Search results for: stochastic regression
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 3512

Search results for: stochastic regression

3242 The Relationship Between Hourly Compensation and Unemployment Rate Using the Panel Data Regression Analysis

Authors: S. K. Ashiquer Rahman

Abstract:

the paper concentrations on the importance of hourly compensation, emphasizing the significance of the unemployment rate. There are the two most important factors of a nation these are its unemployment rate and hourly compensation. These are not merely statistics but they have profound effects on individual, families, and the economy. They are inversely related to one another. When we consider the unemployment rate that will probably decline as hourly compensations in manufacturing rise. But when we reduced the unemployment rates and increased job prospects could result from higher compensation. That’s why, the increased hourly compensation in the manufacturing sector that could have a favorable effect on job changing issues. Moreover, the relationship between hourly compensation and unemployment is complex and influenced by broader economic factors. In this paper, we use panel data regression models to evaluate the expected link between hourly compensation and unemployment rate in order to determine the effect of hourly compensation on unemployment rate. We estimate the fixed effects model, evaluate the error components, and determine which model (the FEM or ECM) is better by pooling all 60 observations. We then analysis and review the data by comparing 3 several countries (United States, Canada and the United Kingdom) using panel data regression models. Finally, we provide result, analysis and a summary of the extensive research on how the hourly compensation effects on the unemployment rate. Additionally, this paper offers relevant and useful informational to help the government and academic community use an econometrics and social approach to lessen on the effect of the hourly compensation on Unemployment rate to eliminate the problem.

Keywords: hourly compensation, Unemployment rate, panel data regression models, dummy variables, random effects model, fixed effects model, the linear regression model

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3241 Performance Comparison of Different Regression Methods for a Polymerization Process with Adaptive Sampling

Authors: Florin Leon, Silvia Curteanu

Abstract:

Developing complete mechanistic models for polymerization reactors is not easy, because complex reactions occur simultaneously; there is a large number of kinetic parameters involved and sometimes the chemical and physical phenomena for mixtures involving polymers are poorly understood. To overcome these difficulties, empirical models based on sampled data can be used instead, namely regression methods typical of machine learning field. They have the ability to learn the trends of a process without any knowledge about its particular physical and chemical laws. Therefore, they are useful for modeling complex processes, such as the free radical polymerization of methyl methacrylate achieved in a batch bulk process. The goal is to generate accurate predictions of monomer conversion, numerical average molecular weight and gravimetrical average molecular weight. This process is associated with non-linear gel and glass effects. For this purpose, an adaptive sampling technique is presented, which can select more samples around the regions where the values have a higher variation. Several machine learning methods are used for the modeling and their performance is compared: support vector machines, k-nearest neighbor, k-nearest neighbor and random forest, as well as an original algorithm, large margin nearest neighbor regression. The suggested method provides very good results compared to the other well-known regression algorithms.

Keywords: batch bulk methyl methacrylate polymerization, adaptive sampling, machine learning, large margin nearest neighbor regression

Procedia PDF Downloads 270
3240 The Response of the Central Bank to the Exchange Rate Movement: A Dynamic Stochastic General Equilibrium-Vector Autoregressive Approach for Tunisian Economy

Authors: Abdelli Soulaima, Belhadj Besma

Abstract:

The paper examines the choice of the central bank toward the movements of the nominal exchange rate and evaluates its effects on the volatility of the output growth and the inflation. The novel hybrid method of the dynamic stochastic general equilibrium called the DSGE-VAR is proposed for analyzing this policy experiment in a small scale open economy in particular Tunisia. The contribution is provided to the empirical literature as we apply the Tunisian data with this model, which is rarely used in this context. Note additionally that the issue of treating the degree of response of the central bank to the exchange rate in Tunisia is special. To ameliorate the estimation, the Bayesian technique is carried out for the sample 1980:q1 to 2011 q4. Our results reveal that the central bank should not react or softly react to the exchange rate. The variance decomposition displayed that the overall inflation volatility is more pronounced with the fixed exchange rate regime for most of the shocks except for the productivity and the interest rate. The output volatility is also higher with this regime with the majority of the shocks exempting the foreign interest rate and the interest rate shocks.

Keywords: DSGE-VAR modeling, exchange rate, monetary policy, Bayesian estimation

Procedia PDF Downloads 269
3239 Technical Efficiency of Small-Scale Honey Producer in Ethiopia: A Stochastic Frontier Analysis

Authors: Kaleb Shiferaw, Berhanu Geberemedhin

Abstract:

Ethiopian farmers have a long tradition of beekeeping and the country has huge potential for honey production. However traditional mode of production still dominates the sub sector which negatively affect the total production and productivity. A number of studies have been conducted to better understand the working honey production, however, none of them systematically investigate the extent of technical efficiency of the sub-sector. This paper uses Stochastic Frontier production model to quantifying the extent of technical efficiency and identify exogenous determinant of inefficiency. The result showed that consistent with other studies traditional practice dominate small scale honey production in Ethiopia. The finding also revealed that use of purchased inputs such as bee forage and other supplement is very limited among honey producers indicating that natural bee forage is the primary source of bee forage. The immediate consequence of all these is low production and productivity. The number of hives the household owns, whether the household used improved apiculture technologies, availability of natural forest which is the primary sources of nectar for bees and amount of land owned by the households were found to have a significant influence on the amount of honey produced by beekeeper. Our result further showed that the mean technical efficiency of honey producers is 0.79 implying that, on average honey producer produce 80 percent of the maximum output. The implication is that 20 percent of the potential output is lost due to technical inefficiency. Number of hives owned by a honey produces, distance to district town-a proxy to market access, household wealth, and whether the household head has a leadership role in the PA affect the technical efficiency of honey producers. The finding suggest that policies that aim to expand the use of improved hives is expected to increase the honey production at household level. The result also suggest that investment on rural infrastructure would be instrumental in improving technical efficiency of honey producer.

Keywords: small-scale honey producer, Ethiopia, technical efficiency in apiculture, stochastic frontier analysis

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3238 Parameter Estimation for Contact Tracing in Graph-Based Models

Authors: Augustine Okolie, Johannes Müller, Mirjam Kretzchmar

Abstract:

We adopt a maximum-likelihood framework to estimate parameters of a stochastic susceptible-infected-recovered (SIR) model with contact tracing on a rooted random tree. Given the number of detectees per index case, our estimator allows to determine the degree distribution of the random tree as well as the tracing probability. Since we do not discover all infectees via contact tracing, this estimation is non-trivial. To keep things simple and stable, we develop an approximation suited for realistic situations (contract tracing probability small, or the probability for the detection of index cases small). In this approximation, the only epidemiological parameter entering the estimator is the basic reproduction number R0. The estimator is tested in a simulation study and applied to covid-19 contact tracing data from India. The simulation study underlines the efficiency of the method. For the empirical covid-19 data, we are able to compare different degree distributions and perform a sensitivity analysis. We find that particularly a power-law and a negative binomial degree distribution meet the data well and that the tracing probability is rather large. The sensitivity analysis shows no strong dependency on the reproduction number.

Keywords: stochastic SIR model on graph, contact tracing, branching process, parameter inference

Procedia PDF Downloads 47
3237 A Stochastic Vehicle Routing Problem with Ordered Customers and Collection of Two Similar Products

Authors: Epaminondas G. Kyriakidis, Theodosis D. Dimitrakos, Constantinos C. Karamatsoukis

Abstract:

The vehicle routing problem (VRP) is a well-known problem in Operations Research and has been widely studied during the last fifty-five years. The context of the VRP is that of delivering or collecting products to or from customers who are scattered in a geographical area and have placed orders for these products. A vehicle or a fleet of vehicles start their routes from a depot and visit the customers in order to satisfy their demands. Special attention has been given to the capacitated VRP in which the vehicles have limited carrying capacity for the goods that are delivered or collected. In the present work, we present a specific capacitated stochastic vehicle routing problem which has many realistic applications. We develop and analyze a mathematical model for a specific vehicle routing problem in which a vehicle starts its route from a depot and visits N customers according to a particular sequence in order to collect from them two similar but not identical products. We name these products, product 1 and product 2. Each customer possesses items either of product 1 or product 2 with known probabilities. The number of the items of product 1 or product 2 that each customer possesses is a discrete random variable with known distribution. The actual quantity and the actual type of product that each customer possesses are revealed only when the vehicle arrives at the customer’s site. It is assumed that the vehicle has two compartments. We name these compartments, compartment 1 and compartment 2. It is assumed that compartment 1 is suitable for loading product 1 and compartment 2 is suitable for loading product 2. However, it is permitted to load items of product 1 into compartment 2 and items of product 2 into compartment 1. These actions cause costs that are due to extra labor. The vehicle is allowed during its route to return to the depot to unload the items of both products. The travel costs between consecutive customers and the travel costs between the customers and the depot are known. The objective is to find the optimal routing strategy, i.e. the routing strategy that minimizes the total expected cost among all possible strategies for servicing all customers. It is possible to develop a suitable dynamic programming algorithm for the determination of the optimal routing strategy. It is also possible to prove that the optimal routing strategy has a specific threshold-type strategy. Specifically, it is shown that for each customer the optimal actions are characterized by some critical integers. This structural result enables us to design a special-purpose dynamic programming algorithm that operates only over these strategies having this structural property. Extensive numerical results provide strong evidence that the special-purpose dynamic programming algorithm is considerably more efficient than the initial dynamic programming algorithm. Furthermore, if we consider the same problem without the assumption that the customers are ordered, numerical experiments indicate that the optimal routing strategy can be computed if N is smaller or equal to eight.

Keywords: dynamic programming, similar products, stochastic demands, stochastic preferences, vehicle routing problem

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3236 Coupling Random Demand and Route Selection in the Transportation Network Design Problem

Authors: Shabnam Najafi, Metin Turkay

Abstract:

Network design problem (NDP) is used to determine the set of optimal values for certain pre-specified decision variables such as capacity expansion of nodes and links by optimizing various system performance measures including safety, congestion, and accessibility. The designed transportation network should improve objective functions defined for the system by considering the route choice behaviors of network users at the same time. The NDP studies mostly investigated the random demand and route selection constraints separately due to computational challenges. In this work, we consider both random demand and route selection constraints simultaneously. This work presents a nonlinear stochastic model for land use and road network design problem to address the development of different functional zones in urban areas by considering both cost function and air pollution. This model minimizes cost function and air pollution simultaneously with random demand and stochastic route selection constraint that aims to optimize network performance via road capacity expansion. The Bureau of Public Roads (BPR) link impedance function is used to determine the travel time function in each link. We consider a city with origin and destination nodes which can be residential or employment or both. There are set of existing paths between origin-destination (O-D) pairs. Case of increasing employed population is analyzed to determine amount of roads and origin zones simultaneously. Minimizing travel and expansion cost of routes and origin zones in one side and minimizing CO emission in the other side is considered in this analysis at the same time. In this work demand between O-D pairs is random and also the network flow pattern is subject to stochastic user equilibrium, specifically logit route choice model. Considering both demand and route choice, random is more applicable to design urban network programs. Epsilon-constraint is one of the methods to solve both linear and nonlinear multi-objective problems. In this work epsilon-constraint method is used to solve the problem. The problem was solved by keeping first objective (cost function) as the objective function of the problem and second objective as a constraint that should be less than an epsilon, where epsilon is an upper bound of the emission function. The value of epsilon should change from the worst to the best value of the emission function to generate the family of solutions representing Pareto set. A numerical example with 2 origin zones and 2 destination zones and 7 links is solved by GAMS and the set of Pareto points is obtained. There are 15 efficient solutions. According to these solutions as cost function value increases, emission function value decreases and vice versa.

Keywords: epsilon-constraint, multi-objective, network design, stochastic

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3235 Flood Predicting in Karkheh River Basin Using Stochastic ARIMA Model

Authors: Karim Hamidi Machekposhti, Hossein Sedghi, Abdolrasoul Telvari, Hossein Babazadeh

Abstract:

Floods have huge environmental and economic impact. Therefore, flood prediction is given a lot of attention due to its importance. This study analysed the annual maximum streamflow (discharge) (AMS or AMD) of Karkheh River in Karkheh River Basin for flood predicting using ARIMA model. For this purpose, we use the Box-Jenkins approach, which contains four-stage method model identification, parameter estimation, diagnostic checking and forecasting (predicting). The main tool used in ARIMA modelling was the SAS and SPSS software. Model identification was done by visual inspection on the ACF and PACF. SAS software computed the model parameters using the ML, CLS and ULS methods. The diagnostic checking tests, AIC criterion, RACF graph and RPACF graphs, were used for selected model verification. In this study, the best ARIMA models for Annual Maximum Discharge (AMD) time series was (4,1,1) with their AIC value of 88.87. The RACF and RPACF showed residuals’ independence. To forecast AMD for 10 future years, this model showed the ability of the model to predict floods of the river under study in the Karkheh River Basin. Model accuracy was checked by comparing the predicted and observation series by using coefficient of determination (R2).

Keywords: time series modelling, stochastic processes, ARIMA model, Karkheh river

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3234 Chemometric QSRR Evaluation of Behavior of s-Triazine Pesticides in Liquid Chromatography

Authors: Lidija R. Jevrić, Sanja O. Podunavac-Kuzmanović, Strahinja Z. Kovačević

Abstract:

This study considers the selection of the most suitable in silico molecular descriptors that could be used for s-triazine pesticides characterization. Suitable descriptors among topological, geometrical and physicochemical are used for quantitative structure-retention relationships (QSRR) model establishment. Established models were obtained using linear regression (LR) and multiple linear regression (MLR) analysis. In this paper, MLR models were established avoiding multicollinearity among the selected molecular descriptors. Statistical quality of established models was evaluated by standard and cross-validation statistical parameters. For detection of similarity or dissimilarity among investigated s-triazine pesticides and their classification, principal component analysis (PCA) and hierarchical cluster analysis (HCA) were used and gave similar grouping. This study is financially supported by COST action TD1305.

Keywords: chemometrics, classification analysis, molecular descriptors, pesticides, regression analysis

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3233 Development of a Data-Driven Method for Diagnosing the State of Health of Battery Cells, Based on the Use of an Electrochemical Aging Model, with a View to Their Use in Second Life

Authors: Desplanches Maxime

Abstract:

Accurate estimation of the remaining useful life of lithium-ion batteries for electronic devices is crucial. Data-driven methodologies encounter challenges related to data volume and acquisition protocols, particularly in capturing a comprehensive range of aging indicators. To address these limitations, we propose a hybrid approach that integrates an electrochemical model with state-of-the-art data analysis techniques, yielding a comprehensive database. Our methodology involves infusing an aging phenomenon into a Newman model, leading to the creation of an extensive database capturing various aging states based on non-destructive parameters. This database serves as a robust foundation for subsequent analysis. Leveraging advanced data analysis techniques, notably principal component analysis and t-Distributed Stochastic Neighbor Embedding, we extract pivotal information from the data. This information is harnessed to construct a regression function using either random forest or support vector machine algorithms. The resulting predictor demonstrates a 5% error margin in estimating remaining battery life, providing actionable insights for optimizing usage. Furthermore, the database was built from the Newman model calibrated for aging and performance using data from a European project called Teesmat. The model was then initialized numerous times with different aging values, for instance, with varying thicknesses of SEI (Solid Electrolyte Interphase). This comprehensive approach ensures a thorough exploration of battery aging dynamics, enhancing the accuracy and reliability of our predictive model. Of particular importance is our reliance on the database generated through the integration of the electrochemical model. This database serves as a crucial asset in advancing our understanding of aging states. Beyond its capability for precise remaining life predictions, this database-driven approach offers valuable insights for optimizing battery usage and adapting the predictor to various scenarios. This underscores the practical significance of our method in facilitating better decision-making regarding lithium-ion battery management.

Keywords: Li-ion battery, aging, diagnostics, data analysis, prediction, machine learning, electrochemical model, regression

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3232 Gaits Stability Analysis for a Pneumatic Quadruped Robot Using Reinforcement Learning

Authors: Soofiyan Atar, Adil Shaikh, Sahil Rajpurkar, Pragnesh Bhalala, Aniket Desai, Irfan Siddavatam

Abstract:

Deep reinforcement learning (deep RL) algorithms leverage the symbolic power of complex controllers by automating it by mapping sensory inputs to low-level actions. Deep RL eliminates the complex robot dynamics with minimal engineering. Deep RL provides high-risk involvement by directly implementing it in real-world scenarios and also high sensitivity towards hyperparameters. Tuning of hyperparameters on a pneumatic quadruped robot becomes very expensive through trial-and-error learning. This paper presents an automated learning control for a pneumatic quadruped robot using sample efficient deep Q learning, enabling minimal tuning and very few trials to learn the neural network. Long training hours may degrade the pneumatic cylinder due to jerk actions originated through stochastic weights. We applied this method to the pneumatic quadruped robot, which resulted in a hopping gait. In our process, we eliminated the use of a simulator and acquired a stable gait. This approach evolves so that the resultant gait matures more sturdy towards any stochastic changes in the environment. We further show that our algorithm performed very well as compared to programmed gait using robot dynamics.

Keywords: model-based reinforcement learning, gait stability, supervised learning, pneumatic quadruped

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3231 Statistic Regression and Open Data Approach for Identifying Economic Indicators That Influence e-Commerce

Authors: Apollinaire Barme, Simon Tamayo, Arthur Gaudron

Abstract:

This paper presents a statistical approach to identify explanatory variables linearly related to e-commerce sales. The proposed methodology allows specifying a regression model in order to quantify the relevance between openly available data (economic and demographic) and national e-commerce sales. The proposed methodology consists in collecting data, preselecting input variables, performing regressions for choosing variables and models, testing and validating. The usefulness of the proposed approach is twofold: on the one hand, it allows identifying the variables that influence e- commerce sales with an accessible approach. And on the other hand, it can be used to model future sales from the input variables. Results show that e-commerce is linearly dependent on 11 economic and demographic indicators.

Keywords: e-commerce, statistical modeling, regression, empirical research

Procedia PDF Downloads 194
3230 Understanding the Impact of Climate Change on Farmer's Technical Efficiency in Mali

Authors: Christelle Tchoupé Makougoum

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In the context of agriculture, differences across localities in term of climate change can create systematic variation among farmers technical efficiency. Failure to account for climate variability could lead to wrong conclusions about farmers’ technical efficiency and also it could bias the ranking of farmers according to their managerial performance. The literature on agricultural productivity has given little attention to this issue whereas it is necessary for establishing to what extent climate affects farmers efficiency. This article contributes to the preview literature by two ways. First, it proposed a new econometric model that accounting for the climate change influences on technical efficiency in the specific area of agriculture. Second it estimates the inefficiency due to climate change and the real managerial performance of Malian farmers. Using the Mali’s data from agricultural census and CRU TS3 climatic database we implemented an adjusted stochastic frontier methodology to account for the impact of environmental factors. The results yield three main findings. First, instability in temperatures and rainfall decreases technical efficiency on average. Second, the climate change modifies the classification of the farmers according to their efficiency scores. Thirdly it is noted that, although climate changes are partly responsible for the deviation from the border, the capacity of farmers to combine inputs into the optimal proportion is more to undermine. The study concluded that improving farmer efficiency should include fostering their resilience to climate change.

Keywords: agriculture, climate change, stochastic production function, technical efficiency

Procedia PDF Downloads 484
3229 Frailty Patterns in the US and Implications for Long-Term Care

Authors: Joelle Fong

Abstract:

Older persons are at greatest risk of becoming frail. As survival to the age of 80 and beyond continues to increase, the health and frailty of older Americans has garnered much recent attention among policy makers and healthcare administrators. This paper examines patterns in old-age frailty within a multistate actuarial model that characterizes the stochastic process of biological ageing. Using aggregate population-level U.S. mortality data, we implement a stochastic aging model to examine cohort trends and gender differences in frailty distributions for older Americans born 1865 – 1894. The stochastic ageing model, which draws from the fields of actuarial science and gerontology, is well-established in the literature. The implications for public health insurance programs are also discussed. Our results suggest that, on average, women tend to be frailer than men at older ages and reveal useful insights about the magnitude of the male-female differential at critical age points. Specifically, we note that the frailty statuses of males and females are actually quite comparable from ages 65 to 80. Beyond age 80, however, the frailty levels start to diverge considerably implying that women are moving quicker into worse states of health than men. Tracking average frailty by gender over 30 successive birth cohorts, we also find that frailty levels for both genders follow a distinct peak-and-trough pattern. For instance, frailty among 85-year old American survivors increased in years 1954-1963, decreased in years 1964-1971, and again started to increase in years 1972-1979. A number of factors may have accounted for these cohort differences including differences in cohort life histories, differences in disease prevalence, differences in lifestyle and behavior, differential access to medical advances, as well as changes in environmental risk factors over time. We conclude with a discussion on the implications of our findings on spending for long-term care programs within the broader health insurance system.

Keywords: actuarial modeling, cohort analysis, frail elderly, health

Procedia PDF Downloads 216
3228 Tree-Based Inference for Regionalization: A Comparative Study of Global Topological Perturbation Methods

Authors: Orhun Aydin, Mark V. Janikas, Rodrigo Alves, Renato Assuncao

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In this paper, a tree-based perturbation methodology for regionalization inference is presented. Regionalization is a constrained optimization problem that aims to create groups with similar attributes while satisfying spatial contiguity constraints. Similar to any constrained optimization problem, the spatial constraint may hinder convergence to some global minima, resulting in spatially contiguous members of a group with dissimilar attributes. This paper presents a general methodology for rigorously perturbing spatial constraints through the use of random spanning trees. The general framework presented can be used to quantify the effect of the spatial constraints in the overall regionalization result. We compare several types of stochastic spanning trees used in inference problems such as fuzzy regionalization and determining the number of regions. Performance of stochastic spanning trees is juxtaposed against the traditional permutation-based hypothesis testing frequently used in spatial statistics. Inference results for fuzzy regionalization and determining the number of regions is presented on the Local Area Personal Incomes for Texas Counties provided by the Bureau of Economic Analysis.

Keywords: regionalization, constrained clustering, probabilistic inference, fuzzy clustering

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3227 Support Vector Regression for Retrieval of Soil Moisture Using Bistatic Scatterometer Data at X-Band

Authors: Dileep Kumar Gupta, Rajendra Prasad, Pradeep Kumar, Varun Narayan Mishra, Ajeet Kumar Vishwakarma, Prashant K. Srivastava

Abstract:

An approach was evaluated for the retrieval of soil moisture of bare soil surface using bistatic scatterometer data in the angular range of 200 to 700 at VV- and HH- polarization. The microwave data was acquired by specially designed X-band (10 GHz) bistatic scatterometer. The linear regression analysis was done between scattering coefficients and soil moisture content to select the suitable incidence angle for retrieval of soil moisture content. The 250 incidence angle was found more suitable. The support vector regression analysis was used to approximate the function described by the input-output relationship between the scattering coefficient and corresponding measured values of the soil moisture content. The performance of support vector regression algorithm was evaluated by comparing the observed and the estimated soil moisture content by statistical performance indices %Bias, root mean squared error (RMSE) and Nash-Sutcliffe Efficiency (NSE). The values of %Bias, root mean squared error (RMSE) and Nash-Sutcliffe Efficiency (NSE) were found 2.9451, 1.0986, and 0.9214, respectively at HH-polarization. At VV- polarization, the values of %Bias, root mean squared error (RMSE) and Nash-Sutcliffe Efficiency (NSE) were found 3.6186, 0.9373, and 0.9428, respectively.

Keywords: bistatic scatterometer, soil moisture, support vector regression, RMSE, %Bias, NSE

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3226 A Comparative Analysis of Machine Learning Techniques for PM10 Forecasting in Vilnius

Authors: Mina Adel Shokry Fahim, Jūratė Sužiedelytė Visockienė

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With the growing concern over air pollution (AP), it is clear that this has gained more prominence than ever before. The level of consciousness has increased and a sense of knowledge now has to be forwarded as a duty by those enlightened enough to disseminate it to others. This realisation often comes after an understanding of how poor air quality indices (AQI) damage human health. The study focuses on assessing air pollution prediction models specifically for Lithuania, addressing a substantial need for empirical research within the region. Concentrating on Vilnius, it specifically examines particulate matter concentrations 10 micrometers or less in diameter (PM10). Utilizing Gaussian Process Regression (GPR) and Regression Tree Ensemble, and Regression Tree methodologies, predictive forecasting models are validated and tested using hourly data from January 2020 to December 2022. The study explores the classification of AP data into anthropogenic and natural sources, the impact of AP on human health, and its connection to cardiovascular diseases. The study revealed varying levels of accuracy among the models, with GPR achieving the highest accuracy, indicated by an RMSE of 4.14 in validation and 3.89 in testing.

Keywords: air pollution, anthropogenic and natural sources, machine learning, Gaussian process regression, tree ensemble, forecasting models, particulate matter

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3225 Forecasting Equity Premium Out-of-Sample with Sophisticated Regression Training Techniques

Authors: Jonathan Iworiso

Abstract:

Forecasting the equity premium out-of-sample is a major concern to researchers in finance and emerging markets. The quest for a superior model that can forecast the equity premium with significant economic gains has resulted in several controversies on the choice of variables and suitable techniques among scholars. This research focuses mainly on the application of Regression Training (RT) techniques to forecast monthly equity premium out-of-sample recursively with an expanding window method. A broad category of sophisticated regression models involving model complexity was employed. The RT models include Ridge, Forward-Backward (FOBA) Ridge, Least Absolute Shrinkage and Selection Operator (LASSO), Relaxed LASSO, Elastic Net, and Least Angle Regression were trained and used to forecast the equity premium out-of-sample. In this study, the empirical investigation of the RT models demonstrates significant evidence of equity premium predictability both statistically and economically relative to the benchmark historical average, delivering significant utility gains. They seek to provide meaningful economic information on mean-variance portfolio investment for investors who are timing the market to earn future gains at minimal risk. Thus, the forecasting models appeared to guarantee an investor in a market setting who optimally reallocates a monthly portfolio between equities and risk-free treasury bills using equity premium forecasts at minimal risk.

Keywords: regression training, out-of-sample forecasts, expanding window, statistical predictability, economic significance, utility gains

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3224 Self-Image of Police Officers

Authors: Leo Carlo B. Rondina

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Self-image is an important factor to improve the self-esteem of the personnel. The purpose of the study is to determine the self-image of the police. The respondents were the 503 policemen assigned in different Police Station in Davao City, and they were chosen with the used of random sampling. With the used of Exploratory Factor Analysis (EFA), latent construct variables of police image were identified as follows; professionalism, obedience, morality and justice and fairness. Further, ordinal regression indicates statistical characteristics on ages 21-40 which means the age of the respondent statistically improves self-image.

Keywords: police image, exploratory factor analysis, ordinal regression, Galatea effect

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3223 Regression Analysis of Travel Indicators and Public Transport Usage in Urban Areas

Authors: Mehdi Moeinaddini, Zohreh Asadi-Shekari, Muhammad Zaly Shah, Amran Hamzah

Abstract:

Currently, planners try to have more green travel options to decrease economic, social and environmental problems. Therefore, this study tries to find significant urban travel factors to be used to increase the usage of alternative urban travel modes. This paper attempts to identify the relationship between prominent urban mobility indicators and daily trips by public transport in 30 cities from various parts of the world. Different travel modes, infrastructures and cost indicators were evaluated in this research as mobility indicators. The results of multi-linear regression analysis indicate that there is a significant relationship between mobility indicators and the daily usage of public transport.

Keywords: green travel modes, urban travel indicators, daily trips by public transport, multi-linear regression analysis

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3222 Development of Generalized Correlation for Liquid Thermal Conductivity of N-Alkane and Olefin

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

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The objective of this research is to develop a generalized correlation for the prediction of thermal conductivity of n-Alkanes and Alkenes. There is a minority of research and lack of correlation for thermal conductivity of liquids in the open literature. The available experimental data are collected covering the groups of n-Alkanes and Alkenes.The data were assumed to correlate to temperature using Filippov correlation. Nonparametric regression of Grace Algorithm was used to develop the generalized correlation model. A spread sheet program based on Microsoft Excel was used to plot and calculate the value of the coefficients. The results obtained were compared with the data that found in Perry's Chemical Engineering Hand Book. The experimental data correlated to the temperature ranged "between" 273.15 to 673.15 K, with R2 = 0.99.The developed correlation reproduced experimental data that which were not included in regression with absolute average percent deviation (AAPD) of less than 7 %. Thus the spread sheet was quite accurate which produces reliable data.

Keywords: N-Alkanes, N-Alkenes, nonparametric, regression

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3221 Response Surface Methodology for the Optimization of Paddy Husker by Medium Brown Rice Peeling Machine 6 Rubber Type

Authors: S. Bangphan, P. Bangphan, C. Ketsombun, T. Sammana

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Optimization of response surface methodology (RSM) was employed to study the effects of three factor (rubber of clearance, spindle of speed, and rice of moisture) in brown rice peeling machine of the optimal good rice yield (99.67, average of three repeats). The optimized composition derived from RSM regression was analyzed using Regression analysis and Analysis of Variance (ANOVA). At a significant level α=0.05, the values of Regression coefficient, R2 adjust were 96.55% and standard deviation were 1.05056. The independent variables are initial rubber of clearance, spindle of speed and rice of moisture parameters namely. The investigating responses are final rubber clearance, spindle of speed and moisture of rice.

Keywords: brown rice, response surface methodology (RSM), peeling machine, optimization, paddy husker

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3220 Accelerated Structural Reliability Analysis under Earthquake-Induced Tsunamis by Advanced Stochastic Simulation

Authors: Sai Hung Cheung, Zhe Shao

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Recent earthquake-induced tsunamis in Padang, 2004 and Tohoku, 2011 brought huge losses of lives and properties. Maintaining vertical evacuation systems is the most crucial strategy to effectively reduce casualty during the tsunami event. Thus, it is of our great interest to quantify the risk to structural dynamic systems due to earthquake-induced tsunamis. Despite continuous advancement in computational simulation of the tsunami and wave-structure interaction modeling, it still remains computationally challenging to evaluate the reliability (or its complement failure probability) of a structural dynamic system when uncertainties related to the system and its modeling are taken into account. The failure of the structure in a tsunami-wave-structural system is defined as any response quantities of the system exceeding specified thresholds during the time when the structure is subjected to dynamic wave impact due to earthquake-induced tsunamis. In this paper, an approach based on a novel integration of the Subset Simulation algorithm and a recently proposed moving least squares response surface approach for stochastic sampling is proposed. The effectiveness of the proposed approach is discussed by comparing its results with those obtained from the Subset Simulation algorithm without using the response surface approach.

Keywords: response surface model, subset simulation, structural reliability, Tsunami risk

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3219 On the Performance of Improvised Generalized M-Estimator in the Presence of High Leverage Collinearity Enhancing Observations

Authors: Habshah Midi, Mohammed A. Mohammed, Sohel Rana

Abstract:

Multicollinearity occurs when two or more independent variables in a multiple linear regression model are highly correlated. The ridge regression is the commonly used method to rectify this problem. However, the ridge regression cannot handle the problem of multicollinearity which is caused by high leverage collinearity enhancing observation (HLCEO). Since high leverage points (HLPs) are responsible for inducing multicollinearity, the effect of HLPs needs to be reduced by using Generalized M estimator. The existing GM6 estimator is based on the Minimum Volume Ellipsoid (MVE) which tends to swamp some low leverage points. Hence an improvised GM (MGM) estimator is presented to improve the precision of the GM6 estimator. Numerical example and simulation study are presented to show how HLPs can cause multicollinearity. The numerical results show that our MGM estimator is the most efficient method compared to some existing methods.

Keywords: identification, high leverage points, multicollinearity, GM-estimator, DRGP, DFFITS

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3218 Estimation of Thermal Conductivity of Nanofluids Using MD-Stochastic Simulation-Based Approach

Authors: Sujoy Das, M. M. Ghosh

Abstract:

The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparticles repeatedly collide with the heat source. During each collision a rapid heat transfer occurs owing to the solid-solid contact. Molecular dynamics (MD) simulation of the collision of nanoparticles with the heat source has shown that there is a pulse-like pick up of heat by the nanoparticles within 20-100 ps, the extent of which depends not only on thermal conductivity of the nanoparticles, but also on the elastic and other physical properties of the nanoparticle. After the collision the nanoparticles undergo Brownian motion in the base fluid and release the excess heat to the surrounding base fluid within 2-10 ms. The Brownian motion and associated temperature variation of the nanoparticles have been modeled by stochastic analysis. Repeated occurrence of these events by the suspended nanoparticles significantly contributes to the characteristic thermal conductivity of the nanofluids, which has been estimated by the present model for a ethylene glycol based nanofluid containing Cu-nanoparticles of size ranging from 8 to 20 nm, with Gaussian size distribution. The prediction of the present model has shown a reasonable agreement with the experimental data available in literature.

Keywords: brownian dynamics, molecular dynamics, nanofluid, thermal conductivity

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3217 Stochastic Fleet Sizing and Routing in Drone Delivery

Authors: Amin Karimi, Lele Zhang, Mark Fackrell

Abstract:

Rural-to-urban population migrations are a global phenomenon, with projections indicating that by 2050, 68% of the world's population will inhabit densely populated urban centers. Concurrently, the popularity of e-commerce shopping has surged, evidenced by a 51% increase in total e-commerce sales from 2017 to 2021. Consequently, distribution and logistics systems, integral to effective supply chain management, confront escalating hurdles in efficiently delivering and distributing products within bustling urban environments. Additionally, events like environmental challenges and the COVID-19 pandemic have indicated that decision-makers are facing numerous sources of uncertainty. Therefore, to design an efficient and reliable logistics system, uncertainty must be considered. In this study, it examine fleet sizing and routing while considering uncertainty in demand rate. Fleet sizing is typically a strategic-level decision, while routing is an operational-level one. In this study, a carrier must make two types of decisions: strategic-level decisions regarding the number and types of drones to be purchased, and operational-level decisions regarding planning routes based on available fleet and realized demand. If the available fleets are insufficient to serve some customers, the carrier must outsource that delivery at a relatively high cost, calculated per order. With this hierarchy of decisions, it can model the problem using two-stage stochastic programming. The first-stage decisions involve planning the number and type of drones to be purchased, while the second-stage decisions involve planning routes. To solve this model, it employ logic-based benders decomposition, which decomposes the problem into a master problem and a set of sub-problems. The master problem becomes a mixed integer programming model to find the best fleet sizing decisions, and the sub-problems become capacitated vehicle routing problems considering battery status. Additionally, it assume a heterogeneous fleet based on load and battery capacity, and it consider that battery health deteriorates over time as it plan for multiple periods.

Keywords: drone-delivery, stochastic demand, VRP, fleet sizing

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3216 Neural Network Modelling for Turkey Railway Load Carrying Demand

Authors: Humeyra Bolakar Tosun

Abstract:

The transport sector has an undisputed place in human life. People need transport access to continuous increase day by day with growing population. The number of rail network, urban transport planning, infrastructure improvements, transportation management and other related areas is a key factor affecting our country made it quite necessary to improve the work of transportation. In this context, it plays an important role in domestic rail freight demand planning. Alternatives that the increase in the transportation field and has made it mandatory requirements such as the demand for improving transport quality. In this study generally is known and used in studies by the definition, rail freight transport, railway line length, population, energy consumption. In this study, Iron Road Load Net Demand was modeled by multiple regression and ANN methods. In this study, model dependent variable (Output) is Iron Road Load Net demand and 6 entries variable was determined. These outcome values extracted from the model using ANN and regression model results. In the regression model, some parameters are considered as determinative parameters, and the coefficients of the determinants give meaningful results. As a result, ANN model has been shown to be more successful than traditional regression model.

Keywords: railway load carrying, neural network, modelling transport, transportation

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3215 Using the Bootstrap for Problems Statistics

Authors: Brahim Boukabcha, Amar Rebbouh

Abstract:

The bootstrap method based on the idea of exploiting all the information provided by the initial sample, allows us to study the properties of estimators. In this article we will present a theoretical study on the different methods of bootstrapping and using the technique of re-sampling in statistics inference to calculate the standard error of means of an estimator and determining a confidence interval for an estimated parameter. We apply these methods tested in the regression models and Pareto model, giving the best approximations.

Keywords: bootstrap, error standard, bias, jackknife, mean, median, variance, confidence interval, regression models

Procedia PDF Downloads 354
3214 Enhancing Predictive Accuracy in Pharmaceutical Sales through an Ensemble Kernel Gaussian Process Regression Approach

Authors: Shahin Mirshekari, Mohammadreza Moradi, Hossein Jafari, Mehdi Jafari, Mohammad Ensaf

Abstract:

This research employs Gaussian Process Regression (GPR) with an ensemble kernel, integrating Exponential Squared, Revised Matern, and Rational Quadratic kernels to analyze pharmaceutical sales data. Bayesian optimization was used to identify optimal kernel weights: 0.76 for Exponential Squared, 0.21 for Revised Matern, and 0.13 for Rational Quadratic. The ensemble kernel demonstrated superior performance in predictive accuracy, achieving an R² score near 1.0, and significantly lower values in MSE, MAE, and RMSE. These findings highlight the efficacy of ensemble kernels in GPR for predictive analytics in complex pharmaceutical sales datasets.

Keywords: Gaussian process regression, ensemble kernels, bayesian optimization, pharmaceutical sales analysis, time series forecasting, data analysis

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3213 A Meta Regression Analysis to Detect Price Premium Threshold for Eco-Labeled Seafood

Authors: Cristina Giosuè, Federica Biondo, Sergio Vitale

Abstract:

In the last years, the consumers' awareness for environmental concerns has been increasing, and seafood eco-labels are considered as a possible instrument to improve both seafood markets and sustainable fishing management. In this direction, the aim of this study was to carry out a meta-analysis on consumers’ willingness to pay (WTP) for eco-labeled wild seafood, by a meta-regression. Therefore, only papers published on ISI journals were searched on “Web of Knowledge” and “SciVerse Scopus” platforms, using the combinations of the following key words: seafood, ecolabel, eco-label, willingness, WTP and premium. The dataset was built considering: paper’s and survey’s codes, year of publication, first author’s nationality, species’ taxa and family, sample size, survey’s continent and country, data collection (where and how), gender and age of consumers, brand and ΔWTP. From analysis the interest on eco labeled seafood emerged clearly, in particular in developed countries. In general, consumers declared greater willingness to pay than that actually applied for eco-label products, with difference related to taxa and brand.

Keywords: eco label, meta regression, seafood, willingness to pay

Procedia PDF Downloads 94