Search results for: normality

Authors: Z. Jannoo, B. W. Yap, N. Auchoybur, M. A. Lazim

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The two common approaches to Structural Equation Modeling (SEM) are the Covariance-Based SEM (CB-SEM) and Partial Least Squares SEM (PLS-SEM). There is much debate on the performance of CB-SEM and PLS-SEM for small sample size and when distributions are non-normal. This study evaluates the performance of CB-SEM and PLS-SEM under normality and non-normality conditions via a simulation. Monte Carlo Simulation in R programming language was employed to generate data based on the theoretical model with one endogenous and four exogenous variables. Each latent variable has three indicators. For normal distributions, CB-SEM estimates were found to be inaccurate for small sample size while PLS-SEM could produce the path estimates. Meanwhile, for a larger sample size, CB-SEM estimates have lower variability compared to PLS-SEM. Under non-normality, CB-SEM path estimates were inaccurate for small sample size. However, CB-SEM estimates are more accurate than those of PLS-SEM for sample size of 50 and above. The PLS-SEM estimates are not accurate unless sample size is very large.

Keywords: CB-SEM, Monte Carlo simulation, normality conditions, non-normality, PLS-SEM

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

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

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

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Authors: Xinyi Xu

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This study conducts a detailed examination of Asian stock markets over the period from 2008 to 2023, with a focus on the dynamics of cointegration and their relevance for long-term investment strategies. Specifically, we assess the co-movement and potential for pairs trading—a strategy where investors take opposing positions on two stocks, indices, or financial instruments that historically move together. For example, we explore the relationship between the Nikkei 225 (N225), Japan’s benchmark stock index, and the Straits Times Index (STI) of Singapore, as well as the relationship between the Korea Composite Stock Price Index (KS11) and the STI. The methodology includes tests for normality, stationarity, cointegration, and the application of Vector Error Correction Modeling (VECM). Our findings reveal significant long-term relationships between these pairs, indicating opportunities for pairs trading strategies. Furthermore, the research underscores the challenges posed by model instability and the influence of major global incidents, which are identified as structural breaks. These findings pave the way for further exploration into the intricacies of financial market dynamics.

Keywords: normality tests, stationarity, cointegration, VECM, pairs trading

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Authors: Mania Nosratinia, Zahra Deris

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The purpose of the present study was to investigate the relationship between EFL learners' self-regulation (SR) and willingness to communicate (WTC). To this end, 520 male and female EFL learners, ranging between 19 and 34 years old (Mage = 26), majoring in English Translation, English Language Teaching and English Literature at Islamic Azad University, Fars Province, were randomly selected. They were given two questionnaires: Self-Regulation Questionnaire devised by Brown, Miller, and Lawendowski (1999) and Willingness to Communicate Scale devised by McCroskey and Baer (1985). Preliminarily, pertinent analyses were performed on the data to check the assumptions of normality, linearity, and homoscedasticity. Since the assumption of normality was violated, Spearman's rank-order correlation was employed to probe the relationships between SR and WTC. The results indicated a significant and positive correlation between the two variables, ρ = .56, n = 520, p < .05, which signified a large effect size supplemented by a very small confidence interval (0.503 – 0.619). The results of the Kruskal-Wallis tests indicated that there is a statistically significant difference in WTC score between the different levels of SR, χ2(2) = 157.843, p = 0.000 with a mean rank SR score of 128.13 for low-SR level, 286.64 for mid-SR level, and 341.12 for high-SR level. Also, a post-hoc comparison through running a Dwass-Steel-Critchlow-Fligner indicated significant differences among the SR level groups on WTC scores. Given the findings of the study, the obtained results may help EFL teachers, teacher trainers, and material developers to possess a broader perspective towards the TEFL practice and to take practical steps towards the attainments of the desired objectives and effective instruction.

Keywords: EFL learner, self-regulation, willingness to communicate, relationship

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Authors: Betul Altinok

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The aim of this study is researching servant leadership behaviors of sports managers. For this purpose, Servant Leadership behaviors of Sport Managers (N=69) working as Dean, School Principal and Head of Department in Sport Sciences Faculties, Physical Education and Sport Schools and Departments educating Physical Education and Sport investigated via questionnaires applied to academicians (N=1185) working in these institutions. Servant Leadership Questionnaire sent via e-mail to all Academicians working in Physical Education and Sport educating Faculties, Schools of Universities and Departments in Turkey. 406 survey which is responded and accurately completed by Academicians were evaluated. In this study, Servant Leadership Questionnaire developed and conducted validity and reliability analysis by Barbuto and Wheeler (2006) used to investigate sports managers servant leadership behaviors. Scale translated into Turkish then validity and reliability analysis were conducted. After measurement model of servant leadership questionnaire verified, Shapiro Wilk normality test was applied to obtained data to determine whether has got a normal distribution or not, depending on gender, job title, profession time, department and evaluated manager. Results of practiced normality test showed that data has not got a normal distribution (nonparametric). After normality test, Mann Whitney-U test applied at 0.05 value for determining whether there is a difference between servant leadership scores according to gender and Kruskal Wallis Test applied at 0.05 value for determining whether there is a difference between servant leadership scores according to job title, profession time, department and evaluated manager. Test results showed that there were not differences between Altruistic Calling (p>0.05), Emotional Healing (p>0.05), Wisdom (p>0.05), Persuasive Mapping (p>0.05) and (p>0.05), Organizational Stewardship sub-dimensions according to gender. Test results showed that there were not differences between Altruistic Calling (p>0.05), Emotional Healing (p>0.05), Wisdom (p>0.05), Persuasive Mapping (p>0.05) and (p>0.05), Organizational Stewardship sub-dimensions according to job title, profession time, department and evaluated manager. In the light of study results, it can be said that applied survey is objective and unfurls evaluated managers servant leadership behaviors. Empirical and practical contribution of this study is to test sports managers servant leadership behaviors in Turkey for the very first time.

Keywords: academicians, management, servant leadership, sport

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Authors: Cajethan U. Ugwuoke

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Agriculture is taught in secondary schools to develop skills in students which will empower them to contribute to national economic development. Unfortunately, our educational system emphasizes the application of conventional teaching methods in delivering instructions, which fails to produce students competent enough to carry out agricultural production. This study was therefore aimed at examining the application of digital technologies as tools for transformative instructional delivery. Four specific purposes, research questions and hypotheses guided the study. The study adopted a descriptive survey research design where 80 subjects representing 64 teachers of agriculture and 16 principals in the Udenu local government area of Enugu State, Nigeria, participated in the study. A structured questionnaire was used to collect data. The assumption of normality was ascertained by subjecting the data collected to a normality test. Data collected were later subjected to mean, Pearson product-moment correlation, ANOVA and t-test to answer the research questions and test the hypotheses at a 5% significant level. The result shows that the application of digital technologies helps to reduce learners’ boredom (3.52.75), improves learners’ performance (3.63.51), and is used as a visual aid for learners (3.56.61), among others. There was a positive, strong and significant relationship between the application of digital technologies and effective instructional delivery (+.895, p=.001<.05, F=17.73), competency of teachers to the application of digital technologies and effective instructional delivery (+998, p=.001<0.5, F=16263.45), and frequency of the application of digital technologies and effective instructional delivery (+.999, p=.001<.05, F=31436.14). There was no evidence of autocorrelation and multicollinearity in the regression models between the application of digital technologies and effective instructional delivery (2.03, Tolerance=1.00, VIF=1.00), competency of teachers in the application of digital technologies and effective instructional delivery (2.38, Tolerance=1.00, VIF=1.00) and frequency of the application of digital technologies and effective instructional delivery (2.00, Tolerance=1.00, VIF=1.00). Digital technologies should be therefore applied in teaching to facilitate effective instructional delivery in agriculture.

Keywords: agricultural science, digital technologies, instructional delivery, learning

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Authors: Sadegh Marzban, Mohamad Sobhan Sheikh Andalibi, Farnaz Ghassemi, Farzad Towhidkhah

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Parkinson's disease (PD), which is characterized by the tremor at rest, rigidity, akinesia or bradykinesia and postural instability, affects the quality of life of involved individuals. The concept of a fractal is most often associated with irregular geometric objects that display self-similarity. Fractal dimension (FD) can be used to quantify the complexity and the self-similarity of an object such as tremor. In this work, we are aimed to propose a new method for evaluating hyperkinetic movements such as tremor, by using the FD and other correlated parameters in patients who are suffered from PD. In this study, we used 'the tremor data of Physionet'. The database consists of fourteen participants, diagnosed with PD including six patients with high amplitude tremor and eight patients with low amplitude. We tried to extract features from data, which can distinguish between patients before and after medication. We have selected fractal dimensions, including correlation dimension, box dimension, and information dimension. Lilliefors test has been used for normality test. Paired t-test or Wilcoxon signed rank test were also done to find differences between patients before and after medication, depending on whether the normality is detected or not. In addition, two-way ANOVA was used to investigate the possible association between the therapeutic effects and features extracted from the tremor. Just one of the extracted features showed significant differences between patients before and after medication. According to the results, correlation dimension was significantly different before and after the patient's medication (p=0.009). Also, two-way ANOVA demonstrates significant differences just in medication effect (p=0.033), and no significant differences were found between subject's differences (p=0.34) and interaction (p=0.97). The most striking result emerged from the data is that correlation dimension could quantify medication treatment based on tremor. This study has provided a technique to evaluate a non-linear measure for quantifying medication, nominally the correlation dimension. Furthermore, this study supports the idea that fractal dimension analysis yields additional information compared with conventional spectral measures in the detection of poor prognosis patients.

Keywords: correlation dimension, non-linear measure, Parkinson’s disease, tremor

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Authors: Mohammed Husein Mohammad Rashid

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For a bounded linear operator T acting on a complex infinite dimensional Hilbert space ℋ, we say that T is ∗-class A operator (abbreviation T∈A*) if |T²|≥ |T*|². In this article, we prove the following assertions:(i) we establish some conditions which imply the normality of ∗-class A; (ii) we consider ∗-class A operator T ∈ ℬ(ℋ) with reducing kernel such that TX = XS for some X ∈ ℬ(K, ℋ) and prove the Fuglede-Putnam type theorem when adjoint of S ∈ ℬ(K) is dominant operators; (iii) furthermore, we extend the asymmetric Putnam-Fuglede theorem the class of ∗-class A operators.

Keywords: fuglede-putnam theorem, normal operators, ∗-class a operators, dominant operators

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Authors: Lily Ingsrisawang, Tasanee Nacharoen

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Introduction: The problems of unbalanced data sets generally appear in real world applications. Due to unequal class distribution, many research papers found that the performance of existing classifier tends to be biased towards the majority class. The k -nearest neighbors’ nonparametric discriminant analysis is one method that was proposed for classifying unbalanced classes with good performance. Hence, the methods of discriminant analysis are of interest to us in investigating misclassification error rates for class-imbalanced data of three diabetes risk groups. Objective: The purpose of this study was to compare the classification performance between parametric discriminant analysis and nonparametric discriminant analysis in a three-class classification application of class-imbalanced data of diabetes risk groups. Methods: Data from a healthy project for 599 staffs in a government hospital in Bangkok were obtained for the classification problem. The staffs were diagnosed into one of three diabetes risk groups: non-risk (90%), risk (5%), and diabetic (5%). The original data along with the variables; diabetes risk group, age, gender, cholesterol, and BMI was analyzed and bootstrapped up to 50 and 100 samples, 599 observations per sample, for additional estimation of misclassification error rate. Each data set was explored for the departure of multivariate normality and the equality of covariance matrices of the three risk groups. Both the original data and the bootstrap samples show non-normality and unequal covariance matrices. The parametric linear discriminant function, quadratic discriminant function, and the nonparametric k-nearest neighbors’ discriminant function were performed over 50 and 100 bootstrap samples and applied to the original data. In finding the optimal classification rule, the choices of prior probabilities were set up for both equal proportions (0.33: 0.33: 0.33) and unequal proportions with three choices of (0.90:0.05:0.05), (0.80: 0.10: 0.10) or (0.70, 0.15, 0.15). Results: The results from 50 and 100 bootstrap samples indicated that the k-nearest neighbors approach when k = 3 or k = 4 and the prior probabilities of {non-risk:risk:diabetic} as {0.90:0.05:0.05} or {0.80:0.10:0.10} gave the smallest error rate of misclassification. Conclusion: The k-nearest neighbors approach would be suggested for classifying a three-class-imbalanced data of diabetes risk groups.

Keywords: error rate, bootstrap, diabetes risk groups, k-nearest neighbors

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Authors: Gubhinder Kundhi, Paul Rilstone

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It is well established that Instrumental Variable (IV) estimators in the presence of weak instruments can be poorly behaved, in particular, be quite biased in finite samples. Finite sample approximations to the distributions of these estimators are obtained using Edgeworth and Saddlepoint expansions. Departures from normality of the distributions of these estimators are analyzed using higher order analytical corrections in these expansions. In a Monte-Carlo experiment, the performance of these expansions is compared to the first order approximation and other methods commonly used in finite samples such as the bootstrap.

Keywords: bootstrap, Instrumental Variable, Edgeworth expansions, Saddlepoint expansions

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Authors: Myung Hwan Na, Ho- Chun Song, EunHee Hong

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We widely use normal linear mixed-effects model to analysis data in repeated measurement. In case of detecting heteroscedasticity and the non-normality of the population distribution at the same time, normal linear mixed-effects model can give improper result of analysis. To achieve more robust estimation, we use heavy tailed linear mixed-effects model which gives more exact and reliable analysis conclusion than standard normal linear mixed-effects model.

Keywords: reliability, tires, field data, linear mixed-effects model

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Authors: K. Vinutha

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The stress corrosion resistance of ZA-27 / TiO2 metal matrix composites (MMC’s) in high temperature acidic media has been evaluated using an autoclave. The liquid melt metallurgy technique using vortex method was used to fabricate MMC’s. TiO2 particulates of 50-80 µm in size are added to the matrix. ZA-27 containing 2,4,6 weight percentage of TiO2 are prepared. Stress corrosion tests were conducted by weight loss method for different exposure time, normality and temperature of the acidic medium. The corrosion rates of composites were lower to that of matrix ZA-27 alloy under all conditions.

Keywords: autoclave, MMC’s, stress corrosion, vortex method

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Authors: İsmail Ay

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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

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Authors: Daniel J. Patricio Jiménez

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The term 'total compensation’ refers to salary, training, innovation, and development, and of course, motivation; total compensation is an open and flexible system which must facilitate personal and family conciliation and therefore cannot be isolated from social reality. Today, the challenge for any company that wants to have a future is to be sustainable, and women play a ‘special’ role in this. Spain, in its statutory and conventional development, has not given sufficient response to new phenomena such as ‘bonuses’, ‘stock options’ or ‘fringe benefits’ (constructed dogmatically and by court decisions), the new digital reality, where cryptocurrency, new collaborative models and service provision -such as remote work-, are always ahead of the law. To talk about compensation is to talk about the gender gap, and with the entry into force of RD.902 /2020 on 14 April 2021, certain measures are necessary under the principle of salary transparency; the valuation of jobs, the pay register (Rd. 6/2019) and the pay audit, are an example of this. Analyzing the methodologies, and in particular the determination and weight of the factors -so that the system itself is not discriminatory- is essential. The wage gap in Spain is smaller than in Europe, but the sources do not reflect the reality, and since the beginning of the pandemic, there has been a clear stagnation. A living wage is not the minimum wage; it is identified with rights and needs; it is that which, based on internal equity, reflects the competitiveness of the company in terms of human capital. Spain has lost and has not recovered the relative weight of its wages; this is having a direct impact on our competitiveness, consequently on the precariousness of employment and undoubtedly on the levels of extreme poverty. Training is becoming more than ever a strategic factor; the new digital reality requires that each component of the system is connected, the transversality is imposed on us, this forces us to redefine content, to give answers to the new demands that the new normality requires because technology and robotization are changing the concept of employability. The presence of women in this context is necessary, and there is a long way to go. The so-called emotional compensation becomes particularly relevant at a time when pandemics, silence, and disruption, are leaving after-effects; technostress (in all its manifestations) is just one of them. Talking about motivation today makes no sense without first being aware that mental health is a priority, that it must be treated and communicated in an inclusive way because it increases satisfaction, productivity, and engagement. There is a clear conclusion to all this: compensation systems do not respond to the ‘new normality’: diversity, and in particular women, cannot be invisible in human resources policies if the company wants to be sustainable.

Keywords: diversity, gender gap, human resources, sustainability.

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Authors: M. Qamarul Islam, Ergun Dogan, Mehmet Yazici

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There is a growing body of evidence that non-normal data is more prevalent in nature than the normal one. Examples can be quoted from, but not restricted to, the areas of Economics, Finance and Actuarial Science. The non-normality considered here is expressed in terms of fat-tailedness and asymmetry of the relevant distribution. In this study a skew t distribution that can be used to model a data that exhibit inherent non-normal behavior is considered. This distribution has tails fatter than a normal distribution and it also exhibits skewness. Although maximum likelihood estimates can be obtained by solving iteratively the likelihood equations that are non-linear in form, this can be problematic in terms of convergence and in many other respects as well. Therefore, it is preferred to use the method of modified maximum likelihood in which the likelihood estimates are derived by expressing the intractable non-linear likelihood equations in terms of standardized ordered variates and replacing the intractable terms by their linear approximations obtained from the first two terms of a Taylor series expansion about the quantiles of the distribution. These estimates, called modified maximum likelihood estimates, are obtained in closed form. Hence, they are easy to compute and to manipulate analytically. In fact the modified maximum likelihood estimates are equivalent to maximum likelihood estimates, asymptotically. Even in small samples the modified maximum likelihood estimates are found to be approximately the same as maximum likelihood estimates that are obtained iteratively. It is shown in this study that the modified maximum likelihood estimates are not only unbiased but substantially more efficient than the commonly used moment estimates or the least square estimates that are known to be biased and inefficient in such cases. Furthermore, in conventional regression analysis, it is assumed that the error terms are distributed normally and, hence, the well-known least square method is considered to be a suitable and preferred method for making the relevant statistical inferences. However, a number of empirical researches have shown that non-normal errors are more prevalent. Even transforming and/or filtering techniques may not produce normally distributed residuals. Here, a study is done for multiple linear regression models with random error having non-normal pattern. Through an extensive simulation it is shown that the modified maximum likelihood estimates of regression parameters are plausibly robust to the distributional assumptions and to various data anomalies as compared to the widely used least square estimates. Relevant tests of hypothesis are developed and are explored for desirable properties in terms of their size and power. The tests based upon modified maximum likelihood estimates are found to be substantially more powerful than the tests based upon least square estimates. Several examples are provided from the areas of Economics and Finance where such distributions are interpretable in terms of efficient market hypothesis with respect to asset pricing, portfolio selection, risk measurement and capital allocation, etc.

Keywords: least square estimates, linear regression, maximum likelihood estimates, modified maximum likelihood method, non-normality, robustness

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Authors: Shu Hui

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Since 2010, the genre of comedy became predominant in film market in China. However, compared with the huge commercial success, these films received severe public criticism. These films are referred as trash (lan pian) by the public because of the fragment narrative, the non-professional photographing and advocating money warship. The paper aims to explain the contradictive phenomena between the higher box office and the lower mouth of word within hegemony theory. Four popular comedies that ranked top 20 in domestic revenue in the year the film released will be chosen to analyze their popularity in general. Differing from other popular films, these comedies’ popularity is generated from their disruptive pleasures instead of good stories or photographing. The destruction in Confucianism and socialism formulated the public consent or popularity, and caused the public criticism as well. Moreover, the happy-endings restore the normality at the superficial level.

Keywords: Confucianism, destruction, reconcilation, socialism

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Authors: Maria Isabel Garcia-Planas, Maria Victoria Garcia-Camba

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The use of brain stem auditory evoked potential (BAEP) is a common way to study the auditory function of people, a way to learn the functionality of a part of the brain neuronal groups that intervene in the learning process by studying the behaviour of wave VI. The latest advances in neuroscience have revealed the existence of different brain activity in the learning process that can be highlighted through the use of innocuous, low-cost, and easy-access techniques such as, among others, the BAEP that can help us to detect early possible neurodevelopmental difficulties for their subsequent assessment and cure. To date and to the authors' best knowledge, only the latency data obtained, observing the first to V waves and mainly in the left ear, were taken into account. This work shows that it is essential to take into account both ears; with these latest data, it has been possible had diagnosed more precise some cases than with the previous data had been diagnosed as 'normal' despite showing signs of some alteration that motivated the new consultation to the specialist.

Keywords: ear, neurodevelopment, auditory evoked potentials, intervals of normality, learning disabilities

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Authors: Derya Karagöz

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A Shewhart chart based on normality assumption is not appropriate for skewed distributions since its Type-I error rate is inflated. This study presents X̄ and S control charts for monitoring the process variability for skewed distributions. We propose Weighted Standard Deviation (WSD) X̄ and S control charts. Standard deviation estimator is applied to monitor the process variability for estimating the process standard deviation, in the case of the W SD X̄ and S control charts as this estimator is simple and easy to compute. Unlike the Shewhart control chart, the proposed charts provide asymmetric limits in accordance with the direction and degree of skewness to construct the upper and lower limits. The performances of the proposed charts are compared with other heuristic charts for skewed distributions by using Simulation study. The Simulation studies show that the proposed control charts have good properties for skewed distributions and large sample sizes.

Keywords: weighted standard deviation, MAD, skewed distributions, S control charts

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Authors: Gulderen Saglam

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This study explores the elements of personal motivation which influence professional motivation of in-service English language teachers in Bursa in Turkey. Fifty English language teachers participated in a seminar held on ‘teachers’ motivation’ for the length of six hours in two days, which were organized by the local Ministry of Education. During the seminar, teachers firstly aimed to share cornerstones of their professional motivation. Later, those teachers stated the significance of their personal motivation. Two months’ later, those teachers were given the questionnaire including both closed and open-ended questions involving those two types of motivational acts of teachers. Questionnaire items were tested by Crombah’s Alfa Reliability Statistics. Responses to the questionnaire were analyzed by factor analysis and test of normality. The results were also tested by non-parametric and parametric tests. As a result, it was found that language teachers who were personally motivated reported higher professional motivation of theirs in teaching profession in-service.

Keywords: influencing factor, in-service-teachers, personal motivation, professional motivation, in-service-teachers, influencing factor

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Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke

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The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.

Keywords: generalized autoregressive score model, South Africa, stock returns, time-varying

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Authors: Gubhinder Kundhi, Paul Rilstone

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Refined procedures for higher-order asymptotic theory for non-linear models are developed. These include a new method for deriving stochastic expansions of arbitrary order, new methods for evaluating the moments of polynomials of sample averages, a new method for deriving the approximate moments of the stochastic expansions; an application of these techniques to gather improved inferences with the weak instruments problem is considered. It is well established that Instrumental Variable (IV) estimators in the presence of weak instruments can be poorly behaved, in particular, be quite biased in finite samples. In our application, finite sample approximations to the distributions of these estimators are obtained using Edgeworth and Saddlepoint expansions. Departures from normality of the distributions of these estimators are analyzed using higher order analytical corrections in these expansions. In a Monte-Carlo experiment, the performance of these expansions is compared to the first order approximation and other methods commonly used in finite samples such as the bootstrap.

Keywords: edgeworth expansions, higher order asymptotics, saddlepoint expansions, weak instruments

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Authors: Luke S. Carlos A. Thompson

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The medical model of disability, though beneficial for the medical professional, is often exclusionary, restrictive and dehumanizing when applied to the lived experience of disability. As a result, a critique of this model was constructed called the social model of disability. Much of the language used to articulate the purpose behind the social model of disability can be summed up within the word inclusion. However, this essay asserts that inclusiveness is an incomplete aspiration. The social model, as it currently stands, does not aid in creating a society where those with impairments actually belong. Rather, the social model aids in lessening the visibility, or negative consequence of, difference. Therefore, the social model does not invite society to welcome those with physical and intellectual impairments. It simply aids society in ignoring the existence of impairment by removing explicit forms of exclusion. Rather than simple inclusion, then, this essay uses John Swinton’s concept of friendship and Jean Vanier’s understanding of belonging to better articulate the intended outcome of the social model—a society where everyone can belong.

Keywords: belong, community, differently-able, disability, exclusion, friendship, inclusion, normality

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Authors: Chen-Fang Tsai, Shin-Li Lu

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Distribution-free control chart is an oncoming area from the statistical process control charts in recent years. Some researchers have developed various nonparametric control charts and investigated the detection capability of these charts. The major advantage of nonparametric control charts is that the underlying process is not specifically considered the assumption of normality or any parametric distribution. In this paper, two nonparametric exponentially weighted moving average (EWMA) control charts based on nonparametric tests, namely NE-S and NE-M control charts, are proposed for monitoring process variability. Generally, weighted moving average (GWMA) control charts are extended by utilizing design and adjustment parameters for monitoring the changes in the process variability, namely NG-S and NG-M control charts. Statistical performance is also investigated on NG-S and NG-M control charts with run rules. Moreover, sensitivity analysis is performed to show the effects of design parameters under the nonparametric NG-S and NG-M control charts.

Keywords: Distribution-free control chart, EWMA control charts, GWMA control charts

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Authors: S. O. Oyamakin, A. U. Chukwu,

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We proposed a Hyperbolic Gompertz Growth Model (HGGM), which was developed by introducing a stabilizing parameter called θ using hyperbolic sine function into the classical gompertz growth equation. The resulting integral solution obtained deterministically was reprogrammed into a statistical model and used in modeling the height and diameter of Pines (Pinus caribaea). Its ability in model prediction was compared with the classical gompertz growth model, an approach which mimicked the natural variability of height/diameter increment with respect to age and therefore provides a more realistic height/diameter predictions using goodness of fit tests and model selection criteria. The Kolmogorov-Smirnov test and Shapiro-Wilk test was also used to test the compliance of the error term to normality assumptions while using testing the independence of the error term using the runs test. The mean function of top height/Dbh over age using the two models under study predicted closely the observed values of top height/Dbh in the hyperbolic gompertz growth models better than the source model (classical gompertz growth model) while the results of R2, Adj. R2, MSE, and AIC confirmed the predictive power of the Hyperbolic Monomolecular growth models over its source model.

Keywords: height, Dbh, forest, Pinus caribaea, hyperbolic, gompertz

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Authors: S. H. Iranmanesh, L. Aliabadi, A. Mollajan

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Integrated resilience engineering (IRE) is capable of returning banking systems to the normal state in extensive economic circumstances. In this study, information system of a large bank (with several branches) is assessed and optimized under severe economic conditions. Data envelopment analysis (DEA) models are employed to achieve the objective of this study. Nine IRE factors are considered to be the outputs, and a dummy variable is defined as the input of the DEA models. A standard questionnaire is designed and distributed among executive managers to be considered as the decision-making units (DMUs). Reliability and validity of the questionnaire is examined based on Cronbach's alpha and t-test. The most appropriate DEA model is determined based on average efficiency and normality test. It is shown that the proposed integrated design provides higher efficiency than the conventional RE design. Results of sensitivity and perturbation analysis indicate that self-organization, fault tolerance, and reporting culture respectively compose about 50 percent of total weight.

Keywords: banking system, Data Envelopment Analysis (DEA), Integrated Resilience Engineering (IRE), performance evaluation, perturbation analysis

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Authors: Longqing Li

Abstract:

The paper addresses the inefficiency of the classical model in measuring the Value-at-Risk (VaR) using a normal distribution or a Student’s t distribution. Specifically, the paper focuses on the one day ahead Value-at-Risk (VaR) of major stock market’s daily returns in US, UK, China and Hong Kong in the most recent ten years under 95% confidence level. To improve the predictable power and search for the best performing model, the paper proposes using two leading alternatives, Extreme Value Theory (EVT) and a family of GARCH models, and compares the relative performance. The main contribution could be summarized in two aspects. First, the paper extends the GARCH family model by incorporating EGARCH and TGARCH to shed light on the difference between each in estimating one day ahead Value-at-Risk (VaR). Second, to account for the non-normality in the distribution of financial markets, the paper applies Generalized Error Distribution (GED), instead of the normal distribution, to govern the innovation term. A dynamic back-testing procedure is employed to assess the performance of each model, a family of GARCH and the conditional EVT. The conclusion is that Exponential GARCH yields the best estimate in out-of-sample one day ahead Value-at-Risk (VaR) forecasting. Moreover, the discrepancy of performance between the GARCH and the conditional EVT is indistinguishable.

Keywords: Value-at-Risk, Extreme Value Theory, conditional EVT, backtesting

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Authors: Hongyu Chen, Li Jiang

Abstract:

Ubiquitous anomalies endanger the security of our system con- stantly. They may bring irreversible damages to the system and cause leakage of privacy. Thus, it is of vital importance to promptly detect these anomalies. Traditional supervised methods such as Decision Trees and Support Vector Machine (SVM) are used to classify normality and abnormality. However, in some case, the abnormal status are largely rarer than normal status, which leads to decision bias of these methods. Generative adversarial network (GAN) has been proposed to handle the case. With its strong generative ability, it only needs to learn the distribution of normal status, and identify the abnormal status through the gap between it and the learned distribution. Nevertheless, existing GAN-based models are not suitable to process data with discrete values, leading to immense degradation of detection performance. To cope with the discrete features, in this paper, we propose an efficient GAN-based model with specifically-designed loss function. Experiment results show that our model outperforms state-of-the-art models on discrete dataset and remarkably reduce the overhead.

Keywords: GAN, discrete feature, Wasserstein distance, multiple intermediate layers

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Authors: Jude Opara, Esemokumo Perewarebo Akpos

Abstract:

This paper is on non-parametric linear regression over its parametric counterparts with large sample size. Data set on anthropometric measurement of primary school pupils was taken for the analysis. The study used 50 randomly selected pupils for the study. The set of data was subjected to normality test, and it was discovered that the residuals are not normally distributed (i.e. they do not follow a Gaussian distribution) for the commonly used least squares regression method for fitting an equation into a set of (x,y)-data points using the Anderson-Darling technique. The algorithms for the nonparametric Theil’s regression are stated in this paper as well as its parametric OLS counterpart. The use of a programming language software known as “R Development” was used in this paper. From the analysis, the result showed that there exists a significant relationship between the response and the explanatory variable for both the parametric and non-parametric regression. To know the efficiency of one method over the other, the Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC) are used, and it is discovered that the nonparametric regression performs better than its parametric regression counterparts due to their lower values in both the AIC and BIC. The study however recommends that future researchers should study a similar work by examining the presence of outliers in the data set, and probably expunge it if detected and re-analyze to compare results.

Keywords: Theil’s regression, Bayesian information criterion, Akaike information criterion, OLS

Procedia PDF Downloads 274

Authors: G. Anjan Babu, G. Sumana, M. Rajasekhar

Abstract:

Many inherited diseases and non-hereditary disorders are common in the development of renal cystic diseases. Polycystic kidney disease (PKD) is a disorder developed within the kidneys in which grouping of cysts filled with water like fluid. PKD is responsible for 5-10% of end-stage renal failure treated by dialysis or transplantation. New experimental models, application of molecular biology techniques have provided new insights into the pathogenesis of PKD. Researchers are showing keen interest for developing an automated system by applying computer aided techniques for the diagnosis of diseases. In this paper a multi-layered feed forward neural network with one hidden layer is constructed, trained and tested by applying back propagation learning rule for the diagnosis of PKD based on physical symptoms and test results of urinanalysis collected from the individual patients. The data collected from 50 patients are used to train and test the network. Among these samples, 75% of the data used for training and remaining 25% of the data are used for testing purpose. Furthermore, this trained network is used to implement for new samples. The output results in normality and abnormality of the patient.

Keywords: dialysis, hereditary, transplantation, polycystic, pathogenesis

Procedia PDF Downloads 352

Authors: Sabiu Bala Muhammad, Rosli Saad

Abstract:

Multiple linear regression (MLR) models for fast estimation of true subsurface resistivity from apparent resistivity field measurements are developed and assessed in this study. The parameters investigated were apparent resistivity (ρₐ), horizontal location (X) and depth (Z) of measurement as the independent variables; and true resistivity (ρₜ) as the dependent variable. To achieve linearity in both resistivity variables, datasets were first transformed into logarithmic domain following diagnostic checks of normality of the dependent variable and heteroscedasticity to ensure accurate models. Four MLR models were developed based on hierarchical combination of the independent variables. The generated MLR coefficients were applied to another data set to estimate ρₜ values for validation. Contours of the estimated ρₜ values were plotted and compared to the observed data plots at the colour scale and blanking for visual assessment. The accuracy of the models was assessed using coefficient of determination (R²), standard error (SE) and weighted mean absolute percentage error (wMAPE). It is concluded that the MLR models can estimate ρₜ for with high level of accuracy.

Keywords: apparent resistivity, depth, horizontal location, multiple linear regression, true resistivity

Procedia PDF Downloads 244