Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 68

Search results for: vine copula

68 A Mixture Vine Copula Structures Model for Dependence Wind Speed among Wind Farms and Its Application in Reactive Power Optimization

Authors: Yibin Qiu, Yubo Ouyang, Shihan Li, Guorui Zhang, Qi Li, Weirong Chen

Abstract:

This paper aims at exploring the impacts of high dimensional dependencies of wind speed among wind farms on probabilistic optimal power flow. To obtain the reactive power optimization faster and more accurately, a mixture vine Copula structure model combining the K-means clustering, C vine copula and D vine copula is proposed in this paper, through which a more accurate correlation model can be obtained. Moreover, a Modified Backtracking Search Algorithm (MBSA), the three-point estimate method is applied to probabilistic optimal power flow. The validity of the mixture vine copula structure model and the MBSA are respectively tested in IEEE30 node system with measured data of 3 adjacent wind farms in a certain area, and the results indicate effectiveness of these methods.

Keywords: mixture vine copula structure model, three-point estimate method, the probability integral transform, modified backtracking search algorithm, reactive power optimization

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67 Multivariate Dependent Frequency-Severity Modeling of Insurance Claims: A Vine Copula Approach

Authors: Islem Kedidi, Rihab Bedoui Bensalem, Faysal Manssouri

Abstract:

In traditional models of insurance data, the number and size of claims are assumed to be independent. Relaxing the independence assumption, this article explores the Vine copula to model dependence structure between multivariate frequency and average severity of insurance claim. To illustrate this approach, we use the Wisconsin local government property insurance fund which offers several insurance protections for motor vehicles, property and contractor’s equipment claims. Results show that the C-vine copula can better characterize the multivariate dependence structure between frequency and severity. Furthermore, we find significant dependencies especially between frequency and average severity among different coverage types.

Keywords: dependency modeling, government insurance, insurance claims, vine copula

Procedia PDF Downloads 157
66 Vine Copula Structure among Yield, Price and Weather Variables for Rating Crop Insurance Premium

Authors: Jiemiao Chen, Shuoxun Xu

Abstract:

The main goal of our research is to apply the Vine copula measuring dependency between price, temperature, and precipitation indices to calculate a fair crop insurance premium. This research is focused on Worth, Iowa, United States, over the period from 2000 to 2020, where the farmers are dependent on precipitation and average temperature during the growth period of corn. Our proposed insurance considers both the natural risk and the price risk in agricultural production. We first estimate the distributions of crops using parametric methods based on Goodness of Fit tests, and then Vine Copula is applied to model dependence between yield price, crop yield, and weather indices. Once the vine structure and its parameters are determined based on AIC/BIC criteria and forecasting price and yield are obtained from the ARIMA model, we calculate this crop insurance premium using the simulation data generated from the vine copula by the Monte Carlo Simulation method. It is shown that, compared with traditional crop insurance, our proposed insurance is more fair and thus less costly for the farmers and government.

Keywords: vine copula, weather index, crop insurance premium, insurance risk management, Monte Carlo simulation

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65 The Effect of Different Level Crop Load and Humic Substance Applications on Yield and Yield Components of Alphonse Lavallee Grape Cultivar

Authors: A. Sarıkaya, A. Akın

Abstract:

This study was carried out to investigate effects of Control (C), 18 bud/vine, 23 bud/vine, 28 bud/vine, 18 bud/vine + TKI-Humas (soil), 23 bud/vine + TKI-Humas (soil), 28 bud/vine + TKI-Humas (soil) applications on yield and yield components of Alphonse Lavallee grape cultivar. The results were obtained as the highest cluster weight (302.31 g) with 18 bud/vine application; the highest berry weight (6.31 g) with 23 bud/vine + TKI-Humas (soil) and (6.79 g) with 28 bud/vine + TKI-Humas (soil) applications; the highest maturity index (36.95) with 18 bud/vine + TKI-Humas (soil) application; the highest L* color intensity (33.99) with 18 bud/vine + TKI-Humas (soil); the highest a* color intensity (1.53) with 23 bud/vine + TKI-Humas (soil) application. The effects of applications on grape fresh yield, grape juice yield and b* color intensity values were not found statistically significant.

Keywords: Alphonse Lavallee grape cultivar, crop load, TKI-Humas substances (soil), yield, quality

Procedia PDF Downloads 244
64 Copula Markov Switching Multifractal Models for Forecasting Value-at-Risk

Authors: Giriraj Achari, Malay Bhattacharyya

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In this paper, the effectiveness of Copula Markov Switching Multifractal (MSM) models at forecasting Value-at-Risk of a two-stock portfolio is studied. The innovations are allowed to be drawn from distributions that can capture skewness and leptokurtosis, which are well documented empirical characteristics observed in financial returns. The candidate distributions considered for this purpose are Johnson-SU, Pearson Type-IV and α-Stable distributions. The two univariate marginal distributions are combined using the Student-t copula. The estimation of all parameters is performed by Maximum Likelihood Estimation. Finally, the models are compared in terms of accurate Value-at-Risk (VaR) forecasts using tests of unconditional coverage and independence. It is found that Copula-MSM-models with leptokurtic innovation distributions perform slightly better than Copula-MSM model with Normal innovations. Copula-MSM models, in general, produce better VaR forecasts as compared to traditional methods like Historical Simulation method, Variance-Covariance approach and Copula-Generalized Autoregressive Conditional Heteroscedasticity (Copula-GARCH) models.

Keywords: Copula, Markov Switching, multifractal, value-at-risk

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63 Dynamic Correlations and Portfolio Optimization between Islamic and Conventional Equity Indexes: A Vine Copula-Based Approach

Authors: Imen Dhaou

Abstract:

This study examines conditional Value at Risk by applying the GJR-EVT-Copula model, and finds the optimal portfolio for eight Dow Jones Islamic-conventional pairs. Our methodology consists of modeling the data by a bivariate GJR-GARCH model in which we extract the filtered residuals and then apply the Peak over threshold model (POT) to fit the residual tails in order to model marginal distributions. After that, we use pair-copula to find the optimal portfolio risk dependence structure. Finally, with Monte Carlo simulations, we estimate the Value at Risk (VaR) and the conditional Value at Risk (CVaR). The empirical results show the VaR and CVaR values for an equally weighted portfolio of Dow Jones Islamic-conventional pairs. In sum, we found that the optimal investment focuses on Islamic-conventional US Market index pairs because of high investment proportion; however, all other index pairs have low investment proportion. These results deliver some real repercussions for portfolio managers and policymakers concerning to optimal asset allocations, portfolio risk management and the diversification advantages of these markets.

Keywords: CVaR, Dow Jones Islamic index, GJR-GARCH-EVT-pair copula, portfolio optimization

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62 Evaluation of Vine Stem Waste as a Filler Material for High Density Polyethylene

Authors: Y. Seki, A. Ç. Kılıç, M. Atagür, O. Özdemir, İ. Şen, K. Sever, Ö. Seydibeyoğlu, M. Sarikanat, N. Küçükdoğan

Abstract:

Cheap and abundant waste materials have been investigated as filler materials in thermoplastic polymers instead of wood- based materials because of deforestation. Vine stem, as an agricultural waste, was used as a filler material for a thermoplastic polymer, high-density polyethylene (HDPE) in this study. Agricultural waste of vine stem was collected from Manisa region, Turkey. Vine stem at different rations was used to reinforce HDPE. The effect of vine stem loading on tensile strength and Young’s modulus of composites were obtained. It was clearly observed that tensile strength and Young’s modulus of HDPE was increased by vine stem loading. Thermal stabilities of composites were obtained by using thermogravimetric analysis. Water absorption behavior of HDPE was improved by loading vine stem into HDPE. The crystallinity index values of neat HDPE and vine stem loaded HDPE composites were investigated byX-ray diffraction analysis. From this study, it was inferred that vine stem, as an agricultural waste, can be used as a filler material for HDPE.

Keywords: waste filler, high density polyethylene, composite, composite materials

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61 Parametric Inference of Elliptical and Archimedean Family of Copulas

Authors: Alam Ali, Ashok Kumar Pathak

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Nowadays, copulas have attracted significant attention for modeling multivariate observations, and the foremost feature of copula functions is that they give us the liberty to study the univariate marginal distributions and their joint behavior separately. The copula parameter apprehends the intrinsic dependence among the marginal variables, and it can be estimated using parametric, semiparametric, or nonparametric techniques. This work aims to compare the coverage rates between an Elliptical and an Archimedean family of copulas via a fully parametric estimation technique.

Keywords: elliptical copula, archimedean copula, estimation, coverage rate

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60 Conical Spouted Bed Combustor for Combustion of Vine Shoots Wastes

Authors: M. J. San José, S. Alvarez, R. López

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In order to prove the applicability of a conical spouted bed combustor for the thermal exploitation of vineyard pruning wastes, the flow regimes of beds consisting of vine shoot beds and an inert bed were established under different operating conditions. The effect of inlet air temperature on the minimum spouted velocity was evaluated. Batch combustion of vine shoots in a conical spouted bed combustor was conducted at temperatures in the range 425-550 ºC with an inert bed. The experimental values of combustion efficiency of vine shoot calculated from the concentration the exhaust gases were assessed. The high experimental combustion efficiency obtained evidenced the proper suitability of the conical spouted bed combustor for the thermal combustion of vine shoots.

Keywords: biomass wastes, thermal combustion, conical spouted beds, vineyard wastes

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59 Bivariate Time-to-Event Analysis with Copula-Based Cox Regression

Authors: Duhania O. Mahara, Santi W. Purnami, Aulia N. Fitria, Merissa N. Z. Wirontono, Revina Musfiroh, Shofi Andari, Sagiran Sagiran, Estiana Khoirunnisa, Wahyudi Widada

Abstract:

For assessing interventions in numerous disease areas, the use of multiple time-to-event outcomes is common. An individual might experience two different events called bivariate time-to-event data, the events may be correlated because it come from the same subject and also influenced by individual characteristics. The bivariate time-to-event case can be applied by copula-based bivariate Cox survival model, using the Clayton and Frank copulas to analyze the dependence structure of each event and also the covariates effect. By applying this method to modeling the recurrent event infection of hemodialysis insertion on chronic kidney disease (CKD) patients, from the AIC and BIC values we find that the Clayton copula model was the best model with Kendall’s Tau is (τ=0,02).

Keywords: bivariate cox, bivariate event, copula function, survival copula

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58 Copula-Based Estimation of Direct and Indirect Effects in Path Analysis Model

Authors: Alam Ali, Ashok Kumar Pathak

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Path analysis is a statistical technique used to evaluate the strength of the direct and indirect effects of variables. One or more structural regression equations are used to estimate a series of parameters in order to find the better fit of data. Sometimes, exogenous variables do not show a significant strength of their direct and indirect effect when the assumption of classical regression (ordinary least squares (OLS)) are violated by the nature of the data. The main motive of this article is to investigate the efficacy of the copula-based regression approach over the classical regression approach and calculate the direct and indirect effects of variables when data violates the OLS assumption and variables are linked through an elliptical copula. We perform this study using a well-organized numerical scheme. Finally, a real data application is also presented to demonstrate the performance of the superiority of the copula approach.

Keywords: path analysis, copula-based regression models, direct and indirect effects, k-fold cross validation technique

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57 Estimation of the Upper Tail Dependence Coefficient for Insurance Loss Data Using an Empirical Copula-Based Approach

Authors: Adrian O'Hagan, Robert McLoughlin

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Considerable focus in the world of insurance risk quantification is placed on modeling loss values from lines of business (LOBs) that possess upper tail dependence. Copulas such as the Joe, Gumbel and Student-t copula may be used for this purpose. The copula structure imparts a desired level of tail dependence on the joint distribution of claims from the different LOBs. Alternatively, practitioners may possess historical or simulated data that already exhibit upper tail dependence, through the impact of catastrophe events such as hurricanes or earthquakes. In these circumstances, it is not desirable to induce additional upper tail dependence when modeling the joint distribution of the loss values from the individual LOBs. Instead, it is of interest to accurately assess the degree of tail dependence already present in the data. The empirical copula and its associated upper tail dependence coefficient are presented in this paper as robust, efficient means of achieving this goal.

Keywords: empirical copula, extreme events, insurance loss reserving, upper tail dependence coefficient

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56 Generative AI: A Comparison of Conditional Tabular Generative Adversarial Networks and Conditional Tabular Generative Adversarial Networks with Gaussian Copula in Generating Synthetic Data with Synthetic Data Vault

Authors: Lakshmi Prayaga, Chandra Prayaga. Aaron Wade, Gopi Shankar Mallu, Harsha Satya Pola

Abstract:

Synthetic data generated by Generative Adversarial Networks and Autoencoders is becoming more common to combat the problem of insufficient data for research purposes. However, generating synthetic data is a tedious task requiring extensive mathematical and programming background. Open-source platforms such as the Synthetic Data Vault (SDV) and Mostly AI have offered a platform that is user-friendly and accessible to non-technical professionals to generate synthetic data to augment existing data for further analysis. The SDV also provides for additions to the generic GAN, such as the Gaussian copula. We present the results from two synthetic data sets (CTGAN data and CTGAN with Gaussian Copula) generated by the SDV and report the findings. The results indicate that the ROC and AUC curves for the data generated by adding the layer of Gaussian copula are much higher than the data generated by the CTGAN.

Keywords: synthetic data generation, generative adversarial networks, conditional tabular GAN, Gaussian copula

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55 Tomato Fruit Color Changes during Ripening of Vine

Authors: A.Radzevičius, P. Viškelis, J. Viškelis, R. Karklelienė, D. Juškevičienė

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Tomato (Lycopersicon esculentum Mill.) hybrid 'Brooklyn' was investigated at the LRCAF Institute of Horticulture. For investigation, five green tomatoes, which were grown on vine, were selected. Color measurements were made in the greenhouse with the same selected tomato fruits (fruits were not harvested and were growing and ripening on tomato vine through all experiment) in every two days while tomatoes fruits became fully ripen. Study showed that color index L has tendency to decline and established determination coefficient (R2) was 0.9504. Also, hue angle has tendency to decline during tomato fruit ripening on vine and it’s coefficient of determination (R2) reached–0.9739. Opposite tendency was determined with color index a, which has tendency to increase during tomato ripening and that was expressed by polynomial trendline where coefficient of determination (R2) reached–0.9592.

Keywords: color, color index, ripening, tomato

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54 Nonparametric Copula Approximations

Authors: Serge Provost, Yishan Zang

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Copulas are currently utilized in finance, reliability theory, machine learning, signal processing, geodesy, hydrology and biostatistics, among several other fields of scientific investigation. It follows from Sklar's theorem that the joint distribution function of a multidimensional random vector can be expressed in terms of its associated copula and marginals. Since marginal distributions can easily be determined by making use of a variety of techniques, we address the problem of securing the distribution of the copula. This will be done by using several approaches. For example, we will obtain bivariate least-squares approximations of the empirical copulas, modify the kernel density estimation technique and propose a criterion for selecting appropriate bandwidths, differentiate linearized empirical copulas, secure Bernstein polynomial approximations of suitable degrees, and apply a corollary to Sklar's result. Illustrative examples involving actual observations will be presented. The proposed methodologies will as well be applied to a sample generated from a known copula distribution in order to validate their effectiveness.

Keywords: copulas, Bernstein polynomial approximation, least-squares polynomial approximation, kernel density estimation, density approximation

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53 Forecasting of COVID-19 Cases, Hospitalization Admissions, and Death Cases Based on Wastewater Sars-COV-2 Surveillance Using Copula Time Series Model

Authors: Hueiwang Anna Jeng, Norou Diawara, Nancy Welch, Cynthia Jackson, Rekha Singh, Kyle Curtis, Raul Gonzalez, David Jurgens, Sasanka Adikari

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Modeling effort is needed to predict the COVID-19 trends for developing management strategies and adaptation measures. The objective of this study was to assess whether SARS-CoV-2 viral load in wastewater could serve as a predictor for forecasting COVID-19 cases, hospitalization cases, and death cases using copula-based time series modeling. SARS-CoV-2 RNA load in raw wastewater in Chesapeake VA was measured using the RT-qPCR method. Gaussian copula time series marginal regression model, incorporating an autoregressive moving average model and the copula function, served as a forecasting model. COVID-19 cases were correlated with wastewater viral load, hospitalization cases, and death cases. The forecasted trend of COVID-19 cases closely paralleled one of the reported cases, with over 90% of the forecasted COVID-19 cases falling within the 99% confidence interval of the reported cases. Wastewater SARS-CoV-2 viral load could serve as a predictor for COVID-19 cases and hospitalization cases.

Keywords: COVID-19, modeling, time series, copula function

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52 Regression for Doubly Inflated Multivariate Poisson Distributions

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

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

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

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51 Risk Spillover Between Stock Indices and Real Estate Mixed Copula Modeling

Authors: Hina Munir Abbasi

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The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

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50 Producing Outdoor Design Conditions based on the Dependency between Meteorological Elements: Copula Approach

Authors: Zhichao Jiao, Craig Farnham, Jihui Yuan, Kazuo Emura

Abstract:

It is common to use the outdoor design weather data to select the air-conditioning capacity in the building design stage. The outdoor design weather data are usually comprised of multiple meteorological elements for a 24-hour period separately, but the dependency between the elements is not well considered, which may cause an overestimation of selecting air-conditioning capacity. Considering the dependency between the air temperature and global solar radiation, we used the copula approach to model the joint distributions of those two weather elements and suggest a new method of selecting more credible outdoor design conditions based on the specific simultaneous occurrence probability of air temperature and global solar radiation. In this paper, the 10-year period hourly weather data from 2001 to 2010 in Osaka, Japan, was used to analyze the dependency structure and joint distribution, the result shows that the Joe-Frank copula fit for almost all hourly data. According to calculating the simultaneous occurrence probability and the common exceeding probability of air temperature and global solar radiation, the results have shown that the maximum difference in design air temperature and global solar radiation of the day is about 2 degrees Celsius and 30W/m2, respectively.

Keywords: energy conservation, design weather database, HVAC, copula approach

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49 Effect of Crown Gall and Phylloxera Resistant Rootstocks on Grafted Vitis Vinifera CV. Sultana Grapevine

Authors: Hassan Mahmoudzadeh

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The bacterium of Agrobacterium vitis causes crown and root gall disease, an important disease of grapevine, Vitis vinifera L. Also, Phylloxera is one of the most important pests in viticulture. Grapevine rootstocks were developed to provide increased resistance to soil-borne pests and diseases, but rootstock effects on some traits remain unclear. The interaction between rootstock, scion and environment can induce different responses to the grapevine physiology. 'Sultsna' (Vitis vinifera L.) is one of the most valuable raisin grape cultivars in Iran. Thus, the aim of this study was to determine the rootstock effect on the growth characteristics and yield components and quality of 'Sultana' grapevine grown in the Urmia viticulture region. The experimental design was completely randomized blocks, with four treatments, four replicates and 10 vines per plot. The results show that all variables evaluated were significantly affected by the rootstock. The Sultana/110R and Sultana/Nazmieh were among other combinations influenced by the year and had a higher significant yield/vine (13.25 and 12.14, respectively). Indeed, they were higher than that of Sultana/5BB (10.56 kg/vine) and Sultana/Spota (10.25 kg/vine). The number of clusters per burst bud and per vine and the weight of clusters were affected by the rootstock as well. Pruning weight/vine, yield/pruning weight, leaf area/vine and leaf area index are variables related to the physiology of grapevine, which was also affected by the rootstocks. In general, rootstocks had adapted well to the environment where the experiment was carried out, giving vigor and high yield to Sultana grapevine, which means that they may be used by grape growers in this region. In sum, the study found the best rootstocks for 'Sultana' to be Nazmieh and 110R in terms of root and shoot growth. However, the choice of the right rootstock depends on various aspects, such as those related to soil characteristics, climate conditions, grape varieties, and even clones, and production purposes.

Keywords: grafting, vineyards, grapevine, succeptability

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48 Assessment Using Copulas of Simultaneous Damage to Multiple Buildings Due to Tsunamis

Authors: Yo Fukutani, Shuji Moriguchi, Takuma Kotani, Terada Kenjiro

Abstract:

If risk management of the assets owned by companies, risk assessment of real estate portfolio, and risk identification of the entire region are to be implemented, it is necessary to consider simultaneous damage to multiple buildings. In this research, the Sagami Trough earthquake tsunami that could have a significant effect on the Japanese capital region is focused on, and a method is proposed for simultaneous damage assessment using copulas that can take into consideration the correlation of tsunami depths and building damage between two sites. First, the tsunami inundation depths at two sites were simulated by using a nonlinear long-wave equation. The tsunamis were simulated by varying the slip amount (five cases) and the depths (five cases) for each of 10 sources of the Sagami Trough. For each source, the frequency distributions of the tsunami inundation depth were evaluated by using the response surface method. Then, Monte-Carlo simulation was conducted, and frequency distributions of tsunami inundation depth were evaluated at the target sites for all sources of the Sagami Trough. These are marginal distributions. Kendall’s tau for the tsunami inundation simulation at two sites was 0.83. Based on this value, the Gaussian copula, t-copula, Clayton copula, and Gumbel copula (n = 10,000) were generated. Then, the simultaneous distributions of the damage rate were evaluated using the marginal distributions and the copulas. For the correlation of the tsunami inundation depth at the two sites, the expected value hardly changed compared with the case of no correlation, but the damage rate of the ninety-ninth percentile value was approximately 2%, and the maximum value was approximately 6% when using the Gumbel copula.

Keywords: copulas, Monte-Carlo simulation, probabilistic risk assessment, tsunamis

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47 Contagion and Stock Interdependence in the BRIC+M Block

Authors: Christian Bucio Pacheco, Miriam Magnolia Sosa Castro, María Alejandra Cabello Rosales

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This paper aims to analyze the contagion effect among the stock markets of the BRIC+M block (Brazil, Russia, India, China plus Mexico). The contagion effect is proved through increasing on dependence parameters during crisis periods. The dependence parameters are estimated through copula approach in a period of time from July 1997 to December 2015. During this period there are instability and calm episodes, allowing to analyze changes in the relations of dependence. Empirical results show strong evidence of time-varying dependence among the BRIC+M markets and an increasing dependence relation during global financial crisis period.

Keywords: BRIC+M Block, Contagion effect, Copula, dependence

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46 Machine Learning Analysis of Student Success in Introductory Calculus Based Physics I Course

Authors: Chandra Prayaga, Aaron Wade, Lakshmi Prayaga, Gopi Shankar Mallu

Abstract:

This paper presents the use of machine learning algorithms to predict the success of students in an introductory physics course. Data having 140 rows pertaining to the performance of two batches of students was used. The lack of sufficient data to train robust machine learning models was compensated for by generating synthetic data similar to the real data. CTGAN and CTGAN with Gaussian Copula (Gaussian) were used to generate synthetic data, with the real data as input. To check the similarity between the real data and each synthetic dataset, pair plots were made. The synthetic data was used to train machine learning models using the PyCaret package. For the CTGAN data, the Ada Boost Classifier (ADA) was found to be the ML model with the best fit, whereas the CTGAN with Gaussian Copula yielded Logistic Regression (LR) as the best model. Both models were then tested for accuracy with the real data. ROC-AUC analysis was performed for all the ten classes of the target variable (Grades A, A-, B+, B, B-, C+, C, C-, D, F). The ADA model with CTGAN data showed a mean AUC score of 0.4377, but the LR model with the Gaussian data showed a mean AUC score of 0.6149. ROC-AUC plots were obtained for each Grade value separately. The LR model with Gaussian data showed consistently better AUC scores compared to the ADA model with CTGAN data, except in two cases of the Grade value, C- and A-.

Keywords: machine learning, student success, physics course, grades, synthetic data, CTGAN, gaussian copula CTGAN

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45 A Fourier Method for Risk Quantification and Allocation of Credit Portfolios

Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

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Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

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44 Copula Autoregressive Methodology for Simulation of Solar Irradiance and Air Temperature Time Series for Solar Energy Forecasting

Authors: Andres F. Ramirez, Carlos F. Valencia

Abstract:

The increasing interest in renewable energies strategies application and the path for diminishing the use of carbon related energy sources have encouraged the development of novel strategies for integration of solar energy into the electricity network. A correct inclusion of the fluctuating energy output of a photovoltaic (PV) energy system into an electric grid requires improvements in the forecasting and simulation methodologies for solar energy potential, and the understanding not only of the mean value of the series but the associated underlying stochastic process. We present a methodology for synthetic generation of solar irradiance (shortwave flux) and air temperature bivariate time series based on copula functions to represent the cross-dependence and temporal structure of the data. We explore the advantages of using this nonlinear time series method over traditional approaches that use a transformation of the data to normal distributions as an intermediate step. The use of copulas gives flexibility to represent the serial variability of the real data on the simulation and allows having more control on the desired properties of the data. We use discrete zero mass density distributions to assess the nature of solar irradiance, alongside vector generalized linear models for the bivariate time series time dependent distributions. We found that the copula autoregressive methodology used, including the zero mass characteristics of the solar irradiance time series, generates a significant improvement over state of the art strategies. These results will help to better understand the fluctuating nature of solar energy forecasting, the underlying stochastic process, and quantify the potential of a photovoltaic (PV) energy generating system integration into a country electricity network. Experimental analysis and real data application substantiate the usage and convenience of the proposed methodology to forecast solar irradiance time series and solar energy across northern hemisphere, southern hemisphere, and equatorial zones.

Keywords: copula autoregressive, solar irradiance forecasting, solar energy forecasting, time series generation

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43 Performance Assessment of Three Unit Redundant System with Environmental and Human Failure Using Copula Approach

Authors: V. V. Singh

Abstract:

We have studied the reliability measures of a system, which consists of two subsystems i.e. subsystem-1 and subsystem-2 in series configuration under different types of failure. The subsystem-1 has three identical units in parallel configuration and operating under 2-out-of-3: G policy and connected to subsystem-2 in series configuration. Each subsystem has different types of failure and repair rates. An important cause for failure of system is unsuitability of the environmental conditions, like overheating, weather conditions, heavy rainfall, storm etc. The environmental failure is taken into account in the proposed repairable system. Supplementary variable technique is used to study of system and some traditional measures such as; availability, reliability, MTTF and profit function are obtained for different values of parameters. In the proposed model, some particular cases of failure rates are explicitly studied.

Keywords: environmental failure, human failure, availability, MTTF, reliability, profit analysis, Gumbel-Hougaard family copula

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42 Scheduling Method for Electric Heater in HEMS considering User’s Comfort

Authors: Yong-Sung Kim, Je-Seok Shin, Ho-Jun Jo, Jin-O Kim

Abstract:

Home Energy Management System (HEMS) which makes the residential consumers contribute to the demand response is attracting attention in recent years. An aim of HEMS is to minimize their electricity cost by controlling the use of their appliances according to electricity price. The use of appliances in HEMS may be affected by some conditions such as external temperature and electricity price. Therefore, the user’s usage pattern of appliances should be modeled according to the external conditions, and the resultant usage pattern is related to the user’s comfortability on use of each appliances. This paper proposes a methodology to model the usage pattern based on the historical data with the copula function. Through copula function, the usage range of each appliance can be obtained and is able to satisfy the appropriate user’s comfort according to the external conditions for next day. Within the usage range, an optimal scheduling for appliances would be conducted so as to minimize an electricity cost with considering user’s comfort. Among the home appliance, electric heater (EH) is a representative appliance which is affected by the external temperature. In this paper, an optimal scheduling algorithm for an electric heater (EH) is addressed based on the method of branch and bound. As a result, scenarios for the EH usage are obtained according to user’s comfort levels and then the residential consumer would select the best scenario. The case study shows the effects of the proposed algorithm compared with the traditional operation of the EH, and it also represents impacts of the comfort level on the scheduling result.

Keywords: load scheduling, usage pattern, user’s comfort, copula function, branch and bound, electric heater

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41 The Effects of Yield and Yield Components of Some Quality Increase Applications on Ismailoglu Grape Type in Turkey

Authors: Yaşar Önal, Aydın Akın

Abstract:

This study was conducted Ismailoglu grape type (Vitis vinifera L.) and its vine which was aged 15 was grown on its own root in a vegetation period of 2013 in Nevşehir province in Turkey. In this research, it was investigated whether the applications of Control (C), 1/3 cluster tip reduction (1/3 CTR), shoot tip reduction (STR), 1/3 CTR + STR, TKI-HUMAS (TKI-HM) (Soil) (S), TKI-HM (Foliar) (F), TKI-HM (S + F), 1/3 CTR + TKI-HM (S), 1/3 CTR + TKI-HM (F), 1/3 CTR + TKI-HM (S+F), STR + TKI-HM (S), STR + TKI-HM (F), STR + TKI-HM (S + F), 1/3 CTR + STR+TKI-HM (S), 1/3 CTR + STR + TKI-HM (F), 1/3 CTR + STR + TKI-HM (S + F) on yield and yield components of Ismailoglu grape type. The results were obtained as the highest fresh grape yield (16.15 kg/vine) with TKI-HM (S), as the highest cluster weight (652.39 g) with 1/3 CTR + STR, as the highest 100 berry weight (419.07 g) with 1/3 CTR + STR + TKI-HM (F), as the highest maturity index (44.06) with 1/3 CTR, as the highest must yield (810.00 ml) with STR + TKI-HM (F), as the highest intensity of L* color (42.04) with TKI-HM (S + F), as the highest intensity of a* color (2.60) with 1/3 CTR + TKI-HM (S), as the highest intensity of b* color (7.16) with 1/3 CTR + TKI-HM (S) applications. To increase the fresh grape yield of Ismailoglu grape type can be recommended TKI-HM (S) application.

Keywords: 1/3 cluster tip reduction, shoot tip reduction, TKI-Humas application, yield and yield components

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40 Reliability Analysis of Computer Centre at Yobe State University Nigeria under Different Repair Policies

Authors: Vijay Vir Singh

Abstract:

In this paper, we focus on the reliability and performance analysis of Computer Centre (CC) at Yobe State University, Damaturu, Nigeria. The CC consists of three servers: one database mail server, one redundant and one for sharing with the client computers in the CC (called as local server). Observing the different possibilities of functioning of the CC, analysis has been done to evaluate the various reliability characteristics of the system. The system can completely fail due to failure of router, redundant server before repairing the mail server, and switch failure. The system can also partially fail when local server fails. The system can also fail completely due to a cooling failure, electricity failure or some natural calamity like earthquake, fire etc. All the failure rates are assumed to be constant while repair follows two types of distributions: general and Gumbel-Hougaard family copula.

Keywords: reliability, availability Gumbel-Hougaard family copula, MTTF, internet data centre

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39 Status and Management of Grape Stem Borer, Celosterna scrabrator with Soil Application of Chlorantraniliprole 0.4 gr

Authors: D. N. Kambrekar, S. B. Jagginavar, J. Aruna

Abstract:

Grape stem borer, Celosterna scrabrator is an important production constraint in grapes in India. Hitherto this pest was a severe menace only on the aged and unmanaged fields but during the recent past it has also started damaging the newly established fields. In India, since Karnataka, Andra Pradesh, Tamil Nadu and Maharashtra are the major grape production states, the incidence of stem borer is also restricted and severe in these states. The grubs of the beetle bore in to the main stem and even the branches, which affect the translocation of nutrients to the areal parts of the plant. Since, the grubs bore inside the stem, the chewed material along with its excreta is discharged outside the holes and the frass is found on the ground just below the bored holes. The portion of vines above the damaged part has a sticky appearance. The leaves become pale yellow which looks like a deficiency of micronutrients. The leaves ultimately dry and drop down. The status of the incidence of the grape stem borer in different grape growing districts of Northern Karnataka was carried out during three years. In each taluka five locations were surveyed for the incidence of grape stem borer. Further, the experiment on management of stem borer was carried out in the grape gardens of Vijayapur districts under farmers field during three years. Stem borer infested plants that show live holes were selected per treatments and it was replicated three times. Live and dead holes observed during pre-treatment were closely monitored and only plants with live holes were selected and tagged. Different doses of chlorantraniliprole 0.4% GR were incorporated into the soil around the vine basins near root zone surrounded to trunk region by removing soils up to 5-10 cm with a peripheral distance of 1 to 1.5 feet from the main trunk where feeder roots are present. Irrigation was followed after application of insecticide for proper incorporation of the test chemical. The results indicated that there was sever to moderate incidence of the stem borer in all the grape growing districts of northern Karnataka. Maximum incidence was recorded in Belagavi (11 holes per vine) and minimum was in Gadag district (8.5 holes per vine). The investigations carried out to study the efficacy of chlorantraniliprole on grape stem borer for successive three years under farmers field indicated that chlorantraniliprole @ 15g/vine applied just near the active root zone of the plant followed by irrigation has successfully managed the pest. The insecticide has translocated to all the parts of the plants and thereby stopped the activity of the pest which has resulted in to better growth of the plant and higher berry yield compared to other treatments under investigation. Thus, chlorantraniliprole 0.4 GR @ 15g/vine can be effective means in managing the stem borer.

Keywords: chlorantraniliprole, grape stem borer, Celosterna scrabrator, management

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