12,689 research outputs found

    Univariate and multivariate analyses of the asset returns using new statistical models and penalized regression techniques

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    The COVID-19 epidemic has had a profound effect on almost every aspect of daily life, including the financial sector, education, transportation, health care, and so on. Among these sectors, the financial and health sectors are the most affected areas by COVID-19. Modeling and predicting the impact of the COVID-19 epidemic on the financial and health care sectors is particularly important these days. Therefore, this paper has two aims, (i) to introduce a new probability distribution for modeling the financial data set (oil prices data), and (ii) to implement a machine learning approach to predict the oil prices. First, we introduce a new approach for developing new probability distributions for the univariate analysis of the oil price data. The proposed approach is called a new reduced exponential-X X (NRE-X X ) family. Based on this approach, two new statistical distributions are introduced for modeling the oil price data and its log returns. Based on certain statistical tools, we observe that the proposed probability distributions are the best competitors for modeling the prices' data sets. Second, we carry out a multivariate analysis while considering some covariates of oil price data. Dual well-known machine learning algorithms, namely, the least absolute shrinkage and absolute deviation (Lasso) and Elastic net (Enet) are utilized to achieve the important features for oil prices based on the best model. The best model is established through forecasting performance

    Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures

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    In this work we present a non-parametric online market regime detection method for multidimensional data structures using a path-wise two-sample test derived from a maximum mean discrepancy-based similarity metric on path space that uses rough path signatures as a feature map. The latter similarity metric has been developed and applied as a discriminator in recent generative models for small data environments, and has been optimised here to the setting where the size of new incoming data is particularly small, for faster reactivity. On the same principles, we also present a path-wise method for regime clustering which extends our previous work. The presented regime clustering techniques were designed as ex-ante market analysis tools that can identify periods of approximatively similar market activity, but the new results also apply to path-wise, high dimensional-, and to non-Markovian settings as well as to data structures that exhibit autocorrelation. We demonstrate our clustering tools on easily verifiable synthetic datasets of increasing complexity, and also show how the outlined regime detection techniques can be used as fast on-line automatic regime change detectors or as outlier detection tools, including a fully automated pipeline. Finally, we apply the fine-tuned algorithms to real-world historical data including high-dimensional baskets of equities and the recent price evolution of crypto assets, and we show that our methodology swiftly and accurately indicated historical periods of market turmoil.Comment: 65 pages, 52 figure

    The State of the Art in Deep Learning Applications, Challenges, and Future Prospects::A Comprehensive Review of Flood Forecasting and Management

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    Floods are a devastating natural calamity that may seriously harm both infrastructure and people. Accurate flood forecasts and control are essential to lessen these effects and safeguard populations. By utilizing its capacity to handle massive amounts of data and provide accurate forecasts, deep learning has emerged as a potent tool for improving flood prediction and control. The current state of deep learning applications in flood forecasting and management is thoroughly reviewed in this work. The review discusses a variety of subjects, such as the data sources utilized, the deep learning models used, and the assessment measures adopted to judge their efficacy. It assesses current approaches critically and points out their advantages and disadvantages. The article also examines challenges with data accessibility, the interpretability of deep learning models, and ethical considerations in flood prediction. The report also describes potential directions for deep-learning research to enhance flood predictions and control. Incorporating uncertainty estimates into forecasts, integrating many data sources, developing hybrid models that mix deep learning with other methodologies, and enhancing the interpretability of deep learning models are a few of these. These research goals can help deep learning models become more precise and effective, which will result in better flood control plans and forecasts. Overall, this review is a useful resource for academics and professionals working on the topic of flood forecasting and management. By reviewing the current state of the art, emphasizing difficulties, and outlining potential areas for future study, it lays a solid basis. Communities may better prepare for and lessen the destructive effects of floods by implementing cutting-edge deep learning algorithms, thereby protecting people and infrastructure

    Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models

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    This paper considers the specification of covariance structures with tail estimates. We focus on two aspects: (i) the estimation of the VaR-CoVaR risk matrix in the case of larger number of time series observations than assets in a portfolio using quantile predictive regression models without assuming the presence of nonstationary regressors and; (ii) the construction of a novel variable selection algorithm, so-called, Feature Ordering by Centrality Exclusion (FOCE), which is based on an assumption-lean regression framework, has no tuning parameters and is proved to be consistent under general sparsity assumptions. We illustrate the usefulness of our proposed methodology with numerical studies of real and simulated datasets when modelling systemic risk in a network

    Fault diagnosis in aircraft fuel system components with machine learning algorithms

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    There is a high demand and interest in considering the social and environmental effects of the component’s lifespan. Aircraft are one of the most high-priced businesses that require the highest reliability and safety constraints. The complexity of aircraft systems designs also has advanced rapidly in the last decade. Consequently, fault detection, diagnosis and modification/ repair procedures are becoming more challenging. The presence of a fault within an aircraft system can result in changes to system performances and cause operational downtime or accidents in a worst-case scenario. The CBM method that predicts the state of the equipment based on data collected is widely used in aircraft MROs. CBM uses diagnostics and prognostics models to make decisions on appropriate maintenance actions based on the Remaining Useful Life (RUL) of the components. The aircraft fuel system is a crucial system of aircraft, even a minor failure in the fuel system can affect the aircraft's safety greatly. A failure in the fuel system that impacts the ability to deliver fuel to the engine will have an immediate effect on system performance and safety. There are very few diagnostic systems that monitor the health of the fuel system and even fewer that can contain detected faults. The fuel system is crucial for the operation of the aircraft, in case of failure, the fuel in the aircraft will become unusable/unavailable to reach the destination. It is necessary to develop fault detection of the aircraft fuel system. The future aircraft fuel system must have the function of fault detection. Through the information of sensors and Machine Learning Techniques, the aircraft fuel system’s fault type can be detected in a timely manner. This thesis discusses the application of a Data-driven technique to analyse the healthy and faulty data collected using the aircraft fuel system model, which is similar to Boeing-777. The data is collected is processed through Machine learning Techniques and the results are comparedPhD in Manufacturin

    Memory Effects, Multiple Time Scales and Local Stability in Langevin Models of the S&P500 Market Correlation

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    The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse the mean market correlation of the S&P500 which corresponds to the main market mode in principle component analysis. We fit a generalised Langevin equation (GLE) to the data whose memory kernel implies that there is a significant memory effect in the market correlation ranging back at least three trading weeks. The memory kernel improves the forecasting accuracy of the GLE compared to models without memory and hence, such a memory effect has to be taken into account for optimal portfolio selection to minimise risk or for predicting future correlations. Moreover, a Bayesian resilience estimation provides further evidence for non-Markovianity in the data and suggests the existence of a hidden slow time scale that operates on much slower times than the observed daily market data. Assuming that such a slow time scale exists, our work supports previous research on the existence of locally stable market states.Comment: 15 pages (excluding references and appendix

    Bayesian Forecasting in Economics and Finance: A Modern Review

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    The Bayesian statistical paradigm provides a principled and coherent approach to probabilistic forecasting. Uncertainty about all unknowns that characterize any forecasting problem -- model, parameters, latent states -- is able to be quantified explicitly, and factored into the forecast distribution via the process of integration or averaging. Allied with the elegance of the method, Bayesian forecasting is now underpinned by the burgeoning field of Bayesian computation, which enables Bayesian forecasts to be produced for virtually any problem, no matter how large, or complex. The current state of play in Bayesian forecasting in economics and finance is the subject of this review. The aim is to provide the reader with an overview of modern approaches to the field, set in some historical context; and with sufficient computational detail given to assist the reader with implementation.Comment: The paper is now published online at: https://doi.org/10.1016/j.ijforecast.2023.05.00

    Unstable Periodic Orbits: a language to interpret the complexity of chaotic systems

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    Unstable periodic orbits (UPOs), exact periodic solutions of the evolution equation, offer a very powerful framework for studying chaotic dynamical systems, as they allow one to dissect their dynamical structure. UPOs can be considered the skeleton of chaotic dynamics, its essential building blocks. In fact, it is possible to prove that in a chaotic system, UPOs are dense in the attractor, meaning that it is always possible to find a UPO arbitrarily near any chaotic trajectory. We can thus think of the chaotic trajectory as being approximated by different UPOs as it evolves in time, jumping from one UPO to another as a result of their instability. In this thesis we provide a contribution towards the use of UPOs as a tool to understand and distill the dynamical structure of chaotic dynamical systems. We will focus on two models, characterised by different properties, the Lorenz-63 and Lorenz-96 model. The process of approximation of a chaotic trajectory in terms of UPOs will play a central role in our investigation. In fact, we will use this tool to explore the properties of the attractor of the system under the lens of its UPOs. In the first part of the thesis we consider the Lorenz-63 model with the classic parameters’ value. We investigate how a chaotic trajectory can be approximated using a complete set of UPOs up to symbolic dynamics’ period 14. At each instant in time, we rank the UPOs according to their proximity to the position of the orbit in the phase space. We study this process from two different perspectives. First, we find that longer period UPOs overwhelmingly provide the best local approximation to the trajectory. Second, we construct a finite-state Markov chain by studying the scattering of the trajectory between the neighbourhood of the various UPOs. Each UPO and its neighbourhood are taken as a possible state of the system. Through the analysis of the subdominant eigenvectors of the corresponding stochastic matrix we provide a different interpretation of the mixing processes occurring in the system by taking advantage of the concept of quasi-invariant sets. In the second part of the thesis we provide an extensive numerical investigation of the variability of the dynamical properties across the attractor of the much studied Lorenz ’96 dynamical system. By combining the Lyapunov analysis of the tangent space with the study of the shadowing of the chaotic trajectory performed by a very large set of unstable periodic orbits, we show that the observed variability in the number of unstable dimensions, which shows a serious breakdown of hyperbolicity, is associated with the presence of a substantial number of finite-time Lyapunov exponents that fluctuate about zero also when very long averaging times are considered

    Southern Adventist University Undergraduate Catalog 2022-2023

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    Southern Adventist University\u27s undergraduate catalog for the academic year 2022-2023.https://knowledge.e.southern.edu/undergrad_catalog/1121/thumbnail.jp

    Reinforcement Learning Empowered Unmanned Aerial Vehicle Assisted Internet of Things Networks

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    This thesis aims towards performance enhancement for unmanned aerial vehicles (UAVs) assisted internet of things network (IoT). In this realm, novel reinforcement learning (RL) frameworks have been proposed for solving intricate joint optimisation scenarios. These scenarios include, uplink, downlink and combined. The multi-access technique utilised is non-orthogonal multiple access (NOMA), as key enabler in this regime. The outcomes of this research entail, enhancement in key performance metrics, such as sum-rate, energy efficiency and consequent reduction in outage. For the scenarios involving uplink transmissions by IoT devices, adaptive and tandem rein forcement learning frameworks have been developed. The aim is to maximise capacity over fixed UAV trajectory. The adaptive framework is utilised in a scenario wherein channel suitability is ascertained for uplink transmissions utilising a fixed clustering regime in NOMA. Tandem framework is utilised in a scenario wherein multiple-channel resource suitability is ascertained along with, power allocation, dynamic clustering and IoT node associations to NOMA clusters and channels. In scenarios involving downlink transmission to IoT devices, an ensemble RL (ERL) frame work is proposed for sum-rate enhancement over fixed UAV trajectory. For dynamic UAV trajec tory, hybrid decision framework (HDF) is proposed for energy efficiency optimisation. Downlink transmission power and bandwidth is managed for NOMA transmissions over fixed and dynamic UAV trajectories, facilitating IoT networks. In UAV enabled relaying scenario, for control system plants and their respective remotely deployed sensors, a head start reinforcement learning framework based on deep learning is de veloped and implemented. NOMA is invoked, in both uplink and downlink transmissions for IoT network. Dynamic NOMA clustering, power management and nodes association along with UAV height control is jointly managed. The primary aim is the, enhancement of net sum-rate and its subsequent manifestation in facilitating the IoT assisted use case. The simulation results relating to aforesaid scenarios indicate, enhanced sum-rate, energy efficiency and reduced outage for UAV-assisted IoT networks. The proposed RL frameworks surpass in performance in comparison to existing frameworks as benchmarks for the same sce narios. The simulation platforms utilised are MATLAB and Python, for network modeling, RL framework design and validation
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