Search results for: quasi-maximum likelihood estimate

Authors: Rosemarie Basile, Maria Loizos, John Pallarino, Karen Gibbs

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Given that complications can be significant following bariatric surgery and with rates of long-term success measured in excess weight loss varying as low as 33% after five years, an understanding of the psychological factors that may mitigate findings and increase success and result in better screening and supports prior to surgery are critical. An internally oriented locus of control (LOC) has been identified as a predictor for success in obesity therapy, but has not been investigated within the context of bariatric surgery. It is hypothesized that making behavioral changes prior to surgery which mirror those that are required post-surgery may ultimately predict long-term success. 122 subjects participated in a clinical interview and completed self-report measures including the Multidimensional Health Locus of Control Scale, Overeating Questionnaire (OQ), and Lifestyle Questionnaire (LQ). Pearson correlations were computed between locus of control orientation and likelihood to make behavior changes prior to surgery. Pearson correlations revealed a positive correlation between locus of control and likelihood to make behavior changes r = 0.23, p < .05. As hypothesized, there was a significant correlation between internal locus of control and likelihood to make behavior changes. Participants with a higher LOC believe that they are able to make decisions about their own health. Future research will focus on whether this positive correlation is a predictor for future bariatric surgery success.

Keywords: bariatric surgery, behavior modification, health locus of control, overeating questionnaire

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Authors: Wikanda Phaphan

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

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

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Authors: Alok Kumar, Raviraj Patil

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The ability to respond to an incident of a disastrous event in a vulnerable area is very crucial an aspect of emergency management. The ability to constantly predict the likelihood of an event along with its severity in an area and react to those significant events which are likely to have a high impact allows the authorities to respond by allocating resources optimally in a timely manner. It provides for measuring, monitoring, and modeling facilities that integrate underlying systems into one solution to improve operational efficiency, planning, and coordination. We were particularly involved in this innovative incubation work on the current state of research and development in collaboration. technologies & systems for a disaster.

Keywords: predictive analytics, advanced analytics, area flood likelihood model, area flood severity model, level of impact model, mortality score, economic loss score, resource allocation, crew allocation

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Authors: Keunhong Chae, Seokho Yoon

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In this paper, frequency offset (FO) estimation schemes robust to the non-Gaussian noise environments are proposed for orthogonal frequency division multiplexing (OFDM) systems. First, a maximum-likelihood (ML) estimation scheme in non-Gaussian noise environments is proposed, and then, the complexity of the ML estimation scheme is reduced by employing a reduced set of candidate values. In numerical results, it is demonstrated that the proposed schemes provide a significant performance improvement over the conventional estimation scheme in non-Gaussian noise environments while maintaining the performance similar to the estimation performance in Gaussian noise environments.

Keywords: frequency offset estimation, maximum-likelihood, non-Gaussian noise environment, OFDM, training symbol

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Authors: Idit Kalisher, Israel Luski

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One result of the growing dynamicity of labor markets in recent decades is a wider scope of employment mobility – i.e., transitions between employers, either within or between careers. Employment mobility decisions are primarily affected by the current employment status of the worker, which is reflected in wage and tenure. Using 34,328 observations from the National Longitudinal Survey of Youth 1979 (NLS79), which were derived from the USA population between 1990 and 2012, this paper aims to investigate the effects of wage and tenure over employment mobility choices, and additionally to examine the effects of other personal characteristics, individual labor market characteristics and macroeconomic factors. The estimation strategy was designed to address two challenges that arise from the combination of the model and the data: (a) endogeneity of the wage and the tenure in the choice equation; and (b) unobserved heterogeneity, as the data of this research is longitudinal. To address (a), estimation was performed using two-stage limited dependent variable procedure (2SLDV); and to address (b), the second stage was estimated using femlogit – an implementation of the multinomial logit model with fixed effects. Among workers who have experienced at least one turnover, the wage was found to have a main effect on career turnover likelihood of all workers, whereas the wage effect on job turnover likelihood was found to be dependent on individual characteristics. The wage was found to negatively affect the turnover likelihood and the effect was found to vary across wage level: high-wage workers were more affected compared to low-wage workers. Tenure was found to have a main positive effect on both turnover types’ likelihoods, though the effect was moderated by the wage. The findings also reveal that as their wage increases, women are more likely to turnover than men, and academically educated workers are more likely to turnover within careers. Minorities were found to be as likely as Caucasians to turnover post wage-increase, but less likely to turnover with each additional tenure year. The wage and the tenure effects were found to vary also between careers. The difference in attitude towards money, labor market opportunities and risk aversion could explain these findings. Additionally, the likelihood of a turnover was found to be affected by previous unemployment spells, age, and other labor market and personal characteristics. The results of this research could assist policymakers as well as business owners and employers. The former may be able to encourage women and older workers’ employment by considering the effects of gender and age on the probability of a turnover, and the latter may be able to assess their employees’ likelihood of a turnover by considering the effects of their personal characteristics.

Keywords: employment mobility, endogeneity, femlogit, turnover

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Authors: Chen Li-Ching

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The multinomial logistic regression model is used popularly for inferring the relationship of risk factors and disease with multiple categories. This study based on the discrepancy between the nonparametric maximum likelihood estimator and semiparametric maximum likelihood estimator of the cumulative distribution function to propose a Kolmogorov-Smirnov type test statistic to assess adequacy of the multinomial logistic regression model for case-control data. A bootstrap procedure is presented to calculate the critical value of the proposed test statistic. Empirical type I error rates and powers of the test are performed by simulation studies. Some examples will be illustrated the implementation of the test.

Keywords: case-control studies, goodness-of-fit test, Kolmogorov-Smirnov test, multinomial logistic regression

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Authors: Md. Rezaul Karim, Andreas Thiel

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Bangladesh is known as one of the most climate vulnerable countries in the world. Innovative technologies are always the key responses to the management of climate impacts. The objectives of this study are to determine the farmer’s perception of climate variability, to compare farmers’ perceptions with metrological data, and to explore the determinants that affect the likelihood of adoption of the selected Climate Smart Agricultural (CSA) technologies. Data regarding climate change perception, determinants and adoption were collected based on the household survey from stratified and randomly selected 365 farmers of the Biral sub-district under Dinajpur district in drought-prone northern Bangladesh. The likelihood of adoption of CSA technologies was analyzed following a multivariate probit model. The findings show that about 82.5% of the farmers perceived increasing temperature, and 75.1 % of farmers perceived decreasing dry season rainfall over the years, which is similarly relevant to metrological data. About 76.4.7% and 80.85% of farmers were aware of the drought tolerance crops and vermicompost, respectively; more than half of the farmers adopted these practices. Around 70.7% of farmers were aware of perching for insect control, but 46.3% of farmers adopted this practice. Although two-thirds of farmers were aware of crop diversification and pheromone trap, adoption was lower compared to the other three CSAs. Results also indicate that the likelihood of adoption of the selected CSAs is significantly influenced by different factors such as socio-economic characteristics, institutional factors and perceived technological or innovation attributes. The likelihood of adopting drought tolerance crops is affected by 11, while crop diversification and perching method by 7, pheromone trap by 9 and vermicompost by 8 determining factors. Lack of information and unavailability of input appear to be major obstacles to the non-adoption of CSA technologies. This study suggests that policy implications are necessary to promote extension services and overcome the obstacles to the non-adoption of individual CSA technologies. It further recommends that the research study should be conducted in a diverse context, nationally or globally.

Keywords: determinants, adoption, climate smart agriculture, northern Bangladesh

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Authors: Ahmadur Rahman, Showkat Ahmad Lone, Ariful Islam

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In this article, we have estimated the parameters for the failure times of units based on the sampling technique adaptive type-I progressive hybrid censoring under the step-stress partially accelerated life tests for competing risk. The failure times of the units are assumed to follow an exponential distribution. Maximum likelihood estimation technique is used to estimate the unknown parameters of the distribution and tampered coefficient. Confidence interval also obtained for the parameters. A simulation study is performed by using Monte Carlo Simulation method to check the authenticity of the model and its assumptions.

Keywords: adaptive type-I hybrid progressive censoring, competing risks, exponential distribution, simulation, step-stress partially accelerated life tests

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Authors: Mohammad A. Alolayan, John S. Evans, James K. Hammitt

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The value of statistical life has been estimated for a middle eastern country with high economical subsidization system. In this study, in-person interviews were conducted on a stratified random sample to estimate the value of mortality risk. Double-bounded dichotomous choice questions followed by open-ended question were used in the interview to investigate the willingness to pay of the respondent for mortality risk reduction. High willingness to pay was found to be associated with high income and education. Also, females were found to have lower willingness to pay than males. The estimated value of statistical life is larger than the ones estimated for western countries where taxation system exists. This estimate provides a baseline for monetizing the health benefits for proposed policy or program to the decision makers in an eastern country. Also, the value of statistical life for a country in the region can be extrapolated from this this estimate by using the benefit transfer method.

Keywords: mortality, risk, VSL, willingness-to-pay

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Authors: Safa A. Mohammed Ali, Ammar S. Ahamed, Mohammed Khair Abdalla

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The objectives of this study were to estimate the means and genetic parameters of birth and weaning weight of calves of pure Holstein-Friesian cows raised in Sudan. The traits studied were:*Weight at birth *Weight at weaning. The study also included some of the important factors that affected these traits. The data were analyzed using Harvey’s Least Squares and Maximum Likelihood programme. The results obtained showed that the overall mean weight at birth of the calves under study was 34.36±0.94kg. Male calves were found to be heavier than females; the difference between the sexes was highly significant (P<0.001). The mean weight at birth of male calves was 34.27±1.17 kg while that of females was 32.51±1.14kg. The effect of sex of calves, sire and parity of dam were highly significant (P<0.001). The overall mean of weight at weaning was 67.10 ± 5.05 kg, weight at weaning was significantly (p<0.001) effected by sex of calves, sire, year and season of birth have highly significant (P<0.001) effect on either trait. Also estimates heritabilities of birth weight was (0.033±0.015) lower than heritabilities of weaning weight (0.224±0.039), and genetic correlation was 0.563, the phenotypic correlation 0.281, and the environmental correlation 0.268.

Keywords: birth, weaning, weight, friesian

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Authors: Rana Rimawi, Ayman Baklizi

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

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

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Authors: Ishapathik Das, Sumen Sen, N. Rao Chaganty, Pooja Sengupta

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Dependent multivariate count data occur in several research studies. These data can be modeled by a multivariate Poisson or Negative binomial distribution constructed using copulas. However, when some of the counts are inflated, that is, the number of observations in some cells are much larger than other cells, then the copula based multivariate Poisson (or Negative binomial) distribution may not fit well and it is not an appropriate statistical model for the data. There is a need to modify or adjust the multivariate distribution to account for the inflated frequencies. In this article, we consider the situation where the frequencies of two cells are higher compared to the other cells, and develop a doubly inflated multivariate Poisson distribution function using multivariate Gaussian copula. We also discuss procedures for regression on covariates for the doubly inflated multivariate count data. For illustrating the proposed methodologies, we present a real data containing bivariate count observations with inflations in two cells. Several models and linear predictors with log link functions are considered, and we discuss maximum likelihood estimation to estimate unknown parameters of the models.

Keywords: copula, Gaussian copula, multivariate distributions, inflated distributios

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Authors: Shalini Rankawat, Mansi Rankawat, Rahul Dubey, Mazad Zaveri

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Physiological signals such as electrocardiogram (ECG) and arterial blood pressure (ABP) in the intensive care unit (ICU) are often seriously corrupted by noise, artifacts, and missing data, which lead to errors in the estimation of heart rate (HR) and incidences of false alarm from ICU monitors. Clinical support in ICU requires most reliable heart rate estimation. Cardiac activity, because of its relatively high electrical energy, may introduce artifacts in Electroencephalogram (EEG), Electrooculogram (EOG), and Electromyogram (EMG) recordings. This paper presents a robust heart rate estimation method by detection of R-peaks of ECG artifacts in EEG, EMG & EOG signals, using energy-based function and a novel Signal Quality Index (SQI) assessment technique. SQIs of physiological signals (EEG, EMG, & EOG) were obtained by correlation of nonlinear energy operator (teager energy) of these signals with either ECG or ABP signal. HR is estimated from ECG, ABP, EEG, EMG, and EOG signals from separate Kalman filter based upon individual SQIs. Data fusion of each HR estimate was then performed by weighing each estimate by the Kalman filters’ SQI modified innovations. The fused signal HR estimate is more accurate and robust than any of the individual HR estimate. This method was evaluated on MIMIC II data base of PhysioNet from bedside monitors of ICU patients. The method provides an accurate HR estimate even in the presence of noise and artifacts.

Keywords: ECG, ABP, EEG, EMG, EOG, ECG artifacts, Teager-Kaiser energy, heart rate, signal quality index, Kalman filter, data fusion

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Authors: Angelo Aloisio Dag, Pasquale Pasca, Massimo Fragiacomo, Ferdinando Totani, Gianfranco Totani

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The estimate of the velocity of shear waves (Vs) is essential in seismic engineering to characterize the dynamic response of soils. There are various direct methods to estimate the Vs. The authors report the results of site characterization in Macerata, where they measured the Vs using the seismic dilatometer in a 100m deep borehole. The standard Vs estimation originates from the cross-correlation between the signals acquired by two geophones at increasing depths. This paper focuses on the estimate of the dependence of Vs on the wavenumber. The dispersion curves reveal an unexpected hyperbolic dispersion curve typical of Lamb waves. Interestingly, the contribution of Lamb waves may be notable up to 100m depth. The amplitude of surface waves decrease rapidly with depth: still, their influence may be essential up to depths considered unusual for standard geotechnical investigations, where their effect is generally neglected. Accordingly, these waves may bias the outcomes of the standard Vs estimations, which ignore frequency-dependent phenomena. The paper proposes an enhancement of the accepted procedure to estimate Vs and addresses the importance of Lamb waves in soil characterization.

Keywords: dispersion curve, seismic dilatometer, shear wave, soil mechanics

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Authors: Li Yin, Xiaoqin Wang

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Background and purpose: Cancer diagnosis is part of a complex stochastic process, in which patients' personal and social characteristics influence the choice of diagnosing methods, diagnosing methods, in turn, influence the initial assessment of cancer stage, the initial assessment, in turn, influences the choice of treating methods, and treating methods in turn influence cancer outcomes such as cancer survival. To evaluate diagnosing methods, one needs to estimate and test the causal effect of a regime of cancer diagnosis and treatments. Recently, Wang and Yin (Annals of statistics, 2020) derived a new general formula, which expresses these causal effects in terms of the point effects of treatments in single-point causal inference. As a result, it is possible to estimate and test these causal effects via point effects. The purpose of the work is to estimate and test causal effects under various regimes of cancer diagnosis and treatments via point effects. Challenges and solutions: The cancer stage has influences from earlier diagnosis as well as on subsequent treatments. As a consequence, it is highly difficult to estimate and test the causal effects via standard parameters, that is, the conditional survival given all stationary covariates, diagnosing methods, cancer stage and prognosis factors, treating methods. Instead of standard parameters, we use the point effects of cancer diagnosis and treatments to estimate and test causal effects under various regimes of cancer diagnosis and treatments. We are able to use familiar methods in the framework of single-point causal inference to accomplish the task. Achievements: we have applied this method to stomach cancer survival from a clinical study in Sweden. We have studied causal effects under various regimes, including the optimal regime of diagnosis and treatments and the effect moderation of the causal effect by age and gender.

Keywords: cancer diagnosis, causal effect, point effect, G-formula, sequential causal effect

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Authors: Suparman Suparman

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A white noise in autoregressive (AR) model is often assumed to be normally distributed. In application, the white noise usually do not follows a normal distribution. This paper aims to estimate a parameter of AR model that has a exponential white noise. A Bayesian method is adopted. A prior distribution of the parameter of AR model is selected and then this prior distribution is combined with a likelihood function of data to get a posterior distribution. Based on this posterior distribution, a Bayesian estimator for the parameter of AR model is estimated. Because the order of AR model is considered a parameter, this Bayesian estimator cannot be explicitly calculated. To resolve this problem, a method of reversible jump Markov Chain Monte Carlo (MCMC) is adopted. A result is a estimation of the parameter AR model can be simultaneously calculated.

Keywords: autoregressive (AR) model, exponential white Noise, bayesian, reversible jump Markov Chain Monte Carlo (MCMC)

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Authors: Dimitrios J. Dimitriou

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It is widely recognised that the assets portfolio development is helping to enhance economic growth, productivity and competitiveness. While numerous studies and reports certify the positive effect of investments in large infrastructure investments on the local economy, still, the methodology to estimate the contribution in economic development is a challenging issue for researchers and economists. The key question is how to estimate those economic impacts in each economic system. This paper provides a compact and applicable methodological framework providing quantitative results in terms of the overall jobs and income generated into the project life cycle. According to a deterministic mathematical approach, the key variables and the modelling framework are presented. The numerical case study highlights key results for a new motorway project in Greece, which is experienced economic stress for many years, providing the opportunity for comparisons with similar cases.

Keywords: quantitative modelling, economic impact, large transport infrastructure, economic assessment

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Authors: Hyeon-Kyo Lim, Sang-Hun Byun

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Risk assessment is carried out in most industrial plants for accident prevention, but there exists insufficient data for statistical decision making. It is commonly said that risk can be expressed as a product of consequence and likelihood of a corresponding hazard factor. Eventually, therefore, risk assessment involves human decision making which cannot be objective per se. This study was carried out to comprehend perceptive characteristics of human beings in industrial plants. Subjects were shown a set of illustrations describing scenes of industrial plants, and were asked to assess the risk of each scene with not only linguistic variables but also numeric scores in the aspect of consequence and likelihood. After that, their responses were formulated as fuzzy membership functions, and compared with those of university students who had no experience of industrial works. The results showed that risk level of industrial workers were lower than those of any other groups, which implied that the workers might generally have a tendency to neglect more hazard factors in their work fields.

Keywords: fuzzy, hazard, linguistic variable, risk assessment

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Authors: A. M. Abd-Elfattah, M. H. Abu-Moussa

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In this paper, the estimation of stress-strength parameter R = P(Y < X) is considered when X; Y the strength and stress respectively are two independent random variables of Burr Type XII distribution. The samples taken for X and Y are progressively censoring of type II. The maximum likelihood estimator (MLE) of R is obtained when the common parameter is unknown. But when the common parameter is known the MLE, uniformly minimum variance unbiased estimator (UMVUE) and the Bayes estimator of R = P(Y < X) are obtained. The exact condence interval of R based on MLE is obtained. The performance of the proposed estimators is compared using the computer simulation.

Keywords: Burr Type XII distribution, progressive type-II censoring, stress-strength model, unbiased estimator, maximum-likelihood estimator, uniformly minimum variance unbiased estimator, confidence intervals, Bayes estimator

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Authors: N. Tochukwu, M. Mukhopadhyay, A. Mohamed

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It is no new that Nigeria faces a continual power shortage problem due to its vast population power demand and heavy reliance on nonrenewable forms of energy such as thermal power or fossil fuel. Many researchers have recommended using geothermal energy as an alternative; however, Past studies focus on the geophysical & geochemical investigation of this energy in the sedimentary and basement complex; only a few studies incorporated the remote sensing methods. Therefore, in this study, the preliminary examination of geothermal resources in the Middle Benue was carried out using satellite imagery in ArcMap. Landsat 8 scene (TIR, NIR, Red spectral bands) was used to estimate the Land Surface Temperature (LST). The Maximum Likelihood Classification (MLC) technique was used to classify sites with very low, low, moderate, and high LST. The intermediate and high classification happens to be possible geothermal zones, and they occupy 49% of the study area (38077km2). Riverline were superimposed on the LST layer, and the identification tool was used to locate high temperate sites. Streams that overlap on the selected sites were regarded as geothermal springs as. Surprisingly, the LST results show lower temperatures (<36°C) at the famous thermal springs (Awe & Wukari) than some unknown rivers/streams found in Kwande (38°C), Ussa, (38°C), Gwer East (37°C), Yola Cross & Ogoja (36°C). Studies have revealed that temperature increases with depth. However, this result shows excellent geothermal resources potential as it is expected to exceed the minimum geothermal gradient of 25.47 with an increase in depth. Therefore, further investigation is required to estimate the depth of the causative body, geothermal gradients, and the sustainability of the reservoirs by geophysical and field exploration. This method has proven to be cost-effective in locating geothermal resources in the study area. Consequently, the same procedure is recommended to be applied in other regions of the Precambrian basement complex and the sedimentary basins in Nigeria to save a preliminary field survey cost.

Keywords: ArcMap, geothermal resources, Landsat 8, LST, thermal springs, MLC

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Authors: Eda Orhun

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Purpose: This paper analyzes a target firm’s decision to voluntarily disclose information during a takeover event and the effect of such disclosures on the outcome of the takeover. Such voluntary disclosures especially in the form of earnings forecasts made around takeover events may affect shareholders’ decisions about the target firm’s value and in return takeover result. This study aims to shed light on this question. Design/methodology/approach: The paper tries to understand the role of voluntary disclosures by target firms during a takeover event in the likelihood of takeover success both theoretically and empirically. A game-theoretical model is set up to analyze the voluntary disclosure decision of a target firm to inform the shareholders about its real worth. The empirical implication of model is tested by employing binary outcome models where the disclosure variable is obtained by identifying the target firms in the sample that provide positive news by issuing increasing management earnings forecasts. Findings: The model predicts that a voluntary disclosure of positive information by the target decreases the likelihood that the takeover succeeds. The empirical analysis confirms this prediction by showing that positive earnings forecasts by target firms during takeover events increase the probability of takeover failure. Overall, it is shown that information dissemination through voluntary disclosures by target firms is an important factor affecting takeover outcomes. Originality/Value: This study is the first to the author's knowledge that studies the impact of voluntary disclosures by the target firm during a takeover event on the likelihood of takeover success. The results contribute to information economics, corporate finance and M&As literatures.

Keywords: takeovers, target firm, voluntary disclosures, earnings forecasts, takeover success

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Authors: Lamyaa Gamal El-Deen Taha, Ashraf Sharawi

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Planet image is a new data source from planet lab. This research is concerned with the assessment of Planet image for land cover mapping. Two pixel based classifiers and one subpixel based classifier were compared. Firstly, rectification of Planet image was performed. Secondly, a comparison between minimum distance, maximum likelihood and neural network classifications for classification of Planet image was performed. Thirdly, the overall accuracy of classification and kappa coefficient were calculated. Results indicate that neural network classification is best followed by maximum likelihood classifier then minimum distance classification for land cover mapping.

Keywords: planet image, land cover mapping, rectification, neural network classification, multilayer perceptron, soft classifiers, hard classifiers

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Authors: Abdisalam Hassan Muse, Samuel Mwalili, Oscar Ngesa

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A generalized log-logistic distribution with variable shapes of the hazard rate was introduced and studied, extending the log-logistic distribution by adding an extra parameter to the classical distribution, leading to greater flexibility in analysing and modeling various data types. The proposed distribution has a large number of well-known lifetime special sub-models such as; Weibull, log-logistic, exponential, and Burr XII distributions. Its basic mathematical and statistical properties were derived. The method of maximum likelihood was adopted for estimating the unknown parameters of the proposed distribution, and a Monte Carlo simulation study is carried out to assess the behavior of the estimators. The importance of this distribution is that its tendency to model both monotone (increasing and decreasing) and non-monotone (unimodal and bathtub shape) or reversed “bathtub” shape hazard rate functions which are quite common in survival and reliability data analysis. Furthermore, the flexibility and usefulness of the proposed distribution are illustrated in a real-life data set and compared to its sub-models; Weibull, log-logistic, and BurrXII distributions and other parametric survival distributions with 3-parmaeters; like the exponentiated Weibull distribution, the 3-parameter lognormal distribution, the 3- parameter gamma distribution, the 3-parameter Weibull distribution, and the 3-parameter log-logistic (also known as shifted log-logistic) distribution. The proposed distribution provided a better fit than all of the competitive distributions based on the goodness-of-fit tests, the log-likelihood, and information criterion values. Finally, Bayesian analysis and performance of Gibbs sampling for the data set are also carried out.

Keywords: hazard rate function, log-logistic distribution, maximum likelihood estimation, generalized log-logistic distribution, survival data, Monte Carlo simulation

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Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: A. I. Ma’ali, R. B. Adeniyi, A. Y. Badeggi, U. Mohammed

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An error estimation of the integrated formulation of the Lanczos tau method for some class of ordinary differential equations was reported. This paper is concern with the generalization of tau approximants and their corresponding error estimates for some class of ordinary differential equations (ODEs) characterized by m + s =3 (i.e for m =1, s=2; m=2, s=1; and m=3, s=0) where m and s are the order of differential equations and number of overdetermination, respectively. The general result obtained were validated with some numerical examples.

Keywords: approximant, error estimate, tau method, overdetermination

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Authors: Retius Chifurira

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Logistic regression model is the most used regression model to predict meteorological drought probabilities. When the dependent variable is extreme, the logistic model fails to adequately capture drought probabilities. In order to adequately predict drought probabilities, we use the generalized linear model (GLM) with the quantile function of the generalized extreme value distribution (GEVD) as the link function. The method maximum likelihood estimation is used to estimate the parameters of the generalized extreme value (GEV) regression model. We compare the performance of the logistic and the GEV regression models in predicting drought probabilities for Zimbabwe. The performance of the regression models are assessed using the goodness-of-fit tests, namely; relative root mean square error (RRMSE) and relative mean absolute error (RMAE). Results show that the GEV regression model performs better than the logistic model, thereby providing a good alternative candidate for predicting drought probabilities. This paper provides the first application of GLM derived from extreme value theory to predict drought probabilities for a drought-prone country such as Zimbabwe.

Keywords: generalized extreme value distribution, general linear model, mean annual rainfall, meteorological drought probabilities

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Authors: Sharmistha Chowdhury, Shuva Chowdhury

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Buying-selling new as well as second-hand goods like tools, furniture, household, electronics, clothing, baby stuff, vehicles, and hobbies through the Facebook marketplace has become a new paradigm for c2c sellers. This phenomenon encourages and empowers decentralised home-oriented sellers. This study adopts Elaboration Likelihood Model (ELM) to explain consumer behaviour on Facebook Marketplace (FM). ELM suggests that consumers process information through the central and peripheral routes, which eventually shape their attitudes towards posts. The central route focuses on information quality, and the peripheral route focuses on cues. Sellers’ FM posts usually include product features, prices, conditions, pictures, and pick-up location. This study uses information relevance and accuracy as central route factors. The post’s attractiveness represents cues and creates positive or negative associations with the product. A post with remarkable pictures increases the attractiveness of the post. So, post aesthetics is used as a peripheral route factor. People influenced via the central or peripheral route forms an attitude that includes multiple processes – response and purchase intention. People respond to FM posts through save, share and chat. Purchase intention reflects a positive image of the product and higher purchase intention. This study proposes trust on sellers as a moderator to test the strength of its influence on consumer attitudes and behaviour. Trust on sellers is assessed whether sellers have badges or not. A sample questionnaire will be developed and distributed among a group of random FM sellers who are selling vehicles on this platform to conduct the study. The chosen product of this study is the vehicle, a high-value purchase item. High-value purchase requires consumers to consider forming their attitude without any sign of impulsiveness seriously. Hence, vehicles are the perfect choice to test the strength of consumers attitudes and behaviour. The findings of the study add to the elaboration likelihood model and online second-hand marketplace literature.

Keywords: consumer behaviour, elaboration likelihood model, facebook marketplace, c2c marketing

Procedia PDF Downloads 107

Authors: Md Al Masum Bhuiyan, Maria C. Mariani, Osei K. Tweneboah

Abstract:

In the present work, we develop a technique for estimating the volatility of financial time series by using stochastic differential equation. Taking the daily closing prices from developed and emergent stock markets as the basis, we argue that the incorporation of stochastic volatility into the time-varying parameter estimation significantly improves the forecasting performance via Maximum Likelihood Estimation. While using the technique, we see the long-memory behavior of data sets and one-step-ahead-predicted log-volatility with ±2 standard errors despite the variation of the observed noise from a Normal mixture distribution, because the financial data studied is not fully Gaussian. Also, the Ornstein-Uhlenbeck process followed in this work simulates well the financial time series, which aligns our estimation algorithm with large data sets due to the fact that this algorithm has good convergence properties.

Keywords: financial time series, maximum likelihood estimation, Ornstein-Uhlenbeck type models, stochastic volatility model

Procedia PDF Downloads 211

Authors: Pingshan Chen, Zhiliang Dong

Abstract:

In order to estimate the post-construction settlement more objectively, the power-polynomial model is proposed, which can reflect the trend of settlement development based on the observed settlement data. It was demonstrated by an actual case history of an embankment, and during the prediction. Compared with the other three prediction models, the power-polynomial model can estimate the post-construction settlement more accurately with more simple calculation.

Keywords: prediction, model, post-construction settlement, soft ground

Procedia PDF Downloads 398

Authors: Willy Mbenza, Sho Kenjiro

Abstract:

Increasing efforts are directed towards a better understanding and foreknowledge of extreme precipitation likelihood, given the adverse effects associated with their occurrence. This knowledge plays a crucial role in long-term planning and the formulation of effective emergency response. However, predicting extreme events reliably presents a challenge to conventional empirical/statistics due to the involvement of numerous variables spanning different time and space scales. In the recent time, Machine Learning has emerged as a promising tool for predicting the dynamics of extreme precipitation. ML techniques enables the consideration of both local and regional physical variables that have a strong influence on the likelihood of extreme precipitation. These variables encompasses factors such as air temperature, soil moisture, specific humidity, aerosol concentration, among others. In this study, we develop an ML model that incorporates both local and regional variables while establishing a robust relationship between physical variables and precipitation during the downscaling process. Furthermore, the model provides valuable information on the frequency and duration of a given intensity of precipitation.

Keywords: machine learning (ML), predictions, rainfall events, regional variables

Procedia PDF Downloads 57