TOWARDS APPLICATIONS OF PARTICLE FILTERS IN WILDFIRE SPREAD SIMULATION

Size: px
Start display at page:

Download "TOWARDS APPLICATIONS OF PARTICLE FILTERS IN WILDFIRE SPREAD SIMULATION"

Transcription

1 Proceedings of he 008 Winer Simulaion Conference S. J. ason R. Hill L. oench and O. Rose eds. TOWARDS APPLICATIONS OF PARTICLE FILTERS IN WILDFIRE SPREAD SIULATION Feng Gu Xiaolin Hu Deparmen of Compuer Science Deparmen of Compuer Science Georgia Sae Universiy Georgia Sae Universiy 34 Peachree Sree Suie 450 Alana GA USA 34 Peachree Sree Suie 450 Alana GA USA ABSTRACT Wildfire propagaion is a complex process influenced by many facors. Simulaion models of wildfire spread such as DEVS-FIRE are imporan ools for sudying fire behavior. This paper presens how he sequenial one Carlo mehods i.e. paricle filers can work ogeher wih DEVS-FIRE for beer simulaion and predicion of wildfire. We define an applicaion framework of paricle filers for he problem of wildfire spread using he DEVS-FIRE model and discuss several applicaions. A case sudy example is provided and preliminary resuls are presened. INTRODUCTION Wildfire propagaion is a complex process influenced by many facors such as spaial fuel weaher condiions and landscape. In pas years several models were developed o sudy and predic he fores fire spread. Examples include FARSITE (Finney 998) BehavePlus (Andrews e al. 005) and DEVS-FIRE (Naimo e al. 008). In all hese models he saes of he sysem such as fire fron rae of spread speed perimeer and burned area a differen ime seps are compued based on informaion including spaial fuel daa weaher daa and landscape daa. In a dynamic daa-driven environmen where imely sensor daa (e.g. fire frons and burned areas of a wildfire from saellie images) are available i is desirable o updae a simulaion model wih he curren sysem sae for beer simulaion and predicion of wildfire. The problem arises abou sae esimaion of dynamic sysems. Sequenial one Carlo mehods ofen referred o as paricle filers are a se of saisical mehods o sudy dynamic sysems by recursively esimaing he probabiliy densiy funcion ha can be used o compue differen esimaed saes (Douce e al. 00; Schön 006). In pracical applicaions he probabiliy densiy funcion is represened by a se of samples also called paricles and heir corresponding weighs. any approaches of generaing samples are proposed o solve he problem ha we canno obain he samples from he arge densiy. These include perfec sampling sampling imporance resampling accepance-rejecion sampling eropolis-hasings independence sampling. Each of hese echniques has is own advanages and disadvanages so hey can be adoped in various occasions (Simandl e al. 007). In his paper we formalize he applicaion of paricle filers based on he wildfire spread model of DEVS-FIRE (Naimo e al. 008). Wihin his framework we define several applicaions of paricle filers ha could be developed using he wildfire spread simulaion model. These applicaions include dynamic sae esimaion saic parameer calibraion and reconsrucion of hisorical imely parameers. As a case sudy example we show how he dynamically changing wind speed and wind direcion in a fire spreading scenario can be esimaed based on observed fire frons and burned areas using he DEVS-FIRE model. We noe ha alhough he case sudy example deals wih wind daa he formalized paricle filers-based framework can be adaped and exended o oher applicaions for wildfire spread. The res of his paper is organized as follows. Secion briefly discusses relaed applicaions of paricle filers. Secion 3 describes he basic mehods and algorihms of paricle filers. Secion 4 formalizes he applicaions of paricle filers in DEVS-FIRE. Secion 5 provides a case sudy example. Secion 6 presens he experimen resuls and analysis. Secion 7 draws some conclusions. RELATED WORK Paricle filers have been used in many applicaions such as image processing communicaions chemisry biology and social sciences. (Wang e al. 00) used paricle filers o solve he problem of muliuser deecion in signal processing. (Gusafsson e al. 00) designed a framework for he problems of posiioning navigaion and racking based on paricle filers and some general algorihms were described. Based on a one Carlo mehod (Fox e al. 00) discussed robo localizaion one of he key problems of mobile robos in which he iniial posiion of he robo was unknown. Therefore sensor daa were uilized o esimae he robo s posiions. (Zhang e al. 003) provided anoher applicaion of paricle filers in biology. In his paper

2 populaions of compac long chain off-laice polymers were generaed based on a sequenial one Carlo mehod o explore he relaionship beween packing densiy and chain lengh. In he fores fire lieraure (Bradley 007) presened an approach o esimae and rack fores fires based on paricle filers in video processing in which images informaion obained from miniaure air vehicles was used. Anoher research direcion of paricle filers in fores fire spread sysem is daa assimilaion. (andel e al. 007; Douglas e al. 006; Coen e al. 007) used paricle filers o sudy fire behaviors of wildfire models. Their work was based on wo kinds of fire models reacion-diffusionconvecion parial differenial equaions-based model and he level se mehod model. By esimaing he emperaure and fuel supply of each cell of he area he oupus of he fire could be calculaed by he funcion of he fire model based on level se mehod. This oupu was reaed as he measuremen o updae he emperaure and fuel supply by comparing esimaed oupus and observed daa. ore deails can be found in hese papers. 3 THE NON-LINEAR DYNAIC SYSTE ITS STATE ESTIATION AND PARTICLE FILTERS 3. The Non-linear Sae Space odel A ypical non-linear sae space model can be denoed by formula (Jazwinski 970) s+ = f ( s ) + v () m = g( s ) + w where s and m are he sae variable and he measuremen variable respecively; he funcions of f and g define he evoluion of he sae variable and he measuremen variable; v and w are wo independen random variables o generae he sae noise and he measuremen noise; is a se of saic parameers. According o arkov propery a sysem can be describe as s + ~ p ( s+ s s... s ) = p ( s+ s ) () where p (s) describes a se of probabiliy densiy funcions and p ( s + s ) represens he evoluion of he sysem over ime +. According o he model we can calculae he nex sae using he curren informaion a ime. Using he arkov propery and hidden arkov model (Douce e al. 000) () can be changed in he form of s+ ~ p ( s+ s ) = pv ( s+ f ( s )) (3) m ~ p ( m s ) = pw ( m g( s )) where we use muual independence of he measuremen noise w o denoe ha of observaion over and he process noise v is also muually independen over ime. 3. Sae Esimaion and Filer Densiy Afer formalizing he dynamic sysem as a sae space model we can esimae he fuure sae according o he hisory informaion conained in he curren sae. This also comes from probabiliy densiy funcion p ( y xs ). For he esimaion problem is he nex or he las sep of s. Similarly i is he filering densiy problem when s equals. Considering (3) according o Bayes heorem we obain he Chapman-Kolmogorov equaion (Jazwinski 970) p ( s+ ) = p ( s+ s ) p ( s ) ds (4) p ( s+ s ) p ( s+ T ) p ( s T ) = p ( s ) ds+ (5) p ( s ) and + p ( m s ) p ( s ) p ( s ) =. (6) p ( m ) From he above equaions we can see here are no effecive mehods o recursively esimae he saes of nonlinear dynamic sysems. This resuls in many approximaion algorihms o solve he problem. These algorihms eiher linearize he model o solve or find an opimal soluion by numerical mehods. The widely used Kalman filer (see e.g. (Kailah e al. 000)) belongs o he firs caegory. Sequenial eno Carlo mehods or paricle filers are in a differen caegory in which probabiliy densiy funcions are approximaed by a series of paricles. 3.3 Paricle Filers Generally speaking a paricle filers algorihm is a numerical mehod o approximae condiional filering disribuion. Considering filer densiy in (6) we can obain p ( s ) p ( m s ) p ( s ). (7) ( Le he arge densiy s ) = p ( s ) he imporance weigh q s ) = p ( m s ) and he sample densiy ( ( = ( s ) q( s ) sd( s sd s ) p ( s ) hen we can generae he formula ). Therefore we need o obain samples from he arge densiy. There are various algo-

3 rihms designed for his goal including perfec sampling imporance sampling accepance-rejecion sampling and eropolis-hasings independence sampling which were discussed in (Liu e al. 998; Bølviken e al. 00; Chib e al. 995). Among all hese sampling algorihms SIR (Sampling Imporance Resampling) is widely used in many applicaions o generae samples from he arge densiy. We can consruc he approximaion of he arge densiy ~ ] N [ i] [ i] ˆ ( x) = q~ ( x ) δ ( x x ) N i= [i where q ( x ) is he normalized imporance weigh of he sample and δ is he Dela funcion. The imporance weigh of a sample specifies he possibiliy of is being generaed. However his approach has he limiaion ha he whole process relies on hese iniially generaed samples. To improve he algorihm a resampling sep is added according o ( ~ [ i] [ j] ) ~ ( [ j] P x = x = q x ) i= N. ore deails abou he algorihm can be found in (Gordon e al. 993). In summary he major seps of paricle filers based on sampling imporance resampling is described below. Sep : iniialize N paricles. Sep : calculae imporance weighs. Sep 3: normalize imporance weighs. Sep 4: resampling. Sep 5: predic new paricles for fuure use. Sep 6: go o Sep o execue he nex ime sep. 4 APPLICATIONS OF PARTICLE FILTERS USING THE DEVS-FIRE SIULATION ODEL 4. Overview of The DEVS-FIRE odel DEVS-FIRE is an inegraed simulaion environmen for surface wildfire spread and conainmen based on Discree Even Sysem Specificaion (DEVS) (Zeigler e al. 000). I uses a cellular space o model a fores and each cell corresponds o a sub-area of he fores. Fire spreading is a propagaion process ha burning cells ignie heir unburned neighbor cells. The speed of fire spreading is calculaed based on condiions including spaial fuel daa landscape daa and weaher daa of he area. Besides fire spread simulaion DEVS-FIRE also suppors fire suppression simulaion and opimizaion of firefighing resource deploymen for conaining a fire. ore deails abou DEVS-FIRE can be found in (Naimo e al. 008). In he paper we only consider he aspec of fire spread simulaion. Ignoring he implemenaion deails he DEVS-FIRE fire spread model can be describe as x = DF( fuel aspec slope weaher x ) + x x + where and are he sysem saes ha represen he fire spreading siuaion (i.e. which cells are ignied and which cells are no) a ime sep and + respecively each of which can be denoed by a wo-dimensional marix wih elemens or 0 represening wheher he cell is ignied or no. fuel is a saic inpu parameer o define he fuel models of each cell in he cell space. slope and aspec refer o he saic inpu parameers o specify landscape of each cell in he cell space. weaher means an inpu parameer o define he wind speeds and wind direcions a differen ime. DF sands for he model of he dynamic fire spread sysem. According o we can compue oupus of he model such as fire frons fire perimeers and burned areas. 4. Towards A Framework of Applicaions of Paricle Filers Using DEVS-FIRE Given ha DEVS-FIRE is a simulaion model for dynamical wildfire spread in a fores his secion discusses several applicaions of paricle filers ha could be developed based on DEVS-FIRE. These discussions inend o define a framework of he applicaions of paricle filers o he problem of wildfire spread using he DEVS-FIRE model. The firs applicaion corresponds o sae esimaion of wildfire spread using DEVS-FIRE. When we have observed real daa a some ime seps from sensors or saellie images we can esimae he saes e.g. fire frons of he sysem based on he observed daa using paricle filers. A every ime sep we generae paricles e.g. differen fire fron shapes and hen updae he weigh of each paricle based on he sensor daa from he real fores. According o he paricles and heir corresponding weighs he nex fire shape can be obained. In his way he informaion from real daa is incorporaed ino he DEVS-FIRE model o beer predic he fire propagaion in pracical applicaions. Anoher applicaion of paricle filers is o calibrae he saic parameers of DEVS-FIRE. In his case he saic parameers should be exended wih saes hus ransforming he problem ino an opimal filer problem (Douce e al. 003). For example an imporan parameer in DEVS- FIRE is he fireline inensiy hreshold ha is used o decide wheher an ignied cell is burnable or no. Given he real fire spreading observaion daa e.g. burned areas for some ime period he hreshold can be approximaed by paricle filers. To do ha we randomly assign N paricles wih values in a pre-defined range. Using hese paricles as inpus we run DEVS-FIRE model N imes for his ime period o obain heir corresponding burned areas. Then comparing hese areas wih he real burned areas we can compue he weigh of each paricle and choose he paricles x

4 having larger weighs for use of he nex sep. Recursively execuing his process he hreshold will converge o a small range so we can use his as he esimaed hreshold. Anoher applicaion is o reconsruc imely parameers (i.e. esimae wha happened before) for a given se of observaion daa. For example in DEVS-FIRE wind daa always change wih ime advances. If knowing he fire frons and burned areas from ime 0 o + we can esimae he pas wind daa condiions using paricle filers. This problem is similar o ha of smoohing all pas saes using measuremen daa (see (Gibson 003) for more deails). Each of he above applicaions deals wih a differen aspec. Thus he specific deails of paricle filers will also be differen. Despie ha hey all share a similar implemenaion srucure ha corresponds o he general srucure of paricle filers and uses he simulaion model of DEVS-FIRE. Figure illusraes a srucure of paricle filers based on DEVS-FIRE for he sae esimaion applicaion described above. Every ime sep we use he paricle filers componen o generae paricles run simulaions based on he paricles and obain measuremens. Comparing he measuremens wih he observed daa OBD we can calculae he weighs of he paricles and normalize hem. Using he paricles and heir weighs we can ge he value of sae variable SV a ime and he esimaion of he nex sae SV a ime + according o he + DEVS-FIRE simulaion model. Saic parameers SV DEVS-FIRE 5 A CASE STUDY EXAPLE 5. The Case Sudy Example SV + OBD Paricle filers Figure : Sae esimaion using DEVS-FIRE As a case sudy example his secion shows how paricle filers can be applied o wind speed and wind direcion esimaion using he DEVS-FIRE model. I is known ha wind speed and direcion can significanly affec he spreading of a wildfire. Being able o esimae he dynamic changing wind speed and direcion hus is helpful and can complemen he weaher daa colleced from weaher saions for beer predicion of wildfire spread. In his example we use hree erms o differeniae hree ypes of wind daa: ) real daa he real wind speeds/direcions ha need o be esimaed. In he example hese daa are arificially generaed by a compuer program every 0 minues. A fire spread simulaion using he real daa is referred o as he real fire spread ; ) weaher daa he wind speeds/direcions ha are obained from a local weaher sae. These daa are only available every hour (assuming no measuremen errors); 3) esimaed daa he wind speeds/direcions esimaed from he paricle filers. This example esimaes he wind speeds/direcions every 0 minues. Our goal is o show ha he esimaed daa will follow he same rend of he real daa and fire spread simulaion using he esimaed daa gives beer predicion resul han using he weaher daa. To apply paricle filers we define he wind daa as he sae variable and esimae hem according o he observaion daa. The observaion daa used in his example are he fire frons and burned areas ha are colleced every 0 minues from he real fire spread (fire spread simulaion using he real daa). Based on he above discussion he dynamic sysem under sudy is defined as follows. wind + = f ( wind ) + v B = cala( DF( fuel aspec slope wind )) + w B = A + A where wind = wsp wdir ] is he sae variable he [ wind daa (wind speed wsp and wind direcion wdir ) a ime ; B is he measuremen variable he new burned area of he fire from ime o + ; A and A + are observed burned areas of he fire a ime and + respecively. v and w are he noises of wind and B respecively. cala is used o calculae he burned areas from ime o + based on he observed fire frons a ime. DF is he DEVS-FIRE simulaor and fuel aspec and slope are reaed as he saic inpu parameers. Here he key idea is o esimae he wind daa a ime based on he new burned area afer one ime sep for a given fire fron a ime. In he process of sae esimaion he noises of he sae variable and he measuremen variable are used. The noises are muually independen variables generaed by normal disribuions as follows. v ~ N(0 σ ) and w ~ N(0 σ ). v w

5 5. Implemenaions of Paricle Filers Based on he dynamic sysem formalized above we implemen he paricle filer algorihm as shown below.. Iniialize N paricles for i = 0 o N Randomly generae vwsp (0) and vwdir(0) according o normal disribuions N(0 σ vwdir ) respecively; wsp ( 0) = wsp0 + vwsp( 0); N(0 σ vwsp wdir ( 0) = wdir0 + vwdir( 0); ) and. Compue weighs for i = 0 o N Randomly generae vwsp ( and vwdir( according o normal disribuions N(0 σ vwsp ) and N(0 σ vwdir ) respecively; wsp( = f wsp ( wsp( k )) + vwsp( ; wdir( = f wdir ( wdir( k )) + vwdir( ; wind ( = [ wsp( wdir( ]; Randomly generae w( according o normal disribuion N(0 σ w ) ; B ( = cala( PF( wind( )) + w( ; weighs( = oba( k + ) oba( B( ; weighs( k ) σ w ( ) weighs i k = e ; σ w π 3. Normalize weighs s _ ws = 0; for i = 0 o N s _ ws = s _ ws + weighs( ; for i = 0 o N n _ ws( = weighs( / s _ ws; 4. Resampling q ( 0) = n _ ws(0 ; for i = o N q ( i) = q( i ) + n _ ws( ; Uniformly generae N numbers beween 0 and and sor hem as array u ; coun = ; for j = 0 o N while ( q ( coun) < u( j)) coun = coun +; emp ( j) = wind( coun ; for l = 0 o N wind ( l = emp( l); 5. Oupu saes (he esimaed wind daa) os ( = 0; for i = 0 o N os ( = os( + wind( * n _ ws( ; In his algorihm sep iniializes N paricles. Wih ime advances sep o sep 5 are execued as shown in Figure. Sar Paricles iniializaion N Observed daa? Weighs compuaion N Weighs normalizaion Resampling Saes oupu Figure : Flow of paricle filers algorihms of case sudy There are several proposed sampling algorihms for example sysemaic sampling (Kiagawa 996) and residual sampling (Liu e al. 998). Among hem he sysemaic sampling is widely used (Hol 004). We use sysemaic sampling in our implemenaions oo. Y N End

6 6 EXPERIENTS AND RESULTS 6. Experimens Design Based on he example described above we design wo experimens as follows. The firs one uses a uniform fuel model (fuel model 7) wih simple wind flow and zero slope and aspec. The wind is generaed as follows. The iniial wind speed is miles/hour. In he firs half of he enire process ha lass for 5 hours he wind speed increases 0.5 mile/hour every ime sep (0 minues) and hen decreases 0.5 mile/hour every ime sep. The wind direcion keeps a fixed value of 80 degrees. In he second experimen we use non-uniform GIS daa where cells have differen fuel models aspecs and slopes. The iniial wind speed and wind direcion are 5 miles/hour and 80 degrees. Then every ime sep he wind speed increases or decreases a number beween 0~ miles/hour based on ha of he las sep and he wind direcion is 80±0 degrees. Table and Table show he real wind daa (column and column 3) generaed based on he wind flow model described above. Noe ha hese are he daa ha need o be esimaed by he paricle filers. Based on he real wind daa we use DEVS-FIRE o run he simulaions o obain he fire frons and heir corresponding burned areas every 0 minues (hese are he observaion daa). Table and Table also show he weaher daa (column 4 and 5). We assume he weaher daa are known only a every hour. Our goal is o esimae he wind daa every 0 minues for he ime when he weaher daa are no available. This is achieved using paricle filers based on he observaion daa of fire frons and burned areas. The paricle filers algorihm uses 50 paricles. The simulaions are run for 5 hours and he wind flow model used in he paricle filers for boh experimens is as follows. wsp( ) = wsp( ) + N(04) =... wdir( ) = 80 + N(040) =... Table : Wind daa of experimen Time Real Real Weaher Weaher wsp wdir wsp wdir 0: : : : : : : : : : : : : : : : : : : : : : : : : : : : : : Table : Wind daa of experimen Time Real Real Weaher Weaher wsp wdir wsp wdir 0: : : : : : : : : : : : : : : : : : : : : : : : : : : : : :

7 6. Experimens Resuls 6.. Case : Uniform Fuel wih Simple Wind Condiion Figure 3 displays he saes of wind speed every 0 minues for case. Figure 4 shows he saes of wind direcion of each ime sep of case. In he figures real daa mean wind daa used o obain observed areas in paricle filers and weaher daa esimaed daa sand for he wind daa every hour and esimaed wind daa by paricle filers respecively. From Figure 3 and Figure 4 we can see ha 0 Wind speed (miles/hour) Wind direcion (degrees) Real daa Weaher daa Esimaed daa Time sep (every 0 minues) Figure 3: Wind speeds of case Real daa Weaher daa Esimaed daa Time sep (every 0 minues) Figure 4: Wind direcions of case he esimaed wind speeds and wind direcions have he same rend as hose of he real wind condiions. Therefore in he pracical applicaions if we only know he wind condiion every ime period (e.g. hour) we can esimae he wind daa each ime slo beween his ime according o observed daa by paricle filers. Figure 5 displays he burned areas wih hree wind condiions form ime sep o 0. From he figure we can conclude ha compared o using weaher daa he burned areas compued by using esimaed wind daa are closer o he ones calculaed by real wind daa. This means ha he esimaed daa can be used o produce more accurae predicions. Burned area (ha) Real daa Weaher daa Esimaed daa Time sep (every 0 minues) Figure 5: Burned areas of case 6.. Case : GIS Daa wih Complex Wind Condiion Figure 6 and Figure 7 show he wind speeds and wind direcions of case. From he picures we can draw similar conclusions as before. Figure 8 displays he burned areas wih he hree ypes of wind daa from ime sep o 4. From he picure we can see ha he esimaed areas fall beween he areas obained by using real daa and by using weaher daa. Wind speed (miles/hour) Real daa Weaher daa Esimaed daa Time sep (every 0 minues) Figure 6: Wind speeds of case

8 Wind direcion (degrees) Burned area (ha) Real daa Weaher daa Esimaed daa Time sep (every 0 minues) Real daa Weaher daa Esimaed daa 7 CONCLUSIONS Figure 7: Wind direcions of case 3 4 Time sep (every 0 minues) Figure 8: Burned areas of case In his paper we discussed he basic knowledge of paricle filers mehod and hen consruced he non-linear dynamic sysem model of DEVS-FIRE fire spread model according o he specificaion of sequenial one Carlo mehods. Alhough here are many possible applicaions of paricle filers using DEVS-FIRE we focus on he wind esimaion as a case sudy in he paper. Preliminary resuls show ha paricle filers are powerful ools ha can be used in he problem of wildfire spread simulaion. Fuure work will proceed along he following direcions: ) precisely esimae he fire shapes by using observaion daa from saellie images; ) apply paricle filers o esimae he saic parameers from he observaion daa and smooh parameers o sudy pas saes according o observaion daa; 3) develop advanced mehods o reduce he compuaion cos of paricle filers ha use large number of paricles. REFERENCES Andrews P. L. C. D. Bevins R. C. Seli BehavePlus fire modeling sysem version 3.0: User's Guide Gen. Tech. Rep. RRS-GTR-06WWW Revised. Ogden UT: Deparmen of Agriculure Fores Service Rocky ounain Research Saion 3 p. Bølviken E. P. J. Acklam N. Chrisophersen and J. -. Sørdal. 00. one Carlo Filers for Non-linear Sae Esimaion. Auomaica 37(): Bradley Jusin Paricle Filer Based osaicking for Fores Fire Tracking. aser hesis Brigham Young Universiy. Chib S. and E. Greenberg Undersanding The eropolis Hasings Algorihm. The American Saisician 49(4): Coen J. L. J. andel e al A Wildland Fire Dynamic Daa-driven Applicaion Sysem. h Symposium on Inegraed Observing and Assimilaion Sysems for he Amosphere Oceans and Land Surface (IOAS-AOLS). Douce A. S. J. Godsill and C. Andrieu On Sequenial one Carlo Sampling ehods for Bayesian Filering. Saisics and Compuing 0(3): Douce A. N. D. Freias N. Gordon (eds.). 00. Sequenial one Carlo mehods in pracice. New York: Springer-Verlag. Douce A.V. Tadic Parameer Esimaion in General Sae-space odels Using Paricle ehods Ann. Ins. Sais. ah. 55(): Douglas C. C. D. B. Jonahan e al DDDAS Approaches o Wildland Fire odeling and Conaminan Tracking. Proceedings of he 006 Winer Simulaion Conference 7-4. Finney ark A FARSITE: Fire Area Simulaor odel Developmen and Evaluaion Unied Saes Deparmen of Agriculure Fores Service Rocky ounain Research Saion Research Paper RRS- RP-4 Revised arch 998 revised February 004. Fox D. Thrun S. Burgard W. & Dellaer F. 00. Paricle Filers for obile Robo Localizaion. In Sequenial one Carlo ehods in Pracice (eds A. Douce J. F. G. de Freias and N. J. Gordon). New York: Springer- Verlag. Gibson S. H aximum Likelihood Esimaion of ulivariable Dynamic Sysems via he E Algorihm. PhD hesis The Universiy of Newcasle Newcasle NSW Ausralia. Gordon N. J. D. J. Salmond and A. F.. Smih Novel Approach o Nonlinear/Non-Gaussian Bayesian

9 Sae Esimaion. In IEE Proceedings on Radar and Signal Processing Gusafsson F. F. Gunnarsson N. Bergman U. Forssell J. Jansson R. Karlsson and R. -J. Nordlund. 00. Paricle Filers for Posiioning Navigaion and Tracking. IEEE Transacions on Signal Processing 50(): Hol J Resampling in Paricle Filers. aser Thesis Deparmen of Elecrical Engineering Linköping Universiy Sweden. Jazwinsk A. H Sochasic Processes and Filering Theory. ahemaics in science and engineering. Academic Press New York USA. Kailah T. A. H. Sayed and B. Hassibi Linear Esimaion. Informaion and Sysem Sciences Series. Prenice Hall Upper Saddle River NJ USA. Kiagawa G one Carlo Filer and Smooher for Non-Gaussian Nonlinear Sae Space odels. Journal of Compuaional and Graphical Saisics 5(): 5. Liu J. S. and E. Chen Sequenial one Carlo ehods for Dynamics Sysems. Journal of American Saisical Associaion 93: andel J. D. Jonahan e al A Wildland Fire odel wih Daa Assimilaion. CC Repor 33 ahemaics and Compuers in Simulaion. Naimo L. X. Hu and Y. Sun DEVS-FIRE: Towards an Inegraed Simulaion Environmen for Surface Wildfire Spread and Conainmen SIULATION: Transacions of The Sociey for odeling and Simulaion Inernaional Vol. 84 Issue 4 April 008 pp Schön Thomas B Esimaion of Nonlinear Dynamic Sysems Theory and Applicaions. Ph.D. Disseraion Linköpings Universiy Sweden. Simandl. Sraka O Sampling Densiies of Paricle Filer: A Survey and Comparison. American Conrol Conference Wang X. D. Rong Chen Jun. S. Liu. 00. one Carlo Bayesian Signal Processing for Wireless Communicaions Journal of VLSI Signal Processing Sysems 30(00) Zhang J. Rong Chen C. Tang J. Liang Origin of Scaling Behavior of Proein Packing Densiy: A Sequenial one Carlo Sudy of Compac Long Chain Polymers. JOURNAL OF CHEICAL PHYSICS 8(3) Zeigler B. P. H. Praehofer and T. G. Kim Theory of modeling and simulaion nd Ediion Academic Press. FENG GU is a Ph.D. candidae in he Compuer Science Deparmen a Georgia Sae Universiy. His research ineress include modeling and simulaion and sysem validaion and calibraion. XIAOLIN HU is an assisan professor in he Compuer Science Deparmen a Georgia Sae Universiy. His research ineress include modeling and simulaion auonomous agen and muli-agen sysems and simulaion-based developmen. AUTHOR BIOGRAPHIES

10 Proceedings of he 008 Winer Simulaion Conference S. J. ason R. Hill L. oench and O. Rose eds.

Data Assimilation Using Sequential Monte Carlo Methods in Wildfire Spread Simulation

Data Assimilation Using Sequential Monte Carlo Methods in Wildfire Spread Simulation Daa Assimilaion Using Sequenial Mone Carlo Mehods in Wildfire Spread Simulaion HAIDOG XUE, FEG GU, XIAOLI HU, Georgia Sae Universiy Georgia Sae Universiy Georgia Sae Universiy Assimilaing real ime sensor

More information

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test:

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: A Noe on Missing Daa Effecs on he Hausman (978) Simulaneiy Tes: Some Mone Carlo Resuls. Dikaios Tserkezos and Konsaninos P. Tsagarakis Deparmen of Economics, Universiy of Cree, Universiy Campus, 7400,

More information

Robust localization algorithms for an autonomous campus tour guide. Richard Thrapp Christian Westbrook Devika Subramanian.

Robust localization algorithms for an autonomous campus tour guide. Richard Thrapp Christian Westbrook Devika Subramanian. Robus localizaion algorihms for an auonomous campus our guide Richard Thrapp Chrisian Wesbrook Devika Subramanian Rice Universiy Presened a ICRA 200 Ouline The ask and is echnical challenges The localizaion

More information

CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6

CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T. J. KEHOE MACROECONOMICS I WINTER 2011 PROBLEM SET #6 CENTRO DE ESTUDIOS MONETARIOS Y FINANCIEROS T J KEHOE MACROECONOMICS I WINTER PROBLEM SET #6 This quesion requires you o apply he Hodrick-Presco filer o he ime series for macroeconomic variables for he

More information

Market and Information Economics

Market and Information Economics Marke and Informaion Economics Preliminary Examinaion Deparmen of Agriculural Economics Texas A&M Universiy May 2015 Insrucions: This examinaion consiss of six quesions. You mus answer he firs quesion

More information

Prediction of Rain-fall flow Time Series using Auto-Regressive Models

Prediction of Rain-fall flow Time Series using Auto-Regressive Models Available online a www.pelagiaresearchlibrary.com Advances in Applied Science Research, 2011, 2 (2): 128-133 ISSN: 0976-8610 CODEN (USA): AASRFC Predicion of Rain-fall flow Time Series using Auo-Regressive

More information

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network

Online Appendix to: Implementing Supply Routing Optimization in a Make-To-Order Manufacturing Network Online Appendix o: Implemening Supply Rouing Opimizaion in a Make-To-Order Manufacuring Nework A.1. Forecas Accuracy Sudy. July 29, 2008 Assuming a single locaion and par for now, his sudy can be described

More information

1 Purpose of the paper

1 Purpose of the paper Moneary Economics 2 F.C. Bagliano - Sepember 2017 Noes on: F.X. Diebold and C. Li, Forecasing he erm srucure of governmen bond yields, Journal of Economerics, 2006 1 Purpose of he paper The paper presens

More information

Short Course. Rong Chen Rutgers University Peking University

Short Course. Rong Chen Rutgers University Peking University Shor Course Sae Space Models, Generalized Dynamic Sysems and Sequenial Mone Carlo Mehods, and heir applicaions in Engineering, Bioinformaics and Finance Rong Chen Rugers Universiy Peking Universiy 1 Par

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSTITUTE OF ACTUARIES OF INDIA EXAMINATIONS 9 h November 2010 Subjec CT6 Saisical Mehods Time allowed: Three Hours (10.00 13.00 Hrs.) Toal Marks: 100 INSTRUCTIONS TO THE CANDIDATES 1. Please read he insrucions

More information

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values

Documentation: Philadelphia Fed's Real-Time Data Set for Macroeconomists First-, Second-, and Third-Release Values Documenaion: Philadelphia Fed's Real-Time Daa Se for Macroeconomiss Firs-, Second-, and Third-Release Values Las Updaed: December 16, 2013 1. Inroducion We documen our compuaional mehods for consrucing

More information

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?

More information

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining

Data Mining Anomaly Detection. Lecture Notes for Chapter 10. Introduction to Data Mining Daa Mining Anomaly Deecion Lecure Noes for Chaper 10 Inroducion o Daa Mining by Tan, Seinbach, Kumar Tan,Seinbach, Kumar Inroducion o Daa Mining 4/18/2004 1 Anomaly/Oulier Deecion Wha are anomalies/ouliers?

More information

A Regime Switching Independent Component Analysis Method for Temporal Data

A Regime Switching Independent Component Analysis Method for Temporal Data Journal of Compuaions & Modelling, vol.2, no.1, 2012, 109-122 ISSN: 1792-7625 (prin), 1792-8850 (online) Inernaional Scienific Press, 2012 A Regime Swiching Independen Componen Analysis Mehod for Temporal

More information

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory

UCLA Department of Economics Fall PhD. Qualifying Exam in Macroeconomic Theory UCLA Deparmen of Economics Fall 2016 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and you are o complee each par. Answer each par in a separae bluebook. All

More information

Behavior Pattern Detection for Data Assimilation in Agent-Based Simulation of Smart Environments

Behavior Pattern Detection for Data Assimilation in Agent-Based Simulation of Smart Environments Behavior Paern Deecion for Daa Assimilaion in Agen-Based Simulaion of Smar Environmens Sanish Rai Deparmen of Compuer Science Georgia Sae Universiy Alana, USA srai2@suden.gsu.edu Xiaolin Hu Deparmen of

More information

MA Advanced Macro, 2016 (Karl Whelan) 1

MA Advanced Macro, 2016 (Karl Whelan) 1 MA Advanced Macro, 2016 (Karl Whelan) 1 The Calvo Model of Price Rigidiy The form of price rigidiy faced by he Calvo firm is as follows. Each period, only a random fracion (1 ) of firms are able o rese

More information

BEHAVIOR VISUALIZATION OF AUTONOMOUS TRADING AGENTS

BEHAVIOR VISUALIZATION OF AUTONOMOUS TRADING AGENTS BEHAVIOR VISUALIZATIO OF AUTOOMOUS TRADIG AGETS Tomoharu akashima, Hiroko Kiano, Hisao Ishibuchi College of Engineering Osaka Prefecure Universiy Gakuen-cho 1-1, Sakai, Osaka 599-8531, Japan {nakashi,

More information

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23

San Francisco State University ECON 560 Summer 2018 Problem set 3 Due Monday, July 23 San Francisco Sae Universiy Michael Bar ECON 56 Summer 28 Problem se 3 Due Monday, July 23 Name Assignmen Rules. Homework assignmens mus be yped. For insrucions on how o ype equaions and mah objecs please

More information

VaR and Low Interest Rates

VaR and Low Interest Rates VaR and Low Ineres Raes Presened a he Sevenh Monreal Indusrial Problem Solving Workshop By Louis Doray (U de M) Frédéric Edoukou (U de M) Rim Labdi (HEC Monréal) Zichun Ye (UBC) 20 May 2016 P r e s e n

More information

Web Usage Patterns Using Association Rules and Markov Chains

Web Usage Patterns Using Association Rules and Markov Chains Web Usage Paerns Using Associaion Rules and Markov hains handrakasem Rajabha Universiy, Thailand amnas.cru@gmail.com Absrac - The objecive of his research is o illusrae he probabiliy of web page using

More information

This specification describes the models that are used to forecast

This specification describes the models that are used to forecast PCE and CPI Inflaion Differenials: Convering Inflaion Forecass Model Specificaion By Craig S. Hakkio This specificaion describes he models ha are used o forecas he inflaion differenial. The 14 forecass

More information

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations

The Mathematics Of Stock Option Valuation - Part Four Deriving The Black-Scholes Model Via Partial Differential Equations The Mahemaics Of Sock Opion Valuaion - Par Four Deriving The Black-Scholes Model Via Parial Differenial Equaions Gary Schurman, MBE, CFA Ocober 1 In Par One we explained why valuing a call opion as a sand-alone

More information

Dynamic Programming Applications. Capacity Expansion

Dynamic Programming Applications. Capacity Expansion Dynamic Programming Applicaions Capaciy Expansion Objecives To discuss he Capaciy Expansion Problem To explain and develop recursive equaions for boh backward approach and forward approach To demonsrae

More information

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression

4452 Mathematical Modeling Lecture 17: Modeling of Data: Linear Regression Mah Modeling Lecure 17: Modeling of Daa: Linear Regression Page 1 5 Mahemaical Modeling Lecure 17: Modeling of Daa: Linear Regression Inroducion In modeling of daa, we are given a se of daa poins, and

More information

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment

On the Impact of Inflation and Exchange Rate on Conditional Stock Market Volatility: A Re-Assessment MPRA Munich Personal RePEc Archive On he Impac of Inflaion and Exchange Rae on Condiional Sock Marke Volailiy: A Re-Assessmen OlaOluwa S Yaya and Olanrewaju I Shiu Deparmen of Saisics, Universiy of Ibadan,

More information

Jarrow-Lando-Turnbull model

Jarrow-Lando-Turnbull model Jarrow-Lando-urnbull model Characerisics Credi raing dynamics is represened by a Markov chain. Defaul is modelled as he firs ime a coninuous ime Markov chain wih K saes hiing he absorbing sae K defaul

More information

Option Valuation of Oil & Gas E&P Projects by Futures Term Structure Approach. Hidetaka (Hugh) Nakaoka

Option Valuation of Oil & Gas E&P Projects by Futures Term Structure Approach. Hidetaka (Hugh) Nakaoka Opion Valuaion of Oil & Gas E&P Projecs by Fuures Term Srucure Approach March 9, 2007 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion

More information

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY

FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Proceedings of he 9h WSEAS Inernaional Conference on Applied Mahemaics, Isanbul, Turkey, May 7-9, 006 (pp63-67) FORECASTING WITH A LINEX LOSS: A MONTE CARLO STUDY Yasemin Ulu Deparmen of Economics American

More information

Reconciling Gross Output TFP Growth with Value Added TFP Growth

Reconciling Gross Output TFP Growth with Value Added TFP Growth Reconciling Gross Oupu TP Growh wih Value Added TP Growh Erwin Diewer Universiy of Briish Columbia and Universiy of New Souh Wales ABSTRACT This aricle obains relaively simple exac expressions ha relae

More information

Short Time Price Forecasting for Electricity Market Based on Hybrid Fuzzy Wavelet Transform and Bacteria Foraging Algorithm

Short Time Price Forecasting for Electricity Market Based on Hybrid Fuzzy Wavelet Transform and Bacteria Foraging Algorithm Shor Time Price Forecasing for Elecriciy Marke Based on Hybrid Fuzzy Wavele Transform and Baceria Foraging Algorihm Keivan Borna* Deparmen of Compuer Science, Faculy of Mahemaics and Compuer Science, Kharazmi

More information

Pricing FX Target Redemption Forward under. Regime Switching Model

Pricing FX Target Redemption Forward under. Regime Switching Model In. J. Conemp. Mah. Sciences, Vol. 8, 2013, no. 20, 987-991 HIKARI Ld, www.m-hikari.com hp://dx.doi.org/10.12988/ijcms.2013.311123 Pricing FX Targe Redempion Forward under Regime Swiching Model Ho-Seok

More information

Macroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model.

Macroeconomics II A dynamic approach to short run economic fluctuations. The DAD/DAS model. Macroeconomics II A dynamic approach o shor run economic flucuaions. The DAD/DAS model. Par 2. The demand side of he model he dynamic aggregae demand (DAD) Inflaion and dynamics in he shor run So far,

More information

Alexander L. Baranovski, Carsten von Lieres and André Wilch 18. May 2009/Eurobanking 2009

Alexander L. Baranovski, Carsten von Lieres and André Wilch 18. May 2009/Eurobanking 2009 lexander L. Baranovski, Carsen von Lieres and ndré Wilch 8. May 2009/ Defaul inensiy model Pricing equaion for CDS conracs Defaul inensiy as soluion of a Volerra equaion of 2nd kind Comparison o common

More information

PARAMETER ESTIMATION IN A BLACK SCHOLES

PARAMETER ESTIMATION IN A BLACK SCHOLES PARAMETER ESTIMATIO I A BLACK SCHOLES Musafa BAYRAM *, Gulsen ORUCOVA BUYUKOZ, Tugcem PARTAL * Gelisim Universiy Deparmen of Compuer Engineering, 3435 Isanbul, Turkey Yildiz Technical Universiy Deparmen

More information

AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING

AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING AN ENTERPRISE FINANCIAL STATE ESTIMATION BASED ON DATA MINING Mikhail D. Godlevsky, Sergey V. Orekhov Naional Technical Universiy Kharkov Polyechnic Insiue Frunze sr. 2 Ukraine-6002 Kharkov god_asu@kpi.kharkov.ua,

More information

A Method for Estimating the Change in Terminal Value Required to Increase IRR

A Method for Estimating the Change in Terminal Value Required to Increase IRR A Mehod for Esimaing he Change in Terminal Value Required o Increase IRR Ausin M. Long, III, MPA, CPA, JD * Alignmen Capial Group 11940 Jollyville Road Suie 330-N Ausin, TX 78759 512-506-8299 (Phone) 512-996-0970

More information

, >0, >0. t t (1) I. INTRODUCTION. Where

, >0, >0. t t (1) I. INTRODUCTION. Where Acceleraed Life Tesing Model for a Generalized Birnbaum-Saunders Disribuion Yao Cheng and E. A. Elsayed Deparmen of Indusrial and Sysems Engineering Rugers Universiy Piscaaway, NJ 08854 ygli0708@gmail.com,

More information

Comparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013

Comparison of back-testing results for various VaR estimation methods. Aleš Kresta, ICSP 2013, Bergamo 8 th July, 2013 Comparison of back-esing resuls for various VaR esimaion mehods, ICSP 3, Bergamo 8 h July, 3 THE MOTIVATION AND GOAL In order o esimae he risk of financial invesmens, i is crucial for all he models o esimae

More information

Data-Driven Demand Learning and Dynamic Pricing Strategies in Competitive Markets

Data-Driven Demand Learning and Dynamic Pricing Strategies in Competitive Markets Daa-Driven Demand Learning and Dynamic Pricing Sraegies in Compeiive Markes Pricing Sraegies & Dynamic Programming Rainer Schlosser, Marin Boissier, Mahias Uflacker Hasso Planer Insiue (EPIC) April 30,

More information

Robustness of Memory-Type Charts to Skew Processes

Robustness of Memory-Type Charts to Skew Processes Inernaional Journal of Applied Physics and Mahemaics Robusness of Memory-Type Chars o Skew Processes Saowani Sukparungsee* Deparmen of Applied Saisics, Faculy of Applied Science, King Mongku s Universiy

More information

An Analytical Implementation of the Hull and White Model

An Analytical Implementation of the Hull and White Model Dwigh Gran * and Gauam Vora ** Revised: February 8, & November, Do no quoe. Commens welcome. * Douglas M. Brown Professor of Finance, Anderson School of Managemen, Universiy of New Mexico, Albuquerque,

More information

Ch. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk

Ch. 10 Measuring FX Exposure. Is Exchange Rate Risk Relevant? MNCs Take on FX Risk Ch. 10 Measuring FX Exposure Topics Exchange Rae Risk: Relevan? Types of Exposure Transacion Exposure Economic Exposure Translaion Exposure Is Exchange Rae Risk Relevan?? Purchasing Power Pariy: Exchange

More information

Forecasting Sales: Models, Managers (Experts) and their Interactions

Forecasting Sales: Models, Managers (Experts) and their Interactions Forecasing Sales: Models, Managers (Expers) and heir Ineracions Philip Hans Franses Erasmus School of Economics franses@ese.eur.nl ISF 203, Seoul Ouline Key issues Durable producs SKU sales Opimal behavior

More information

Asymmetry and Leverage in Stochastic Volatility Models: An Exposition

Asymmetry and Leverage in Stochastic Volatility Models: An Exposition Asymmery and Leverage in Sochasic Volailiy Models: An xposiion Asai, M. a and M. McAleer b a Faculy of conomics, Soka Universiy, Japan b School of conomics and Commerce, Universiy of Wesern Ausralia Keywords:

More information

Estimating Earnings Trend Using Unobserved Components Framework

Estimating Earnings Trend Using Unobserved Components Framework Esimaing Earnings Trend Using Unobserved Componens Framework Arabinda Basisha and Alexander Kurov College of Business and Economics, Wes Virginia Universiy December 008 Absrac Regressions using valuaion

More information

UNIVERSITY OF MORATUWA

UNIVERSITY OF MORATUWA MA5100 UNIVERSITY OF MORATUWA MSC/POSTGRADUATE DIPLOMA IN FINANCIAL MATHEMATICS 009 MA 5100 INTRODUCTION TO STATISTICS THREE HOURS November 009 Answer FIVE quesions and NO MORE. Quesion 1 (a) A supplier

More information

You should turn in (at least) FOUR bluebooks, one (or more, if needed) bluebook(s) for each question.

You should turn in (at least) FOUR bluebooks, one (or more, if needed) bluebook(s) for each question. UCLA Deparmen of Economics Spring 05 PhD. Qualifying Exam in Macroeconomic Theory Insrucions: This exam consiss of hree pars, and each par is worh 0 poins. Pars and have one quesion each, and Par 3 has

More information

ANSWER ALL QUESTIONS. CHAPTERS 6-9; (Blanchard)

ANSWER ALL QUESTIONS. CHAPTERS 6-9; (Blanchard) ANSWER ALL QUESTIONS CHAPTERS 6-9; 18-20 (Blanchard) Quesion 1 Discuss in deail he following: a) The sacrifice raio b) Okun s law c) The neuraliy of money d) Bargaining power e) NAIRU f) Wage indexaion

More information

An Incentive-Based, Multi-Period Decision Model for Hierarchical Systems

An Incentive-Based, Multi-Period Decision Model for Hierarchical Systems Wernz C. and Deshmukh A. An Incenive-Based Muli-Period Decision Model for Hierarchical Sysems Proceedings of he 3 rd Inernaional Conference on Global Inerdependence and Decision Sciences (ICGIDS) pp. 84-88

More information

Empirical analysis on China money multiplier

Empirical analysis on China money multiplier Aug. 2009, Volume 8, No.8 (Serial No.74) Chinese Business Review, ISSN 1537-1506, USA Empirical analysis on China money muliplier SHANG Hua-juan (Financial School, Shanghai Universiy of Finance and Economics,

More information

Missing Data Prediction and Forecasting for Water Quantity Data

Missing Data Prediction and Forecasting for Water Quantity Data 2011 Inernaional Conference on Modeling, Simulaion and Conrol ICSIT vol.10 (2011) (2011) IACSIT ress, Singapore Missing Daa redicion and Forecasing for Waer Quaniy Daa rakhar Gupa 1 and R.Srinivasan 2

More information

The relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract

The relation between U.S. money growth and inflation: evidence from a band pass filter. Abstract The relaion beween U.S. money growh and inflaion: evidence from a band pass filer Gary Shelley Dep. of Economics Finance; Eas Tennessee Sae Universiy Frederick Wallace Dep. of Managemen Markeing; Prairie

More information

Macroeconomics. Part 3 Macroeconomics of Financial Markets. Lecture 8 Investment: basic concepts

Macroeconomics. Part 3 Macroeconomics of Financial Markets. Lecture 8 Investment: basic concepts Macroeconomics Par 3 Macroeconomics of Financial Markes Lecure 8 Invesmen: basic conceps Moivaion General equilibrium Ramsey and OLG models have very simple assumpions ha invesmen ino producion capial

More information

Key Formulas. From Larson/Farber Elementary Statistics: Picturing the World, Fifth Edition 2012 Prentice Hall. Standard Score: CHAPTER 3.

Key Formulas. From Larson/Farber Elementary Statistics: Picturing the World, Fifth Edition 2012 Prentice Hall. Standard Score: CHAPTER 3. Key Formulas From Larson/Farber Elemenary Saisics: Picuring he World, Fifh Ediion 01 Prenice Hall CHAPTER Class Widh = Range of daa Number of classes 1round up o nex convenien number 1Lower class limi

More information

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka

The Relationship between Money Demand and Interest Rates: An Empirical Investigation in Sri Lanka The Relaionship beween Money Demand and Ineres Raes: An Empirical Invesigaion in Sri Lanka R. C. P. Padmasiri 1 and O. G. Dayarana Banda 2 1 Economic Research Uni, Deparmen of Expor Agriculure 2 Deparmen

More information

Valuing Real Options on Oil & Gas Exploration & Production Projects

Valuing Real Options on Oil & Gas Exploration & Production Projects Valuing Real Opions on Oil & Gas Exploraion & Producion Projecs March 2, 2006 Hideaka (Hugh) Nakaoka Former CIO & CCO of Iochu Oil Exploraion Co., Ld. Universiy of Tsukuba 1 Overview 1. Inroducion 2. Wha

More information

Forecasting of Intermittent Demand Data in the Case of Medical Apparatus

Forecasting of Intermittent Demand Data in the Case of Medical Apparatus ISSN: 39-5967 ISO 900:008 Cerified Inernaional Journal of Engineering Science and Innovaive Technology (IJESIT) Volume 3, Issue, March 04 Forecasing of Inermien Demand Daa in he Case of Medical Apparaus

More information

Systemic Risk Illustrated

Systemic Risk Illustrated Sysemic Risk Illusraed Jean-Pierre Fouque Li-Hsien Sun March 2, 22 Absrac We sudy he behavior of diffusions coupled hrough heir drifs in a way ha each componen mean-revers o he mean of he ensemble. In

More information

HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION

HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION HEADWAY DISTRIBUTION FOR NH-8 TRAFFIC AT VAGHASI VILLAGE LOCATION Dr. L. B. Zala Associae Professor, Civil Engineering Deparmen, lbzala@yahoo.co.in Kevin B. Modi M.Tech (Civil) Transporaion Sysem Engineering

More information

a. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be?

a. If Y is 1,000, M is 100, and the growth rate of nominal money is 1 percent, what must i and P be? Problem Se 4 ECN 101 Inermediae Macroeconomics SOLUTIONS Numerical Quesions 1. Assume ha he demand for real money balance (M/P) is M/P = 0.6-100i, where is naional income and i is he nominal ineres rae.

More information

Population growth and intra-specific competition in duckweed

Population growth and intra-specific competition in duckweed Populaion growh and inra-specific compeiion in duckweed We will use a species of floaing aquaic plan o invesigae principles of populaion growh and inra-specific compeiion, in oher words densiy-dependence.

More information

Introduction. Enterprises and background. chapter

Introduction. Enterprises and background. chapter NACE: High-Growh Inroducion Enerprises and background 18 chaper High-Growh Enerprises 8 8.1 Definiion A variey of approaches can be considered as providing he basis for defining high-growh enerprises.

More information

IJRSS Volume 2, Issue 2 ISSN:

IJRSS Volume 2, Issue 2 ISSN: A LOGITIC BROWNIAN MOTION WITH A PRICE OF DIVIDEND YIELDING AET D. B. ODUOR ilas N. Onyango _ Absrac: In his paper, we have used he idea of Onyango (2003) he used o develop a logisic equaion used in naural

More information

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods,

CHAPTER CHAPTER18. Openness in Goods. and Financial Markets. Openness in Goods, and Financial Markets. Openness in Goods, Openness in Goods and Financial Markes CHAPTER CHAPTER18 Openness in Goods, and Openness has hree disinc dimensions: 1. Openness in goods markes. Free rade resricions include ariffs and quoas. 2. Openness

More information

An Introduction to PAM Based Project Appraisal

An Introduction to PAM Based Project Appraisal Slide 1 An Inroducion o PAM Based Projec Appraisal Sco Pearson Sanford Universiy Sco Pearson is Professor of Agriculural Economics a he Food Research Insiue, Sanford Universiy. He has paricipaed in projecs

More information

Estimation of standard error of the parameter of change using simulations

Estimation of standard error of the parameter of change using simulations Esimaion of sandard error of he parameer of change using simulaions Djordje PETKOIC Saisical Offi ce of he Republic of Serbia ABSTRACT The main objecive of his paper is o presen he procedure for esimaing

More information

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA

VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA 64 VOLATILITY CLUSTERING, NEW HEAVY-TAILED DISTRIBUTION AND THE STOCK MARKET RETURNS IN SOUTH KOREA Yoon Hong, PhD, Research Fellow Deparmen of Economics Hanyang Universiy, Souh Korea Ji-chul Lee, PhD,

More information

Labor Cost and Sugarcane Mechanization in Florida: NPV and Real Options Approach

Labor Cost and Sugarcane Mechanization in Florida: NPV and Real Options Approach Labor Cos and Sugarcane Mechanizaion in Florida: NPV and Real Opions Approach Nobuyuki Iwai Rober D. Emerson Inernaional Agriculural Trade and Policy Cener Deparmen of Food and Resource Economics Universiy

More information

Effect of Probabilistic Backorder on an Inventory System with Selling Price Demand Under Volume Flexible Strategy

Effect of Probabilistic Backorder on an Inventory System with Selling Price Demand Under Volume Flexible Strategy Inernaional Transacions in Mahemaical Sciences and compuers July-December 0, Volume 5, No., pp. 97-04 ISSN-(Prining) 0974-5068, (Online) 0975-75 AACS. (www.aacsjournals.com) All righ reserved. Effec of

More information

Table 3. Yearly Timeline of Release Dates Last Quarter Included Release Date Fourth Quarter of T-1 First full week of April of T First Quarter of T

Table 3. Yearly Timeline of Release Dates Last Quarter Included Release Date Fourth Quarter of T-1 First full week of April of T First Quarter of T 3 Mehodological Approach 3.1 Timing of Releases The inernaional house price daabase is updaed quarerly, bu we face grea heerogeneiy in he iming of each counry s daa releases. We have found a significan

More information

Appendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet.

Appendix B: DETAILS ABOUT THE SIMULATION MODEL. contained in lookup tables that are all calculated on an auxiliary spreadsheet. Appendix B: DETAILS ABOUT THE SIMULATION MODEL The simulaion model is carried ou on one spreadshee and has five modules, four of which are conained in lookup ables ha are all calculaed on an auxiliary

More information

Price and Volume Measures

Price and Volume Measures 8 Price and Volume Measures Price and volume measures in he QNA should be derived from observed price and volume daa and be consisen wih corresponding annual measures. This chaper examines specific aspecs

More information

Organize your work as follows (see book): Chapter 3 Engineering Solutions. 3.4 and 3.5 Problem Presentation

Organize your work as follows (see book): Chapter 3 Engineering Solutions. 3.4 and 3.5 Problem Presentation Chaper Engineering Soluions.4 and.5 Problem Presenaion Organize your work as follows (see book): Problem Saemen Theory and Assumpions Soluion Verificaion Tools: Pencil and Paper See Fig.. in Book or use

More information

Improving Data Association Based on Finding Optimum Innovation Applied to Nearest Neighbor for Multi-Target Tracking in Dense Clutter Environment

Improving Data Association Based on Finding Optimum Innovation Applied to Nearest Neighbor for Multi-Target Tracking in Dense Clutter Environment IJCSI Inernaional Journal of Compuer Science Issues, Vol., Issue 3, No., May ISSN (Online): 64-4 46 Improving Daa Associaion Based on Finding Opimum Innovaion Applied o Neares Neighbor for Muli-Targe Tracking

More information

Available online at Math. Finance Lett. 2014, 2014:1 ISSN

Available online at  Math. Finance Lett. 2014, 2014:1 ISSN Available online a hp://scik.org Mah. Finance Le. 04 04: ISSN 05-99 CLOSED-FORM SOLUION FOR GENERALIZED VASICEK DYNAMIC ERM SRUCURE MODEL WIH IME-VARYING PARAMEERS AND EXPONENIAL YIELD CURVES YAO ZHENG

More information

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS

OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Kuwai Chaper of Arabian Journal of Business and Managemen Review Vol. 3, No.6; Feb. 2014 OPTIMUM FISCAL AND MONETARY POLICY USING THE MONETARY OVERLAPPING GENERATION MODELS Ayoub Faramarzi 1, Dr.Rahim

More information

Uzawa(1961) s Steady-State Theorem in Malthusian Model

Uzawa(1961) s Steady-State Theorem in Malthusian Model MPRA Munich Personal RePEc Archive Uzawa(1961) s Seady-Sae Theorem in Malhusian Model Defu Li and Jiuli Huang April 214 Online a hp://mpra.ub.uni-muenchen.de/55329/ MPRA Paper No. 55329, posed 16. April

More information

An Analysis of Trend and Sources of Deficit Financing in Nepal

An Analysis of Trend and Sources of Deficit Financing in Nepal Economic Lieraure, Vol. XII (8-16), December 014 An Analysis of Trend and Sources of Defici Financing in Nepal Deo Narayan Suihar ABSTRACT Defici financing has emerged as an imporan ool of financing governmen

More information

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions.

Midterm Exam. Use the end of month price data for the S&P 500 index in the table below to answer the following questions. Universiy of Washingon Winer 00 Deparmen of Economics Eric Zivo Economics 483 Miderm Exam This is a closed book and closed noe exam. However, you are allowed one page of handwrien noes. Answer all quesions

More information

Econ 546 Lecture 4. The Basic New Keynesian Model Michael Devereux January 2011

Econ 546 Lecture 4. The Basic New Keynesian Model Michael Devereux January 2011 Econ 546 Lecure 4 The Basic New Keynesian Model Michael Devereux January 20 Road map for his lecure We are evenually going o ge 3 equaions, fully describing he NK model The firs wo are jus he same as before:

More information

Description of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM )

Description of the CBOE S&P 500 2% OTM BuyWrite Index (BXY SM ) Descripion of he CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) Inroducion. The CBOE S&P 500 2% OTM BuyWrie Index (BXY SM ) is a benchmark index designed o rack he performance of a hypoheical 2% ou-of-he-money

More information

On Monte Carlo Simulation for the HJM Model Based on Jump

On Monte Carlo Simulation for the HJM Model Based on Jump On Mone Carlo Simulaion for he HJM Model Based on Jump Kisoeb Park 1, Moonseong Kim 2, and Seki Kim 1, 1 Deparmen of Mahemaics, Sungkyunkwan Universiy 44-746, Suwon, Korea Tel.: +82-31-29-73, 734 {kisoeb,

More information

Output: The Demand for Goods and Services

Output: The Demand for Goods and Services IN CHAPTER 15 how o incorporae dynamics ino he AD-AS model we previously sudied how o use he dynamic AD-AS model o illusrae long-run economic growh how o use he dynamic AD-AS model o race ou he effecs

More information

The macroeconomic effects of fiscal policy in Greece

The macroeconomic effects of fiscal policy in Greece The macroeconomic effecs of fiscal policy in Greece Dimiris Papageorgiou Economic Research Deparmen, Bank of Greece Naional and Kapodisrian Universiy of Ahens May 22, 23 Email: dpapag@aueb.gr, and DPapageorgiou@bankofgreece.gr.

More information

ECON Lecture 5 (OB), Sept. 21, 2010

ECON Lecture 5 (OB), Sept. 21, 2010 1 ECON4925 2010 Lecure 5 (OB), Sep. 21, 2010 axaion of exhausible resources Perman e al. (2003), Ch. 15.7. INODUCION he axaion of nonrenewable resources in general and of oil in paricular has generaed

More information

Multi-Time-Scale Decision Making for Strategic Agent Interactions

Multi-Time-Scale Decision Making for Strategic Agent Interactions Proceedings of he 2010 Indusrial Engineering Research Conference A. Johnson and J. Miller eds. Muli-Time-Scale Decision Making for Sraegic Agen Ineracions Chrisian Wernz Virginia Tech Blacksburg VA 24060

More information

VERIFICATION OF ECONOMIC EFFICIENCY OF LIGNITE DEPOSIT DEVELOPMENT USING THE SENSITIVITY ANALYSIS

VERIFICATION OF ECONOMIC EFFICIENCY OF LIGNITE DEPOSIT DEVELOPMENT USING THE SENSITIVITY ANALYSIS 1 Beaa TRZASKUŚ-ŻAK 1, Kazimierz CZOPEK 2 MG 3 1 Trzaskuś-Żak Beaa PhD. (corresponding auhor) AGH Universiy of Science and Technology Faculy of Mining and Geoengineering Al. Mickiewicza 30, 30-59 Krakow,

More information

DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń Krzysztof Jajuga Wrocław University of Economics

DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń Krzysztof Jajuga Wrocław University of Economics DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus Universiy Toruń 2006 Krzyszof Jajuga Wrocław Universiy of Economics Ineres Rae Modeling and Tools of Financial Economerics 1. Financial Economerics

More information

Problem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000.

Problem Set 1 Answers. a. The computer is a final good produced and sold in Hence, 2006 GDP increases by $2,000. Social Analysis 10 Spring 2006 Problem Se 1 Answers Quesion 1 a. The compuer is a final good produced and sold in 2006. Hence, 2006 GDP increases by $2,000. b. The bread is a final good sold in 2006. 2006

More information

Capital Strength and Bank Profitability

Capital Strength and Bank Profitability Capial Srengh and Bank Profiabiliy Seok Weon Lee 1 Asian Social Science; Vol. 11, No. 10; 2015 ISSN 1911-2017 E-ISSN 1911-2025 Published by Canadian Cener of Science and Educaion 1 Division of Inernaional

More information

INSTITUTE OF ACTUARIES OF INDIA

INSTITUTE OF ACTUARIES OF INDIA INSIUE OF ACUARIES OF INDIA EAMINAIONS 23 rd May 2011 Subjec S6 Finance and Invesmen B ime allowed: hree hours (9.45* 13.00 Hrs) oal Marks: 100 INSRUCIONS O HE CANDIDAES 1. Please read he insrucions on

More information

Advanced Forecasting Techniques and Models: Time-Series Forecasts

Advanced Forecasting Techniques and Models: Time-Series Forecasts Advanced Forecasing Techniques and Models: Time-Series Forecass Shor Examples Series using Risk Simulaor For more informaion please visi: www.realopionsvaluaion.com or conac us a: admin@realopionsvaluaion.com

More information

FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004

FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 FINAL EXAM EC26102: MONEY, BANKING AND FINANCIAL MARKETS MAY 11, 2004 This exam has 50 quesions on 14 pages. Before you begin, please check o make sure ha your copy has all 50 quesions and all 14 pages.

More information

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables

STATIONERY REQUIREMENTS SPECIAL REQUIREMENTS 20 Page booklet List of statistical formulae New Cambridge Elementary Statistical Tables ECONOMICS RIPOS Par I Friday 7 June 005 9 Paper Quaniaive Mehods in Economics his exam comprises four secions. Secions A and B are on Mahemaics; Secions C and D are on Saisics. You should do he appropriae

More information

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg

LIDSTONE IN THE CONTINUOUS CASE by. Ragnar Norberg LIDSTONE IN THE CONTINUOUS CASE by Ragnar Norberg Absrac A generalized version of he classical Lidsone heorem, which deals wih he dependency of reserves on echnical basis and conrac erms, is proved in

More information

Data Mining Algorithms and Statistical Analysis for Sales Data Forecast

Data Mining Algorithms and Statistical Analysis for Sales Data Forecast 22 ifh Inernaional Join Conference on Compuaional Sciences and Opimizaion Daa Mining Algorihms and Saisical Analysis for Sales Daa orecas Lin Wu; JinYao Yan;YuanJing an Deparmen of Compuer and Nework Communicaion

More information

Importance of the macroeconomic variables for variance. prediction: A GARCH-MIDAS approach

Importance of the macroeconomic variables for variance. prediction: A GARCH-MIDAS approach Imporance of he macroeconomic variables for variance predicion: A GARCH-MIDAS approach Hossein Asgharian * : Deparmen of Economics, Lund Universiy Ai Jun Hou: Deparmen of Business and Economics, Souhern

More information

Market risk VaR historical simulation model with autocorrelation effect: A note

Market risk VaR historical simulation model with autocorrelation effect: A note Inernaional Journal of Banking and Finance Volume 6 Issue 2 Aricle 9 3--29 Marke risk VaR hisorical simulaion model wih auocorrelaion effec: A noe Wananee Surapaioolkorn SASIN Chulalunkorn Universiy Follow

More information

A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA

A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA 1 1 1 1 1 1 1 1 0 1 A NOVEL MODEL UPDATING METHOD: UPDATING FUNCTION MODEL WITH GROSS DOMESTIC PRODUCT PER CAPITA Nobuhiro Graduae School of Business Adminisraion, Kobe Universiy, Japan -1 Rokkodai-cho,

More information