33 resultados para VaR Estimation methods, Statistical Methods, Risk managment, Investments


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An image processing observational technique for the stereoscopic reconstruction of the wave form of oceanic sea states is developed. The technique incorporates the enforcement of any given statistical wave law modeling the quasi Gaussianity of oceanic waves observed in nature. The problem is posed in a variational optimization framework, where the desired wave form is obtained as the minimizer of a cost functional that combines image observations, smoothness priors and a weak statistical constraint. The minimizer is obtained combining gradient descent and multigrid methods on the necessary optimality equations of the cost functional. Robust photometric error criteria and a spatial intensity compensation model are also developed to improve the performance of the presented image matching strategy. The weak statistical constraint is thoroughly evaluated in combination with other elements presented to reconstruct and enforce constraints on experimental stereo data, demonstrating the improvement in the estimation of the observed ocean surface.

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All meta-analyses should include a heterogeneity analysis. Even so, it is not easy to decide whether a set of studies are homogeneous or heterogeneous because of the low statistical power of the statistics used (usually the Q test). Objective: Determine a set of rules enabling SE researchers to find out, based on the characteristics of the experiments to be aggregated, whether or not it is feasible to accurately detect heterogeneity. Method: Evaluate the statistical power of heterogeneity detection methods using a Monte Carlo simulation process. Results: The Q test is not powerful when the meta-analysis contains up to a total of about 200 experimental subjects and the effect size difference is less than 1. Conclusions: The Q test cannot be used as a decision-making criterion for meta-analysis in small sample settings like SE. Random effects models should be used instead of fixed effects models. Caution should be exercised when applying Q test-mediated decomposition into subgroups.

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Background: Several meta-analysis methods can be used to quantitatively combine the results of a group of experiments, including the weighted mean difference, statistical vote counting, the parametric response ratio and the non-parametric response ratio. The software engineering community has focused on the weighted mean difference method. However, other meta-analysis methods have distinct strengths, such as being able to be used when variances are not reported. There are as yet no guidelines to indicate which method is best for use in each case. Aim: Compile a set of rules that SE researchers can use to ascertain which aggregation method is best for use in the synthesis phase of a systematic review. Method: Monte Carlo simulation varying the number of experiments in the meta analyses, the number of subjects that they include, their variance and effect size. We empirically calculated the reliability and statistical power in each case Results: WMD is generally reliable if the variance is low, whereas its power depends on the effect size and number of subjects per meta-analysis; the reliability of RR is generally unaffected by changes in variance, but it does require more subjects than WMD to be powerful; NPRR is the most reliable method, but it is not very powerful; SVC behaves well when the effect size is moderate, but is less reliable with other effect sizes. Detailed tables of results are annexed. Conclusions: Before undertaking statistical aggregation in software engineering, it is worthwhile checking whether there is any appreciable difference in the reliability and power of the methods. If there is, software engineers should select the method that optimizes both parameters.

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Training and assessment paradigms for laparoscopic surgical skills are evolving from traditional mentor–trainee tutorship towards structured, more objective and safer programs. Accreditation of surgeons requires reaching a consensus on metrics and tasks used to assess surgeons’ psychomotor skills. Ongoing development of tracking systems and software solutions has allowed for the expansion of novel training and assessment means in laparoscopy. The current challenge is to adapt and include these systems within training programs, and to exploit their possibilities for evaluation purposes. This paper describes the state of the art in research on measuring and assessing psychomotor laparoscopic skills. It gives an overview on tracking systems as well as on metrics and advanced statistical and machine learning techniques employed for evaluation purposes. The later ones have a potential to be used as an aid in deciding on the surgical competence level, which is an important aspect when accreditation of the surgeons in particular, and patient safety in general, are considered. The prospective of these methods and tools make them complementary means for surgical assessment of motor skills, especially in the early stages of training. Successful examples such as the Fundamentals of Laparoscopic Surgery should help drive a paradigm change to structured curricula based on objective parameters. These may improve the accreditation of new surgeons, as well as optimize their already overloaded training schedules.

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This paper describes two methods to cancel the effect of two kinds of leakage signals which may be presented when an antenna is measured in a planar near-field range. One method tries to reduce leakage bias errors from the receiver¿s quadrature detector and it is based on estimating the bias constant added to every near-field data sample. Then, that constant is subtracted from the data, removing its undesired effect on the far-field pattern. The estimation is performed by back-propagating the field from the scan plane to the antenna under test plane (AUT) and averaging all the data located outside the AUT aperture. The second method is able to cancel the effect of the leakage from faulty transmission lines, connectors or rotary joints. The basis of this method is also a reconstruction process to determine the field distribution on the AUT plane. Once this distribution is known, a spatial filtering is applied to cancel the contribution due to those faulty elements. After that, a near-field-to-far-field transformation is applied, obtaining a new radiation pattern where the leakage effects have disappeared. To verify the effectiveness of both methods, several examples are presented.

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Following the success achieved in previous research projects usin non-destructive methods to estimate the physical and mechanical aging of particle and fibre boards, this paper studies the relationships between aging, physical and mechanical changes, using non-destructive measurements of oriented strand board (OSB). 184 pieces of OSB board from a French source were tested to analyze its actual physical and mechanical properties. The same properties were estimated using acoustic non-destructive methods (ultrasound and stress wave velocity) during a physical laboratory aging test. Measurements were recorded of propagation wave velocity with the sensors aligned, edge to edge, and forming an angle of 45 degrees, with both sensors on the same face of the board. This is because aligned measures are not possible on site. The velocity results are always higher in 45 degree measurements. Given the results of statistical analysis, it can be concluded that there is a strong relationship between acoustic measurements and the decline in physical and mechanical properties of the panels due to aging. The authors propose several models to estimate the physical and mechanical properties of board, as well as their degree of aging. The best results are obtained using ultrasound, although the difference in comparison with the stress wave method is not very significant. A reliable prediction of the degree of deterioration (aging) of board is presented.

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This paper studies the relationship between aging, physical changes and the results of non-destructive testing of plywood. 176 pieces of plywood were tested to analyze their actual and estimated density using non-destructive methods (screw withdrawal force and ultrasound wave velocity) during a laboratory aging test. From the results of statistical analysis it can be concluded that there is a strong relationship between the non-destructive measurements carried out, and the decline in the physical properties of the panels due to aging. The authors propose several models to estimate board density. The best results are obtained with ultrasound. A reliable prediction of the degree of deterioration (aging) of board is presented.

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At present there is much literature that refers to the advantages and disadvantages of different methods of statistical and dynamical downscaling of climate variables projected by climate models. Less attention has been paid to other indirect variables, like runoff, which play a significant role in evaluating the impact of climate change on hydrological systems. Runoff presents a much greater bias in climate models than other climate variables, like temperature or precipitation. It is very important to identify the methods that minimize bias while downscaling runoff from the gridded results of climate models to the basin scale

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Two different methods to reduce the noise power in the far-field pattern of an antenna as measured in cylindrical near-field (CNF) are proposed. Both methods are based on the same principle: the data recorded in the CNF measurement, assumed to be corrupted by white Gaussian and space-stationary noise, are transformed into a new domain where it is possible to filter out a portion of noise. Those filtered data are then used to calculate a far-field pattern with less noise power than that one obtained from the measured data without applying any filtering. Statistical analyses are carried out to deduce the expressions of the signal-to-noise ratio improvement achieved with each method. Although the idea of the two alternatives is the same, there are important differences between them. The first one applies a modal filtering, requires an oversampling and improves the far-field pattern in all directions. The second method employs a spatial filtering on the antenna plane, does not require oversampling and the far-field pattern is only improved in the forward hemisphere. Several examples are presented using both simulated and measured near-field data to verify the effectiveness of the methods.

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System identification deals with the problem of building mathematical models of dynamical systems based on observed data from the system" [1]. In the context of civil engineering, the system refers to a large scale structure such as a building, bridge, or an offshore structure, and identification mostly involves the determination of modal parameters (the natural frequencies, damping ratios, and mode shapes). This paper presents some modal identification results obtained using a state-of-the-art time domain system identification method (data-driven stochastic subspace algorithms [2]) applied to the output-only data measured in a steel arch bridge. First, a three dimensional finite element model was developed for the numerical analysis of the structure using ANSYS. Modal analysis was carried out and modal parameters were extracted in the frequency range of interest, 0-10 Hz. The results obtained from the finite element modal analysis were used to determine the location of the sensors. After that, ambient vibration tests were conducted during April 23-24, 2009. The response of the structure was measured using eight accelerometers. Two stations of three sensors were formed (triaxial stations). These sensors were held stationary for reference during the test. The two remaining sensors were placed at the different measurement points along the bridge deck, in which only vertical and transversal measurements were conducted (biaxial stations). Point estimate and interval estimate have been carried out in the state space model using these ambient vibration measurements. In the case of parametric models (like state space), the dynamic behaviour of a system is described using mathematical models. Then, mathematical relationships can be established between modal parameters and estimated point parameters (thus, it is common to use experimental modal analysis as a synonym for system identification). Stable modal parameters are found using a stabilization diagram. Furthermore, this paper proposes a method for assessing the precision of estimates of the parameters of state-space models (confidence interval). This approach employs the nonparametric bootstrap procedure [3] and is applied to subspace parameter estimation algorithm. Using bootstrap results, a plot similar to a stabilization diagram is developed. These graphics differentiate system modes from spurious noise modes for a given order system. Additionally, using the modal assurance criterion, the experimental modes obtained have been compared with those evaluated from a finite element analysis. A quite good agreement between numerical and experimental results is observed.

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The necessity/convenience for improving accuracy in determining the flood frequency is widely accepted further than among hydrologists, and is increasingly deepened in relationship with the statement of different thresholds related to the respective management systems. And both Scientific and Management Communities fully accept the necessity of living with determined levels of flood risk. Most of the approaches for “Advancing Methods” improving concentrate on the statistical ways, even since Climate in fact is not a Stationary process. The question is here reflected since the SMARTeST research and final highlights, policy and recommendations. The paper looks at a better agreement between Hydrology and the whole Climate as the result of the Global Thermal Machine and takes mainly into account a historical approach, trying to show the necessity of a wider collection and analysis of climate data for statistical approaches.

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In tunnel construction, as in every engineering work, it is usual the decision making, with incomplete data. Nevertheless, consciously or not, the builder weighs the risks (even if this is done subjectively) so that he can offer a cost. The objective of this paper is to recall the existence of a methodology to treat the uncertainties in the data so that it is possible to see their effect on the output of the computational model used and then to estimate the failure probability or the safety margin of a structure. In this scheme it is possible to include the subjective knowledge on the statistical properties of the random variables and, using a numerical model consistent with the degree of complexity appropiate to the problem at hand, to make rationally based decisions. As will be shown with the method it is possible to quantify the relative importance of the random variables and, in addition, it can be used, under certain conditions, to solve the inverse problem. It is then a method very well suited both to the project and to the control phases of tunnel construction.

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This study was motivated by the need to improve densification of Global Horizontal Irradiance (GHI) observations, increasing the number of surface weather stations that observe it, using sensors with a sub-hour periodicity and examining the methods of spatial GHI estimation (by interpolation) with that periodicity in other locations. The aim of the present research project is to analyze the goodness of 15-minute GHI spatial estimations for five methods in the territory of Spain (three geo-statistical interpolation methods, one deterministic method and the HelioSat2 method, which is based on satellite images). The research concludes that, when the work area has adequate station density, the best method for estimating GHI every 15 min is Regression Kriging interpolation using GHI estimated from satellite images as one of the input variables. On the contrary, when station density is low, the best method is estimating GHI directly from satellite images. A comparison between the GHI observed by volunteer stations and the estimation model applied concludes that 67% of the volunteer stations analyzed present values within the margin of error (average of +-2 standard deviations).

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The necessity/convenience for improving accuracy in determining the flood frequency is widely accepted further than among hydrologists, and is increasingly deepened in relationship with the statement of different thresholds related to the respective management systems. And both Scientific and Management Communities fully accept the necessity of living with determined levels of flood risk. Most of the approaches for “Advancing Methods” improving concentrate on the statistical ways, even since Climate in fact is not a Stationary process. The question is here reflected since the SMARTeST research and final highlights, policy and recommendations. The paper looks at a better agreement between Hydrology and the whole Climate as the result of the Global Thermal Machine and takes mainly into account a historical approach, trying to show the necessity of a wider collection and analysis of climate data for statistical approaches.

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En esta tesis presentamos una teoría adaptada a la simulación de fenómenos lentos de transporte en sistemas atomísticos. En primer lugar, desarrollamos el marco teórico para modelizar colectividades estadísticas de equilibrio. A continuación, lo adaptamos para construir modelos de colectividades estadísticas fuera de equilibrio. Esta teoría reposa sobre los principios de la mecánica estadística, en particular el principio de máxima entropía de Jaynes, utilizado tanto para sistemas en equilibrio como fuera de equilibrio, y la teoría de las aproximaciones del campo medio. Expresamos matemáticamente el problema como un principio variacional en el que maximizamos una entropía libre, en lugar de una energía libre. La formulación propuesta permite definir equivalentes atomísticos de variables macroscópicas como la temperatura y la fracción molar. De esta forma podemos considerar campos macroscópicos no uniformes. Completamos el marco teórico con reglas de cuadratura de Monte Carlo, gracias a las cuales obtenemos modelos computables. A continuación, desarrollamos el conjunto completo de ecuaciones que gobiernan procesos de transporte. Deducimos la desigualdad de disipación entrópica a partir de fuerzas y flujos termodinámicos discretos. Esta desigualdad nos permite identificar la estructura que deben cumplir los potenciales cinéticos discretos. Dichos potenciales acoplan las tasas de variación en el tiempo de las variables microscópicas con las fuerzas correspondientes. Estos potenciales cinéticos deben ser completados con una relación fenomenológica, del tipo definido por la teoría de Onsanger. Por último, aportamos validaciones numéricas. Con ellas ilustramos la capacidad de la teoría presentada para simular propiedades de equilibrio y segregación superficial en aleaciones metálicas. Primero, simulamos propiedades termodinámicas de equilibrio en el sistema atomístico. A continuación evaluamos la habilidad del modelo para reproducir procesos de transporte en sistemas complejos que duran tiempos largos con respecto a los tiempos característicos a escala atómica. ABSTRACT In this work, we formulate a theory to address simulations of slow time transport effects in atomic systems. We first develop this theoretical framework in the context of equilibrium of atomic ensembles, based on statistical mechanics. We then adapt it to model ensembles away from equilibrium. The theory stands on Jaynes' maximum entropy principle, valid for the treatment of both, systems in equilibrium and away from equilibrium and on meanfield approximation theory. It is expressed in the entropy formulation as a variational principle. We interpret atomistic equivalents of macroscopic variables such as the temperature and the molar fractions, wich are not required to be uniform, but can vary from particle to particle. We complement this theory with Monte Carlo summation rules for further approximation. In addition, we provide a framework for studying transport processes with the full set of equations driving the evolution of the system. We first derive a dissipation inequality for the entropic production involving discrete thermodynamic forces and fluxes. This discrete dissipation inequality identifies the adequate structure for discrete kinetic potentials which couple the microscopic field rates to the corresponding driving forces. Those kinetic potentials must finally be expressed as a phenomenological rule of the Onsanger Type. We present several validation cases, illustrating equilibrium properties and surface segregation of metallic alloys. We first assess the ability of a simple meanfield model to reproduce thermodynamic equilibrium properties in systems with atomic resolution. Then, we evaluate the ability of the model to reproduce a long-term transport process in complex systems.