scholarly journals Smoothing Before Estimating Uncertainty, Scaling and Intermittency: Application to Short Heart Rate Signals

Fractals ◽  
2003 ◽  
Vol 11 (03) ◽  
pp. 245-252
Author(s):  
David R. Bickel
Keyword(s):  
Heart Rate ◽  
Time Scale ◽  
Moving Average ◽  
Mean Absolute Deviation ◽  
Scaling Exponents ◽  
Absolute Deviation ◽  
Change Dynamics ◽  
Measures Of Dispersion ◽  
The Mean ◽  
Better Than

Three aspects of time series are uncertainty (dispersion at a given time scale), scaling (time-scale dependence) and intermittency (inclination to change dynamics). Simple measures of dispersion are the mean absolute deviation and the standard deviation; scaling exponents describe how dispersions change with the time scale. Intermittency has been defined as a difference between two scaling exponents. After taking a moving average, these measures give descriptive information, even for short heart rate records. For this data, dispersion and intermittency perform better than scaling exponents.

scholarly journals Predicting Movement of Stock of Apple Inc. using Sutte Indicator

2017 ◽  
Author(s):  
Ansari Saleh Ahmar
Keyword(s):  
Decision Making ◽  
Moving Average ◽  
Investment Decision ◽  
Technical Analysis ◽  
Percentage Error ◽  
Decision Making Process ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Investment Decision Making ◽  
The Mean

The purpose of this study is to apply technical analysis e.g. Sutte Indicator in Stock Market that will assist in the investment decision-making process to buy or sell of stocks. This study took data from Apple Inc. which listed in the NasdaqGS in the period of 1 January 2008 to 26 September 2016. Performance of the Sutte Indicator can be seen with comparison with other technical analysis e.g. Simple Moving Average (SMA) and Moving Average Convergence/Divergence (MACD). Comparison of the reliability of prediction from Sutte Indicator, SMA, and MACD using the mean of square error (MSE), mean absolute deviation (MAD) and mean absolute percentage error (MAPE).

Testing the market efficiency by mean absolute deviation

2017 ◽  
Vol 24 (7) ◽  
pp. 2049-2062 ◽  
Author(s):  
Louie Ren ◽  
Peter Ren
Keyword(s):  
Time Series ◽  
Market Efficiency ◽  
Moving Average ◽  
Forecast Accuracy ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Content Type ◽  
Accuracy Measure ◽  
The Mean ◽  
Practical Implications

Purpose Numerous articles have been written to prove or to disapprove the hypothesis of market efficiency. The purpose of this paper is to apply the forecast accuracy measure, mean absolute deviation (MAD), to check the validity of the hypothesis. Design/methodology/approach Forecast accuracies from applying different simple moving average methods to independently identically distributed (i.i.d.) or near i.i.d. normal time series are assessed by MAD. When moving period n is greater than m, then the mean of the MADs from the MA with n moving periods will be smaller than the mean of the MADs from the MA with m moving periods. Findings In this study, when different MAs are applied to four near i.i.d. finance time series from Fama’s papers, the MAD cannot distinguish the differences among MA methods with various moving periods. This contradiction implies that the four finance time series in Fama’s papers may not be i.i.d and implies that the market is not efficient. Research limitations/implications The finding is only based on simulation and four near i.i.d. time series studied in Fama’s papers in 1965 and 1970. Practical implications The study shows that that the differences of the rates of returns from Johns Manville, Goodyear, Owens Illinois, and General Electric studied are not i.i.d. and that the market is not efficient. It refutes what Fama (1965, 1970) has claimed. Social implications When the market is not efficient, investors may gain profit from the market. Originality/value Based on the literature review, this is the first study to use the forecast accuracy measure, MAD, for market efficiency.

scholarly journals Reservoir Sizing at Draft Level of 75% of Mean Annual Flow Using Drought Magnitude Based Method on Canadian Rivers

Hydrology ◽  
2021 ◽  
Vol 8 (2) ◽  
pp. 79
Author(s):  
Tribeni C. Sharma ◽  
Umed S. Panu
Keyword(s):  
Standard Deviation ◽  
Time Scale ◽  
Moving Average ◽  
Flow Data ◽  
Truncation Level ◽  
Drought Intensity ◽  
Error Margin ◽  
Reservoir Volume ◽  
The Mean ◽  
Reservoir Sizing

On a global basis, there is trend that a majority of reservoirs are sized using a draft of 75% of the mean annual flow (0.75 MAF). The reservoir volumes based on the proposed drought magnitude (DM) method and the sequent peak algorithm (SPA) at 0.75 MAF draft were compared at the annual, monthly and weekly scales using the flow sequences of 25 Canadian rivers. In our assessment, the monthly scale is adequate for such analyses. The DM method, although capable of using flow data at any time scale, has been demonstrated using monthly standardized hydrological index (SHI) sequences. The moving average (MA) smoothing of the monthly SHI sequences formed the basis in the DM method for estimating the reservoir volume through the use of the extreme number theorem, and the hypothesis that drought magnitude is equal to the product of the drought intensity and drought length. The truncation level in the SHI sequences was found as SHIo [ = (0.75 ‒ 1) µo/σo], where µo and σo are the overall mean and standard deviation of the monthly flows. The DM-based estimates for the deficit volumes and the SPA-based reservoir volumes were found comparable within an error margin of ±18%.

scholarly journals Portfolio Optimization with a Mean–Absolute Deviation–Entropy Multi-Objective Model

Entropy ◽  
2021 ◽  
Vol 23 (10) ◽  
pp. 1266
Author(s):  
Weng Siew Lam ◽  
Weng Hoe Lam ◽  
Saiful Hafizah Jaaman
Keyword(s):  
Portfolio Optimization ◽  
Performance Ratio ◽  
Programming Approach ◽  
Mean Absolute Deviation ◽  
Diversification Strategy ◽  
Absolute Deviation ◽  
Multi Objective ◽  
Proposed Model ◽  
The Mean ◽  
Naïve Diversification

Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk. However, the maximization of entropy is not considered in the mean-absolute deviation model according to past studies. In fact, higher entropy values give higher portfolio diversifications, which can reduce portfolio risk. Therefore, this paper aims to propose a multi-objective optimization model, namely a mean-absolute deviation-entropy model for portfolio optimization by incorporating the maximization of entropy. In addition, the proposed model incorporates the optimal value of each objective function using a goal-programming approach. The objective functions of the proposed model are to maximize the mean return, minimize the absolute deviation and maximize the entropy of the portfolio. The proposed model is illustrated using returns of stocks of the Dow Jones Industrial Average that are listed in the New York Stock Exchange. This study will be of significant impact to investors because the results show that the proposed model outperforms the mean-absolute deviation model and the naive diversification strategy by giving higher a performance ratio. Furthermore, the proposed model generates higher portfolio mean returns than the MAD model and the naive diversification strategy. Investors will be able to generate a well-diversified portfolio in order to minimize unsystematic risk with the proposed model.

scholarly journals Kajian Adaptive Neuro-Fuzzy Inference System (ANFIS) Dalam Memprediksi Penerimaan Mahasiswa Baru Pada Universitas Buana Perjuangan Karawang

2021 ◽  
Vol 6 (1) ◽  
pp. 44-54
Author(s):  
Tatang Rohana Cucu
Keyword(s):  
Error Rate ◽  
Fuzzy Inference ◽  
Percentage Error ◽  
Hybrid Technique ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Inference System ◽  
Neuro Fuzzy ◽  
New Students ◽  
The Mean

Abstract - The process of admitting new students is an annual routine activity that occurs in a university. This activity is the starting point of the process of searching for prospective new students who meet the criteria expected by the college. One of the colleges that holds new student admissions every year is Buana Perjuangan University, Karawang. There have been several studies that have been conducted on predictions of new students by other researchers, but the results have not been very satisfying, especially problems with the level of accuracy and error. Research on ANFIS studies to predict new students as a solution to the problem of accuracy. This study uses two ANFIS models, namely Backpropagation and Hybrid techniques. The application of the Adaptive Neuro-Fuzzy Inference System (ANFIS) model in the predictions of new students at Buana Perjuangan University, Karawang was successful. Based on the results of training, the Backpropagation technique has an error rate of 0.0394 and the Hybrid technique has an error rate of 0.0662. Based on the predictive accuracy value that has been done, the Backpropagation technique has an accuracy of 4.8 for the value of Mean Absolute Deviation (MAD) and 0.156364623 for the value of Mean Absolute Percentage Error (MAPE). Meanwhile, based on the Mean Absolute Deviation (MAD) value, the Backpropagation technique has a value of 0.5 and 0.09516671 for the Mean Absolute Percentage Error (MAPE) value. So it can be concluded that the Hybrid technique has a better level of accuracy than the Backpropation technique in predicting the number of new students at the University of Buana Perjuangan Karawang.   Keywords: ANFIS, Backpropagation, Hybrid, Prediction

PERENCANAAN PERSEDIAAN BAHAN BAKU AKAR TANJUNG DENGAN METODE MATERIAL REQUIREMENTS PLANNING (MRP) PADA UPT. MAKARTI POMOSDA

2020 ◽  
Vol 16 (3) ◽  
pp. 1-12
Author(s):  
Khoirul Hidayah ◽  
Sukarni Sukarni ◽  
Achmad Syaichu
Keyword(s):  
Standard Error ◽  
Mean Squared Error ◽  
Moving Average ◽  
Mean Absolute Deviation ◽  
Absolute Deviation ◽  
Material Requirements Planning ◽  
Safety Stock ◽  
Mean Error ◽  
Squared Error ◽  
Material Requirement

Suatu produksi yang direncanakan dengan baik akan menghasilkan efektivitas dan efisiensi produksi bagi perusahaan. Pentingnya perencanaan material pada perusahaan diharapkan dapat menghasilkan sistem yang baik terhadap proses produksi. Tujuan dari penelitian ini adalah untuk mengetahui penerapan Material Requirement Planning (MRP) sehingga kebutuhan bahan baku selama proses produksi di UPT MAKARTI POMOSDA dapat terpenuhi dengan menggunakan metode peramalan forecasting dalam satu tahun yaitu, moving average dan weighted moving average.  Metode ini terpilih untuk mengetahui safety stock nya produk setiap bulan dan setiap tahun. Berdasarkan detail dan analisa kesalahan metode moving average dengan menggunakan program POM QM forWindows Versi 3 Basic (Mean Error) 42,455, MAD (Mean Absolute Deviation) 259,545, MSE (Mean Squared Error) 118490,6, Standard Error (denom=n-2=9) 380,555, MAPE (Mean Absolute Percent Error) 643, dan next period 480. Sedangkan detail dan analisa kesalahan metode ini dengan menggunakan program POM QM For Windows Versi 3 Basic (Mean Error) 38,827, MAD (Mean Absolute Deviation) 212,257, MSE (Mean Squared Error) 83586,58, Standard Error (denom=n-2=9) 323,239, MAPE (Mean Absolute Percent ) 495, dan next period 464,893. Berdasarkan hasil proses diatas juga diketahui (safety stock) pada UPT MAKARTI POMOSDA pada tahun 2017 yaitu sejumlah 5209 unit, setelah dilakukan penelitian mengalami kenaikan sebesar 6758 dengan prosentase sebesar 129,7%, sehingga tidak ada penumpukan barang digudang. Hal ini juga didukung dengan penurunan biaya simpan bahan baku dari Rp 120.850/Periode (bulan) menjadi Rp 109.350/Periode (bulan).

Cleaning of Matched License Plate Data

2002 ◽  
Vol 1804 (1) ◽  
pp. 1-7 ◽  
Author(s):  
Stephen D. Clark ◽  
S. Grant-Muller ◽  
Haibo Chen
Keyword(s):  
Standard Deviation ◽  
Road Traffic ◽  
Statistical Test ◽  
License Plate ◽  
Mean Absolute Deviation ◽  
Test Results ◽  
Absolute Deviation ◽  
Traffic Conditions ◽  
The Third ◽  
The Mean

Three methods for identifying outlying journey time observations collected as part of a motorway license plate matching exercise are presented. Each method is examined to ensure that it is comprehensible to transport practitioners, is able to correctly classify outliers, and is efficient in its application. The first method is a crude method based on percentiles. The second uses a mean absolute deviation test. The third method is a modification of a traditional z- or t-statistical test. Results from each method and combinations of methods are compared. The preferred method is judged to be the third method alone, which uses the median rather than the mean as its measure of location and the inter-quartile range rather than the standard deviation as its measure of variability. This method is seen to be robust to both the outliers themselves and the presence of incident conditions. The effectiveness of the method is demonstrated under a number of typical and atypical road traffic conditions. In particular, the method is applied to a different section of motorway and is shown to still produce useful results.

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