Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Computation of Mathematical Models for Complex Industrial Processes

Designed for undergraduate and postgraduate students, academic researchers and industrial practitioners, this book provides comprehensive case studies on numerical computing of industrial processes and step-by-step procedures for conducting industrial computing. It assumes minimal knowledge in numerical computing and computer programming, making it easy to read, understand and follow. Topics discussed include fundamentals of industrial computing, finite difference methods, the Wavelet-Collocation Method, the Wavelet-Galerkin Method, High Resolution Methods, and comparative studies of various methods. These are discussed using examples of carefully selected models from real processes of industrial significance. The step-by-step procedures in all these case studies can be easily applied to other industrial processes without a need for major changes and thus provide readers with useful frameworks for the applications of engineering computing in fundamental research problems and practical development scenarios.

Predicting reduced driver alertness on monotonous highways : a driving simulator study

Impaired driver alertness increases the likelihood of drivers’ making mistakes and reacting too late to unexpected events while driving. This is particularly a concern on monotonous roads, where a driver’s attention can decrease rapidly. While effective countermeasures do not currently exist, the development of in-vehicle sensors opens avenues for monitoring driving behavior in real-time. The aim of this study is to predict drivers’ level of alertness through surrogate measures collected from in-vehicle sensors. Electroencephalographic activity is used as a reference to evaluate alertness. Based on a sample of 25 drivers, data was collected in a driving simulator instrumented with an eye tracking system, a heart rate monitor and an electrodermal activity device. Various classification models were tested from linear regressions to Bayesians and data mining techniques. Results indicated that Neural Networks were the most efficient model in detecting lapses in alertness. Findings also show that reduced alertness can be predicted up to 5 minutes in advance with 90% accuracy, using surrogate measures such as time to line crossing, blink frequency and skin conductance level. Such a method could be used to warn drivers of their alertness level through the development of an in-vehicle device monitoring, in real-time, drivers' behavior on highways.

A critical review of structural equation modeling applications in construction research

Structural equation modeling (SEM) is a versatile multivariate statistical technique, and applications have been increasing since its introduction in the 1980s. This paper provides a critical review of 84 articles involving the use of SEM to address construction related problems over the period 1998–2012 including, but not limited to, seven top construction research journals. After conducting a yearly publication trend analysis, it is found that SEM applications have been accelerating over time. However, there are inconsistencies in the various recorded applications and several recurring problems exist. The important issues that need to be considered are examined in research design, model development and model evaluation and are discussed in detail with reference to current applications. A particularly important issue concerns the construct validity. Relevant topics for efficient research design also include longitudinal or cross-sectional studies, mediation and moderation effects, sample size issues and software selection. A guideline framework is provided to help future researchers in construction SEM applications.

Mathematical modelling of intramembranous bone formation during fracture healing

During fracture healing, many complex and cryptic interactions occur between cells and bio-chemical molecules to bring about repair of damaged bone. In this thesis two mathematical models were developed, concerning the cellular differentiation of osteoblasts (bone forming cells) and the mineralisation of new bone tissue, allowing new insights into these processes. These models were mathematically analysed and simulated numerically, yielding results consistent with experimental data and highlighting the underlying pattern formation structure in these aspects of fracture healing.

Recent advances in modeling the vulnerability of transportation networks

It is well known that, for major infrastructure networks such as electricity, gas, railway, road, and urban water networks, disruptions at one point have a knock on effect throughout the network. There is an impressive amount of individual research projects examining the vulnerability of critical infrastructure network. However, there is little understanding of the totality of the contribution made by these projects and their interrelationships. This makes their review a difficult process for both new and existing researchers in the field. To address this issue, a two-step literature review process is used, to provide an overview of the vulnerability of the transportation network in terms of four main themes - research objective, transportation mode, disruption scenario and vulnerability indicator –involving the analysis of related articles from 2001 to 2013. Two limitations of existing research are identified: (1) the limited amount of studies relating to multi-layer transportation network vulnerability analysis, and (2) the lack of evaluation methods to explore the relationship between structure vulnerability and dynamical functional vulnerability. In addition to indicating that more attention needs to be paid to these two aspects in future, the analysis provides a new avenue for the discovery of knowledge, as well as an improved understanding of transportation network vulnerability.

Multi-agent systems for modeling high penetration photovoltaic system impacts in distribution networks

This paper reviews the use of multi-agent systems to model the impacts of high levels of photovoltaic (PV) system penetration in distribution networks and presents some preliminary data obtained from the Perth Solar City high penetration PV trial. The Perth Solar City trial consists of a low voltage distribution feeder supplying 75 customers where 29 consumers have roof top photovoltaic systems. Data is collected from smart meters at each consumer premises, from data loggers at the transformer low voltage (LV) side and from a nearby distribution network SCADA measurement point on the high voltage side (HV) side of the transformer. The data will be used to progressively develop MAS models.

Modeling kinect sensor noise for improved 3D reconstruction and tracking

We contribute an empirically derived noise model for the Kinect sensor. We systematically measure both lateral and axial noise distributions, as a function of both distance and angle of the Kinect to an observed surface. The derived noise model can be used to filter Kinect depth maps for a variety of applications. Our second contribution applies our derived noise model to the KinectFusion system to extend filtering, volumetric fusion, and pose estimation within the pipeline. Qualitative results show our method allows reconstruction of finer details and the ability to reconstruct smaller objects and thinner surfaces. Quantitative results also show our method improves pose estimation accuracy. © 2012 IEEE.

Development of a log-quadratic model to describe microbial inactivation, illustrated by thermal inactivation of Clostridium botulinum

In the commercial food industry, demonstration of microbiological safety and thermal process equivalence often involves a mathematical framework that assumes log-linear inactivation kinetics and invokes concepts of decimal reduction time (DT), z values, and accumulated lethality. However, many microbes, particularly spores, exhibit inactivation kinetics that are not log linear. This has led to alternative modeling approaches, such as the biphasic and Weibull models, that relax strong log-linear assumptions. Using a statistical framework, we developed a novel log-quadratic model, which approximates the biphasic and Weibull models and provides additional physiological interpretability. As a statistical linear model, the log-quadratic model is relatively simple to fit and straightforwardly provides confidence intervals for its fitted values. It allows a DT-like value to be derived, even from data that exhibit obvious "tailing." We also showed how existing models of non-log-linear microbial inactivation, such as the Weibull model, can fit into a statistical linear model framework that dramatically simplifies their solution. We applied the log-quadratic model to thermal inactivation data for the spore-forming bacterium Clostridium botulinum and evaluated its merits compared with those of popular previously described approaches. The log-quadratic model was used as the basis of a secondary model that can capture the dependence of microbial inactivation kinetics on temperature. This model, in turn, was linked to models of spore inactivation of Sapru et al. and Rodriguez et al. that posit different physiological states for spores within a population. We believe that the log-quadratic model provides a useful framework in which to test vitalistic and mechanistic hypotheses of inactivation by thermal and other processes. Copyright © 2009, American Society for Microbiology. All Rights Reserved.

Modeling and control of a CLC resonant dual active bridge

This paper proposes a linear large signal state-space model for a phase controlled CLC (Capacitor Inductor Capacitor) Resonant Dual Active Bridge (RDAB). The proposed model is useful for fast simulation and for the estimation of state variables under large signal variation. The model is also useful for control design because the slow changing dynamics of the dq variables are relatively easy to control. Simulation results of the proposed model are presented and compared to the simulated circuit model to demonstrate the proposed model's accuracy. This proposed model was used for the design of a Proportional-Integral (PI) controller and it has been implemented in the circuit simulation to show the proposed models usefulness in control design.

Finite element modeling of carbon fibre reinforced polymer (CFRP) strengthened steel tubes under axial impact

Steel hollow sections used in structures such as bridges, buildings and space structures involve different strengthening techniques according to their structural purpose and shape of the structural member. One such technique is external bonding of CFRP sheets to steel tubes. The performance of CFRP strengthening for steel structures has been proven under static loading while limited studies have been conducted on their behaviour under impact loading. In this study, a comprehensive numerical investigation is carried out to evaluate the response of CFRP strengthened steel tubes under dynamic axial impact loading. Impact force, axial deformation impact velocities are studied. The results of the numerical investigations are validated by experimental results. Based on the developed finite element (FE) model several output parameters are discussed. The results show that CFRP wrapping is an effective strengthening technique to increase the axial dynamic load bearing capacity by increasing the stiffness of the steel tube.

A theory of process modeling impact

Process modeling – the design and use of graphical documentations of an organization’s business processes – is a key method to document and use information about the operations of businesses. Still, despite current interest in process modeling, this research area faces essential challenges. Key unanswered questions concern the impact of process modeling in organizational practice, and the mechanisms through which impacts are developed. To answer these questions and to provide a better understanding of process modeling impact, I turn to the concept of affordances. Affordances describe the possibilities for goal-oriented action that a technical object offers to a user. This notion has received growing attention from IS researchers. The purpose of my research is to further develop the IS discipline’s understanding of affordances and impacts from information objects, such as process models used by analysts for information systems analysis and design. Specifically, I seek to extend existing theory on the emergence, perception and actualization of affordances. I develop a research model that describes the process by which affordances emerge between an individual and an object, how affordances are perceived, and how they are actualized by the individual. The proposed model also explains the role of available information for the individual, and the influence of perceived actualization effort. I operationalize and test this research model empirically, using a full-cycle, mixed methods study consisting of case study and experiment.