Search results for: Validity
325 Predicting Automotive Interior Noise Including Wind Noise by Statistical Energy Analysis
Authors: Yoshio Kurosawa
Abstract:
The applications of soundproof materials for reduction of high frequency automobile interior noise have been researched. This paper presents a sound pressure prediction technique including wind noise by Hybrid Statistical Energy Analysis (HSEA) in order to reduce weight of acoustic insulations. HSEA uses both analytical SEA and experimental SEA. As a result of chassis dynamo test and road test, the validity of SEA modeling was shown, and utility of the method was confirmed.
Keywords: Vibration, noise, car, statistical energy analysis.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1575324 Numerical Solution of Infinite Boundary Integral Equation by Using Galerkin Method with Laguerre Polynomials
Authors: N. M. A. Nik Long, Z. K. Eshkuvatov, M. Yaghobifar, M. Hasan
Abstract:
In this paper the exact solution of infinite boundary integral equation (IBIE) of the second kind with degenerate kernel is presented. Moreover Galerkin method with Laguerre polynomial is applied to get the approximate solution of IBIE. Numerical examples are given to show the validity of the method presented.
Keywords: Approximation, Galerkin method, Integral equations, Laguerre polynomial.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2180323 Controlled Synchronization of an Array of Nonlinear System with Time Delays
Authors: S.M. Lee, J.H. Koo, J.H. Park, S.C. Won
Abstract:
In this paper, we propose synchronization of an array of nonlinear systems with time delays. The array of systems is decomposed into isolated systems to establish appropriate Lyapunov¬Krasovskii functional. Using the Lyapunov-Krasovskii functional, a sufficient condition for the synchronization is derived in terms of LMIs(Linear Matrix Inequalities). Delayed feedback control gains are obtained by solving the sufficient condition. Numerical examples are given to show the validity the proposed method.
Keywords: Synchronization, Delay, Lyapunov method, LMI.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1442322 A Simplified Distribution for Nonlinear Seas
Authors: M. A. Tayfun, M. A. Alkhalidi
Abstract:
The exact theoretical expression describing the probability distribution of nonlinear sea-surface elevations derived from the second-order narrowband model has a cumbersome form that requires numerical computations, not well-disposed to theoretical or practical applications. Here, the same narrowband model is reexamined to develop a simpler closed-form approximation suitable for theoretical and practical applications. The salient features of the approximate form are explored, and its relative validity is verified with comparisons to other readily available approximations, and oceanic data.
Keywords: Ocean waves, probability distributions, second-order nonlinearities, skewness coefficient, wave steepness.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2095321 Numerical Solution of Volterra Integro-differential Equations of Fractional Order by Laplace Decomposition Method
Authors: Changqing Yang, Jianhua Hou
Abstract:
In this paper the Laplace Decomposition method is developed to solve linear and nonlinear fractional integro- differential equations of Volterra type.The fractional derivative is described in the Caputo sense.The Laplace decomposition method is found to be fast and accurate.Illustrative examples are included to demonstrate the validity and applicability of presented technique and comparasion is made with exacting results.
Keywords: Integro-differential equations, Laplace transform, fractional derivative, adomian polynomials, pade appoximants.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1665320 A New Algorithm for Solving Isothermal Carbonization of Wood Particle
Authors: Ahmed Mahmoudi, Imen Mejri, Mohamed A. Abbassi, Ahmed Omri
Abstract:
A new algorithm based on the lattice Boltzmann method (LBM) is proposed as a potential solver for one-dimensional heat and mass transfer for isothermal carbonization of wood particles. To check the validity of this algorithm, the LBM results have been compared with the published data and a good agreement is obtained. Then, the model is used to study the effect of reactor temperature and particle size on the evolution of the local temperature and mass loss inside the wood particle.
Keywords: Lattice Boltzmann Method, pyrolysis, conduction, carbonization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1631319 Triple-input Single-output Voltage-mode Multifunction Filter Using Only Two Current Conveyors
Authors: Mehmet Sagbas, Kemal Fidanboylu, M. Can Bayram
Abstract:
A new voltage-mode triple-input single-output multifunction filter using only two current conveyors is presented. The proposed filter which possesses three inputs and single-output can generate all biquadratic filtering functions at the output terminal by selecting different input signal combinations. The validity of the proposed filter is verified through PSPICE simulations.Keywords: Active Filters, Voltage mode, Current conveyor
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1754318 The Estimation Method of Stress Distribution for Beam Structures Using the Terrestrial Laser Scanning
Authors: Sang Wook Park, Jun Su Park, Byung Kwan Oh, Yousok Kim, Hyo Seon Park
Abstract:
This study suggests the estimation method of stress distribution for the beam structures based on TLS (Terrestrial Laser Scanning). The main components of method are the creation of the lattices of raw data from TLS to satisfy the suitable condition and application of CSSI (Cubic Smoothing Spline Interpolation) for estimating stress distribution. Estimation of stress distribution for the structural member or the whole structure is one of the important factors for safety evaluation of the structure. Existing sensors which include ESG (Electric strain gauge) and LVDT (Linear Variable Differential Transformer) can be categorized as contact type sensor which should be installed on the structural members and also there are various limitations such as the need of separate space where the network cables are installed and the difficulty of access for sensor installation in real buildings. To overcome these problems inherent in the contact type sensors, TLS system of LiDAR (light detection and ranging), which can measure the displacement of a target in a long range without the influence of surrounding environment and also get the whole shape of the structure, has been applied to the field of structural health monitoring. The important characteristic of TLS measuring is a formation of point clouds which has many points including the local coordinate. Point clouds are not linear distribution but dispersed shape. Thus, to analyze point clouds, the interpolation is needed vitally. Through formation of averaged lattices and CSSI for the raw data, the method which can estimate the displacement of simple beam was developed. Also, the developed method can be extended to calculate the strain and finally applicable to estimate a stress distribution of a structural member. To verify the validity of the method, the loading test on a simple beam was conducted and TLS measured it. Through a comparison of the estimated stress and reference stress, the validity of the method is confirmed.Keywords: Structural health monitoring, terrestrial laser scanning, estimation of stress distribution, coordinate transformation, cubic smoothing spline interpolation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2739317 New PTH Moment Stable Criteria of Stochastic Neural Networks
Authors: Zixin Liu, Huawei Yang, Fangwei Chen
Abstract:
In this paper, the issue of pth moment stability of a class of stochastic neural networks with mixed delays is investigated. By establishing two integro-differential inequalities, some new sufficient conditions ensuring pth moment exponential stability are obtained. Compared with some previous publications, our results generalize some earlier works reported in the literature, and remove some strict constraints of time delays and kernel functions. Two numerical examples are presented to illustrate the validity of the main results.
Keywords: Neural networks, stochastic, PTH moment stable, time varying delays, distributed delays.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1469316 Designing of Full Adder Using Low Power Techniques
Authors: Shashank Gautam
Abstract:
This paper proposes techniques like MT CMOS, POWER GATING, DUAL STACK, GALEOR and LECTOR to reduce the leakage power. A Full Adder has been designed using these techniques and power dissipation is calculated and is compared with general CMOS logic of Full Adder. Simulation results show the validity of the proposed techniques is effective to save power dissipation and to increase the speed of operation of the circuits to a large extent.
Keywords: Low Power, MT CMOS, Galeor, Lector, Power Gating, Dual Stack, Full Adder.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2119315 Neutron Flux Characterization for Radioisotope Production at ETRR-2
Authors: A. M. Hassanain, Nader M. A. Mohamed, M. Naguib Aly, Alya A. Badawi, M. A. Gaheen
Abstract:
The thermal, epithermal and fast fluxes were calculated for three irradiation channels at Egypt Second Research Reactor (ETRR-2) using CITVAP code. The validity of the calculations was verified by experimental measurements. There are some deviations between measurements and calculations. This is due to approximations in the calculation models used, homogenization of regions, condensation of energy groups and uncertainty in nuclear data used. Neutron flux data for the three irradiation channels are now available. This would enable predicting the irradiation conditions needed for future radioisotope production.Keywords: ETRR-2, Neutron flux, Radioisotope production, CITVAP
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2239314 Statistical Analysis of First Order Plus Dead-time System using Operational Matrix
Authors: Pham Luu Trung Duong, Moonyong Lee
Abstract:
To increase precision and reliability of automatic control systems, we have to take into account of random factors affecting the control system. Thus, operational matrix technique is used for statistical analysis of first order plus time delay system with uniform random parameter. Examples with deterministic and stochastic disturbance are considered to demonstrate the validity of the method. Comparison with Monte Carlo method is made to show the computational effectiveness of the method.
Keywords: First order plus dead-time, Operational matrix, Statistical analysis, Walsh function.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1364313 Solution of Nonlinear Second-Order Pantograph Equations via Differential Transformation Method
Authors: Nemat Abazari, Reza Abazari
Abstract:
In this work, we successfully extended one-dimensional differential transform method (DTM), by presenting and proving some theorems, to solving nonlinear high-order multi-pantograph equations. This technique provides a sequence of functions which converges to the exact solution of the problem. Some examples are given to demonstrate the validity and applicability of the present method and a comparison is made with existing results.
Keywords: Nonlinear multi-pantograph equation, delay differential equation, differential transformation method, proportional delay conditions, closed form solution.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2557312 pth Moment Exponential Synchronization of a Class of Chaotic Neural Networks with Mixed Delays
Authors: Zixin Liu, Shu Lü, Shouming Zhong, Mao Ye
Abstract:
This paper studies the pth moment exponential synchronization of a class of stochastic neural networks with mixed delays. Based on Lyapunov stability theory, by establishing a new integrodifferential inequality with mixed delays, several sufficient conditions have been derived to ensure the pth moment exponential stability for the error system. The criteria extend and improve some earlier results. One numerical example is presented to illustrate the validity of the main results.
Keywords: pth Moment Exponential synchronization, Stochastic, Neural networks, Mixed time delays
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1577311 Development of Blower for Air Management System of Fuel Cell Modules
Authors: Joo-Han Kim, Jung-Moo Seo, Ha Gyeong Sung, Se Hyun Rhyu
Abstract:
This study presents a blower for air management system of fuel cell modules. A blower is composed of BLDC motor and impeller. Magnetic equivalent circuit model and finite element analysis are used to design the motor, and an improved structure is considered to reduce a mechanical loss induced from bearing units. Finally, air blower system combined with the motor and an impeller is manufactured and output properties, such as an air pressure and an amount of flowing air, are measured. Through the experimental results, a validity of the simulated one is confirmed.Keywords: Fuel cell modules, BLDC motor, Impeller, Air management
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1585310 Advanced Gronwall-Bellman-Type Integral Inequalities and Their Applications
Authors: Zixin Liu, Shu Lü, Shouming Zhong, Mao Ye
Abstract:
In this paper, some new nonlinear generalized Gronwall-Bellman-Type integral inequalities with mixed time delays are established. These inequalities can be used as handy tools to research stability problems of delayed differential and integral dynamic systems. As applications, based on these new established inequalities, some p-stable results of a integro-differential equation are also given. Two numerical examples are presented to illustrate the validity of the main results.Keywords: Gronwall-Bellman-Type integral inequalities, integrodifferential equation, p-exponentially stable, mixed delays.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2085309 Development and Validation of an Instrument Measuring the Coping Strategies in Situations of Stress
Authors: Lucie Côté, Martin Lauzier, Guy Beauchamp, France Guertin
Abstract:
Stress causes deleterious effects to the physical, psychological and organizational levels, which highlight the need to use effective coping strategies to deal with it. Several coping models exist, but they don’t integrate the different strategies in a coherent way nor do they take into account the new research on the emotional coping and acceptance of the stressful situation. To fill these gaps, an integrative model incorporating the main coping strategies was developed. This model arises from the review of the scientific literature on coping and from a qualitative study carried out among workers with low or high levels of stress, as well as from an analysis of clinical cases. The model allows one to understand under what circumstances the strategies are effective or ineffective and to learn how one might use them more wisely. It includes Specific Strategies in controllable situations (the Modification of the Situation and the Resignation-Disempowerment), Specific Strategies in non-controllable situations (Acceptance and Stubborn Relentlessness) as well as so-called General Strategies (Wellbeing and Avoidance). This study is intended to undertake and present the process of development and validation of an instrument to measure coping strategies based on this model. An initial pool of items has been generated from the conceptual definitions and three expert judges have validated the content. Of these, 18 items have been selected for a short form questionnaire. A sample of 300 students and employees from a Quebec university was used for the validation of the questionnaire. Concerning the reliability of the instrument, the indices observed following the inter-rater agreement (Krippendorff’s alpha) and the calculation of the coefficients for internal consistency (Cronbach's alpha) are satisfactory. To evaluate the construct validity, a confirmatory factor analysis using MPlus supports the existence of a model with six factors. The results of this analysis suggest also that this configuration is superior to other alternative models. The correlations show that the factors are only loosely related to each other. Overall, the analyses carried out suggest that the instrument has good psychometric qualities and demonstrates the relevance of further work to establish predictive validity and reconfirm its structure. This instrument will help researchers and clinicians better understand and assess coping strategies to cope with stress and thus prevent mental health issues.
Keywords: Acceptance, coping strategies, measurement instrument, questionnaire, stress, validation process.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 921308 Variational Evolutionary Splines for Solving a Model of Temporomandibular Disorders
Authors: Alberto Hananel
Abstract:
The aim of this work is to modelize the occlusion of a person with temporomandibular disorders as an evolutionary equation and approach its solution by the construction and characterizing of discrete variational splines. To formulate the problem, certain boundary conditions have been considered. After showing the existence and the uniqueness of the solution of such a problem, a convergence result of a discrete variational evolutionary spline is shown. A stress analysis of the occlusion of a human jaw with temporomandibular disorders by finite elements is carried out in FreeFem++ in order to prove the validity of the presented method.Keywords: Approximation, evolutionary PDE, finite element method, temporomandibular disorders, variational spline.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1584307 A New Particle Filter Inspired by Biological Evolution: Genetic Filter
Authors: S. Park, J. Hwang, K. Rou, E. Kim
Abstract:
In this paper, we consider a new particle filter inspired by biological evolution. In the standard particle filter, a resampling scheme is used to decrease the degeneracy phenomenon and improve estimation performance. Unfortunately, however, it could cause the undesired the particle deprivation problem, as well. In order to overcome this problem of the particle filter, we propose a novel filtering method called the genetic filter. In the proposed filter, we embed the genetic algorithm into the particle filter and overcome the problems of the standard particle filter. The validity of the proposed method is demonstrated by computer simulation.Keywords: Particle filter, genetic algorithm, evolutionary algorithm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2495306 T-DOF PID Controller Design using Characteristic Ratio Assignment Method for Quadruple Tank Process
Authors: Tianchai Suksri, U-thai Sritheeravirojana, Arjin Numsomran, Viriya Kongrattana, Thongchai Werataweemart
Abstract:
A control system design with Characteristic Ratio Assignment (CRA) is proven that effective for SISO control design. But the control system design for MIMO via CRA is not concrete procedure. In this paper presents the control system design method for quadruple-tank process via CRA. By using the decentralized method for both minimum phase and non-minimum phase are made. The results from PI and PID controller design via CRA can be illustrated the validity of our approach by MATLAB.Keywords: CRA, Quadruple-Tank.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1584305 Exponential Stability Analysis for Switched Cellular Neural Networks with Time-varying Delays and Impulsive Effects
Authors: Zixin Liu, Fangwei Chen
Abstract:
In this Letter, a class of impulsive switched cellular neural networks with time-varying delays is investigated. At the same time, parametric uncertainties assumed to be norm bounded are considered. By dividing the network state variables into subgroups according to the characters of the neural networks, some sufficient conditions guaranteeing exponential stability for all admissible parametric uncertainties are derived via constructing appropriate Lyapunov functional. One numerical example is provided to illustrate the validity of the main results obtained in this paper.
Keywords: Switched systems, exponential stability, cellular neural networks.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1416304 A Low-Voltage Current-Mode Wheatstone Bridge using CMOS Transistors
Authors: Ebrahim Farshidi
Abstract:
This paper presents a new circuit arrangement for a current-mode Wheatstone bridge that is suitable for low-voltage integrated circuits implementation. Compared to the other proposed circuits, this circuit features severe reduction of the elements number, low supply voltage (1V) and low power consumption (<350uW). In addition, the circuit has favorable nonlinearity error (<0.35%), operate with multiple sensors and works by single supply voltage. The circuit employs MOSFET transistors, so it can be used for standard CMOS fabrication. Simulation results by HSPICE show high performance of the circuit and confirm the validity of the proposed design technique.Keywords: Wheatstone bridge, current-mode, low-voltage, MOS.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 3021303 Delay-range-Dependent Exponential Synchronization of Lur-e Systems with Markovian Switching
Authors: Xia Zhou, Shouming Zhong
Abstract:
The problem of delay-range-dependent exponential synchronization is investigated for Lur-e master-slave systems with delay feedback control and Markovian switching. Using Lyapunov- Krasovskii functional and nonsingular M-matrix method, novel delayrange- dependent exponential synchronization in mean square criterions are established. The systems discussed in this paper is advanced system, and takes all the features of interval systems, Itˆo equations, Markovian switching, time-varying delay, as well as the environmental noise, into account. Finally, an example is given to show the validity of the main result.
Keywords: Synchronization, delay-range-dependent, Markov chain, generalized Itō's formula, brownian motion, M-matrix.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1566302 Usability Guidelines for Arab E-government Websites
Authors: Omyma Al Osaimi, Asma AlSumait
Abstract:
The website developer and designer should follow usability guidelines to provide a user-friendly interface. Many guidelines and heuristics have been developed by previous studies to help both the developer and designer in this task, but E-government websites are special cases that require specialized guidelines. This paper introduces a set of 18 guidelines for evaluating the usability of e-government websites in general and Arabic e-government websites specifically, along with a check list of how to apply them. The validity and effectiveness of these guidelines were evaluated against a variety of user characteristics. The results indicated that the proposed set of guidelines can be used to identify qualitative similarities and differences with user testing and that the new set is best suited for evaluating general and e-governmental usability.
Keywords: E-government, Human Computer Interaction, Usability Evaluation, Usability Guidelines.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2967301 Lattice Boltzmann Simulation of the Carbonization of Wood Particle
Authors: Ahmed Mahmoudi, Imen Mejri, Mohamed A. Abbassi, Ahmed Omri
Abstract:
A numerical study based on the Lattice Boltzmann Method (LBM) is proposed to solve one, two and three dimensional heat and mass transfer for isothermal carbonization of thick wood particles. To check the validity of the proposed model, computational results have been compared with the published data and a good agreement is obtained. Then, the model is used to study the effect of reactor temperature and thermal boundary conditions, on the evolution of the local temperature and the mass distributions of the wood particle during carbonization
Keywords: Lattice Boltzmann Method, pyrolysis conduction, carbonization, Heat and mass transfer.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2706300 Determinants of Consumer Choice for Online Travel Shopping Sites: A Confirmatory Analysis
Authors: Yu-Min Wang
Abstract:
This study attempts to validate the consumer-oriented criteria list, developed by Wang et al. (2010), for selecting online travel shopping sites. Based on a sample of 985 respondents, confirmatory factor analysis was employed to test the factor structure and assess the reliability and validity of the list. The results support the list developed by Wang et al. (2010) and claim the list can be further used to analyze, explain, and understand consumer behaviors about online travel shopping.Keywords: Online travel agency, online travel shopping sites, confirmatory analysis.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1700299 Design and Development of Automatic Leveling and Equalizing Hoist Device for Spacecraft
Authors: Fu Hao, Sun Gang, Tang Laiying, Cui Junfeng
Abstract:
To solve the quick and accurate level-adjusting problem in the process of spacecraft precise mating, automatic leveling and equalizing hoist device for spacecraft is developed. Based on lifting point adjustment by utilizing XY-workbench, the leveling and equalizing controller by a self-adaptive control algorithm is proposed. By simulation analysis and lifting test using engineering prototype, validity and reliability of the hoist device is verified, which can meet the precision mating requirements of practical applications for spacecraft.Keywords: automatic leveling and equalizing, hoist device, lifting point adjustment, self-adaptive control
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2019298 Solution of First kind Fredholm Integral Equation by Sinc Function
Authors: Khosrow Maleknejad, Reza Mollapourasl, Parvin Torabi, Mahdiyeh Alizadeh,
Abstract:
Sinc-collocation scheme is one of the new techniques used in solving numerical problems involving integral equations. This method has been shown to be a powerful numerical tool for finding fast and accurate solutions. So, in this paper, some properties of the Sinc-collocation method required for our subsequent development are given and are utilized to reduce integral equation of the first kind to some algebraic equations. Then convergence with exponential rate is proved by a theorem to guarantee applicability of numerical technique. Finally, numerical examples are included to demonstrate the validity and applicability of the technique.Keywords: Integral equation, Fredholm type, Collocation method, Sinc approximation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2754297 An Address-Oriented Transmit Mechanism for GALS NoC
Authors: Yuanyuan Zhang, Guang Sun, Li Su, Depeng Jin, Lieguang Zeng
Abstract:
Since Network-on-Chip (NoC) uses network interfaces (NIs) to improve the design productivity, by now, there have been a few papers addressing the design and implementation of a NI module. However, none of them considered the difference of address encoding methods between NoC and the traditional bus-shared architecture. On the basis of this difference, in the paper, we introduce a transmit mechanism to solve such a problem for global asynchronous locally synchronous (GALS) NoC. Furthermore, we give the concrete implementation of the NI module in this transmit mechanism. Finally, we evaluate its performance and area overhead by a VHDL-based cycle-accurate RTL model and simulation results confirm the validity of this address-oriented transmit mechanism.Keywords: Network-on-Chip, Network Interface, Open CoreProtocol, Address.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1344296 Study of a BVAR(p) Process Applied to U.S. Commodity Market Data
Authors: Jan Sindelar
Abstract:
The paper presents an applied study of a multivariate AR(p) process fitted to daily data from U.S. commodity futures markets with the use of Bayesian statistics. In the first part a detailed description of the methods used is given. In the second part two BVAR models are chosen one with assumption of lognormal, the second with normal distribution of prices conditioned on the parameters. For a comparison two simple benchmark models are chosen that are commonly used in todays Financial Mathematics. The article compares the quality of predictions of all the models, tries to find an adequate rate of forgetting of information and questions the validity of Efficient Market Hypothesis in the semi-strong form.
Keywords: Vector auto-regression, forecasting, financial, Bayesian, efficient markets.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1197