scholarly journals Sequential Truncation of R-Vine Copula Mixture Model for High-Dimensional Datasets

2021 ◽  
Vol 2021 ◽  
pp. 1-14
Author(s):  
Fadhah Amer Alanazi
Keyword(s):  
Mixture Model ◽  
Real Data ◽  
Computational Time ◽  
Model Parameters ◽  
Copula Models ◽  
Truncation Level ◽  
Truncation Method ◽  
Tree Estimation ◽  
Vine Copula ◽  
High Dimensional Datasets

Uncovering hidden mixture dependencies among variables has been investigated in the literature using mixture R-vine copula models. They provide considerable flexibility for modeling multivariate data. As the dimensions increase, the number of the model parameters that need to be estimated is increased dramatically, which comes along with massive computational times and efforts. This situation becomes even much more complex and complicated in the regular vine copula mixture models. Incorporating the truncation method with a mixture of regular vine models will reduce the computation difficulty for the mixture-based models. In this paper, the tree-by-tree estimation mixture model is joined with the truncation method to reduce computational time and the number of parameters that need to be estimated in the mixture vine copula models. A simulation study and real data applications illustrated the performance of the method. In addition, the real data applications show the effect of the mixture components on the truncation level.

scholarly journals Truncation Mixture R-Vine Copulas

2021 ◽  
Author(s):  
Fadhah Alanazi
Keyword(s):  
Simulation Study ◽  
Real Data ◽  
Computational Time ◽  
Model Parameters ◽  
Copula Models ◽  
Truncation Level ◽  
Truncation Method ◽  
Tree Estimation ◽  
Vine Copula ◽  
Vine Copulas

Uncovering hidden mixture correlation among variables have been investigating in the literature using mixture R-vine copula models. These models are hierarchical in nature. They provides a huge flexibility for modelling multivariate data. As the dimensions increases, the number of the model parameters that need to be estimated is increased dramatically, which becomes along with huge computational times and efforts. This situation becomes even much more harder and complicated in the mixture Regular vine models. Incorporating truncation method with mixture Regular vine models will reduce the computation difficulty for the mixture based models. In this paper, tree-by-tree estimation mixture model is joined with the truncation method, in order to reduce the computational time and the number of the parameters that need to be estimated in the mixture vine copula models. A simulation study and a real data applications illustrated the performance of the method. In addition, the real data applications show the affect of the mixture components on the truncation level.

EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION

2016 ◽  
Vol 46 (3) ◽  
pp. 779-799 ◽  
Author(s):  
Cuihong Yin ◽  
X. Sheldon Lin
Keyword(s):  
Em Algorithm ◽  
Mixture Model ◽  
Penalty Function ◽  
Real Data ◽  
Efficient Estimation ◽  
Model Parameters ◽  
Simulation Studies ◽  
Distributional Properties ◽  
Data Application ◽  
The Em Algorithm

AbstractThe Erlang mixture model has been widely used in modeling insurance losses due to its desirable distributional properties. In this paper, we consider the problem of efficient estimation of the Erlang mixture model. We present a new thresholding penalty function and a corresponding EM algorithm to estimate model parameters and to determine the order of the mixture. Using simulation studies and a real data application, we demonstrate the efficiency of the EM algorithm.

scholarly journals Nonparametric estimation of simplified vine copula models: comparison of methods

2017 ◽  
Vol 5 (1) ◽  
pp. 99-120 ◽  
Author(s):  
Thomas Nagler ◽  
Christian Schellhase ◽  
Claudia Czado
Keyword(s):  
Nonparametric Estimation ◽  
Tail Dependence ◽  
Real Data ◽  
Parametric Models ◽  
Copula Models ◽  
Data Application ◽  
Models Comparison ◽  
Vine Copula ◽  
Bivariate Copula ◽  
Vine Copulas

AbstractIn the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models, several approaches to nonparametric estimation of vine copulas have been proposed. In this article, we extend these approaches and compare them in an extensive simulation study and a real data application. We identify several factors driving the relative performance of the estimators. The most important one is the strength of dependence. No method was found to be uniformly better than all others. Overall, the kernel estimators performed best, but do worse than penalized B-spline estimators when there is weak dependence and no tail dependence.

EXPONENTIATED HALF-LOGISTIC LOMAX DISTRIBUTION WITH PROPERTIES AND APPLICATION

2019 ◽  
Vol XVI (2) ◽  
pp. 1-11
Author(s):  
Farrukh Jamal ◽  
Hesham Mohammed Reyad ◽  
Soha Othman Ahmed ◽  
Muhammad Akbar Ali Shah ◽  
Emrah Altun
Keyword(s):  
Real Data ◽  
Continuous Model ◽  
Model Parameters ◽  
Data Set ◽  
Lomax Distribution ◽  
Mathematical Properties ◽  
Proposed Model ◽  
Probability Weighted Moment ◽  
Record Statistics ◽  
Maximum Likelihood Criterion

A new three-parameter continuous model called the exponentiated half-logistic Lomax distribution is introduced in this paper. Basic mathematical properties for the proposed model were investigated which include raw and incomplete moments, skewness, kurtosis, generating functions, Rényi entropy, Lorenz, Bonferroni and Zenga curves, probability weighted moment, stress strength model, order statistics, and record statistics. The model parameters were estimated by using the maximum likelihood criterion and the behaviours of these estimates were examined by conducting a simulation study. The applicability of the new model is illustrated by applying it on a real data set.

scholarly journals Stochastic Modeling of Hydroclimatic Processes Using Vine Copulas

Water ◽  
2021 ◽  
Vol 13 (16) ◽  
pp. 2156
Author(s):  
George Pouliasis ◽  
Gina Alexandra Torres-Alves ◽  
Oswaldo Morales-Napoles
Keyword(s):  
Time Series ◽  
Stochastic Modeling ◽  
Copula Models ◽  
Multiple Processes ◽  
Spatial Dependencies ◽  
Probabilistic Dependence ◽  
Temporal And Spatial ◽  
Vine Copula ◽  
Synthetic Time Series ◽  
Hydroclimatic Variables

The generation of synthetic time series is important in contemporary water sciences for their wide applicability and ability to model environmental uncertainty. Hydroclimatic variables often exhibit highly skewed distributions, intermittency (that is, alternating dry and wet intervals), and spatial and temporal dependencies that pose a particular challenge to their study. Vine copula models offer an appealing approach to generate synthetic time series because of their ability to preserve any marginal distribution while modeling a variety of probabilistic dependence structures. In this work, we focus on the stochastic modeling of hydroclimatic processes using vine copula models. We provide an approach to model intermittency by coupling Markov chains with vine copula models. Our approach preserves first-order auto- and cross-dependencies (correlation). Moreover, we present a novel framework that is able to model multiple processes simultaneously. This method is based on the coupling of temporal and spatial dependence models through repetitive sampling. The result is a parsimonious and flexible method that can adequately account for temporal and spatial dependencies. Our method is illustrated within the context of a recent reliability assessment of a historical hydraulic structure in central Mexico. Our results show that by ignoring important characteristics of probabilistic dependence that are well captured by our approach, the reliability of the structure could be severely underestimated.

scholarly journals Theory and Applications of the Unit Gamma/Gompertz Distribution

Mathematics ◽  
2021 ◽  
Vol 9 (16) ◽  
pp. 1850
Author(s):  
Rashad A. R. Bantan ◽  
Farrukh Jamal ◽  
Christophe Chesneau ◽  
Mohammed Elgarhy
Keyword(s):  
Stochastic Ordering ◽  
Real Data ◽  
Rate Function ◽  
The Other ◽  
Likelihood Method ◽  
Model Parameters ◽  
Data Sets ◽  
Gompertz Distribution ◽  
Probability And Statistics ◽  
Analytical Behavior

Unit distributions are commonly used in probability and statistics to describe useful quantities with values between 0 and 1, such as proportions, probabilities, and percentages. Some unit distributions are defined in a natural analytical manner, and the others are derived through the transformation of an existing distribution defined in a greater domain. In this article, we introduce the unit gamma/Gompertz distribution, founded on the inverse-exponential scheme and the gamma/Gompertz distribution. The gamma/Gompertz distribution is known to be a very flexible three-parameter lifetime distribution, and we aim to transpose this flexibility to the unit interval. First, we check this aspect with the analytical behavior of the primary functions. It is shown that the probability density function can be increasing, decreasing, “increasing-decreasing” and “decreasing-increasing”, with pliant asymmetric properties. On the other hand, the hazard rate function has monotonically increasing, decreasing, or constant shapes. We complete the theoretical part with some propositions on stochastic ordering, moments, quantiles, and the reliability coefficient. Practically, to estimate the model parameters from unit data, the maximum likelihood method is used. We present some simulation results to evaluate this method. Two applications using real data sets, one on trade shares and the other on flood levels, demonstrate the importance of the new model when compared to other unit models.

scholarly journals Modeling Software Fault-Detection and Fault-Correction Processes by Considering the Dependencies between Fault Amounts

2021 ◽  
Vol 11 (15) ◽  
pp. 6998
Author(s):  
Qiuying Li ◽  
Hoang Pham
Keyword(s):  
Time Delay ◽  
Fault Detection ◽  
Software Reliability ◽  
Growth Models ◽  
Predictive Performance ◽  
Real Data ◽  
Reliability Estimation ◽  
Model Parameters ◽  
Dual Processes ◽  
Correction Process

Many NHPP software reliability growth models (SRGMs) have been proposed to assess software reliability during the past 40 years, but most of them have focused on modeling the fault detection process (FDP) in two ways: one is to ignore the fault correction process (FCP), i.e., faults are assumed to be instantaneously removed after the failure caused by the faults is detected. However, in real software development, it is not always reliable as fault removal usually needs time, i.e., the faults causing failures cannot always be removed at once and the detected failures will become more and more difficult to correct as testing progresses. Another way to model the fault correction process is to consider the time delay between the fault detection and fault correction. The time delay has been assumed to be constant and function dependent on time or random variables following some kind of distribution. In this paper, some useful approaches to the modeling of dual fault detection and correction processes are discussed. The dependencies between fault amounts of dual processes are considered instead of fault correction time-delay. A model aiming to integrate fault-detection processes and fault-correction processes, along with the incorporation of a fault introduction rate and testing coverage rate into the software reliability evaluation is proposed. The model parameters are estimated using the Least Squares Estimation (LSE) method. The descriptive and predictive performance of this proposed model and other existing NHPP SRGMs are investigated by using three real data-sets based on four criteria, respectively. The results show that the new model can be significantly effective in yielding better reliability estimation and prediction.

scholarly journals Qualitative speed-accuracy tradeoff effects can be explained by a diffusion/fast-guess mixture model

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Roger Ratcliff ◽  
Inhan Kang
Keyword(s):  
Mixture Model ◽  
Diffusion Model ◽  
Response Times ◽  
Model Fit ◽  
Orientation Discrimination ◽  
Model Parameters ◽  
Stimulus Contrast ◽  
Accuracy Stress ◽  
Speed Accuracy ◽  
Selective Influence

AbstractRafiei and Rahnev (2021) presented an analysis of an experiment in which they manipulated speed-accuracy stress and stimulus contrast in an orientation discrimination task. They argued that the standard diffusion model could not account for the patterns of data their experiment produced. However, their experiment encouraged and produced fast guesses in the higher speed-stress conditions. These fast guesses are responses with chance accuracy and response times (RTs) less than 300 ms. We developed a simple mixture model in which fast guesses were represented by a simple normal distribution with fixed mean and standard deviation and other responses by the standard diffusion process. The model fit the whole pattern of accuracy and RTs as a function of speed/accuracy stress and stimulus contrast, including the sometimes bimodal shapes of RT distributions. In the model, speed-accuracy stress affected some model parameters while stimulus contrast affected a different one showing selective influence. Rafiei and Rahnev’s failure to fit the diffusion model was the result of driving subjects to fast guess in their experiment.

scholarly journals A New Fuzzy-Based Maximum Power Point Tracker for a Solar Panel Based on Datasheet Values

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
Ali Kargarnejad ◽  
Mohsen Taherbaneh ◽  
Amir Hosein Kashefi
Keyword(s):  
Real Data ◽  
Point Of View ◽  
Solar Panel ◽  
Maximum Power ◽  
Model Parameters ◽  
Maximum Power Point ◽  
Knowing That ◽  
Stability Point ◽  
Power Point ◽  
Speed Accuracy

Tracking maximum power point of a solar panel is of interest in most of photovoltaic applications. Solar panel modeling is also very interesting exclusively based on manufacturers data. Knowing that the manufacturers generally give the electrical specifications of their products at one operating condition, there are so many cases in which the specifications in other conditions are of interest. In this research, a comprehensive one-diode model for a solar panel with maximum obtainable accuracy is fully developed only based on datasheet values. The model parameters dependencies on environmental conditions are taken into consideration as much as possible. Comparison between real data and simulations results shows that the proposed model has maximum obtainable accuracy. Then a new fuzzy-based controller to track the maximum power point of the solar panel is also proposed which has better response from speed, accuracy and stability point of view respect to the previous common developed one.

A new parameter set for anisotropic multiparameter full-waveform inversion and application to a North Sea data set

Geophysics ◽  
2016 ◽  
Vol 81 (4) ◽  
pp. U25-U38 ◽  
Author(s):  
Nuno V. da Silva ◽  
Andrew Ratcliffe ◽  
Vetle Vinje ◽  
Graham Conroy
Keyword(s):  
North Sea ◽  
Waveform Inversion ◽  
Real Data ◽  
Model Parameters ◽  
Full Waveform Inversion ◽  
Radiation Patterns ◽  
Data Set ◽  
Full Waveform ◽  
Seismic Image ◽  
Central North Sea

Parameterization lies at the center of anisotropic full-waveform inversion (FWI) with multiparameter updates. This is because FWI aims to update the long and short wavelengths of the perturbations. Thus, it is important that the parameterization accommodates this. Recently, there has been an intensive effort to determine the optimal parameterization, centering the fundamental discussion mainly on the analysis of radiation patterns for each one of these parameterizations, and aiming to determine which is best suited for multiparameter inversion. We have developed a new parameterization in the scope of FWI, based on the concept of kinematically equivalent media, as originally proposed in other areas of seismic data analysis. Our analysis is also based on radiation patterns, as well as the relation between the perturbation of this set of parameters and perturbation in traveltime. The radiation pattern reveals that this parameterization combines some of the characteristics of parameterizations with one velocity and two Thomsen’s parameters and parameterizations using two velocities and one Thomsen’s parameter. The study of perturbation of traveltime with perturbation of model parameters shows that the new parameterization is less ambiguous when relating these quantities in comparison with other more commonly used parameterizations. We have concluded that our new parameterization is well-suited for inverting diving waves, which are of paramount importance to carry out practical FWI successfully. We have demonstrated that the new parameterization produces good inversion results with synthetic and real data examples. In the latter case of the real data example from the Central North Sea, the inverted models show good agreement with the geologic structures, leading to an improvement of the seismic image and flatness of the common image gathers.

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