Search results for: Tilt-Rotor Modeling and Simulation.
2474 A Family of Minimal Residual Based Algorithm for Adaptive Filtering
Authors: Noor Atinah Ahmad
Abstract:
The Minimal Residual (MR) is modified for adaptive filtering application. Three forms of MR based algorithm are presented: i) the low complexity SPCG, ii) MREDSI, and iii) MREDSII. The low complexity is a reduced complexity version of a previously proposed SPCG algorithm. Approximations introduced reduce the algorithm to an LMS type algorithm, but, maintain the superior convergence of the SPCG algorithm. Both MREDSI and MREDSII are MR based methods with Euclidean direction of search. The choice of Euclidean directions is shown via simulation to give better misadjustment compared to their gradient search counterparts.Keywords: Adaptive filtering, Adaptive least square, Minimalresidual method.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14422473 A New Voting Approach to Texture Defect Detection Based on Multiresolutional Decomposition
Authors: B. B. M. Moasheri, S. Azadinia
Abstract:
Wavelets have provided the researchers with significant positive results, by entering the texture defect detection domain. The weak point of wavelets is that they are one-dimensional by nature so they are not efficient enough to describe and analyze two-dimensional functions. In this paper we present a new method to detect the defect of texture images by using curvelet transform. Simulation results of the proposed method on a set of standard texture images confirm its correctness. Comparing the obtained results indicates the ability of curvelet transform in describing discontinuity in two-dimensional functions compared to wavelet transformKeywords: Curvelet, Defect detection, Wavelet.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15742472 Lecture Video Indexing and Retrieval Using Topic Keywords
Authors: B. J. Sandesh, Saurabha Jirgi, S. Vidya, Prakash Eljer, Gowri Srinivasa
Abstract:
In this paper, we propose a framework to help users to search and retrieve the portions in the lecture video of their interest. This is achieved by temporally segmenting and indexing the lecture video using the topic keywords. We use transcribed text from the video and documents relevant to the video topic extracted from the web for this purpose. The keywords for indexing are found by applying the non-negative matrix factorization (NMF) topic modeling techniques on the web documents. Our proposed technique first creates indices on the transcribed documents using the topic keywords, and these are mapped to the video to find the start and end time of the portions of the video for a particular topic. This time information is stored in the index table along with the topic keyword which is used to retrieve the specific portions of the video for the query provided by the users.
Keywords: Video indexing and retrieval, lecture videos, content based video search, multimodal indexing.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15552471 TBOR: Tree Based Opportunistic Routing for Mobile Ad Hoc Networks
Authors: Y. Harold Robinson, M. Rajaram, E. Golden Julie, S. Balaji
Abstract:
A mobile ad hoc network (MANET) is a wireless communication network where nodes that are not within direct transmission range establish their communication via the help of other nodes to forward data. Routing protocols in MANETs are usually categorized as proactive. Tree Based Opportunistic Routing (TBOR) finds a multipath link based on maximum probability of the throughput. The simulation results show that the presented method is performed very well compared to the existing methods in terms of throughput, delay and routing overhead.Keywords: Mobile ad hoc networks, opportunistic data forwarding, proactive Source routing, BFS.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 12232470 Investigation of Heat Affected Zone of Steel P92 Using the Thermal Cycle Simulator
Authors: Petr Mohyla, Ivo Hlavatý, Jiří Hrubý, Lucie Krejčí
Abstract:
This work is focused on mechanical properties and microstructure of heat affected zone (HAZ) of steel P92. The thermal cycle simulator was used for modeling a fine grained zone of HAZ. Hardness and impact toughness were measured on simulated samples. Microstructural analysis using optical microscopy was performed on selected samples. Achieved results were compared with the values of a real welded joint. The thermal cycle simulator allows transferring the properties of very small HAZ to the sufficiently large sample where the tests of the mechanical properties can be performed. A satisfactory accordance was found when comparing the microstructure and mechanical properties of real welds and simulated samples.
Keywords: Heat affected zone, impact test, thermal cycle simulator and time of tempering.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 9682469 Modeling Thermo-Photo-Voltaic Selective Emitter Based on a Semi-Transparent Emitter with Integrated Narrow Band-Pass Pre-Filter
Authors: F. Stake
Abstract:
This work is a parametric study combining simple and well known optical theories. These simple theories are arranged to form part of one answer to the question: “Can a semi-transparent Thermo-Photo-Voltaic (TPV) emitter have an optical extinction spectrum so much greater than its optical absorption spectrum that it becomes its own band-pass pre-filter, and if so, how well might it be expected to suppress light of undesired wavelengths?” In the report, hypothetical materials and operating temperatures will be used for comparative analyses only. Thermal emission properties of these hypothetical materials were created using two openly available FORTRAN programs. Results indicate that if using highly transparent materials it may be possible to create a thermal emitter that is its own band-pass pre-filter.Keywords: Christensen effect, DISORT, index of refraction, scattering.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 6022468 Approximation for Average Error Probability of BPSK in the Presence of Phase Error
Authors: Yeonsoo Jang, Dongweon Yoon, Ki Ho Kwon, Jaeyoon Lee, Wooju Lee
Abstract:
Phase error in communications systems degrades error performance. In this paper, we present a simple approximation for the average error probability of the binary phase shift keying (BPSK) in the presence of phase error having a uniform distribution on arbitrary intervals. For the simple approximation, we use symmetry and periodicity of a sinusoidal function. Approximate result for the average error probability is derived, and the performance is verified through comparison with simulation result.Keywords: Average error probability, Phase shift keying, Phase error
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20492467 Bounds on Reliability of Parallel Computer Interconnection Systems
Authors: Ranjan Kumar Dash, Chita Ranjan Tripathy
Abstract:
The evaluation of residual reliability of large sized parallel computer interconnection systems is not practicable with the existing methods. Under such conditions, one must go for approximation techniques which provide the upper bound and lower bound on this reliability. In this context, a new approximation method for providing bounds on residual reliability is proposed here. The proposed method is well supported by two algorithms for simulation purpose. The bounds on residual reliability of three different categories of interconnection topologies are efficiently found by using the proposed methodKeywords: Parallel computer network, reliability, probabilisticgraph, interconnection networks.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13442466 Design of a Compact Meshed Antennas for 5G Communication Systems
Authors: Chokri Baccouch, Chayma Bahhar, Hedi Sakli, Nizar Sakli, Taoufik Aguili
Abstract:
This paper presents a hybrid system solar cell antenna for 5G mobile communications networks. We propose here a solar cell antenna with either a front face collection grid or mesh patch. The solar cell antenna of our contribution combines both optical and radiofrequency signals. Thus, we propose two solar cell antenna structures in the frequency bands of future 5G standard respectively in both 2.6 and 3.5 GHz bands. Simulation using the Advanced Design System (ADS) software allows us to analyze and determine the antenna parameters proposed in this work such as the reflection coefficient (S11), gain, directivity and radiated power.
Keywords: Patch antenna, solar cell, DC, RF, 5G.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 6622465 A Microwave Bandstop Filter Using Defected Microstrip Structure
Authors: H. Elftouh, N. T. Amar, M. Aghoutane, M. Boussouis
Abstract:
In this paper, two bandstop filters resonating at 5.25 GHz and 7.3 GHz using Defected Microstrip Structure (DMS) are discussed. These slots are incorporated in the feed lines of filters to perform a serious LC resonance property in certain frequency and suppress the spurious signals. Therefore, this method keeps the filter size unchanged and makes a resonance frequency that is due to the abrupt change of the current path of the filter. If the application requires elimination of this band of frequencies, additional filter elements are required, which can only be accomplished by adding this DMS element resonant at desired frequency band rejection. The filters are optimized and simulated with Computer Simulation Technology (CST) tool.
Keywords: Defected microstrip structure, microstrip filters, passive filter.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13732464 Investigation on the Behavior of Conventional Reinforced Coupling Beams
Authors: Akash K. Walunj, Dipendu Bhunia, Samarth Gupta, Prabhat Gupta
Abstract:
Coupled shear walls consist of two shear walls connected intermittently by beams along the height. The behavior of coupled shear walls is mainly governed by the coupling beams. The coupling beams are designed for ductile inelastic behavior in order to dissipate energy. The base of the shear walls may be designed for elastic or ductile inelastic behavior. The amount of energy dissipation depends on the yield moment capacity and plastic rotation capacity of the coupling beams. In this paper, an analytical model of coupling beam was developed to calculate the rotations and moment capacities of coupling beam with conventional reinforcement.
Keywords: Design studies, computational model(s), case study/studies, modeling, coupling beam.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 33102463 Ec-A: A Task Allocation Algorithm for Energy Minimization in Multiprocessor Systems
Authors: Anju S. Pillai, T.B. Isha
Abstract:
With the necessity of increased processing capacity with less energy consumption; power aware multiprocessor system has gained more attention in the recent future. One of the additional challenges that is to be solved in a multi-processor system when compared to uni-processor system is job allocation. This paper presents a novel task dependent job allocation algorithm: Energy centric- Allocation (Ec-A) and Rate Monotonic (RM) scheduling to minimize energy consumption in a multiprocessor system. A simulation analysis is carried out to verify the performance increase with reduction in energy consumption and required number of processors in the system.
Keywords: Energy consumption, Job allocation, Multiprocessor systems, Task dependent.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 21882462 Stabilization of the Lorenz Chaotic Equations by Fuzzy Controller
Authors: Behrooz Rezaie, Zahra Rahmani Cherati, Mohammad Reza Jahed Motlagh, Mohammad Farrokhi
Abstract:
In this paper, a fuzzy controller is designed for stabilization of the Lorenz chaotic equations. A simple Mamdani inference method is used for this purpose. This method is very simple and applicable for complex chaotic systems and it can be implemented easily. The stability of close loop system is investigated by the Lyapunov stabilization criterion. A Lyapunov function is introduced and the global stability is proven. Finally, the effectiveness of this method is illustrated by simulation results and it is shown that the performance of the system is improved.Keywords: Chaotic system, Fuzzy control, Lorenz equation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20292461 Application of Magnetic Circuit and Multiple-Coils Array in Induction Heating for Improving Localized Hyperthermia
Authors: Chi-Fang Huang, Xi-Zhang Lin, Yi-Ru Yang
Abstract:
Aiming the application of localized hyperthermia, a magnetic induction system with new approaches is proposed. The techniques in this system for improving the effectiveness of localized hyperthermia are that using magnetic circuit and the multiple-coil array instead of a giant coil for generating magnetic field. Specially, amorphous metal is adopted as the material of magnetic circuit. Detail design parameters of hardware are well described. Simulation tool is employed for this work and experiment result is reported as well.Keywords: cancer therapy, hyperthermia, Helmholtz coil, induction heating, magnetic circuit.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 32732460 Subband Adaptive Filter Exploiting Sparsity of System
Authors: Young-Seok Choi
Abstract:
This paper presents a normalized subband adaptive filtering (NSAF) algorithm to cope with the sparsity condition of an underlying system in the context of compressive sensing. By regularizing a weighted l1-norm of the filter taps estimate onto the cost function of the NSAF and utilizing a subgradient analysis, the update recursion of the l1-norm constraint NSAF is derived. Considering two distinct weighted l1-norm regularization cases, two versions of the l1-norm constraint NSAF are presented. Simulation results clearly indicate the superior performance of the proposed l1-norm constraint NSAFs comparing with the classical NSAF.Keywords: Subband adaptive filtering, sparsity constraint, weighted l1-norm.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15332459 Theoretical Considerations of the Influence of Mechanical Uniaxial Stress on Pixel Readout Circuits
Authors: Georgios C. Dogiamis, Bedrich J. Hosticka, Anton Grabmaier
Abstract:
In this work the effects of uniaxial mechanical stress on a pixel readout circuit are theoretically analyzed. It is the effects of mechanical stress on the in-pixel transistors do not arise at the output, when a correlated double sampling circuit is used. However, mechanical stress effects on the photodiode will directly appear at the readout chain output. Therefore, compensation techniques are needed to overcome this situation. Moreover simulation technique of mechanical stress is proposed and diverse layout as well as design recommendations are put forward, in order to minimize stress related effects on the output of a circuit. he shown, that wever, Moreover, a out
Keywords: mechanical uniaxial stress, pixel readout circuit
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15492458 Development of Interaction Factors Charts for Piled Raft Foundation
Authors: Abdelazim Makki Ibrahim, Esamaldeen Ali
Abstract:
This study aims at analysing the load settlement behavior and predict the bearing capacity of piled raft foundation a series of finite element models with different foundation configurations and stiffness were established. Numerical modeling is used to study the behavior of the piled raft foundation due to the complexity of piles, raft, and soil interaction and also due to the lack of reliable analytical method that can predict the behavior of the piled raft foundation system. Simple analytical models are developed to predict the average settlement and the load sharing between the piles and the raft in piled raft foundation system. A simple example to demonstrate the applications of these charts is included.Keywords: Finite element, pile-raft foundation, method, PLAXIS software, settlement.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 17322457 Energy Absorption and Axial Tearing Behaviour of Metallic Tubes Using Angled Dies: Experimental and Numerical Simulation
Authors: V. K. Bheemineni, B. Käfer, H. Lammer, M. Kotnik, F. O. Riemelmoser
Abstract:
This paper concerns about the experimental and numerical investigations of energy absorption and axial tearing behaviour of aluminium 6060 circular thin walled tubes under static axial compression. The tubes are received in T66 heat treatment condition with fixed outer diameter of 42mm, thickness of 1.5mm and length of 120mm. The primary variables are the conical die angles (15°, 20° and 25°). Numerical simulations are carried on ANSYS/LS-DYNA software tool, for investigating the effect of friction between the tube and the die.
Keywords: Angled die, ANSYS/LS-DYNA, Axial tearing, Energy absorption.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 25602456 Consistent Modeling of Functional Dependencies along with World Knowledge
Authors: Sven Rebhan, Nils Einecke, Julian Eggert
Abstract:
In this paper we propose a method for vision systems to consistently represent functional dependencies between different visual routines along with relational short- and long-term knowledge about the world. Here the visual routines are bound to visual properties of objects stored in the memory of the system. Furthermore, the functional dependencies between the visual routines are seen as a graph also belonging to the object-s structure. This graph is parsed in the course of acquiring a visual property of an object to automatically resolve the dependencies of the bound visual routines. Using this representation, the system is able to dynamically rearrange the processing order while keeping its functionality. Additionally, the system is able to estimate the overall computational costs of a certain action. We will also show that the system can efficiently use that structure to incorporate already acquired knowledge and thus reduce the computational demand.Keywords: Adaptive systems, Knowledge representation, Machinevision, Systems engineering
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 16962455 Design the Bowtie Antenna for the Detection of the Tumor in Microwave Tomography
Authors: Muhammd Hassan Khalil, Xu Jiadong
Abstract:
Early breast cancer detection is an emerging field of research as it can save the women infected by malignant tumors. Microwave breast imaging is based on the electrical property contrast between healthy and malignant tumor. This contrast can be detected by use of microwave energy with an array of antennas that illuminate the breast through coupling medium and by measuring the scattered fields. In this paper, author has been presented the design and simulation results of the bowtie antenna. This bowtie antenna is designed for the detection of breast cancer detection.
Keywords: Breast cancer detection, Microwave Imaging, Tomography.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20672454 Dynamical Network Transmission of H1N1 Virus at the Local Level Transmission Model
Authors: P. Pongsumpun
Abstract:
A new strain of Type A influenza virus can cause the transmission of H1N1 virus. This virus can spread between the people by coughing and sneezing. Because the people are always movement, so this virus can be easily spread. In this study, we construct the dynamical network model of H1N1 virus by separating the human into five groups; susceptible, exposed, infectious, quarantine and recovered groups. The movement of people between houses (local level) is considered. The behaviors of solutions to our dynamical model are shown for the different parameters.Keywords: Dynamical network, H1N1virus, local level, simulation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15472453 Electromagnetic Assessment of Submarine Power Cable Degradation Using Finite Element Method and Sensitivity Analysis
Authors: N. Boutra, N. Ravot, J. Benoit, O. Picon
Abstract:
Submarine power cables used for offshore wind farms electric energy distribution and transmission are subject to numerous threats. Some of the risks are associated with transport, installation and operating in harsh marine environment. This paper describes the feasibility of an electromagnetic low frequency sensing technique for submarine power cable failure prediction. The impact of a structural damage shape and material variability on the induced electric field is evaluated. The analysis is performed by modeling the cable using the finite element method, we use sensitivity analysis in order to identify the main damage characteristics affecting electric field variation. Lastly, we discuss the results obtained.Keywords: Electromagnetism, defect, finite element method, sensitivity analysis, submarine power cables.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 10932452 Description of Kinetics of Propane Fragmentation with a Support of Ab Initio Simulation
Authors: Amer Al Mahmoud Alsheikh, Jan Žídek, František Krčma
Abstract:
Using ab initio theoretical calculations, we present analysis of fragmentation process. The analysis is performed in two steps. The first step is calculation of fragmentation energies by ab initio calculations. The second step is application of the energies to kinetic description of process. The energies of fragments are presented in this paper. The kinetics of fragmentation process can be described by numerical models. The method for kinetic analysis is described in this paper. The result - composition of fragmentation products - will be calculated in future. The results from model can be compared to the concentrations of fragments from mass spectrum.Keywords: Ab initio, Density functional theory, Fragmentation energy, Geometry optimization.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 18942451 Exact Image Super-Resolution for Pure Translational Motion and Shift-Invariant Blur
Authors: Fatih Kara, Cabir Vural
Abstract:
In this work, a special case of the image superresolution problem where the only type of motion is global translational motion and the blurs are shift-invariant is investigated. The necessary conditions for exact reconstruction of the original image by using finite impulse-response reconstruction filters are developed. Given that the conditions are satisfied, a method for exact super-resolution is presented and some simulation results are shown.Keywords: Image processing, image super-resolution, finite impulse-response filters, existence-uniqueness conditions.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 13032450 Evaluating Performance of Quality-of-Service Routing in Large Networks
Authors: V. Narasimha Raghavan, M. Venkatesh, T. Peer Meera Labbai, Praveen Dwarakanath Prabhu
Abstract:
The performance and complexity of QoS routing depends on the complex interaction between a large set of parameters. This paper investigated the scaling properties of source-directed link-state routing in large core networks. The simulation results show that the routing algorithm, network topology, and link cost function each have a significant impact on the probability of successfully routing new connections. The experiments confirm and extend the findings of other studies, and also lend new insight designing efficient quality-of-service routing policies in large networks.
Keywords: QoS, Link-State Routing, Dijkstra, Path Selection, Path Computation.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15812449 Statistical Reliability Based Modeling of Series and Parallel Operating Systems using Extreme Value Theory
Authors: Mohamad Mahdavi, Mojtaba Mahdavi
Abstract:
This paper tries to represent a new method for computing the reliability of a system which is arranged in series or parallel model. In this method we estimate life distribution function of whole structure using the asymptotic Extreme Value (EV) distribution of Type I, or Gumbel theory. We use EV distribution in minimal mode, for estimate the life distribution function of series structure and maximal mode for parallel system. All parameters also are estimated by Moments method. Reliability function and failure (hazard) rate and p-th percentile point of each function are determined. Other important indexes such as Mean Time to Failure (MTTF), Mean Time to repair (MTTR), for non-repairable and renewal systems in both of series and parallel structure will be computed.Keywords: Reliability, extreme value, parallel, series, lifedistribution
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 20902448 A Model-following Adaptive Controller for Linear/Nonlinear Plantsusing Radial Basis Function Neural Networks
Authors: Yuichi Masukake, Yoshihisa Ishida
Abstract:
In this paper, we proposed a method to design a model-following adaptive controller for linear/nonlinear plants. Radial basis function neural networks (RBF-NNs), which are known for their stable learning capability and fast training, are used to identify linear/nonlinear plants. Simulation results show that the proposed method is effective in controlling both linear and nonlinear plants with disturbance in the plant input.Keywords: Linear/nonlinear plants, neural networks, radial basisfunction networks.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 14822447 A Comparative Study of Force Prediction Models during Static Bending Stage for 3-Roller Cone Frustum Bending
Authors: Mahesh Chudasama, Harit Raval
Abstract:
Conical sections and shells of metal plates manufactured by 3-roller conical bending process are widely used in the industries. The process is completed by first bending the metal plates statically and then dynamic roller bending sequentially. It is required to have an analytical model to get maximum bending force, for optimum design of the machine, for static bending stage. Analytical models assuming various stress conditions are considered and these analytical models are compared considering various parameters and reported in this paper. It is concluded from the study that for higher bottom roller inclination, the shear stress affects greatly to the static bending force whereas for lower bottom roller inclination it can be neglected.
Keywords: Roller-bending, static-bending, stress-conditions, analytical-modeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 10462446 An Optimized Multi-block Method for Turbulent Flows
Authors: M. Goodarzi, P. Lashgari
Abstract:
A major part of the flow field involves no complicated turbulent behavior in many turbulent flows. In this research work, in order to reduce required memory and CPU time, the flow field was decomposed into several blocks, each block including its special turbulence. A two dimensional backward facing step was considered here. Four combinations of the Prandtl mixing length and standard k- E models were implemented as well. Computer memory and CPU time consumption in addition to numerical convergence and accuracy of the obtained results were mainly investigated. Observations showed that, a suitable combination of turbulence models in different blocks led to the results with the same accuracy as the high order turbulence model for all of the blocks, in addition to the reductions in memory and CPU time consumption.Keywords: Computer memory, CPU time, Multi-block method, Turbulence modeling.
Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 15652445 Simultaneous Term Structure Estimation of Hazard and Loss Given Default with a Statistical Model using Credit Rating and Financial Information
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 1667