904 resultados para vector error correction models


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Analysis of risk measures associated with price series data movements and its predictions are of strategic importance in the financial markets as well as to policy makers in particular for short- and longterm planning for setting up economic growth targets. For example, oilprice risk-management focuses primarily on when and how an organization can best prevent the costly exposure to price risk. Value-at-Risk (VaR) is the commonly practised instrument to measure risk and is evaluated by analysing the negative/positive tail of the probability distributions of the returns (profit or loss). In modelling applications, least-squares estimation (LSE)-based linear regression models are often employed for modeling and analyzing correlated data. These linear models are optimal and perform relatively well under conditions such as errors following normal or approximately normal distributions, being free of large size outliers and satisfying the Gauss-Markov assumptions. However, often in practical situations, the LSE-based linear regression models fail to provide optimal results, for instance, in non-Gaussian situations especially when the errors follow distributions with fat tails and error terms possess a finite variance. This is the situation in case of risk analysis which involves analyzing tail distributions. Thus, applications of the LSE-based regression models may be questioned for appropriateness and may have limited applicability. We have carried out the risk analysis of Iranian crude oil price data based on the Lp-norm regression models and have noted that the LSE-based models do not always perform the best. We discuss results from the L1, L2 and L∞-norm based linear regression models. ACM Computing Classification System (1998): B.1.2, F.1.3, F.2.3, G.3, J.2.

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In our study we rely on a data mining procedure known as support vector machine (SVM) on the database of the first Hungarian bankruptcy model. The models constructed are then contrasted with the results of earlier bankruptcy models with the use of classification accuracy and the area under the ROC curve. In using the SVM technique, in addition to conventional kernel functions, we also examine the possibilities of applying the ANOVA kernel function and take a detailed look at data preparation tasks recommended in using the SVM method (handling of outliers). The results of the models assembled suggest that a significant improvement of classification accuracy can be achieved on the database of the first Hungarian bankruptcy model when using the SVM method as opposed to neural networks.

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Traffic incidents are a major source of traffic congestion on freeways. Freeway traffic diversion using pre-planned alternate routes has been used as a strategy to reduce traffic delays due to major traffic incidents. However, it is not always beneficial to divert traffic when an incident occurs. Route diversion may adversely impact traffic on the alternate routes and may not result in an overall benefit. This dissertation research attempts to apply Artificial Neural Network (ANN) and Support Vector Regression (SVR) techniques to predict the percent of delay reduction from route diversion to help determine whether traffic should be diverted under given conditions. The DYNASMART-P mesoscopic traffic simulation model was applied to generate simulated data that were used to develop the ANN and SVR models. A sample network that comes with the DYNASMART-P package was used as the base simulation network. A combination of different levels of incident duration, capacity lost, percent of drivers diverted, VMS (variable message sign) messaging duration, and network congestion was simulated to represent different incident scenarios. The resulting percent of delay reduction, average speed, and queue length from each scenario were extracted from the simulation output. The ANN and SVR models were then calibrated for percent of delay reduction as a function of all of the simulated input and output variables. The results show that both the calibrated ANN and SVR models, when applied to the same location used to generate the calibration data, were able to predict delay reduction with a relatively high accuracy in terms of mean square error (MSE) and regression correlation. It was also found that the performance of the ANN model was superior to that of the SVR model. Likewise, when the models were applied to a new location, only the ANN model could produce comparatively good delay reduction predictions under high network congestion level.

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Parallel processing is prevalent in many manufacturing and service systems. Many manufactured products are built and assembled from several components fabricated in parallel lines. An example of this manufacturing system configuration is observed at a manufacturing facility equipped to assemble and test web servers. Characteristics of a typical web server assembly line are: multiple products, job circulation, and paralleling processing. The primary objective of this research was to develop analytical approximations to predict performance measures of manufacturing systems with job failures and parallel processing. The analytical formulations extend previous queueing models used in assembly manufacturing systems in that they can handle serial and different configurations of paralleling processing with multiple product classes, and job circulation due to random part failures. In addition, appropriate correction terms via regression analysis were added to the approximations in order to minimize the gap in the error between the analytical approximation and the simulation models. Markovian and general type manufacturing systems, with multiple product classes, job circulation due to failures, and fork and join systems to model parallel processing were studied. In the Markovian and general case, the approximations without correction terms performed quite well for one and two product problem instances. However, it was observed that the flow time error increased as the number of products and net traffic intensity increased. Therefore, correction terms for single and fork-join stations were developed via regression analysis to deal with more than two products. The numerical comparisons showed that the approximations perform remarkably well when the corrections factors were used in the approximations. In general, the average flow time error was reduced from 38.19% to 5.59% in the Markovian case, and from 26.39% to 7.23% in the general case. All the equations stated in the analytical formulations were implemented as a set of Matlab scripts. By using this set, operations managers of web server assembly lines, manufacturing or other service systems with similar characteristics can estimate different system performance measures, and make judicious decisions - especially setting delivery due dates, capacity planning, and bottleneck mitigation, among others.

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This dissertation aimed to improve travel time estimation for the purpose of transportation planning by developing a travel time estimation method that incorporates the effects of signal timing plans, which were difficult to consider in planning models. For this purpose, an analytical model has been developed. The model parameters were calibrated based on data from CORSIM microscopic simulation, with signal timing plans optimized using the TRANSYT-7F software. Independent variables in the model are link length, free-flow speed, and traffic volumes from the competing turning movements. The developed model has three advantages compared to traditional link-based or node-based models. First, the model considers the influence of signal timing plans for a variety of traffic volume combinations without requiring signal timing information as input. Second, the model describes the non-uniform spatial distribution of delay along a link, this being able to estimate the impacts of queues at different upstream locations of an intersection and attribute delays to a subject link and upstream link. Third, the model shows promise of improving the accuracy of travel time prediction. The mean absolute percentage error (MAPE) of the model is 13% for a set of field data from Minnesota Department of Transportation (MDOT); this is close to the MAPE of uniform delay in the HCM 2000 method (11%). The HCM is the industrial accepted analytical model in the existing literature, but it requires signal timing information as input for calculating delays. The developed model also outperforms the HCM 2000 method for a set of Miami-Dade County data that represent congested traffic conditions, with a MAPE of 29%, compared to 31% of the HCM 2000 method. The advantages of the proposed model make it feasible for application to a large network without the burden of signal timing input, while improving the accuracy of travel time estimation. An assignment model with the developed travel time estimation method has been implemented in a South Florida planning model, which improved assignment results.

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This research addresses the problem of cost estimation for product development in engineer-to-order (ETO) operations. An ETO operation starts the product development process with a product specification and ends with delivery of a rather complicated, highly customized product. ETO operations are practiced in various industries such as engineering tooling, factory plants, industrial boilers, pressure vessels, shipbuilding, bridges and buildings. ETO views each product as a delivery item in an industrial project and needs to make an accurate estimation of its development cost at the bidding and/or planning stage before any design or manufacturing activity starts. ^ Many ETO practitioners rely on an ad hoc approach to cost estimation, with use of past projects as reference, adapting them to the new requirements. This process is often carried out on a case-by-case basis and in a non-procedural fashion, thus limiting its applicability to other industry domains and transferability to other estimators. In addition to being time consuming, this approach usually does not lead to an accurate cost estimate, which varies from 30% to 50%. ^ This research proposes a generic cost modeling methodology for application in ETO operations across various industry domains. Using the proposed methodology, a cost estimator will be able to develop a cost estimation model for use in a chosen ETO industry in a more expeditious, systematic and accurate manner. ^ The development of the proposed methodology was carried out by following the meta-methodology as outlined by Thomann. Deploying the methodology, cost estimation models were created in two industry domains (building construction and the steel milling equipment manufacturing). The models are then applied to real cases; the cost estimates are significantly more accurate than the actual estimates, with mean absolute error rate of 17.3%. ^ This research fills an important need of quick and accurate cost estimation across various ETO industries. It differs from existing approaches to the problem in that a methodology is developed for use to quickly customize a cost estimation model for a chosen application domain. In addition to more accurate estimation, the major contributions are in its transferability to other users and applicability to different ETO operations. ^

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The rapid growth of virtualized data centers and cloud hosting services is making the management of physical resources such as CPU, memory, and I/O bandwidth in data center servers increasingly important. Server management now involves dealing with multiple dissimilar applications with varying Service-Level-Agreements (SLAs) and multiple resource dimensions. The multiplicity and diversity of resources and applications are rendering administrative tasks more complex and challenging. This thesis aimed to develop a framework and techniques that would help substantially reduce data center management complexity.^ We specifically addressed two crucial data center operations. First, we precisely estimated capacity requirements of client virtual machines (VMs) while renting server space in cloud environment. Second, we proposed a systematic process to efficiently allocate physical resources to hosted VMs in a data center. To realize these dual objectives, accurately capturing the effects of resource allocations on application performance is vital. The benefits of accurate application performance modeling are multifold. Cloud users can size their VMs appropriately and pay only for the resources that they need; service providers can also offer a new charging model based on the VMs performance instead of their configured sizes. As a result, clients will pay exactly for the performance they are actually experiencing; on the other hand, administrators will be able to maximize their total revenue by utilizing application performance models and SLAs. ^ This thesis made the following contributions. First, we identified resource control parameters crucial for distributing physical resources and characterizing contention for virtualized applications in a shared hosting environment. Second, we explored several modeling techniques and confirmed the suitability of two machine learning tools, Artificial Neural Network and Support Vector Machine, to accurately model the performance of virtualized applications. Moreover, we suggested and evaluated modeling optimizations necessary to improve prediction accuracy when using these modeling tools. Third, we presented an approach to optimal VM sizing by employing the performance models we created. Finally, we proposed a revenue-driven resource allocation algorithm which maximizes the SLA-generated revenue for a data center.^

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Colleges base their admission decisions on a number of factors to determine which applicants have the potential to succeed. This study utilized data for students that graduated from Florida International University between 2006 and 2012. Two models were developed (one using SAT as the principal explanatory variable and the other using ACT as the principal explanatory variable) to predict college success, measured using the student’s college grade point average at graduation. Some of the other factors that were used to make these predictions were high school performance, socioeconomic status, major, gender, and ethnicity. The model using ACT had a higher R^2 but the model using SAT had a lower mean square error. African Americans had a significantly lower college grade point average than graduates of other ethnicities. Females had a significantly higher college grade point average than males.

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Parallel processing is prevalent in many manufacturing and service systems. Many manufactured products are built and assembled from several components fabricated in parallel lines. An example of this manufacturing system configuration is observed at a manufacturing facility equipped to assemble and test web servers. Characteristics of a typical web server assembly line are: multiple products, job circulation, and paralleling processing. The primary objective of this research was to develop analytical approximations to predict performance measures of manufacturing systems with job failures and parallel processing. The analytical formulations extend previous queueing models used in assembly manufacturing systems in that they can handle serial and different configurations of paralleling processing with multiple product classes, and job circulation due to random part failures. In addition, appropriate correction terms via regression analysis were added to the approximations in order to minimize the gap in the error between the analytical approximation and the simulation models. Markovian and general type manufacturing systems, with multiple product classes, job circulation due to failures, and fork and join systems to model parallel processing were studied. In the Markovian and general case, the approximations without correction terms performed quite well for one and two product problem instances. However, it was observed that the flow time error increased as the number of products and net traffic intensity increased. Therefore, correction terms for single and fork-join stations were developed via regression analysis to deal with more than two products. The numerical comparisons showed that the approximations perform remarkably well when the corrections factors were used in the approximations. In general, the average flow time error was reduced from 38.19% to 5.59% in the Markovian case, and from 26.39% to 7.23% in the general case. All the equations stated in the analytical formulations were implemented as a set of Matlab scripts. By using this set, operations managers of web server assembly lines, manufacturing or other service systems with similar characteristics can estimate different system performance measures, and make judicious decisions - especially setting delivery due dates, capacity planning, and bottleneck mitigation, among others.

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Traffic incidents are a major source of traffic congestion on freeways. Freeway traffic diversion using pre-planned alternate routes has been used as a strategy to reduce traffic delays due to major traffic incidents. However, it is not always beneficial to divert traffic when an incident occurs. Route diversion may adversely impact traffic on the alternate routes and may not result in an overall benefit. This dissertation research attempts to apply Artificial Neural Network (ANN) and Support Vector Regression (SVR) techniques to predict the percent of delay reduction from route diversion to help determine whether traffic should be diverted under given conditions. The DYNASMART-P mesoscopic traffic simulation model was applied to generate simulated data that were used to develop the ANN and SVR models. A sample network that comes with the DYNASMART-P package was used as the base simulation network. A combination of different levels of incident duration, capacity lost, percent of drivers diverted, VMS (variable message sign) messaging duration, and network congestion was simulated to represent different incident scenarios. The resulting percent of delay reduction, average speed, and queue length from each scenario were extracted from the simulation output. The ANN and SVR models were then calibrated for percent of delay reduction as a function of all of the simulated input and output variables. The results show that both the calibrated ANN and SVR models, when applied to the same location used to generate the calibration data, were able to predict delay reduction with a relatively high accuracy in terms of mean square error (MSE) and regression correlation. It was also found that the performance of the ANN model was superior to that of the SVR model. Likewise, when the models were applied to a new location, only the ANN model could produce comparatively good delay reduction predictions under high network congestion level.

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The sedimentary sections of three cores from the Celtic margin provide high-resolution records of the terrigenous fluxes during the last glacial cycle. A total of 21 14C AMS dates allow us to define age models with a resolution better than 100 yr during critical periods such as Heinrich events 1 and 2. Maximum sedimentary fluxes occurred at the Meriadzek Terrace site during the Last Glacial Maximum (LGM). Detailed X-ray imagery of core MD95-2002 from the Meriadzek Terrace shows no sedimentary structures suggestive of either deposition from high-density turbidity currents or significant erosion. Two paroxysmal terrigenous flux episodes have been identified. The first occurred after the deposition of Heinrich event 2 Canadian ice-rafted debris (IRD) and includes IRD from European sources. We suggest that the second represents an episode of deposition from turbid plumes, which precedes IRD deposition associated with Heinrich event 1. At the end of marine isotopic stage 2 (MIS 2) and the beginning of MIS 1 the highest fluxes are recorded on the Whittard Ridge where they correspond to deposition from turbidity current overflows. Canadian icebergs have rafted debris at the Celtic margin during Heinrich events 1, 2, 4 and 5. The high-resolution records of Heinrich events 1 and 2 show that in both cases the arrival of the Canadian icebergs was preceded by a European ice rafting precursor event, which took place about 1-1.5 kyr before. Two rafting episodes of European IRD also occurred immediately after Heinrich event 2 and just before Heinrich event 1. The terrigenous fluxes recorded in core MD95-2002 during the LGM are the highest reported at hemipelagic sites from the northwestern European margin. The magnitude of the Canadian IRD fluxes at Meriadzek Terrace is similar to those from oceanic sites.

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Oxygen and carbon isotope measurements were carried out on tests of planktic foraminifers N. pachyderma (sin.) from eight sediment cores taken from the eastern Arctic Ocean, the Fram Strait, and the lceland Sea, in order to reconstruct Arctic Ocean and Norwegian-Greenland Sea circulation patterns and ice covers during the last 130,000 years. In addition, the influence of ice, temperature and salinity effects on the isotopic signal was quantified. Isotope measurements on foraminifers from sediment surface samples were used to elucidate the ecology of N. pachyderma (sin.). Changes in the oxygen and carbon isotope composition of N. pachyderma (sin.) from sediment surface samples document the horizontal and vertical changes of water mass boundaries controlled by water temperature and salinity, because N. pachyderma (sin.) shows drastic changes in depth habitats, depending on the water mass properties. It was able to be shown that in the investigated areas a regional and spatial apparent increase of the ice effect occurred. This happened especially during the termination I by direct advection of meltwaters from nearby continents or during the termination and in interglacials by supply of isotopically light water from rivers. A northwardly proceeding overprint of the 'global' ice effect, increasing from the Norwegian-Greenland Sea to the Arctic Ocean, was not able to be demonstrated. By means of a model the influence of temperature and salinity on the global ice volume signal during the last 130,000 years was recorded. In combination with the results of this study, the model was the basis for a reconstruction of the paleoceanographic development of the Arctic Ocean and the Norwegian-Greenland Sea during this time interval. The conception of a relatively thick and permanent sea ice cover in the Nordic Seas during glacial times should be replaced by the model of a seasonally and regionally highly variable ice cover. Only during isotope stage 5e may there have been a local deep water formation in the Fram Strait.

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In September 2008 several cores (68 cm-115 cm length) (water depth: 93 m) were retrieved from Lake Nam Co (southern-central Tibetan Plateau; 4718 m a.s.l.). This study focuses on the interpretation of high-resolution (partly 0.2 cm) data from three gravity cores and the upper part of a 10.4 m long piston core, i.e., the past 4000 cal BP in terms of lake level changes, hydrological variations in the catchment area and consequently variations in monsoon strength. A wide spectrum of sedimentological, geochemical and mineralogical investigations was carried out. Results are presented for XRF core-scans, grain size distribution, XRD-measurements and SEM-image analyses. These data are complemented by an age-depth model using 210Pb and 137Cs analyses as well as eleven AMS-14C-ages. This model is supported by excellent agreement between secular variations determined on one of the gravity cores to geomagnetic field models. This is a significant improvement of the chronology as most catchments of lacustrine systems on the Tibetan Plateau contain carbonates resulting in an unknown reservoir effect for radiocarbon dates. The good correlation of our record to the geomagnetic field models confirms our age-depth model and indicates only insignificant changes in the reservoir effect throughout the last 4 ka. High (summer-) monsoonal activity, i.e. moist environmental conditions, was detected in our record between approximately 4000 and 1950 cal BP as well as between 1480 and 1200 cal BP. Accordingly, lower monsoon activity prevails in periods between the two intervals and thereafter. This pattern shows a good correlation to the variability of the Indian Ocean Summer Monsoon (IOSM) as recorded in a peat bog ~1000 km in NE direction from Lake Nam Co. This is the first time that such a supra regional homogenous monsoon activity is shown on the Tibetan Plateau and beyond. Finally our data show a significant lake level rise after the Little Ice Age (LIA) in Lake Nam Co which is suggested to be linked to glacier melting in consequence of rising temperatures occurring on the whole Tibetan Plateau during this time.

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We recently published an article (García-Pérez & Alcalá- Quintana, 2010) reanalyzing data presented by Lapid, Ulrich, and Rammsayer (2008) and discussing a theoretical argument developed by Ulrich and Vorberg (2009). The purpose of this note is to correct an error in our study that has some theoretical importance, although it does not affect the conclusion that was raised. The error lies in that asymptote parameters reflecting lapses or finger errors should not enter the constraint relating the psychometric functions that describe performance when the comparison stimulus in a two-alternative forced choice (2AFC) discrimination task is presented in the first or second interval.

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Human use of the oceans is increasingly in conflict with conservation of endangered species. Methods for managing the spatial and temporal placement of industries such as military, fishing, transportation and offshore energy, have historically been post hoc; i.e. the time and place of human activity is often already determined before assessment of environmental impacts. In this dissertation, I build robust species distribution models in two case study areas, US Atlantic (Best et al. 2012) and British Columbia (Best et al. 2015), predicting presence and abundance respectively, from scientific surveys. These models are then applied to novel decision frameworks for preemptively suggesting optimal placement of human activities in space and time to minimize ecological impacts: siting for offshore wind energy development, and routing ships to minimize risk of striking whales. Both decision frameworks relate the tradeoff between conservation risk and industry profit with synchronized variable and map views as online spatial decision support systems.

For siting offshore wind energy development (OWED) in the U.S. Atlantic (chapter 4), bird density maps are combined across species with weights of OWED sensitivity to collision and displacement and 10 km2 sites are compared against OWED profitability based on average annual wind speed at 90m hub heights and distance to transmission grid. A spatial decision support system enables toggling between the map and tradeoff plot views by site. A selected site can be inspected for sensitivity to a cetaceans throughout the year, so as to capture months of the year which minimize episodic impacts of pre-operational activities such as seismic airgun surveying and pile driving.

Routing ships to avoid whale strikes (chapter 5) can be similarly viewed as a tradeoff, but is a different problem spatially. A cumulative cost surface is generated from density surface maps and conservation status of cetaceans, before applying as a resistance surface to calculate least-cost routes between start and end locations, i.e. ports and entrance locations to study areas. Varying a multiplier to the cost surface enables calculation of multiple routes with different costs to conservation of cetaceans versus cost to transportation industry, measured as distance. Similar to the siting chapter, a spatial decisions support system enables toggling between the map and tradeoff plot view of proposed routes. The user can also input arbitrary start and end locations to calculate the tradeoff on the fly.

Essential to the input of these decision frameworks are distributions of the species. The two preceding chapters comprise species distribution models from two case study areas, U.S. Atlantic (chapter 2) and British Columbia (chapter 3), predicting presence and density, respectively. Although density is preferred to estimate potential biological removal, per Marine Mammal Protection Act requirements in the U.S., all the necessary parameters, especially distance and angle of observation, are less readily available across publicly mined datasets.

In the case of predicting cetacean presence in the U.S. Atlantic (chapter 2), I extracted datasets from the online OBIS-SEAMAP geo-database, and integrated scientific surveys conducted by ship (n=36) and aircraft (n=16), weighting a Generalized Additive Model by minutes surveyed within space-time grid cells to harmonize effort between the two survey platforms. For each of 16 cetacean species guilds, I predicted the probability of occurrence from static environmental variables (water depth, distance to shore, distance to continental shelf break) and time-varying conditions (monthly sea-surface temperature). To generate maps of presence vs. absence, Receiver Operator Characteristic (ROC) curves were used to define the optimal threshold that minimizes false positive and false negative error rates. I integrated model outputs, including tables (species in guilds, input surveys) and plots (fit of environmental variables, ROC curve), into an online spatial decision support system, allowing for easy navigation of models by taxon, region, season, and data provider.

For predicting cetacean density within the inner waters of British Columbia (chapter 3), I calculated density from systematic, line-transect marine mammal surveys over multiple years and seasons (summer 2004, 2005, 2008, and spring/autumn 2007) conducted by Raincoast Conservation Foundation. Abundance estimates were calculated using two different methods: Conventional Distance Sampling (CDS) and Density Surface Modelling (DSM). CDS generates a single density estimate for each stratum, whereas DSM explicitly models spatial variation and offers potential for greater precision by incorporating environmental predictors. Although DSM yields a more relevant product for the purposes of marine spatial planning, CDS has proven to be useful in cases where there are fewer observations available for seasonal and inter-annual comparison, particularly for the scarcely observed elephant seal. Abundance estimates are provided on a stratum-specific basis. Steller sea lions and harbour seals are further differentiated by ‘hauled out’ and ‘in water’. This analysis updates previous estimates (Williams & Thomas 2007) by including additional years of effort, providing greater spatial precision with the DSM method over CDS, novel reporting for spring and autumn seasons (rather than summer alone), and providing new abundance estimates for Steller sea lion and northern elephant seal. In addition to providing a baseline of marine mammal abundance and distribution, against which future changes can be compared, this information offers the opportunity to assess the risks posed to marine mammals by existing and emerging threats, such as fisheries bycatch, ship strikes, and increased oil spill and ocean noise issues associated with increases of container ship and oil tanker traffic in British Columbia’s continental shelf waters.

Starting with marine animal observations at specific coordinates and times, I combine these data with environmental data, often satellite derived, to produce seascape predictions generalizable in space and time. These habitat-based models enable prediction of encounter rates and, in the case of density surface models, abundance that can then be applied to management scenarios. Specific human activities, OWED and shipping, are then compared within a tradeoff decision support framework, enabling interchangeable map and tradeoff plot views. These products make complex processes transparent for gaming conservation, industry and stakeholders towards optimal marine spatial management, fundamental to the tenets of marine spatial planning, ecosystem-based management and dynamic ocean management.