content in order to improve learning outcomes. A multivariate assessment of such data enables multiple variables to be considered simultaneously and will be used in the present study to help develop profiles of students based on performance in mathematics using data obtained from the PISA study.

Keywords: cluster analysis, education, mathematics, profiles

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894 A Multivariate 4/2 Stochastic Covariance Model: Properties and Applications to Portfolio Decisions

Authors: Yuyang Cheng, Marcos Escobar-Anel

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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

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893 University Building: Discussion about the Effect of Numerical Modelling Assumptions for Occupant Behavior

Authors: Fabrizio Ascione, Martina Borrelli, Rosa Francesca De Masi, Silvia Ruggiero, Giuseppe Peter Vanoli

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The refurbishment of public buildings is one of the key factors of energy efficiency policy of European States. Educational buildings account for the largest share of the oldest edifice with interesting potentialities for demonstrating best practice with regards to high performance and low and zero-carbon design and for becoming exemplar cases within the community. In this context, this paper discusses the critical issue of dealing the energy refurbishment of a university building in heating dominated climate of South Italy. More in detail, the importance of using validated models will be examined exhaustively by proposing an analysis on uncertainties due to modelling assumptions mainly referring to the adoption of stochastic schedules for occupant behavior and equipment or lighting usage. Indeed, today, the great part of commercial tools provides to designers a library of possible schedules with which thermal zones can be described. Very often, the users do not pay close attention to diversify thermal zones and to modify or to adapt predefined profiles, and results of designing are affected positively or negatively without any alarm about it. Data such as occupancy schedules, internal loads and the interaction between people and windows or plant systems, represent some of the largest variables during the energy modelling and to understand calibration results. This is mainly due to the adoption of discrete standardized and conventional schedules with important consequences on the prevision of the energy consumptions. The problem is surely difficult to examine and to solve. In this paper, a sensitivity analysis is presented, to understand what is the order of magnitude of error that is committed by varying the deterministic schedules used for occupation, internal load, and lighting system. This could be a typical uncertainty for a case study as the presented one where there is not a regulation system for the HVAC system thus the occupant cannot interact with it. More in detail, starting from adopted schedules, created according to questioner’ s responses and that has allowed a good calibration of energy simulation model, several different scenarios are tested. Two type of analysis are presented: the reference building is compared with these scenarios in term of percentage difference on the projected total electric energy need and natural gas request. Then the different entries of consumption are analyzed and for more interesting cases also the comparison between calibration indexes. Moreover, for the optimal refurbishment solution, the same simulations are done. The variation on the provision of energy saving and global cost reduction is evidenced. This parametric study wants to underline the effect on performance indexes evaluation of the modelling assumptions during the description of thermal zones.

Keywords: energy simulation, modelling calibration, occupant behavior, university building

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892 Multivariate Control Chart to Determine Efficiency Measurements in Industrial Processes

Authors: J. J. Vargas, N. Prieto, L. A. Toro

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Control charts are commonly used to monitor processes involving either variable or attribute of quality characteristics and determining the control limits as a critical task for quality engineers to improve the processes. Nonetheless, in some applications it is necessary to include an estimation of efficiency. In this paper, the ability to define the efficiency of an industrial process was added to a control chart by means of incorporating a data envelopment analysis (DEA) approach. In depth, a Bayesian estimation was performed to calculate the posterior probability distribution of parameters as means and variance and covariance matrix. This technique allows to analyse the data set without the need of using the hypothetical large sample implied in the problem and to be treated as an approximation to the finite sample distribution. A rejection simulation method was carried out to generate random variables from the parameter functions. Each resulting vector was used by stochastic DEA model during several cycles for establishing the distribution of each efficiency measures for each DMU (decision making units). A control limit was calculated with model obtained and if a condition of a low level efficiency of DMU is presented, system efficiency is out of control. In the efficiency calculated a global optimum was reached, which ensures model reliability.

Keywords: data envelopment analysis, DEA, Multivariate control chart, rejection simulation method

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891 A Lean Manufacturing Profile of Practices in the Metallurgical Industry: A Methodology for Multivariate Analysis

Authors: M. Jonathan D. Morales, R. Ramón Silva

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The purpose of this project is to carry out an analysis and determine the profile of actual lean manufacturing processes in the Metropolitan Area of Bucaramanga. Through the analysis of qualitative and quantitative variables it was possible to establish how these manufacturers develop production practices that ensure their competitiveness and productivity in the market. In this study, a random sample of metallurgic and wrought iron companies was applied, following which a quantitative focus and analysis was used to formulate a qualitative methodology for measuring the level of lean manufacturing procedures in the industry. A qualitative evaluation was also carried out through a multivariate analysis using the Numerical Taxonomy System (NTSYS) program which should allow for the determination of Lean Manufacturing profiles. Through the results it was possible to observe how the companies in the sector are doing with respect to Lean Manufacturing Practices, as well as identify the level of management that these companies practice with respect to this topic. In addition, it was possible to ascertain that there is no one dominant profile in the sector when it comes to Lean Manufacturing. It was established that the companies in the metallurgic and wrought iron industry show low levels of Lean Manufacturing implementation. Each one carries out diverse actions that are insufficient to consolidate a sectoral strategy for developing a competitive advantage which enables them to tie together a production strategy.

Keywords: production line management, metallurgic industry, lean manufacturing, productivity

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890 Electricity Generation from Renewables and Targets: An Application of Multivariate Statistical Techniques

Authors: Filiz Ersoz, Taner Ersoz, Tugrul Bayraktar

Abstract:

Renewable energy is referred to as "clean energy" and common popular support for the use of renewable energy (RE) is to provide electricity with zero carbon dioxide emissions. This study provides useful insight into the European Union (EU) RE, especially, into electricity generation obtained from renewables, and their targets. The objective of this study is to identify groups of European countries, using multivariate statistical analysis and selected indicators. The hierarchical clustering method is used to decide the number of clusters for EU countries. The conducted statistical hierarchical cluster analysis is based on the Ward’s clustering method and squared Euclidean distances. Hierarchical cluster analysis identified eight distinct clusters of European countries. Then, non-hierarchical clustering (k-means) method was applied. Discriminant analysis was used to determine the validity of the results with data normalized by Z score transformation. To explore the relationship between the selected indicators, correlation coefficients were computed. The results of the study reveal the current situation of RE in European Union Member States.

Keywords: share of electricity generation, k-means clustering, discriminant, CO2 emission

Procedia PDF Downloads 393
889 Development of a Combustible Gas Detector with Two Sensor Modules to Enable Measuring Range of Low Concentration

Authors: Young Gyu Kim, Sangguk Ahn, Gyoutae Park, Hiesik Kim

Abstract:

In the gas industrial fields, there are many problems to detect extremely small amounts of combustible gas (CH₄) if a conventional semiconductor is used. Those reasons are that measuring is difficult at the low concentration level, the stabilization time is long, and an initial response time is slow. In this study, we propose a method to solve these issues using two specific sensors to overcome the circumstances of temperature and humidity. This idea is to combine a catalytic and a semiconductor type sensor and to utilize every advantage from every sensor’s characteristic. In order to achieve the goal, we reduced fluctuations of a gas sensor for temperature and humidity by applying designed circuits for sensing temperature and humidity. And we induced the best calibration line of gas sensors through adjusting a weight value corresponding to changeable patterns of temperature and humidity after their data are previously acquired and stored. We proposed and developed the gas leak detector using two sensor modules, which is first operated by a semiconductor sensor for measuring small gas quantities and second a catalytic type sensor is detected if measuring range of the first sensor is beyond. We conclusively verified characteristics of sharp sensitivity and fast response time against even at lower gas concentration level through experiments other than a conventional gas sensor. We think that our proposed idea is very useful if another gas leak is developed to enable measuring extremely small quantities of toxic and flammable gases.

Keywords: gas sensor, leak detector, lower concentration, and calibration

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888 A Bayesian Multivariate Microeconometric Model for Estimation of Price Elasticity of Demand

Authors: Jefferson Hernandez, Juan Padilla

Abstract:

Estimation of price elasticity of demand is a valuable tool for the task of price settling. Given its relevance, it is an active field for microeconomic and statistical research. Price elasticity in the industry of oil and gas, in particular for fuels sold in gas stations, has shown to be a challenging topic given the market and state restrictions, and underlying correlations structures between the types of fuels sold by the same gas station. This paper explores the Lotka-Volterra model for the problem for price elasticity estimation in the context of fuels; in addition, it is introduced multivariate random effects with the purpose of dealing with errors, e.g., measurement or missing data errors. In order to model the underlying correlation structures, the Inverse-Wishart, Hierarchical Half-t and LKJ distributions are studied. Here, the Bayesian paradigm through Markov Chain Monte Carlo (MCMC) algorithms for model estimation is considered. Simulation studies covering a wide range of situations were performed in order to evaluate parameter recovery for the proposed models and algorithms. Results revealed that the proposed algorithms recovered quite well all model parameters. Also, a real data set analysis was performed in order to illustrate the proposed approach.

Keywords: price elasticity, volume, correlation structures, Bayesian models

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887 Assessing Environmental Urban Sustainability Using Multivariate Analysis: A Case of Nagpur, India

Authors: Anusha Vaddiraj Pallapu

Abstract:

Measuring urban sustainable development is at the forefront in contributing to overall sustainability, and it refers to attaining social equity, environmental protection and minimizing the impacts of urbanization. Assessing performance of urban issues ranging from larger consumption of natural resources by humans in terms of lifestyle to creating a polluted nearby environment, social and even economic dimensions of sustainability major issues observed such as water quality, transportation, management of solid waste and traffic pollution. However, relying on the framework of the project to do the goals of sustainable development or minimization of urban impacts through management practices is not enough to deal with the present urban issues. The aim of the sustainability is to know how severely the resources are depleted because of human consumption and how issues are characterized. The paper aims to assign benchmarks for the selected sustainability indicators for research, and analysis is done through multivariate analysis in Indian context a case of Nagpur city to identify the play role of each urban issues in the overall sustainability. The main objectives of this paper are to examine the indicators over by time basis on various scenarios and how benchmarking is used, what and which categories of values should be considered as the performance of indicators function.

Keywords: environmental sustainability indicators, principal component analysis, urban sustainability, urban clusters, benchmarking

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886 Assessment of Pre-Processing Influence on Near-Infrared Spectra for Predicting the Mechanical Properties of Wood

Authors: Aasheesh Raturi, Vimal Kothiyal, P. D. Semalty

Abstract:

We studied mechanical properties of Eucalyptus tereticornis using FT-NIR spectroscopy. Firstly, spectra were pre-processed to eliminate useless information. Then, prediction model was constructed by partial least squares regression. To study the influence of pre-processing on prediction of mechanical properties for NIR analysis of wood samples, we applied various pretreatment methods like straight line subtraction, constant offset elimination, vector-normalization, min-max normalization, multiple scattering. Correction, first derivative, second derivatives and their combination with other treatment such as First derivative + straight line subtraction, First derivative+ vector normalization and First derivative+ multiplicative scattering correction. The data processing methods in combination of preprocessing with different NIR regions, RMSECV, RMSEP and optimum factors/rank were obtained by optimization process of model development. More than 350 combinations were obtained during optimization process. More than one pre-processing method gave good calibration/cross-validation and prediction/test models, but only the best calibration/cross-validation and prediction/test models are reported here. The results show that one can safely use NIR region between 4000 to 7500 cm-1 with straight line subtraction, constant offset elimination, first derivative and second derivative preprocessing method which were found to be most appropriate for models development.

Keywords: FT-NIR, mechanical properties, pre-processing, PLS

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885 Qualitative Data Analysis for Health Care Services

Authors: Taner Ersoz, Filiz Ersoz

Abstract:

This study was designed enable application of multivariate technique in the interpretation of categorical data for measuring health care services satisfaction in Turkey. The data was collected from a total of 17726 respondents. The establishment of the sample group and collection of the data were carried out by a joint team from The Ministry of Health and Turkish Statistical Institute (Turk Stat) of Turkey. The multiple correspondence analysis (MCA) was used on the data of 2882 respondents who answered the questionnaire in full. The multiple correspondence analysis indicated that, in the evaluation of health services females, public employees, younger and more highly educated individuals were more concerned and complainant than males, private sector employees, older and less educated individuals. Overall 53 % of the respondents were pleased with the improvements in health care services in the past three years. This study demonstrates the public consciousness in health services and health care satisfaction in Turkey. It was found that most the respondents were pleased with the improvements in health care services over the past three years. Awareness of health service quality increases with education levels. Older individuals and males would appear to have lower expectancies in health services.

Keywords: multiple correspondence analysis, multivariate categorical data, health care services, health satisfaction survey

Procedia PDF Downloads 202
884 X-Ray Dosimetry by a Low-Cost Current Mode Ion Chamber

Authors: Ava Zarif Sanayei, Mustafa Farjad-Fard, Mohammad-Reza Mohammadian-Behbahani, Leyli Ebrahimi, Sedigheh Sina

Abstract:

The fabrication and testing of a low-cost air-filled ion chamber for X-ray dosimetry is studied. The chamber is made of a metal cylinder, a central wire, a BC517 Darlington transistor, a 9V DC battery, and a voltmeter in order to have a cost-effective means to measure the dose. The output current of the dosimeter is amplified by the transistor and then fed to the large internal resistance of the voltmeter, producing a readable voltage signal. The dose-response linearity of the ion chamber is evaluated for different exposure scenarios by the X-ray tube. kVp values 70, 90, and 120, and mAs up to 20 are considered. In all experiments, a solid-state dosimeter (Solidose 400, Elimpex Medizintechnik) is used as a reference device for chamber calibration. Each case of exposure is repeated three times, the voltmeter and Solidose readings are recorded, and the mean and standard deviation values are calculated. Then, the calibration curve, derived by plotting voltmeter readings against Solidose readings, provided a linear fit result for all tube kVps of 70, 90, and 120. A 99, 98, and 100% linear relationship, respectively, for kVp values 70, 90, and 120 are demonstrated. The study shows the feasibility of achieving acceptable dose measurements with a simplified setup. Further enhancements to the proposed setup include solutions for limiting the leakage current, optimizing chamber dimensions, utilizing electronic microcontrollers for dedicated data readout, and minimizing the impact of stray electromagnetic fields on the system.

Keywords: dosimetry, ion chamber, radiation detection, X-ray

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883 Statistical Discrimination of Blue Ballpoint Pen Inks by Diamond Attenuated Total Reflectance (ATR) FTIR

Authors: Mohamed Izzharif Abdul Halim, Niamh Nic Daeid

Abstract:

Determining the source of pen inks used on a variety of documents is impartial for forensic document examiners. The examination of inks is often performed to differentiate between inks in order to evaluate the authenticity of a document. A ballpoint pen ink consists of synthetic dyes in (acidic and/or basic), pigments (organic and/or inorganic) and a range of additives. Inks of similar color may consist of different composition and are frequently the subjects of forensic examinations. This study emphasizes on blue ballpoint pen inks available in the market because it is reported that approximately 80% of questioned documents analysis involving ballpoint pen ink. Analytical techniques such as thin layer chromatography, high-performance liquid chromatography, UV-vis spectroscopy, luminescence spectroscopy and infrared spectroscopy have been used in the analysis of ink samples. In this study, application of Diamond Attenuated Total Reflectance (ATR) FTIR is straightforward but preferable in forensic science as it offers no sample preparation and minimal analysis time. The data obtained from these techniques were further analyzed using multivariate chemometric methods which enable extraction of more information based on the similarities and differences among samples in a dataset. It was indicated that some pens from the same manufactures can be similar in composition, however, discrete types can be significantly different.

Keywords: ATR FTIR, ballpoint, multivariate chemometric, PCA

Procedia PDF Downloads 433