Search results for: triply stochastic filtered marked Poisson point process

Authors: Loïc Warscotte, Jehan Boreux

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The scientific literature of changepoint detection is vast. Today, a lot of methods are available to detect abrupt changes or slight drift in a signal, based on CUSUM or EWMA charts, for example. However, these methods rely on strong assumptions, such as the stationarity of the stochastic underlying process, or even the independence and Gaussian distributed noise at each time. Recently, the breakthrough research on locally stationary processes widens the class of studied stochastic processes with almost no assumptions on the signals and the nature of the changepoint. Despite the accurate description of the mathematical aspects, this methodology quickly suffers from impractical time and space complexity concerning the signals with high-rate data collection, if the characteristics of the process are completely unknown. In this paper, we then addressed the problem of making this theory usable to our purpose, which is monitoring a high-speed weigh-in-motion system (HS-WIM) towards direct enforcement without supervision. To this end, we first compute bounded approximations of the initial detection theory. Secondly, these approximating bounds are empirically validated by generating many independent long-run stochastic processes. The abrupt changes and the drift are both tested. Finally, this relaxed methodology is tested on real signals coming from a HS-WIM device in Belgium, collected over several months.

Keywords: changepoint, weigh-in-motion, process, non-parametric

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Authors: Ezgi Nevruz, Kasirga Yildirak, Ashis SenGupta

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Comparing or ranking risks is the main motivating factor behind the human trait of making choices. Cumulative prospect theory (CPT) is a preference theory approach that evaluates perception and bias in decision making under risk and uncertainty. We aim to investigate the aggregate claims of different risk classes in terms of their comparability and amenability to ordering when the impact of risk perception is considered. For this aim, we prioritize the aggregate claims taken as actuarial risks by using various stochastic ordering relations. In order to prioritize actuarial risks, we use stochastic relations such as stochastic dominance and stop-loss dominance that are proposed in the frame of partial order theory. We take into account the dependency of the individual claims exposed to similar environmental risks. At first, we modify the zero-utility premium principle in order to obtain a solution for the stop-loss premium under CPT. Then, we propose a stochastic stop-loss dominance of the aggregate claims and find a relation between the stop-loss dominance and the first-order stochastic dominance under the dependence assumption by using properties of the familiar as well as some emerging multivariate claim distributions.

Keywords: cumulative prospect theory, partial order theory, risk perception, stochastic dominance, stop-loss dominance

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Authors: Y. N. Phang, E. F. Loh

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Many researchers have suggested the use of zero inflated Poisson (ZIP) and zero inflated negative binomial (ZINB) models in modeling over-dispersed medical count data with extra variations caused by extra zeros and unobserved heterogeneity. The studies indicate that ZIP and ZINB always provide better fit than using the normal Poisson and negative binomial models in modeling over-dispersed medical count data. In this study, we proposed the use of Zero Inflated Inverse Trinomial (ZIIT), Zero Inflated Poisson Inverse Gaussian (ZIPIG) and zero inflated strict arcsine models in modeling over-dispersed medical count data. These proposed models are not widely used by many researchers especially in the medical field. The results show that these three suggested models can serve as alternative models in modeling over-dispersed medical count data. This is supported by the application of these suggested models to a real life medical data set. Inverse trinomial, Poisson inverse Gaussian, and strict arcsine are discrete distributions with cubic variance function of mean. Therefore, ZIIT, ZIPIG and ZISA are able to accommodate data with excess zeros and very heavy tailed. They are recommended to be used in modeling over-dispersed medical count data when ZIP and ZINB are inadequate.

Keywords: zero inflated, inverse trinomial distribution, Poisson inverse Gaussian distribution, strict arcsine distribution, Pearson’s goodness of fit

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Authors: Dávid Kovács, Bálint Csanády, Dániel Boros, Iván Ivkovic, Lóránt Nagy, Dalma Tóth-Lakits, László Márkus, András Lukács

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The modeling practice of financial instruments has seen significant change over the last decade due to the recognition of time-dependent and stochastically changing correlations among the market prices or the prices and market characteristics. To represent this phenomenon, the Stochastic Correlation Process (SCP) has come to the fore in the joint modeling of prices, offering a more nuanced description of their interdependence. This approach has allowed for the attainment of realistic tail dependencies, highlighting that prices tend to synchronize more during intense or volatile trading periods, resulting in stronger correlations. Evidence in statistical literature suggests that, similarly to the volatility, the SCP of certain stock prices follows rough paths, which can be described using fractional differential equations. However, estimating parameters for these equations often involves complex and computation-intensive algorithms, creating a necessity for alternative solutions. In this regard, the Fractional Ornstein-Uhlenbeck (fOU) process from the family of fractional processes offers a promising path. We can effectively describe the rough SCP by utilizing certain transformations of the fOU. We employed neural networks to understand the behavior of these processes. We had to develop a fast algorithm to generate a valid and suitably large sample from the appropriate process to train the network. With an extensive training set, the neural network can estimate the process parameters accurately and efficiently. Although the initial focus was the fOU, the resulting model displayed broader applicability, thus paving the way for further investigation of other processes in the realm of financial mathematics. The utility of SCP extends beyond its immediate application. It also serves as a springboard for a deeper exploration of fractional processes and for extending existing models that use ordinary Wiener processes to fractional scenarios. In essence, deploying both SCP and fractional processes in financial models provides new, more accurate ways to depict market dynamics.

Keywords: fractional Ornstein-Uhlenbeck process, fractional stochastic processes, Heston model, neural networks, stochastic correlation, stochastic differential equations, stochastic volatility

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Authors: Mojtaba Aghamiri Esfahani, Mohammad Karkon, Seyed Majid Hosseini Nezhad, Reza Hosseini-Ara

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In this study, the effect of uncertainty in elastic modulus of a plate on free vibration response is investigated. For this purpose, the elastic modulus of the plate is modeled as stochastic variable with normal distribution. Moreover, the distance autocorrelation function is used for stochastic field. Then, by applying the finite element method and Monte Carlo simulation, stochastic finite element relations are extracted. Finally, with a numerical test, the effect of uncertainty in the elastic modulus on free vibration response of a plate is studied. The results show that the effect of uncertainty in elastic modulus of the plate cannot play an important role on the free vibration response.

Keywords: stochastic finite elements, plate bending, free vibration, Monte Carlo, Neumann expansion method.

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Authors: Jai Heui Kim, Sotheara Veng

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This paper studies the portfolio optimization problem for a pension fund under a hybrid model of stochastic volatility and constant elasticity of variance (CEV) using asymptotic analysis method. When the volatility component is fast mean-reverting, it is able to derive asymptotic approximations for the value function and the optimal strategy for general utility functions. Explicit solutions are given for the exponential and hyperbolic absolute risk aversion (HARA) utility functions. The study also shows that using the leading order optimal strategy results in the value function, not only up to the leading order, but also up to first order correction term. A practical strategy that does not depend on the unobservable volatility level is suggested. The result is an extension of the Merton's solution when stochastic volatility and elasticity of variance are considered simultaneously.

Keywords: asymptotic analysis, constant elasticity of variance, portfolio optimization, stochastic optimal control, stochastic volatility

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Authors: Mojahid F. Saeed Osman

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Repairable items inventory system is a management tool used to incorporate all information concerning inventory levels and movements for repaired and new items. This paper presents development of an effective simulation model for managing the inventory of repairable items for a production system where production lines send their faulty items to a repair shop considering the stochastic failure behavior and repair times. The developed model imitates the process of handling the on-hand inventory of repaired items and the replenishment of the inventory of new items using Economic Order Quantity and Reorder Point ordering policy in a flexible and risk-free environment. We demonstrate the appropriateness and effectiveness of the proposed simulation model using an illustrative case problem. The developed simulation model can be used as a reliable tool for estimating a healthy on-hand inventory of new and repaired items, backordered items, and downtime due to unavailability of repaired items, and validating and examining Economic Order Quantity and Reorder Point ordering policy, which would further be compared with other ordering strategies as future work.

Keywords: inventory system, repairable items, simulation, maintenance, economic order quantity, reorder point

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Authors: Hyunsun Lee, Yi Zhu

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Wireless ad-hoc network is a decentralized type of temporary machine-to-machine connection that is spontaneous or impromptu so that it does not rely on any fixed infrastructure and centralized administration. As unmanned aerial vehicles (UAVs), also called drones, have recently become more accessible and widely utilized in military and civilian domains such as surveillance, search and detection missions, traffic monitoring, remote filming, product delivery, to name a few. The communication between these UAVs become possible and materialized through Flying Ad-hoc Networks (FANETs). However, due to the high mobility of UAVs that may cause different types of transmission interference, it is vital to design robust routing protocols for FANETs. In this talk, the multicast routing method based on a modified stochastic branching process is proposed. The stochastic branching process is often used to describe an early stage of an infectious disease outbreak, and the reproductive number in the process is used to classify the outbreak into a major or minor outbreak. The reproductive number to regulate the local transmission rate is adapted and modified for flying ad-hoc network communication. The performance of the proposed routing method is compared with other well-known methods such as flooding method and gossip method based on three measures; average reachability, average node usage and average branching factor. The proposed routing method achieves average reachability very closer to flooding method, average node usage closer to gossip method, and outstanding average branching factor among methods. It can be concluded that the proposed multicast routing scheme is more efficient than well-known routing schemes such as flooding and gossip while it maintains high performance.

Keywords: Flying Ad-hoc Networks, Multicast Routing, Stochastic Branching Process, Unmanned Aerial Vehicles

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Authors: Riky Tri Hartagung, Mohammad Syamsu Rosid

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The lithology prediction process, as well as the fluid content is the most important part in the reservoir characterization. One of the methods used in this process is the simultaneous seismic inversion method. In the Posseidon field, Browse Basin, Australia, the parameters generated through simultaneous seismic inversion are not able to characterize the reservoir accurately because of the overlapping impedance values between hydrocarbon sand, water sand, and shale, which causes a high level of ambiguity in the interpretation. The Poisson Impedance inversion provides a solution to this problem by rotating the impedance a few degrees, which is obtained through the coefficient c. Coefficient c is obtained through the Target Correlation Coefficient Analysis (TCCA) by finding the optimum correlation coefficient between Poisson Impedance and the target log, namely gamma ray, effective porosity, and resistivity. Correlation of each of these target logs will produce Lithology Impedance (LI) which is sensitive to lithology sand, Porosity Impedance (ϕI) which is sensitive to porous sand, and Fluid Impedance (FI) which is sensitive to fluid content. The results show that PI gives better results in separating hydrocarbon saturated reservoir zones. Based on the results of the LI-GR crossplot, the ϕI-effective porosity crossplot, and the FI-Sw crossplot with optimum correlations of 0.74, 0.91, and 0.82 respectively, it shows that the lithology of hidrocarbon-saturated porous sand is at the value of LI ≤ 2800 (m/s)(g *cc), ϕI ≤ 5500 (m/s)(g*cc), and FI ≤ 4000 (m/s)(g*cc). The presence of low values of LI, ϕI, and FI correlates accurately with the presence of hydrocarbons in the well. Each value of c is then applied to the seismic data. The results show that the PI inversion gives a good distribution of Hydrocarbon-saturated porous sand lithology. The distribution of hydrocarbon saturated porous sand on the seismic inversion section is seen in the northeast – southwest direction, which is estimated as the direction of gas distribution.

Keywords: reservoir characterization, poisson impedance, browse basin, poseidon field

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Authors: Massimiliano Frezza, Sergio Bianchi, Augusto Pianese

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Introduced by Shannon in 1948 in the field of information theory as the average rate at which information is produced by a stochastic set of data, the concept of entropy has gained much attention as a measure of uncertainty and unpredictability associated with a dynamical system, eventually depicted by a stochastic process. In particular, the Shannon entropy measures the degree of order/disorder of a given signal and provides useful information about the underlying dynamical process. It has found widespread application in a variety of fields, such as, for example, cryptography, statistical physics and finance. In this regard, many contributions have employed different measures of entropy in an attempt to characterize the financial time series in terms of market efficiency, market crashes and/or financial crises. The Shannon entropy has also been considered as a measure of the risk of a portfolio or as a tool in asset pricing. This work investigates the theoretical link between the Shannon entropy and the multifractional Brownian motion (mBm), stochastic process which recently is the focus of a renewed interest in finance as a driving model of stochastic volatility. In particular, after exploring the current state of research in this area and highlighting some of the key results and open questions that remain, we show a well-defined relationship between the Shannon (log)entropy and the memory function H(t) of the mBm. In details, we allow both the length of time series and time scale to change over analysis to study how the relation modify itself. On the one hand, applications are developed after generating surrogates of mBm trajectories based on different memory functions; on the other hand, an empirical analysis of several international stock indexes, which confirms the previous results, concludes the work.

Keywords: Shannon entropy, multifractional Brownian motion, Hurst–Holder exponent, stock indexes

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Authors: Zubier Arfan, Paul Johnson

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The electronification of financial markets and the rise of algorithmic trading has sparked a lot of interest from the mathematical community, for the market making-problem in particular. The research presented in this short paper solves the classic stochastic control problem in order to derive the strategy for a market-maker. It also shows how to calibrate and simulate the strategy with real limit order book data for back-testing. The ambiguity of limit-order priority in back-testing is dealt with by considering optimistic and pessimistic priority scenarios. The model, although it does outperform a naive strategy, assumes constant volatility, therefore, is not best suited to the LOB data. The Heston model is introduced to describe the price and variance process of the asset. The Trader's constant absolute risk aversion utility function is optimised by numerically solving a 3-dimensional Hamilton-Jacobi-Bellman partial differential equation to find the optimal limit order quotes. The results show that the stochastic volatility market-making model is more suitable for a risk-averse trader and is also less sensitive to calibration error than the constant volatility model.

Keywords: market-making, market-microsctrucure, stochastic volatility, quantitative trading

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Authors: Pratiksha Saxena, Dipti Singh, Neha Khanna

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A self-organizing migrating genetic algorithm(C-SOMGA) is developed for animal diet formulation. This paper presents animal diet formulation using stochastic and genetic algorithm. Tri-objective models for cost minimization and shelf life maximization are developed. These objectives are achieved by combination of stochastic programming and C-SOMGA. Stochastic programming is used to introduce nutrient variability for animal diet. Self-organizing migrating genetic algorithm provides exact and quick solution and presents an innovative approach towards successful application of soft computing technique in the area of animal diet formulation.

Keywords: animal feed ration, feed formulation, linear programming, stochastic programming, self-migrating genetic algorithm, C-SOMGA technique, shelf life maximization, cost minimization, nutrient maximization

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Authors: Vikram Saini, Lillie Dewan

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This paper presents the iterative schemes based on Least square, Hierarchical Least Square and Stochastic Approximation Gradient method for the Identification of Wiener model with parametric structure. A gradient method is presented for the parameter estimation of wiener model with noise conditions based on the stochastic approximation. Simulation results are presented for the Wiener model structure with different static non-linear elements in the presence of colored noise to show the comparative analysis of the iterative methods. The stochastic gradient method shows improvement in the estimation performance and provides fast convergence of the parameters estimates.

Keywords: hard non-linearity, least square, parameter estimation, stochastic approximation gradient, Wiener model

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Authors: Sašo Pečnik, Borut Žalik

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This paper presents a real-time visualization technique and filtering of classified LiDAR point clouds. The visualization is capable of displaying filtered information organized in layers by the classification attribute saved within LiDAR data sets. We explain the used data structure and data management, which enables real-time presentation of layered LiDAR data. Real-time visualization is achieved with LOD optimization based on the distance from the observer without loss of quality. The filtering process is done in two steps and is entirely executed on the GPU and implemented using programmable shaders.

Keywords: filtering, graphics, level-of-details, LiDAR, real-time visualization

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Authors: Ya-Mei Chang

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This research is intended to apply spatio-temporal point process methods to the dengue fever data in Tainan. The spatio-temporal intensity function of the dataset is assumed to be separable. The kernel estimation is a widely used approach to estimate intensity functions. The intensity function is very helpful to study the relation of the spatio-temporal point process and some covariates. The covariate effects might be nonlinear. An nonparametric smoothing estimator is used to detect the nonlinearity of the covariate effects. A fitted parametric model could describe the influence of the covariates to the dengue fever. The correlation between the data points is detected by the K-function. The result of this research could provide useful information to help the government or the stakeholders making decisions.

Keywords: dengue fever, spatial point process, kernel estimation, covariate effect

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Authors: Tatheer Zahra

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Auxetic materials have counteractive properties due to re-entrant geometry that enables them to possess Negative Poisson’s Ratio (NPR). These materials have better energy absorbing and shock resistance capabilities as compared to conventional positive Poisson’s ratio materials. The re-entrant geometry can be created through 3D printing for convenient application of these materials. This paper investigates the mechanical properties of 3D printed chiral auxetic geometries of various sizes. Small scale samples were printed using an ordinary 3D printer and were tested under compression and tension to ascertain their strength and deformation characteristics. A maximum NPR of -9 was obtained under compression and tension. The re-entrant chiral cell size has been shown to affect the mechanical properties of the re-entrant chiral auxetics.

Keywords: auxetic materials, 3D printing, Negative Poisson’s Ratio, re-entrant chiral auxetics

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Authors: Francys Souza, Alberto Ohashi, Dorival Leao

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We present a general solution for finding the ε-optimal controls for non-Markovian stochastic systems as stochastic differential equations driven by Brownian motion, which is a problem recognized as a difficult solution. The contribution appears in the development of mathematical tools to deal with modeling and control of non-Markovian systems, whose applicability in different areas is well known. The methodology used consists to discretize the problem through a random discretization. In this way, we transform an infinite dimensional problem in a finite dimensional, thereafter we use measurable selection arguments, to find a control on an explicit form for the discretized problem. Then, we prove the control found for the discretized problem is a ε-optimal control for the original problem. Our theory provides a concrete description of a rather general class, among the principals, we can highlight financial problems such as portfolio control, hedging, super-hedging, pairs-trading and others. Therefore, our main contribution is the development of a tool to explicitly the ε-optimal control for non-Markovian stochastic systems. The pathwise analysis was made through a random discretization jointly with measurable selection arguments, has provided us with a structure to transform an infinite dimensional problem into a finite dimensional. The theory is applied to stochastic control problems based on path-dependent stochastic differential equations, where both drift and diffusion components are controlled. We are able to explicitly show optimal control with our method.

Keywords: dynamic programming equation, optimal control, stochastic control, stochastic differential equation

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Authors: Jiwoo Park, Junseok Yoon, Jeong Kim, Beomsoo Kang

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Multi-Point Stretch Forming (MPSF) process is suitable for flexible manufacturing, and it has several advantages including that it could be applied to various forming such as sheet metal forming, single curved surface forming and double curved one. In this study, a systematic numerical simulation was carried out for atypical double curved surface forming using the multiple die stretch forming process. In this simulation, urethane pads were defined based on hyper-elastic material model as a cushion for the smooth forming surface. The deformation behaviour on elastic recovery was also investigated to consider the exact result after the last forming process, and then the experiment was also carried out to confirm the formability of this forming process. By comparing the simulation and experiment results, the suitability of the multiple die stretch forming process for the atypical double curved surface was verified. Consequently, it is confirmed that the multi-point stretch forming process has the capability and feasibility of being used to manufacture the double curved surfaces of sheet metal.

Keywords: multi-point stretch forming, double curved surface, numerical simulation, manufacturing

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Authors: Fatemeh Torfi

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Estimation of stochastic demand in physical distribution in general and efficient transport routs management in particular is emerging as a crucial factor in urban planning domain. It is particularly important in some municipalities such as Tehran where a sound demand management calls for a realistic analysis of the routing system. The methodology involved critically investigating a fuzzy least-squares linear regression approach (FLLRs) to estimate the stochastic demands in the vehicle routing problem (VRP) bearing in mind the customer's preferences order. A FLLR method is proposed in solving the VRP with stochastic demands. Approximate-distance fuzzy least-squares (ADFL) estimator ADFL estimator is applied to original data taken from a case study. The SSR values of the ADFL estimator and real demand are obtained and then compared to SSR values of the nominal demand and real demand. Empirical results showed that the proposed methods can be viable in solving problems under circumstances of having vague and imprecise performance ratings. The results further proved that application of the ADFL was realistic and efficient estimator to face the stochastic demand challenges in vehicle routing system management and solve relevant problems.

Keywords: fuzzy least-squares, stochastic, location, routing problems

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Authors: Babak Kamrani, Nozar Kishi

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Stochastic catalog represents the events module of the earthquake loss estimation models. It includes series of events with different magnitudes and corresponding frequencies/probabilities. For the development of the stochastic catalog, random or uniform sampling methods are used to sample the events from the seismicity model. For covering all the Magnitude Frequency Distribution (MFD), a huge number of events should be generated for the above-mentioned methods. Characteristic Event (CE) method chooses the events based on the interest of the insurance industry. We divide the MFD of each source into bins. We have chosen the bins based on the probability of the interest by the insurance industry. First, we have collected the information for the available seismic sources. Sources are divided into Fault sources, subduction, and events without specific fault source. We have developed the MFD for each of the individual and areal source based on the seismicity of the sources. Afterward, we have calculated the CE magnitudes based on the desired probability. To develop the stochastic catalog, we have introduced uncertainty to the location of the events too.

Keywords: stochastic catalogue, earthquake loss, uncertainty, characteristic event

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Authors: Naushad Mamode Khan

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The Com-Poisson (CMP) model is one of the most popular discrete generalized linear models (GLMS) that handles both equi-, over- and under-dispersed data. In longitudinal context, an integer-valued autoregressive (INAR(1)) process that incorporates covariate specification has been developed to model longitudinal CMP counts. However, the joint likelihood CMP function is difficult to specify and thus restricts the likelihood based estimating methodology. The joint generalized quasilikelihood approach (GQL-I) was instead considered but is rather computationally intensive and may not even estimate the regression effects due to a complex and frequently ill conditioned covariance structure. This paper proposes a new GQL approach for estimating the regression parameters (GQLIII) that are based on a single score vector representation. The performance of GQL-III is compared with GQL-I and separate marginal GQLs (GQL-II) through some simulation experiments and is proved to yield equally efficient estimates as GQL-I and is far more computationally stable.

Keywords: longitudinal, com-Poisson, ill-conditioned, INAR(1), GLMS, GQL

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Authors: Xiaoqin Wang, Li Yin

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Background and purpose: In many practices, one estimates causal effects arising from a complex stochastic process, where a sequence of treatments are assigned to influence a certain outcome of interest, and there exist time-dependent covariates between treatments. When covariates are plentiful and/or continuous, statistical modeling is needed to reduce the huge dimensionality of the problem and allow for the estimation of causal effects. 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 conduct the modeling via point effects. The purpose of the work is to study the modeling of these causal effects via point effects. Challenges and solutions: The time-dependent covariates often have influences from earlier treatments as well as on subsequent treatments. Consequently, the standard parameters – i.e., the mean of the outcome given all treatments and covariates-- are essentially all different (null paradox). Furthermore, the dimension of the parameters is huge (curse of dimensionality). Therefore, it can be difficult to conduct the modeling in terms of standard parameters. Instead of standard parameters, we have use point effects of treatments to develop likelihood-based parametric approach to the modeling of these causal effects and are able to model the causal effects of a sequence of treatments by modeling a small number of point effects of individual treatment Achievements: We are able to conduct the modeling of the causal effects from a sequence of treatments in the familiar framework of single-point causal inference. The simulation shows that our method achieves not only an unbiased estimate for the causal effect but also the nominal level of type I error and a low level of type II error for the hypothesis testing. We have applied this method to a longitudinal study of COVID-19 mortality among Scandinavian countries and found that the Swedish approach performed far worse than the other countries' approach for COVID-19 mortality and the poor performance was largely due to its early measure during the initial period of the pandemic.

Keywords: causal effect, point effect, statistical modelling, sequential causal inference

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Authors: Wilmer Osvaldo Martinez, Manuel Dario Hernandez, Juan Manuel Julio

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We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through stochastic loss order rather than expected loss order, which is the way it is customarily performed in previous work. Moreover, since forecast performance evaluation can be understood as a one way analysis of variance, we propose to explore loss distributions under two circumstances; when a strict (but unknown) joint stochastic order exists among the losses of all forecast alternatives, and when such order happens among subsets of alternative procedures. In spite of the fact that loss stochastic order is stronger than loss moment order, our proposals are at least as powerful as competing tests, and are robust to the correlation, autocorrelation and heteroskedasticity settings they consider. In addition, since our proposals do not require samples of the same size, their scope is also wider, and provided that they test the whole loss distribution instead of just loss moments, they can also be used to study forecast distributions as well. We illustrate the usefulness of our proposals by evaluating a set of real world forecasts.

Keywords: forecast evaluation, stochastic order, multiple comparison, non parametric test

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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: Chongyang Ye, Rong Liu

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Compression textiles such as compression stockings (CSs) have been extensively applied for the prevention and treatment of chronic venous insufficiency of lower extremities. The involvement of multiple mechanical factors such as interface pressure, frictional force, and elastic materials make the interactions between lower limb and CSs to be complex. Determination of Poisson’s ratio and elastic moduli of CS materials are critical for constructing finite element (FE) modeling to numerically simulate a complex interactive system of CS and lower limb. In this study, a mixed approach, including an analytic model based on the orthotropic Hooke’s Law and experimental study (uniaxial tension testing and pure shear testing), has been proposed to determine Young’s modulus, Poisson’s ratio, and shear modulus of CS fabrics. The results indicated a linear relationship existing between the stress and strain properties of the studied CS samples under controlled stretch ratios (< 100%). The newly proposed method and the determined key mechanical properties of elastic orthotropic CS fabrics facilitate FE modeling for analyzing in-depth the effects of compression material design on their resultant biomechanical function in compression therapy.

Keywords: elastic compression stockings, Young’s modulus, Poisson’s ratio, shear modulus, mechanical analysis

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Authors: Manlika Ratchagit

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This paper is concerned with robust mean square stability of uncertain stochastic switched discrete time-delay systems. The system to be considered is subject to interval time-varying delays, which allows the delay to be a fast time-varying function and the lower bound is not restricted to zero. Based on the discrete Lyapunov functional, a switching rule for the robust mean square stability for the uncertain stochastic discrete time-delay system is designed via linear matrix inequalities. Finally, some examples are exploited to illustrate the effectiveness of the proposed schemes.

Keywords: robust mean square stability, discrete-time stochastic systems, hybrid systems, interval time-varying delays, Lyapunov functional, linear matrix inequalities

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Authors: Manlika Rajchakit

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This paper is concerned with robust mean square stability of uncertain stochastic switched discrete time-delay systems. The system to be considered is subject to interval time-varying delays, which allows the delay to be a fast time-varying function and the lower bound is not restricted to zero. Based on the discrete Lyapunov functional, a switching rule for the robust mean square stability for the uncertain stochastic discrete time-delay system is designed via linear matrix inequalities. Finally, some examples are exploited to illustrate the effectiveness of the proposed schemes.

Keywords: robust mean square stability, discrete-time stochastic systems, hybrid systems, interval time-varying delays, lyapunov functional, linear matrix inequalities

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

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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

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Authors: Faramarz Khosravi, Gokhan Izbirak

Abstract:

A weighted statistical stochastic based Analytical Hierarchy Process (AHP) model for modeling the potential barriers and enablers of sustainability for measuring and assessing the sustainability level is proposed. For context-dependent potential barriers and enablers, the proposed model takes the basis of the properties of the variables describing the sustainability functions and was developed into a realistic analytical model for the sustainable behavior of an organization. This thus serves as a means for measuring the sustainability of the organization. The main focus of this paper was the application of the AHP tool in a statistically-based model for measuring sustainability. Hence a strong weighted stochastic AHP based procedure was achieved. A case study scenario of a widely reported major Canadian electric utility was adopted to demonstrate the applicability of the developed model and comparatively examined its results with those of an equal-weighted model method. Variations in the sustainability of a company, as fluctuations, were figured out during the time. In the results obtained, sustainability index for successive years changed form 73.12%, 79.02%, 74.31%, 76.65%, 80.49%, 79.81%, 79.83% to more exact values 73.32%, 77.72%, 76.76%, 79.41%, 81.93%, 79.72%, and 80,45% according to priorities of factors that have found by expert views, respectively. By obtaining relatively necessary informative measurement indicators, the model can practically and effectively evaluate the sustainability extent of any organization and also to determine fluctuations in the organization over time.

Keywords: AHP, sustainability fluctuation, environmental indicators, performance measurement

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Authors: Yeliz Mert Kantar, İsmail Yeni̇lmez, Ibrahim Arik

Abstract:

In this study, the efficiency measurement of the top fifty Turkish Universities has been conducted. The top fifty Turkish Universities are listed by The Scientific and Technological Research Council of Turkey (TÜBITAK) according to the Entrepreneur and Innovative University Index every year. The index is calculated based on four components since 2018. Four components are scientific and technological research competency, intellectual property pool, cooperation and interaction, and economic and social contribution. The four components consist of twenty-three sub-components. The 2021 list announced in January 2022 is discussed in this study. Efficiency analysis have been carried out using the Stochastic Frontier Model. Statistical significance of the sub-components that make up the index with certain weights has been examined in terms of the efficiency measurement calculated through the Stochastic Frontier Model. The relationship between the efficiency ranking estimated based on the Stochastic Frontier Model and the Entrepreneur and Innovative University Index ranking is discussed in detail.

Keywords: efficiency, entrepreneur and innovative universities, turkish universities, stochastic frontier model, tübi̇tak

Procedia PDF Downloads 64