Methods for trend analysis: Examples with problem/failure data

Statistics are emphasized as an important role in quality control and reliability. Consequently, Trend Analysis Techniques recommended a variety of statistical methodologies that could be applied to time series data. The major goal of the working handbook, using data from the MSFC Problem Assessment System, is to illustrate some of the techniques in the NASA standard, some different techniques, and to notice patterns of data. Techniques for trend estimation used are: regression (exponential, power, reciprocal, straight line) and Kendall's rank correlation coefficient. The important details of a statistical strategy for estimating a trend component are covered in the examples. However, careful analysis and interpretation is necessary because of small samples and frequent zero problem reports in a given time period. Further investigations to deal with these issues are being conducted

Statistical Approaches in GIS-Based Techniques for Sustainable Planning: Kayaçukuru Case

The purpose of this study is to make both a summary and additional descriptive and inferential statistical analyses for a completed thesis on "Sustainable/Environment Friendly Development Planning of Fethiye-Kayaçukuru Using GIS-Based Techniques" (M.Sc. in the Graduate School of Geodetic and Geographic Information Technologies, Middle East Technical University, Supervisor: Assoc.Prof.Dr. Oğuz Işık, September 2000, 214 pages). The statistical analyses explained in this paper comprise a part of the whole GIS-based techniques developed for a case study about Fethiye-Kayaçukuru Plain to explore the contributions of such an approach. In this respect, first, the study area, spatial and non-spatial data and the way they are handled are introduced. Then, the performed statistical descriptive and predictive analyses/models and their interpretations in the developed "loose-coupled" "decision/planning support system" are mentioned. Finally, the concluding remarks of the study are discussed emphasising the contributions of this approach in the sustainable/environment friendly development planning and in particular for the Plain. Keywords: Sustainable/environment friendly development, decision/planning support system, non-spatial and spatial statistical analyses, statistical testing, modelling.

Modeling international financial returns with a multivariate regime switching copula

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and provide a very flexible way of characterizing dependence in multivariate settings. We apply the model to returns from the G5 and Latin American regions, and document two main findings. First, we discover that models with canonical vines generally dominate alternative dependence structures. Second, the choice of copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns.asymmetric dependence, canonical vine copula, international returns, regime-switching, risk management, Value-at-Risk.

Probabilistic methods in the analysis of protein interaction networks

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Modelling international financial returns with a multivariate regime switching copula

In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copula. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are construted from bivariate conditional copulas and provide a very flexible way of characterizig dependence in multivariate settings. We apply the model to returns from the G5 and Latin American regions, and document two main findings. First, we discover that models with canonical vines generally dominate alternative dependence structures. Second, the choice of copula is important for risk management, because it modifies the Value at Risk (VaR) of international portfolio returns.asymmetric dependence, canonical vine copula, international returns, regime-switching, risk management, Value-at-Risk

An approach to facilitate problem solving: Individualizing the problem proposition

This paper addresses one of the many facets of the problem-solving activity: the challenge inherent in the problem proposition. We have identified the problem proposition as a core element in obtaining efficient problem solving. The Educational Dimension Portfolio, EDP, is our proposal for individualizing the problem proposition. This paper presents EDP's characteristics and implications through testing the results of 491 IESE Business School executives from the European Union (EU) and Latin America (LA). We enumerate five working hypotheses and show their results. We also propose an Educational Delivery Approach (EDA) to help managers become manager-educators. We present the Socratic educational process, the apprenticeship process and the providing alternatives process as a guide to become a manager-educator.problem solving; problem proposition; operations management; manager-educator;

Value at Risk Computation in a Non-Stationary Setting

This chapter recalls the main tools useful to compute Value at Risk associated with a m-dimensional portfolio. Then, the limitations of the use of these tools is explained, as soon as non-stationarities are observed in time series. Indeed, specific behaviours observed by financial assets, like volatility, jumps, explosions, and pseudo-seasonalities, provoke non-stationarities which affect the distribution function of the portfolio. Thus, a new way for computing VaR is proposed which allows the potential non-invariance of the m-dimensional portfolio distribution function to be avoided

Real Option Valuation of a Portfolio of Oil Projects

Various methodologies exist for valuing companies and their projects. We address the problem of valuing a portfolio of projects within companies that have infrequent, large and volatile cash flows. Examples of this type of company exist in oil exploration and development and we will use this example to illustrate our analysis throughout the thesis. The theoretical interest in this problem lies in modeling the sources of risk in the projects and their different interactions within each project. Initially we look at the advantages of real options analysis and compare this approach with more traditional valuation methods, highlighting strengths and weaknesses ofeach approach in the light ofthe thesis problem. We give the background to the stages in an oil exploration and development project and identify the main common sources of risk, for example commodity prices. We discuss the appropriate representation for oil prices; in short, do oil prices behave more like equities or more like interest rates? The appropriate representation is used to model oil price as a source ofrisk. A real option valuation model based on market uncertainty (in the form of oil price risk) and geological uncertainty (reserve volume uncertainty) is presented and tested for two different oil projects. Finally, a methodology to measure the inter-relationship between oil price and other sources of risk such as interest rates is proposed using copula methods.Imperial Users onl