Search results for: Parameter estimation

Authors: Tomohiro Ando, Satoshi Yamashita

Abstract:

The objective of this study is to propose a statistical modeling method which enables simultaneous term structure estimation of the risk-free interest rate, hazard and loss given default, incorporating the characteristics of the bond issuing company such as credit rating and financial information. A reduced form model is used for this purpose. Statistical techniques such as spline estimation and Bayesian information criterion are employed for parameter estimation and model selection. An empirical analysis is conducted using the information on the Japanese bond market data. Results of the empirical analysis confirm the usefulness of the proposed method.

Keywords: Empirical Bayes, Hazard term structure, Loss given default.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1666

Authors: P. Ramana , K. Alice Mary, M. Surya Kalavathi, M. Phani Kumar

Abstract:

This paper discusses two observers, which are used for the estimation of parameters of PMSM. Former one, reduced order observer, which is used to estimate the inaccessible parameters of PMSM. Later one, full order observer, which is used to estimate all the parameters of PMSM even though some of the parameters are directly available for measurement, so as to meet with the insensitivity to the parameter variation. However, the state space model contains some nonlinear terms i.e. the product of different state variables. The asymptotic state observer, which approximately reconstructs the state vector for linear systems without uncertainties, was presented by Luenberger. In this work, a modified form of such an observer is used by including a non-linear term involving the speed. So, both the observers are designed in the framework of nonlinear control; their stability and rate of convergence is discussed.

Keywords: Permanent magnet synchronous motor, Mathematicalmodelling, Rotor reference frame, parameter estimation, Luenbergerobserver, reduced order observer, full order observer

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1863

Authors: Satoshi Usami

Abstract:

Among various HLM techniques, the Multivariate Hierarchical Linear Model (MHLM) is desirable to use, particularly when multivariate criterion variables are collected and the covariance structure has information valuable for data analysis. In order to reflect prior information or to obtain stable results when the sample size and the number of groups are not sufficiently large, the Bayes method has often been employed in hierarchical data analysis. In these cases, although the Markov Chain Monte Carlo (MCMC) method is a rather powerful tool for parameter estimation, Procedures regarding MCMC have not been formulated for MHLM. For this reason, this research presents concrete procedures for parameter estimation through the use of the Gibbs samplers. Lastly, several future topics for the use of MCMC approach for HLM is discussed.

Keywords: Gibbs sampler, Hierarchical Linear Model, Markov Chain Monte Carlo, Multivariate Hierarchical Linear Model

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1866

Authors: Ephraim Gower, Thato Tsalaile, Monageng Kgwadi, Malcolm Hawksford.

Abstract:

This paper introduces a new point estimation algorithm, with particular focus on coherent noise suppression, given several measurements of the device under test where it is assumed that 1) the noise is first-order stationery and 2) the device under test is linear and time-invariant. The algorithm exploits the robustness of the Pitman estimator of the Cauchy location parameter through the initial scaling of the test signal by a centred Gaussian variable of predetermined variance. It is illustrated through mathematical derivations and simulation results that the proposed algorithm is more accurate and consistently robust to outliers for different tailed density functions than the conventional methods of sample mean (coherent averaging technique) and sample median search.

Keywords: Central limit theorem, Fisher-Cramer Rao, gamma function, Pitman estimator.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1921

Authors: A. Ameur, B. Mokhtari, N. Essounbouli, L. Mokrani

Abstract:

This paper presents a speed sensorless direct torque control scheme using space vector modulation (DTC-SVM) for permanent magnet synchronous motor (PMSM) drive based a Model Reference Adaptive System (MRAS) algorithm and stator resistance estimator. The MRAS is utilized to estimate speed and stator resistance and compensate the effects of parameter variation on stator resistance, which makes flux and torque estimation more accurate and insensitive to parameter variation. In other hand the use of SVM method reduces the torque ripple while achieving a good dynamic response. Simulation results are presented and show the effectiveness of the proposed method.

Keywords: MRAS, PMSM, SVM, DTC, Speed and Resistance estimation, Sensorless drive

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3868

Authors: Osea Zebua, Norikazu Ikoma, Hiroshi Maeda

Abstract:

Estimation of voltage stability based on optimal filtering method is presented. PV curve is used as a tool for voltage stability analysis. Dynamic voltage stability estimation is done by using particle filter method. Optimum value (nose point) of PV curve can be estimated by estimating parameter of PV curve equation optimal value represents critical voltage and condition at specified point of measurement. Voltage stability is then estimated by analyzing loading margin condition c stimating equation. This maximum loading ecified dynamically.

Keywords: normalized PV curve, optimal filtering method particle filter, voltage stability.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1800

Authors: Amir Rastegarnia, Mohammad Ali Tinati, Azam Khalili

Abstract:

In this paper we consider the problem of distributed adaptive estimation in wireless sensor networks for two different observation noise conditions. In the first case, we assume that there are some sensors with high observation noise variance (noisy sensors) in the network. In the second case, different variance for observation noise is assumed among the sensors which is more close to real scenario. In both cases, an initial estimate of each sensor-s observation noise is obtained. For the first case, we show that when there are such sensors in the network, the performance of conventional distributed adaptive estimation algorithms such as incremental distributed least mean square (IDLMS) algorithm drastically decreases. In addition, detecting and ignoring these sensors leads to a better performance in a sense of estimation. In the next step, we propose a simple algorithm to detect theses noisy sensors and modify the IDLMS algorithm to deal with noisy sensors. For the second case, we propose a new algorithm in which the step-size parameter is adjusted for each sensor according to its observation noise variance. As the simulation results show, the proposed methods outperforms the IDLMS algorithm in the same condition.

Keywords: Distributes estimation, sensor networks, adaptive filter, IDLMS.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1444

Authors: Youngpo Lee, Seokho Yoon

Abstract:

In this paper, we propose a distance estimation scheme for radar systems using direct sequence ultra wideband (DS-UWB) signals. The proposed distance estimation scheme averages out the noise by accumulating the correlator outputs of the radar, and thus, helps the radar to employ a short-length DS-UWB signal reducing the correlation processing time. Numerical results confirm that the proposed distance estimation scheme provides a better estimation performance and a reduced correlation processing time compared with those of the conventional DS-UWB radars.

Keywords: Radar, DS-UWB, distance estimation, correlation accumulation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2020

Authors: Gaurav Kumar, Dharmbir Prasad, Rudra Pratap Singh

Abstract:

In the current work, adaptive extended Kalman filter (AEKF) is presented for solution of ground radar based ballistic missile (BM) tracking problem in re-entry phase with unknown ballistic coefficient. The estimation of trajectory of any BM in re-entry phase is extremely difficult, because of highly non-linear motion of BM. The estimation accuracy of AEKF has been tested for a typical test target tracking problem adopted from literature. Further, the approach of AEKF is compared with extended Kalman filter (EKF). The simulation result indicates the superiority of the AEKF in solving joint parameter and state estimation problems.

Keywords: Adaptive, AEKF, ballistic missile, EKF, re-entry phase, target tracking.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1664

Authors: Youngpo Lee, Seokho Yoon

Abstract:

In this paper, we propose a novel frequency offset estimation scheme for orthogonal frequency division multiplexing (OFDM) systems. By correlating the OFDM signals within the coherence phase bandwidth and employing a threshold in the frequency offset estimation process, the proposed scheme is not only robust to the timing offset but also has a reduced complexity compared with that of the conventional scheme. Moreover, a timing offset estimation scheme is also proposed as the next stage of the proposed frequency offset estimation. Numerical results show that the proposed scheme can estimate frequency offset with lower computational complexity and does not require additional memory while maintaining the same level of estimation performance.

Keywords: OFDM, frequency offset estimation, threshold.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2210

Authors: Takashi Sakai, Shinsaku Kikuta, Jun-ichi Koyama

Abstract:

Using a texture database, a statistical estimation of spring-back was conducted in this study on the basis of statistical analysis. Both spring-back in bending deformation and experimental data related to the crystal orientation show significant dispersion. Therefore, a probabilistic statistical approach was established for the proper quantification of these values. Correlation was examined among the parameters F(x) of spring-back, F(x) of the buildup fraction to three orientations after 92° bending, and F(x) at an as-received part on the basis of the three-parameter Weibull distribution. Consequent spring-back estimation using a texture database yielded excellent estimates compared with experimental values.

Keywords: Bending, Spring-back, Database, Crystallographic Orientation, Texture, SEM-EBSD, Weibull distribution, Statistical analysis.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1898

Authors: Jeerapa Sappakitkamjorn, Sa-aat Niwitpong

Abstract:

In many practical applications in various areas, such as engineering, science and social science, it is known that there exist bounds on the values of unknown parameters. For example, values of some measurements for controlling machines in an industrial process, weight or height of subjects, blood pressures of patients and retirement ages of public servants. When interval estimation is considered in a situation where the parameter to be estimated is bounded, it has been argued that the classical Neyman procedure for setting confidence intervals is unsatisfactory. This is due to the fact that the information regarding the restriction is simply ignored. It is, therefore, of significant interest to construct confidence intervals for the parameters that include the additional information on parameter values being bounded to enhance the accuracy of the interval estimation. Therefore in this paper, we propose a new confidence interval for the coefficient of variance where the population mean and standard deviation are bounded. The proposed interval is evaluated in terms of coverage probability and expected length via Monte Carlo simulation.  

Keywords: Bounded parameters, coefficient of variation, confidence interval, Monte Carlo simulation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 4225

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

Abstract:

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

Keywords: Generalized autoregressive score model, stock returns, time-varying.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1033

Authors: Adilson Elias Xavier, Otto Corrêa Rotunno Filho, Paulo Canedo de Magalhães

Abstract:

This paper addresses the issue of automatic parameter estimation in conceptual rainfall-runoff (CRR) models. Due to threshold structures commonly occurring in CRR models, the associated mathematical optimization problems have the significant characteristic of being strongly non-differentiable. In order to face this enormous task, the resolution method proposed adopts a smoothing strategy using a special C∞ differentiable class function. The final estimation solution is obtained by solving a sequence of differentiable subproblems which gradually approach the original conceptual problem. The use of this technique, called Hyperbolic Smoothing Method (HSM), makes possible the application of the most powerful minimization algorithms, and also allows for the main difficulties presented by the original CRR problem to be overcome. A set of computational experiments is presented for the purpose of illustrating both the reliability and the efficiency of the proposed approach.

Keywords: Rainfall-runoff models, optimization procedure, automatic parameter calibration, hyperbolic smoothing method.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 407

Authors: H. Panahi, S. Asadi

Abstract:

In this paper, the estimation of the stress-strength parameter R = P(Y < X), when X and Y are independent and both are Lomax distributions with the common scale parameters but different shape parameters is studied. The maximum likelihood estimator of R is derived. Assuming that the common scale parameter is known, the bayes estimator and exact confidence interval of R are discussed. Simulation study to investigate performance of the different proposed methods has been carried out.

Keywords: Stress-Strength model; maximum likelihoodestimator; Bayes estimator; Lomax distribution

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1791

Authors: Soon-Hyun Park, Takami Matsuo

Abstract:

This paper presents an adaptive differentiator of sequential data based on the adaptive control theory. The algorithm is applied to detect moving objects by estimating a temporal gradient of sequential data at a specified pixel. We adopt two nonlinear intensity functions to reduce the influence of noises. The derivatives of the nonlinear intensity functions are estimated by an adaptive observer with σ-modification update law.

Keywords: Adaptive estimation, parameter adjustmentlaw, motion detection, temporal gradient, differential filter.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1872

Authors: Xiaowei Zhang, Min Xu, Saeid Habibi, Fengjun Yan, Ryan Ahmed

Abstract:

Recently, Electric Vehicles (EVs) have received extensive consideration since they offer a more sustainable and greener transportation alternative compared to fossil-fuel propelled vehicles. Lithium-Ion (Li-ion) batteries are increasingly being deployed in EVs because of their high energy density, high cell-level voltage, and low rate of self-discharge. Since Li-ion batteries represent the most expensive component in the EV powertrain, accurate monitoring and control strategies must be executed to ensure their prolonged lifespan. The Battery Management System (BMS) has to accurately estimate parameters such as the battery State-of-Charge (SOC), State-of-Health (SOH), and Remaining Useful Life (RUL). In order for the BMS to estimate these parameters, an accurate and control-oriented battery model has to work collaboratively with a robust state and parameter estimation strategy. Since battery physical parameters, such as the internal resistance and diffusion coefficient change depending on the battery state-of-life (SOL), the BMS has to be adaptive to accommodate for this change. In this paper, an extensive battery aging study has been conducted over 12-months period on 5.4 Ah, 3.7 V Lithium polymer cells. Instead of using fixed charging/discharging aging cycles at fixed C-rate, a set of real-world driving scenarios have been used to age the cells. The test has been interrupted every 5% capacity degradation by a set of reference performance tests to assess the battery degradation and track model parameters. As battery ages, the combined model parameters are optimized and tracked in an offline mode over the entire batteries lifespan. Based on the optimized model, a state and parameter estimation strategy based on the Extended Kalman Filter (EKF) and the relatively new Smooth Variable Structure Filter (SVSF) have been applied to estimate the SOC at various states of life.

Keywords: Lithium-Ion batteries, genetic algorithm optimization, battery aging test, and parameter identification.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1544

Authors: Trung Hieu Tran, Hyo-Moon Cho, Sang-Bock Cho

Abstract:

Motion estimation is the most computationally intensive part in video processing. Many fast motion estimation algorithms have been proposed to decrease the computational complexity by reducing the number of candidate motion vectors. However, these studies are for fast search algorithms themselves while almost image and video compressions are operated with software based. Therefore, the timing constraints for running these motion estimation algorithms not only challenge for the video codec but also overwhelm for some of processors. In this paper, the performance of motion estimation is enhanced by using Intel's Streaming SIMD Extension 2 (SSE2) technology with Intel Pentium 4 processor.

Keywords: Motion Estimation, Full Search, Three StepSearch, MMX/SSE/SSE2 Technologies, SIMD.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2099

Authors: Rajamani Doraiswami, Lahouari Cheded

Abstract:

Fault diagnosis of Linear Parameter-Varying (LPV) system using an adaptive Kalman filter is proposed. The LPV model is comprised of scheduling parameters, and the emulator parameters. The scheduling parameters are chosen such that they are capable of tracking variations in the system model as a result of changes in the operating regimes. The emulator parameters, on the other hand, simulate variations in the subsystems during the identification phase and have negligible effect during the operational phase. The nominal model and the influence vectors, which are the gradient of the feature vector respect to the emulator parameters, are identified off-line from a number of emulator parameter perturbed experiments. A Kalman filter is designed using the identified nominal model. As the system varies, the Kalman filter model is adapted using the scheduling variables. The residual is employed for fault diagnosis. The proposed scheme is successfully evaluated on simulated system as well as on a physical process control system.

Keywords: Keywords—Identification, linear parameter-varying systems, least-squares estimation, fault diagnosis, Kalman filter, emulators

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1299

Authors: Khalid M. Aamir, Mohammad A. Maud

Abstract:

Power Spectral Density (PSD) of quasi-stationary processes can be efficiently estimated using the short time Fourier series (STFT). In this paper, an algorithm has been proposed that computes the PSD of quasi-stationary process efficiently using offline autoregressive model order estimation algorithm, recursive parameter estimation technique and modified sliding window discrete Fourier Transform algorithm. The main difference in this algorithm and STFT is that the sliding window (SW) and window for spectral estimation (WSA) are separately defined. WSA is updated and its PSD is computed only when change in statistics is detected in the SW. The computational complexity of the proposed algorithm is found to be lesser than that for standard STFT technique.

Keywords: Power Spectral Density (PSD), quasi-stationarytime series, short time Fourier Transform, Sliding window DFT.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1965

Authors: Chao Yuan, Bao Guang Tian

Abstract:

A relative efficiency is defined as Ridge Estimate in the general linear model. The relative efficiency is based on the Mean square error. In this paper, we put forward a parameter of Ridge Estimate and discussions are made on the relative efficiency between the ridge estimation and the General Ridge Estimate. Eventually, this paper proves that the estimation is better than the general ridge estimate, which is based on the MSE.

Keywords: Ridge estimate, generalized ridge estimate, MSE, relative efficiency.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 981

Authors: Zong Chen

Abstract:

Motion estimation is a key problem in video processing and computer vision. Optical flow motion estimation can achieve high estimation accuracy when motion vector is small. Three-step search algorithm can handle large motion vector but not very accurate. A joint algorithm was proposed in this paper to achieve high estimation accuracy disregarding whether the motion vector is small or large, and keep the computation cost much lower than full search.

Keywords: Motion estimation, Block Matching, Optical flow, Three step search.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2164

Authors: Mohammad Javad Mollakazemi, Farhad Asadi, Aref Ghafouri

Abstract:

Performance of different filtering approaches depends on modeling of dynamical system and algorithm structure. For modeling and smoothing the data the evaluation of posterior distribution in different filtering approach should be chosen carefully. In this paper different filtering approaches like filter KALMAN, EKF, UKF, EKS and smoother RTS is simulated in some trajectory tracking of path and accuracy and limitation of these approaches are explained. Then probability of model with different filters is compered and finally the effect of the noise variance to estimation is described with simulations results.

Keywords: Gaussian approximation, KALMAN smoother, Parameter estimation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1774

Authors: Lokesh Tharani, R.P.Yadav

Abstract:

This paper presents the results related to the interference reduction technique in multistage multiuser detector for asynchronous DS-CDMA system. To meet the real-time requirements for asynchronous multiuser detection, a bit streaming, cascade architecture is used. An asynchronous multiuser detection involves block-based computations and matrix inversions. The paper covers iterative-based suboptimal schemes that have been studied to decrease the computational complexity, eliminate the need for matrix inversions, decreases the execution time, reduces the memory requirements and uses joint estimation and detection process that gives better performance than the independent parameter estimation method. The stages of the iteration use cascaded and bits processed in a streaming fashion. The simulation has been carried out for asynchronous DS-CDMA system by varying one parameter, i.e., number of users. The simulation result exhibits that system gives optimum bit error rate (BER) at 3rd stage for 15-users.

Keywords: Multi-user detection (MUD), multiple accessinterference (MAI), near-far effect, decision feedback detector, successive interference cancellation detector (SIC) and parallelinterference cancellation (PIC) detector.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1761

Authors: Abd El Hady N. Ebraheim

Abstract:

This paper introduces a new generalization of the two parameter Weibull distribution. To this end, the quadratic rank transmutation map has been used. This new distribution is named exponentiated transmuted Weibull (ETW) distribution. The ETW distribution has the advantage of being capable of modeling various shapes of aging and failure criteria. Furthermore, eleven lifetime distributions such as the Weibull, exponentiated Weibull, Rayleigh and exponential distributions, among others follow as special cases. The properties of the new model are discussed and the maximum likelihood estimation is used to estimate the parameters. Explicit expressions are derived for the quantiles. The moments of the distribution are derived, and the order statistics are examined.

Keywords: Exponentiated, Inversion Method, Maximum Likelihood Estimation, Transmutation Map.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3470

Authors: Yoonsuh Jung

Abstract:

As DNA microarray data contain relatively small sample size compared to the number of genes, high dimensional models are often employed. In high dimensional models, the selection of tuning parameter (or, penalty parameter) is often one of the crucial parts of the modeling. Cross-validation is one of the most common methods for the tuning parameter selection, which selects a parameter value with the smallest cross-validated score. However, selecting a single value as an ‘optimal’ value for the parameter can be very unstable due to the sampling variation since the sample sizes of microarray data are often small. Our approach is to choose multiple candidates of tuning parameter first, then average the candidates with different weights depending on their performance. The additional step of estimating the weights and averaging the candidates rarely increase the computational cost, while it can considerably improve the traditional cross-validation. We show that the selected value from the suggested methods often lead to stable parameter selection as well as improved detection of significant genetic variables compared to the tradition cross-validation via real data and simulated data sets.

Keywords: Cross Validation, Parameter Averaging, Parameter Selection, Regularization Parameter Search.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1571

Authors: Keunhong Chae, Seokho Yoon

Abstract:

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

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

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1947

Authors: Sergey Sorokin, Irina Sorokina, Alexander Yazenin

Abstract:

We present a solution to the Maxmin u/E parameters estimation problem of possibility distributions in m-dimensional case. Our method is based on geometrical approach, where minimal area enclosing ellipsoid is constructed around the sample. Also we demonstrate that one can improve results of well-known algorithms in fuzzy model identification task using Maxmin u/E parameters estimation.

Keywords: Possibility distribution, parameters estimation, Maxmin u/E estimator, fuzzy model identification.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2425

Authors: Chatchai Pesee

Abstract:

This paper examines long-range dependence or longmemory of financial time series on the exchange rate data by the fractional Brownian motion (fBm). The principle of spectral density function in Section 2 is used to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-memory or long-range dependence (LRD) if 1/2< H <1. The curve of exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Furthermore, some of the definitions of the fBm, long-range dependence and selfsimilarity are reviewed in Section II as well. Our results indicate that there exists a long-memory or a long-range dependence (LRD) for the exchange rate data in section III. Long-range dependence of the exchange rate data and estimation of the Hurst parameter (H) are discussed in Section IV, while a conclusion is discussed in Section V.

Keywords: Fractional Brownian motion, long-rangedependence, memory, short-range dependence.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1883

Authors: Refaat M Mohamed, Ayman El-Baz, Aly A. Farag

Abstract:

This paper presents a new approach for the prob-ability density function estimation using the Support Vector Ma-chines (SVM) and the Expectation Maximization (EM) algorithms.In the proposed approach, an advanced algorithm for the SVM den-sity estimation which incorporates the Mean Field theory in the learning process is used. Instead of using ad-hoc values for the para-meters of the kernel function which is used by the SVM algorithm,the proposed approach uses the EM algorithm for an automatic optimization of the kernel. Experimental evaluation using simulated data set shows encouraging results.

Keywords: Density Estimation, SVM, Learning Algorithms, Parameters Estimation.

Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2504