UWB Indoor Delay Profile Model For Residential and Commercial Environments

Size: px
Start display at page:

Download "UWB Indoor Delay Profile Model For Residential and Commercial Environments"

Transcription

1 UWB Indoor Delay Profle Model For Resdental and Commercal Envronments S.S. Ghassemzadeh 1, L. J. Greensten, A. Kavčć 3, T. Svensson 3, V. Tarokh 3 Abstract We present a statstcal model for the delay profle of ultra-wdeband channels n ndoor envronments. Two knds of profles are defned, namely the multpath ntensty profle (MIP) and the power delay profle (PDP). The MIP s he delay profle at a pont n space, whle the PDP s a local spatal average. The model s based on 6, complex frequency response measurements from commercal buldngs and resdental homes, wth the transmtter and recever both n lne-of-sght (LOS) and non-lne-of-sght (NLS) of each other. Smulatons usng the PDP model show excellent statstcal agreement wth the measured data. Index Te Multpath Intensty Profle, multpath fadng, Power Delay Profle, root mean square delay spread, UWB. I. INTRODUCTION ne proposed applcaton of Ultra-Wdeband (UWB) O technology s to wreless personal area networks (WPAN), where the workng envronment would be nsde resdental and commercal buldngs [1]. To characterze the rado channel of such envronments over ultra-wde bandwdths, we conducted measurements n sngle-famly dwellngs and commercal locatons, spannng a frequency range from to 8 GHz. Large-scale propagaton results from these measurements, specfcally the path loss, are reported n a companon paper []. In ths paper, we report on the features of small-scale propagaton, specfcally the delay profle. Several statstcal models for UWB channel behavor have been proposed, both n standards contrbutons (e.g., [3]) and n publshed papers [4]-[7]. Here, we buld on the delay profle modelng approaches taken n [6] and [7], whch were based on extensve measurements taken n homes and centered on 5 GHz. The dfferences n our new database are three-fold: (1) The measurement bandwdth s 6 GHz, rather than 1.5 GHz; () commercal buldngs are measured n addton to homes; and (3) measurements are made at Ths materal s based upon research supported n part by the Natonal Scence Foundaton under the grant No. CCR and Alan T. Waterman award, grant No. CCR Any opnons, fndngs and conclusons or recommendaton expressed n ths publcaton are those of the authors and do not necessary reflect the vews of the Natonal Scence Foundaton. S.S. Ghassemzadeh (saeedg@research.att.com, correspondng author) s wth AT&T Labs-Research, Florham Park, NJ, USA. L.J. Greensten s wth WINLAB-Rutgers Unversty, Pscataway, NJ, USA. A. Kavčć, T. Svensson and V. Tarokh are wth the Dvson of Engneerng and Appled Scences, Harvard Unversty, Cambrdge MA, USA spatal postons about each nomnal locaton. The mpact of the latter change s that t permts us to estmate the power delay profle (PDP), whch s the local spatal average of the squared magntude of the mpulse response (normalzed to have an area, over delay, of 1). The quantty modeled n [6] and [7] was the PDP at a sngle pont, whch we called the multpath ntensty profle (MIP). Here, we model both the PDP and MIP, for both lne-of-sght (LOS) and non-lne-ofsght (NLS) paths. Our prmary nterest, however, s the PDP. The paper s organzed as follows: Secton II descrbes our MIP modelng and ts extenson to PDP modelng. Secton III descrbes the data collecton and reducton. Secton IV derves the models and quantfes ther parameter values. In Secton V, PDP models are presented, for both LOS and NLS paths, and are used to smulate a new database of complex frequency responses that well-matches the measured data. A. Defntons II. MODELING BACKGROUND Multpath channels are assumed to be lnear and thus completely defned by ther mpulse responses. The tme- and locaton-dependent mpulse response for a gven transmtreceve path can be wrtten as = j (,, t d) ht (,, d) = a( t,, de ) φ δ( - ) where a (t,,d) and φ (t,,d) are the ampltude and phase of the th multpath, arrvng wth excess tme delay ; d s the path length; and L s the number of resolvable multpaths. The mpulse responses of ndoor UWB channels have been shown to be essentally tme-nvarant [5], whch allows us to defne the tme-nvarant multpath ntensty profle for a gven recever poston as X( ) = P δ ( - ) () where = P = and P = 1 (3) a = a = Two key parameters used to characterze multpath are the (1)

2 Fg. 1. Scatter plot of α vs. d for NLS paths: a) Resdental, b) Commercal. mean excess delay,, and the delay spread,, defned as L 1 L 1 P and P ( ) (4) = = = = Snce the MIP, (), s non-negatve and ntegrates to 1, t has the propertes of a probablty dstrbuton over the delay parameter,. Then, and can be vewed as the frst moment and second central moment, respectvely, of the MIP. All of the above concernng the MIP apples equally to the PDP, wth one dfference: Each a n (3) s replaced by ts local spatal average value. In our measurements [] and data reductons, 5 values of a are obtaned for each delay (ndexed by ), correspondng to 5 spatal postons on a cm cm grd for each nomnal locaton. Ther numercal average s our estmate of the local spatal average of a. In what follows, the MIP and PDP are statstcally modeled usng the same process. For the MIP, only one pont on the 5-pont grd s used; n the PDP case, all are used. B. Mathematcal Form Followng [6] and [7], we treat the delay profle (MIP or PDP) as a decayng exponental over delay, multpled by a lognormal process over delay. In db form, the MIP s P C = K-α + S > K-α + S } = for LOS fornls where P represents the db values of P n (3), C, K and α are constants defnng the medan profle, and s a (5) Fg.. Scatter plot of g vs. for NLS paths: a) Resdental, b) Commercal. normalzng parameter, so that α s dmensonless. (Our choce for s dscussed later.) The devatons from ths medan are characterzed by a zero-mean, normally dstrbuted random process, S, wth standard devaton σ s. It can therefore be wrtten as S = y σ s, where y s a zero-mean, unt-varance normal random process on. The man dfference between LOS and NLS profles s the strong term C at the lowest delay ( = ) for LOS paths, correspondng to the drect ray from transmtter to recever. The model n [6] fts (5) to the data for each locaton; produces a common set of parameters for all locatons n a gven home; and then derves the dstrbutons, over all homes, of the extracted parameters. The model n [7] provdes a more n-depth characterzaton (as explaned below) and acheves ths by frst poolng the data over all homes. In the present study, we apply the more detaled model of [7] to each resdental (or commercal) buldng separately, and then characterze the varaton over buldngs of the extracted parameters. III. DATA COLLECTION AND REDUCTION We used a network analyzer to measure complex frequency responses centered at 5 GHz, over a measurement bandwdth of 6 GHz. Data were collected n homes and commercal buldng stes, both on LOS and NLS paths. For each buldng type and path type, we chose about 3 receve locatons, wth transmtter-to-recever separatons rangng from.8 m to 1.5 m. For each locaton, we made 5 spatal measurements on a cm x cm horzontal grd. The total database thus conssted of about 6, complex frequency responses. For each measurement, we dd the followng:

3 We removed the effects of hardware by usng the stored calbraton data. Ths ncluded the antenna patterns. We performed a 161-pont nverse-fourer transform, resultng n a complex mpulse response wth tme delay rangng from ns to 66 ns, wth a bn sze of ps. We computed the magntude-square of the complex mpulse responses. We estmated the frst multpath arrval and shfted the responses n tme so that the frst arrval tme corresponds to ns. For each locaton, we ether used the data from the center of the grd only, to get the local MIP; or averaged the squared magntudes over all 5 grd postons, to get the local PDP. Fnally, we normalzed the profle to acheve unt area wth a nose floor of about 1 db above the measurement equpment s average nose-floor. The populaton of derved delay profles s a set, correspondng to two buldng types (resdental and commercal) and two path types (LOS and NLS), wth about 6 locatons measured for each combnaton. In each of the four categores, we developed a statstcal model for both the MIP and the PDP. The remander of the paper descrbes these models and the comparsons among them. A. Delay Spread Statstcs IV. MODEL FITTING Usng (4), we computed the delay spread statstcs for ndvdual profles. Table I shows the statstcs of for resdental and commercal buldngs. For ndvdual locatons, we notced that the delay spread found from ether the MIP or ts correspondng PDP was smlar. In fttng data to (5), we use the same value for over all profles wthn a common category of path type (LOS or NLS) and buldng type (resdental or commercal). The value we use for each category s the average of the values n Table I for MIPs and PDPs. B. Intra-Buldng Model Fttng As a startng pont, we ft (5) to all measured profles. The result s a parameter set χ 1 ={C n,m,α n,m,σ S,n,m,d n,m,y n,m }, where m s an ndex over locatons wthn buldng n, and d n,m s the correspondng T-R separatons. The vector y n,m ncludes all y taken from buldng n and locaton m. We confrmed that y n has a Gaussan dstrbuton as reported earler n [6] and [7]. We do not nclude the analyss of the constant K, snce t s unquely specfed by the unt summaton constrant. Slope dependence on dstance: The dependence between the slope {α m } n and T-R separaton {d m } n (over all locatons m wthn the buldng n) s modeled as α ( d ) = α -γ log ( d ) + ε (6) m m 1 m where α and γ are constants and ε s a zero-mean Gaussan random varaton wth standard devaton σ ε. The parameter α s the average slope at the reference dstance of 1 meter and γ captures the average slope decay wth dstance. Fg. 1 shows the scatter plot of α m vs. d m for NLS paths n typcal resdental and commercal settngs. The result of fttng (6) to a sngle buldng ndexed by n s the parameter set χ ={α,n,γ n,σ ε,n }. Power dependence of the frst return on dstance: On LOS paths, the dependency between the power of the frst multpath {C m } n and the T-R separaton {d m } n, s modeled as C ( d ) = C -γ log ( d ) + ε, (7) m m C 1 m C where C and γ C are constants characterzng the average power of the frst multpath at 1 meter, and ts decay wth dstance, respectvely. The random varaton ε C s zero-mean Gaussan, wth standard devaton σ C. Fttng (7) results n another set of parameters χ 3 ={C,n,γ C,n,σ C,n }. Multpath correlaton: We fnd the multpath correlaton from the vector y n usng the same method as n [7]. We confrm that the correlaton between multpaths arrvng wth a separaton of k bns can be modeled by an exponentally decayng functon, 1 ρy ( k ) a e = -bk > k =, (8) k where a and b are constants. The result s a set of correlaton varables χ 4 ={a n,b n } over buldngs ndexed by n. Small-scale shadowng: Smlar to [7], we decompose the random process y as y g x = (9) where x s a statonary zero-mean, unt-varance Gaussan varaton and g s a determnstc functon of ndex. From the vector y n, we analyzed g separately for each buldng and found t to be an exponental functon of tme delay, Table I: DELAY CHARACTERISTICS FOR RESIDENTIAL AND COMMERCIAL BUILDINGS Resdental Commercal σ σ M LOS I P NLS P LOS D P NLS

4 Table II. STATISTICS OF MODEL PARAMETERS ACROSS RESIDENTIAL BUILDINGS LOS MIP NLS MIP LOS PDP NLS PDP Set Parameter Mean Std Mean Std Mean Std Mean Std α χ γ σ ε C NA NA NA NA χ 3 γ C NA NA NA NA σ C NA NA.84. NA NA χ 4 a b σ χ 5 β σ S exp,. (1) g = σ β Fg. llustrates the scatter plot of g vs. for NLS paths n typcal resdental and commercal buldngs. We estmated the parameters σ and β for each buldng, and found σ S,n as the sample average of σ S,n,m (set χ 1 ) over dfferent locatons m for buldng n. The result s the parameter set χ 5 ={σ,n,β n,σ S,n }. C. Model Parameter Statstcs The sets χ, χ 3, χ 4 and χ 5 have model parameters for the full model, ftted to ndvdual buldngs. The statstcs for the model parameters, over all buldngs, are summarzed n Tables II and III for resdental and commercal buldngs, respectvely. We summarze our fndngs as follows. Slope dependency on dstance: From the set χ, we see that α s hgher for PDPs (faster decay) than for the MIPs; also that γ changes sgnfcantly between buldngs and s nversely correlated wth α. The cross-correlaton coeffcent between α and γ s hgh (>.54) for both MIPs and PDPs. We fnd α to approxmately follow a Gamma dstrbuton over buldngs, as does ˆ γ = γ + 1. Fg. 3 shows the dstrbuton of ˆ γ over buldngs for NLS resdental and commercal envronments. The result s the same for LOS paths. We fnd σ ε to have less varaton between buldngs than α and γ, and to be uncorrelated wth both of them. Power dependency of frst return on dstance: We fnd C and σ C from χ 3, to be constant over buldngs. The slope γ C shows varaton between buldngs that can be modeled usng a Gaussan dstrbuton. Multpath correlaton: We found that the correlaton between adjacent multpaths s generally small for MIPs. The mean of a (average correlaton between two adjacent multpaths) s below.35 n all envronments. Comparng the correlaton for commercal and resdental buldngs, we fnd resdental buldngs to show sgnfcantly more correlaton than commercal buldngs. Also, the correlatons are 1 We add to γ to ncorporate negatve values of γ nto the one-sded gamma dstrbuton. substantally hgher for PDPs wth the mean of a rangng from.54 to.86 over all envronments. Tme delay dependence on model varatons: We fnd the parameters σ, β and σ S, to vary nsgnfcantly between buldngs. Also, σ S s smaller for PDPs than for MIPs. The key dfferences between the MIP and PDP models resde n the decay constant α, the lognormal standard devaton σ S, and the correlatons between paths. All these dfferences are explanable n te of the averagng used to estmate the PDPs, whch smooths both spatal varatons and the effects of nose. Hereafter, we focus on the PDPs. D. Key Parameters n a Smplfed Model A new PDP model can be constructed usng the complete statstcal characterstcs of the channel. Ths approach s not chosen snce t would result n hgh model complexty wthout suffcent ncrease n accuracy. Instead, we have chosen to lmt the number of model parameters, focusng on capturng the key features of the PDPs. From the results of the prevous secton and from model smulaton experments, we conclude that a smplfed model Fg 3. Dstrbuton of ˆ γ for NLS paths: Resdental (b) Commercal.

5 TABLE III. STATISTICS OF MODEL PARAMETERS ACROSS COMMERCIAL BUILDINGS LOS MIP NLS MIP LOS PDP NLS PDP Set Parameter Mean Std Mean Std Mean Std Mean Std α χ γ σ ε C NA NA NA NA χ 3 γ C.45.6 NA NA NA NA σ C NA NA.88. NA NA χ 4 a b σ χ 5 β σ S can be constructed usng the parameters gven n Tables II and III. The model components are as follows. Parameters at the reference dstance: We characterze the parameter α n (6) as a constant wth value fxed to ts mean from Tables II and III. For LOS paths, we smlarly defne C to be fxed. Buldng dependency: We fnd γ and γ C to vary between buldngs. We characterze γ by the random varable γ = γˆ, where ˆ γ has a gamma probablty dstrbuton wth densty ˆ γ A 1 B 1 p( ˆ γ AB, ) = ˆ γ e (11) A B Γ( A) and Γ(A) s the gamma functon Γ ( A) = ( A 1)! (1) The constants A and B are gven n Table IV. For model smplcty, we fx γ C to ts mean value for each buldng type. Dstance dependency: We can capture the random effects of locaton (T-R separaton) wthn a buldng on the slope α and frst LOS path gan C. We do so va zero-mean Gaussan random varatons ε and ε C, wth standard devatons σ ε and σ C, respectvely. The parameters σ ε and σ C are fxed to ther mean values for each buldng type. Small-scale shadowng: For model smplcty, we set g at 1 over all (.e., y has the same varance over all ), elmnatng parameters σ and β. Also, we fx the correlaton parameters a and b at ther mean values, gven n Tables II and III. A. NLS Paths V. PDP MODEL AND SIMULATIONS Combnng our fndngs, we construct the overall NLS PDP model from (5) to (1) as ( ) P(, d) = K α + γ log d + ε + σ x 1 S (13) The model parameters are summarzed n Tables IV. Agan, the constant K, s found from the unt summaton constrant on the PDP. B. LOS Paths From (5), we see that the LOS PDP model s based on the model for NLS envronment for all multpaths except the frst one. We characterze the frst multpath by usng (8). Then the complete model s gven as C γc log 1( d) + εc for = P(, d) = K α + Otherwse γ log 1( d ) + ε + σs x (14) where the model parameters are summarzed Table IV. As for the NLS model, K s found such that the unt sum constrant s satsfed. C. Smulatons We smulate the PDPs from (13) and (14) for the same number of buldngs and set of dstances as n our database. For smulaton purposes, we frst select ether commercal or resdental buldngs, and then ether NLS or LOS paths, and then choose the approprate parameter values from Table IV. We then generate realzatons of γ (for buldngs). For each realzaton of γ, we generate 75 realzatons of ε (3 T- R separatons and 5 grd postons) and 75 realzatons of ε C f LOS paths are beng smulated. For each realzaton of ε, we generate 1 values of x (for multpaths wth excess delay of to ns), and construct a sngle PDP. Our am s to calculate certan statstcs from the smulated database of delay profles and to compare them wth those obtaned from TABLE IV. MODEL PARAMETERS VALUES. Resdental Commercal LOS NLS LOS NLS α A B σ ε C 4.7 NA 4.68 NA γ C 1.35 NA.38 NA σ C.84 NA.88 NA a b σ S

6 Fgure 5. Commulatve dstrbutons of delay spread n resdental buldngs Fgure 4. Average profles for NLS paths: a) Resdental, b) Commercal. the measured database. The average PDP for NLS paths n resdental and commercal buldngs are shown n Fg. 4. Probablty dstrbutons of the delay spread n resdental buldngs, for both LOS and NLS paths, are gven n Fg. 5. In these comparsons of smulated and measured data, we fnd that the model perfo very well,.e., captures key statstcal propertes of the channel. Further comparsons are n progress. VI. CONCLUSION We have shown how deas from two separate UWB multpath channel models, can be combned to capture detaled characterstcs of the multpath channel and the statstcal varablty between buldngs. Model smulatons demonstrate good performance n capturng channel propertes. Further data collecton for both knds of buldngs would be helpful n confrmng model stablty. Meanwhle, testng of the model s contnung. Also, further data reductons, to characterze the spatal statstcs at a locaton, would help to enrch the model. REFERENCES [1] IEEE , IEEE standard for wreless personal networks (WPAN), URL: [] S.S. Ghassemzadeh, L.J. Greensten, A. Kavcc, T. Svensson, V. Tarokh, Statstcal path loss model for resdental and commercal buldngs, Proceedngs IEEE VTC Fall 3, October 3. [3] Channel-Modelng-Subcommttee-Report for IEEE-8.15.SG3a- URL: [4] D. Cassol, M.Z. Wn and A. Molsch, The ultra-wde bandwdth ndoor channel: from statstcal model to smulatons, IEEE J. Sel. Areas Commun., Aug.. [5] S.S. Ghassemzadeh, et.al., Measurement and modelng of an ultrawdeband ndoor channel, IEEE Trans. on Commun., to appear. [6] S.S. Ghassemzadeh, L.J. Greensten, T. Svensson, and V. Tarokh, A multpath ntensty profle model for resdental, Proceedngs IEEE WCNC-3, March 3. [7], An mpulse response model for resdental wreless channels, Proceedngs IEEE Globecom, December 3, to appear. ACKNOWLEDGEMENT The authors thank Dr. Alexander Hamovch and Dr. Ham Grebel for use of ther anechoc chamber at the New Jersey Insttute of Technology; Mr. Chrs Rce of AT&T Labs- Research, for valuable comments and suggestons on the hardware set-up; and lastly but not least, all the homeowners from AT&T Labs and Harvard Unversty who gracously allowed us to nvade ther premses wth our measurements.

MgtOp 215 Chapter 13 Dr. Ahn

MgtOp 215 Chapter 13 Dr. Ahn MgtOp 5 Chapter 3 Dr Ahn Consder two random varables X and Y wth,,, In order to study the relatonshp between the two random varables, we need a numercal measure that descrbes the relatonshp The covarance

More information

Tests for Two Correlations

Tests for Two Correlations PASS Sample Sze Software Chapter 805 Tests for Two Correlatons Introducton The correlaton coeffcent (or correlaton), ρ, s a popular parameter for descrbng the strength of the assocaton between two varables.

More information

3: Central Limit Theorem, Systematic Errors

3: Central Limit Theorem, Systematic Errors 3: Central Lmt Theorem, Systematc Errors 1 Errors 1.1 Central Lmt Theorem Ths theorem s of prme mportance when measurng physcal quanttes because usually the mperfectons n the measurements are due to several

More information

Linear Combinations of Random Variables and Sampling (100 points)

Linear Combinations of Random Variables and Sampling (100 points) Economcs 30330: Statstcs for Economcs Problem Set 6 Unversty of Notre Dame Instructor: Julo Garín Sprng 2012 Lnear Combnatons of Random Varables and Samplng 100 ponts 1. Four-part problem. Go get some

More information

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost Tamkang Journal of Scence and Engneerng, Vol. 9, No 1, pp. 19 23 (2006) 19 Economc Desgn of Short-Run CSP-1 Plan Under Lnear Inspecton Cost Chung-Ho Chen 1 * and Chao-Yu Chou 2 1 Department of Industral

More information

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique.

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique. 1.7.4 Mode Mode s the value whch occurs most frequency. The mode may not exst, and even f t does, t may not be unque. For ungrouped data, we smply count the largest frequency of the gven value. If all

More information

Evaluating Performance

Evaluating Performance 5 Chapter Evaluatng Performance In Ths Chapter Dollar-Weghted Rate of Return Tme-Weghted Rate of Return Income Rate of Return Prncpal Rate of Return Daly Returns MPT Statstcs 5- Measurng Rates of Return

More information

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers II. Random Varables Random varables operate n much the same way as the outcomes or events n some arbtrary sample space the dstncton s that random varables are smply outcomes that are represented numercally.

More information

/ Computational Genomics. Normalization

/ Computational Genomics. Normalization 0-80 /02-70 Computatonal Genomcs Normalzaton Gene Expresson Analyss Model Computatonal nformaton fuson Bologcal regulatory networks Pattern Recognton Data Analyss clusterng, classfcaton normalzaton, mss.

More information

Understanding price volatility in electricity markets

Understanding price volatility in electricity markets Proceedngs of the 33rd Hawa Internatonal Conference on System Scences - 2 Understandng prce volatlty n electrcty markets Fernando L. Alvarado, The Unversty of Wsconsn Rajesh Rajaraman, Chrstensen Assocates

More information

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode.

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode. Part 4 Measures of Spread IQR and Devaton In Part we learned how the three measures of center offer dfferent ways of provdng us wth a sngle representatve value for a data set. However, consder the followng

More information

A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME

A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME Vesna Radonć Đogatovć, Valentna Radočć Unversty of Belgrade Faculty of Transport and Traffc Engneerng Belgrade, Serba

More information

Physics 4A. Error Analysis or Experimental Uncertainty. Error

Physics 4A. Error Analysis or Experimental Uncertainty. Error Physcs 4A Error Analyss or Expermental Uncertanty Slde Slde 2 Slde 3 Slde 4 Slde 5 Slde 6 Slde 7 Slde 8 Slde 9 Slde 0 Slde Slde 2 Slde 3 Slde 4 Slde 5 Slde 6 Slde 7 Slde 8 Slde 9 Slde 20 Slde 2 Error n

More information

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan Spatal Varatons n Covarates on Marrage and Martal Fertlty: Geographcally Weghted Regresson Analyses n Japan Kenj Kamata (Natonal Insttute of Populaton and Socal Securty Research) Abstract (134) To understand

More information

Tests for Two Ordered Categorical Variables

Tests for Two Ordered Categorical Variables Chapter 253 Tests for Two Ordered Categorcal Varables Introducton Ths module computes power and sample sze for tests of ordered categorcal data such as Lkert scale data. Assumng proportonal odds, such

More information

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS QUESTIONS 9.1. (a) In a log-log model the dependent and all explanatory varables are n the logarthmc form. (b) In the log-ln model the dependent varable

More information

Chapter 3 Student Lecture Notes 3-1

Chapter 3 Student Lecture Notes 3-1 Chapter 3 Student Lecture otes 3-1 Busness Statstcs: A Decson-Makng Approach 6 th Edton Chapter 3 Descrbng Data Usng umercal Measures 005 Prentce-Hall, Inc. Chap 3-1 Chapter Goals After completng ths chapter,

More information

Random Variables. b 2.

Random Variables. b 2. Random Varables Generally the object of an nvestgators nterest s not necessarly the acton n the sample space but rather some functon of t. Techncally a real valued functon or mappng whose doman s the sample

More information

Capability Analysis. Chapter 255. Introduction. Capability Analysis

Capability Analysis. Chapter 255. Introduction. Capability Analysis Chapter 55 Introducton Ths procedure summarzes the performance of a process based on user-specfed specfcaton lmts. The observed performance as well as the performance relatve to the Normal dstrbuton are

More information

4. Greek Letters, Value-at-Risk

4. Greek Letters, Value-at-Risk 4 Greek Letters, Value-at-Rsk 4 Value-at-Rsk (Hull s, Chapter 8) Math443 W08, HM Zhu Outlne (Hull, Chap 8) What s Value at Rsk (VaR)? Hstorcal smulatons Monte Carlo smulatons Model based approach Varance-covarance

More information

Notes on experimental uncertainties and their propagation

Notes on experimental uncertainties and their propagation Ed Eyler 003 otes on epermental uncertantes and ther propagaton These notes are not ntended as a complete set of lecture notes, but nstead as an enumeraton of some of the key statstcal deas needed to obtan

More information

Likelihood Fits. Craig Blocker Brandeis August 23, 2004

Likelihood Fits. Craig Blocker Brandeis August 23, 2004 Lkelhood Fts Crag Blocker Brandes August 23, 2004 Outlne I. What s the queston? II. Lkelhood Bascs III. Mathematcal Propertes IV. Uncertantes on Parameters V. Mscellaneous VI. Goodness of Ft VII. Comparson

More information

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics Lmted Dependent Varable Models: Tobt an Plla N 1 CDS Mphl Econometrcs Introducton Lmted Dependent Varable Models: Truncaton and Censorng Maddala, G. 1983. Lmted Dependent and Qualtatve Varables n Econometrcs.

More information

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates Secton on Survey Research Methods An Applcaton of Alternatve Weghtng Matrx Collapsng Approaches for Improvng Sample Estmates Lnda Tompkns 1, Jay J. Km 2 1 Centers for Dsease Control and Preventon, atonal

More information

A Bootstrap Confidence Limit for Process Capability Indices

A Bootstrap Confidence Limit for Process Capability Indices A ootstrap Confdence Lmt for Process Capablty Indces YANG Janfeng School of usness, Zhengzhou Unversty, P.R.Chna, 450001 Abstract The process capablty ndces are wdely used by qualty professonals as an

More information

A Utilitarian Approach of the Rawls s Difference Principle

A Utilitarian Approach of the Rawls s Difference Principle 1 A Utltaran Approach of the Rawls s Dfference Prncple Hyeok Yong Kwon a,1, Hang Keun Ryu b,2 a Department of Poltcal Scence, Korea Unversty, Seoul, Korea, 136-701 b Department of Economcs, Chung Ang Unversty,

More information

Chapter 3 Descriptive Statistics: Numerical Measures Part B

Chapter 3 Descriptive Statistics: Numerical Measures Part B Sldes Prepared by JOHN S. LOUCKS St. Edward s Unversty Slde 1 Chapter 3 Descrptve Statstcs: Numercal Measures Part B Measures of Dstrbuton Shape, Relatve Locaton, and Detectng Outlers Eploratory Data Analyss

More information

Graphical Methods for Survival Distribution Fitting

Graphical Methods for Survival Distribution Fitting Graphcal Methods for Survval Dstrbuton Fttng In ths Chapter we dscuss the followng two graphcal methods for survval dstrbuton fttng: 1. Probablty Plot, 2. Cox-Snell Resdual Method. Probablty Plot: The

More information

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor

Copyright 2017 by Taylor Enterprises, Inc., All Rights Reserved. Dr. Wayne A. Taylor Taylor Enterprses, Inc. ormalzed Indvduals (I ) Chart Copyrght 07 by Taylor Enterprses, Inc., All Rghts Reserved. ormalzed Indvduals (I) Control Chart Dr. Wayne A. Taylor Abstract: The only commonly used

More information

Cyclic Scheduling in a Job shop with Multiple Assembly Firms

Cyclic Scheduling in a Job shop with Multiple Assembly Firms Proceedngs of the 0 Internatonal Conference on Industral Engneerng and Operatons Management Kuala Lumpur, Malaysa, January 4, 0 Cyclc Schedulng n a Job shop wth Multple Assembly Frms Tetsuya Kana and Koch

More information

UNIVERSITY OF VICTORIA Midterm June 6, 2018 Solutions

UNIVERSITY OF VICTORIA Midterm June 6, 2018 Solutions UIVERSITY OF VICTORIA Mdterm June 6, 08 Solutons Econ 45 Summer A0 08 age AME: STUDET UMBER: V00 Course ame & o. Descrptve Statstcs and robablty Economcs 45 Secton(s) A0 CR: 3067 Instructor: Betty Johnson

More information

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis Appled Mathematcal Scences, Vol. 7, 013, no. 99, 4909-4918 HIKARI Ltd, www.m-hkar.com http://dx.do.org/10.1988/ams.013.37366 Interval Estmaton for a Lnear Functon of Varances of Nonnormal Dstrbutons that

More information

Efficient Sensitivity-Based Capacitance Modeling for Systematic and Random Geometric Variations

Efficient Sensitivity-Based Capacitance Modeling for Systematic and Random Geometric Variations Effcent Senstvty-Based Capactance Modelng for Systematc and Random Geometrc Varatons 16 th Asa and South Pacfc Desgn Automaton Conference Nck van der Mejs CAS, Delft Unversty of Technology, Netherlands

More information

Introduction to PGMs: Discrete Variables. Sargur Srihari

Introduction to PGMs: Discrete Variables. Sargur Srihari Introducton to : Dscrete Varables Sargur srhar@cedar.buffalo.edu Topcs. What are graphcal models (or ) 2. Use of Engneerng and AI 3. Drectonalty n graphs 4. Bayesan Networks 5. Generatve Models and Samplng

More information

Multifactor Term Structure Models

Multifactor Term Structure Models 1 Multfactor Term Structure Models A. Lmtatons of One-Factor Models 1. Returns on bonds of all maturtes are perfectly correlated. 2. Term structure (and prces of every other dervatves) are unquely determned

More information

Alternatives to Shewhart Charts

Alternatives to Shewhart Charts Alternatves to Shewhart Charts CUSUM & EWMA S Wongsa Overvew Revstng Shewhart Control Charts Cumulatve Sum (CUSUM) Control Chart Eponentally Weghted Movng Average (EWMA) Control Chart 2 Revstng Shewhart

More information

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison ISyE 512 hapter 9 USUM and EWMA ontrol harts Instructor: Prof. Kabo Lu Department of Industral and Systems Engneerng UW-Madson Emal: klu8@wsc.edu Offce: Room 317 (Mechancal Engneerng Buldng) ISyE 512 Instructor:

More information

Chapter 5 Student Lecture Notes 5-1

Chapter 5 Student Lecture Notes 5-1 Chapter 5 Student Lecture Notes 5-1 Basc Busness Statstcs (9 th Edton) Chapter 5 Some Important Dscrete Probablty Dstrbutons 004 Prentce-Hall, Inc. Chap 5-1 Chapter Topcs The Probablty Dstrbuton of a Dscrete

More information

Analysis of Variance and Design of Experiments-II

Analysis of Variance and Design of Experiments-II Analyss of Varance and Desgn of Experments-II MODULE VI LECTURE - 4 SPLIT-PLOT AND STRIP-PLOT DESIGNS Dr. Shalabh Department of Mathematcs & Statstcs Indan Insttute of Technology Kanpur An example to motvate

More information

Appendix - Normally Distributed Admissible Choices are Optimal

Appendix - Normally Distributed Admissible Choices are Optimal Appendx - Normally Dstrbuted Admssble Choces are Optmal James N. Bodurtha, Jr. McDonough School of Busness Georgetown Unversty and Q Shen Stafford Partners Aprl 994 latest revson September 00 Abstract

More information

UNIVERSITY OF NOTTINGHAM

UNIVERSITY OF NOTTINGHAM UNIVERSITY OF NOTTINGHAM SCHOOL OF ECONOMICS DISCUSSION PAPER 99/28 Welfare Analyss n a Cournot Game wth a Publc Good by Indraneel Dasgupta School of Economcs, Unversty of Nottngham, Nottngham NG7 2RD,

More information

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE)

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE) May 17, 2016 15:30 Frst famly name: Name: DNI/ID: Moble: Second famly Name: GECO/GADE: Instructor: E-mal: Queston 1 A B C Blank Queston 2 A B C Blank Queston

More information

Price and Quantity Competition Revisited. Abstract

Price and Quantity Competition Revisited. Abstract rce and uantty Competton Revsted X. Henry Wang Unversty of Mssour - Columba Abstract By enlargng the parameter space orgnally consdered by Sngh and Vves (984 to allow for a wder range of cost asymmetry,

More information

Elements of Economic Analysis II Lecture VI: Industry Supply

Elements of Economic Analysis II Lecture VI: Industry Supply Elements of Economc Analyss II Lecture VI: Industry Supply Ka Hao Yang 10/12/2017 In the prevous lecture, we analyzed the frm s supply decson usng a set of smple graphcal analyses. In fact, the dscusson

More information

>1 indicates country i has a comparative advantage in production of j; the greater the index, the stronger the advantage. RCA 1 ij

>1 indicates country i has a comparative advantage in production of j; the greater the index, the stronger the advantage. RCA 1 ij 69 APPENDIX 1 RCA Indces In the followng we present some maor RCA ndces reported n the lterature. For addtonal varants and other RCA ndces, Memedovc (1994) and Vollrath (1991) provde more thorough revews.

More information

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect Transport and Road Safety (TARS) Research Joanna Wang A Comparson of Statstcal Methods n Interrupted Tme Seres Analyss to Estmate an Interventon Effect Research Fellow at Transport & Road Safety (TARS)

More information

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of

occurrence of a larger storm than our culvert or bridge is barely capable of handling? (what is The main question is: What is the possibility of Module 8: Probablty and Statstcal Methods n Water Resources Engneerng Bob Ptt Unversty of Alabama Tuscaloosa, AL Flow data are avalable from numerous USGS operated flow recordng statons. Data s usually

More information

Risk and Return: The Security Markets Line

Risk and Return: The Security Markets Line FIN 614 Rsk and Return 3: Markets Professor Robert B.H. Hauswald Kogod School of Busness, AU 1/25/2011 Rsk and Return: Markets Robert B.H. Hauswald 1 Rsk and Return: The Securty Markets Lne From securtes

More information

Prospect Theory and Asset Prices

Prospect Theory and Asset Prices Fnance 400 A. Penat - G. Pennacch Prospect Theory and Asset Prces These notes consder the asset prcng mplcatons of nvestor behavor that ncorporates Prospect Theory. It summarzes an artcle by N. Barbers,

More information

EDC Introduction

EDC Introduction .0 Introducton EDC3 In the last set of notes (EDC), we saw how to use penalty factors n solvng the EDC problem wth losses. In ths set of notes, we want to address two closely related ssues. What are, exactly,

More information

Global sensitivity analysis of credit risk portfolios

Global sensitivity analysis of credit risk portfolios Global senstvty analyss of credt rsk portfolos D. Baur, J. Carbon & F. Campolongo European Commsson, Jont Research Centre, Italy Abstract Ths paper proposes the use of global senstvty analyss to evaluate

More information

The Integration of the Israel Labour Force Survey with the National Insurance File

The Integration of the Israel Labour Force Survey with the National Insurance File The Integraton of the Israel Labour Force Survey wth the Natonal Insurance Fle Natale SHLOMO Central Bureau of Statstcs Kanfey Nesharm St. 66, corner of Bach Street, Jerusalem Natales@cbs.gov.l Abstact:

More information

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator.

Notes are not permitted in this examination. Do not turn over until you are told to do so by the Invigilator. UNIVERSITY OF EAST ANGLIA School of Economcs Man Seres PG Examnaton 2016-17 BANKING ECONOMETRICS ECO-7014A Tme allowed: 2 HOURS Answer ALL FOUR questons. Queston 1 carres a weght of 30%; queston 2 carres

More information

ECE 586GT: Problem Set 2: Problems and Solutions Uniqueness of Nash equilibria, zero sum games, evolutionary dynamics

ECE 586GT: Problem Set 2: Problems and Solutions Uniqueness of Nash equilibria, zero sum games, evolutionary dynamics Unversty of Illnos Fall 08 ECE 586GT: Problem Set : Problems and Solutons Unqueness of Nash equlbra, zero sum games, evolutonary dynamcs Due: Tuesday, Sept. 5, at begnnng of class Readng: Course notes,

More information

Parallel Prefix addition

Parallel Prefix addition Marcelo Kryger Sudent ID 015629850 Parallel Prefx addton The parallel prefx adder presented next, performs the addton of two bnary numbers n tme of complexty O(log n) and lnear cost O(n). Lets notce the

More information

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8 Department of Economcs Prof. Gustavo Indart Unversty of Toronto November 9, 2006 SOLUTION ECO 209Y MACROECONOMIC THEORY Term Test #1 A LAST NAME FIRST NAME STUDENT NUMBER Crcle your secton of the course:

More information

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8 Department of Economcs Prof. Gustavo Indart Unversty of Toronto November 9, 2006 SOLUTION ECO 209Y MACROECONOMIC THEORY Term Test #1 C LAST NAME FIRST NAME STUDENT NUMBER Crcle your secton of the course:

More information

PASS Sample Size Software. :log

PASS Sample Size Software. :log PASS Sample Sze Software Chapter 70 Probt Analyss Introducton Probt and lot analyss may be used for comparatve LD 50 studes for testn the effcacy of drus desned to prevent lethalty. Ths proram module presents

More information

Statistical Delay Computation Considering Spatial Correlations

Statistical Delay Computation Considering Spatial Correlations Statstcal Delay Computaton Consderng Spatal Correlatons Aseem Agarwal, Davd Blaauw, *Vladmr Zolotov, *Savthr Sundareswaran, *Mn Zhao, *Kaushk Gala, *Rajendran Panda Unversty of Mchgan, Ann Arbor, MI *Motorola,

More information

Calibration Methods: Regression & Correlation. Calibration Methods: Regression & Correlation

Calibration Methods: Regression & Correlation. Calibration Methods: Regression & Correlation Calbraton Methods: Regresson & Correlaton Calbraton A seres of standards run (n replcate fashon) over a gven concentraton range. Standards Comprsed of analte(s) of nterest n a gven matr composton. Matr

More information

Probability distribution of multi-hop-distance in one-dimensional sensor networks q

Probability distribution of multi-hop-distance in one-dimensional sensor networks q Computer etworks (7) 77 79 www.elsever.com/locate/comnet Probablty dstrbuton of mult-hop-dstance n one-dmensonal sensor networks q Serdar Vural *, Eylem Ekc Department of Electrcal and Computer Engneerng,

More information

Clearing Notice SIX x-clear Ltd

Clearing Notice SIX x-clear Ltd Clearng Notce SIX x-clear Ltd 1.0 Overvew Changes to margn and default fund model arrangements SIX x-clear ( x-clear ) s closely montorng the CCP envronment n Europe as well as the needs of ts Members.

More information

OCR Statistics 1 Working with data. Section 2: Measures of location

OCR Statistics 1 Working with data. Section 2: Measures of location OCR Statstcs 1 Workng wth data Secton 2: Measures of locaton Notes and Examples These notes have sub-sectons on: The medan Estmatng the medan from grouped data The mean Estmatng the mean from grouped data

More information

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics Spurous Seasonal Patterns and Excess Smoothness n the BLS Local Area Unemployment Statstcs Keth R. Phllps and Janguo Wang Federal Reserve Bank of Dallas Research Department Workng Paper 1305 September

More information

Comparison of Singular Spectrum Analysis and ARIMA

Comparison of Singular Spectrum Analysis and ARIMA Int. Statstcal Inst.: Proc. 58th World Statstcal Congress, 0, Dubln (Sesson CPS009) p.99 Comparson of Sngular Spectrum Analss and ARIMA Models Zokae, Mohammad Shahd Behesht Unverst, Department of Statstcs

More information

15-451/651: Design & Analysis of Algorithms January 22, 2019 Lecture #3: Amortized Analysis last changed: January 18, 2019

15-451/651: Design & Analysis of Algorithms January 22, 2019 Lecture #3: Amortized Analysis last changed: January 18, 2019 5-45/65: Desgn & Analyss of Algorthms January, 09 Lecture #3: Amortzed Analyss last changed: January 8, 09 Introducton In ths lecture we dscuss a useful form of analyss, called amortzed analyss, for problems

More information

Basket options and implied correlations: a closed form approach

Basket options and implied correlations: a closed form approach Basket optons and mpled correlatons: a closed form approach Svetlana Borovkova Free Unversty of Amsterdam CFC conference, London, January 7-8, 007 Basket opton: opton whose underlyng s a basket (.e. a

More information

- contrast so-called first-best outcome of Lindahl equilibrium with case of private provision through voluntary contributions of households

- contrast so-called first-best outcome of Lindahl equilibrium with case of private provision through voluntary contributions of households Prvate Provson - contrast so-called frst-best outcome of Lndahl equlbrum wth case of prvate provson through voluntary contrbutons of households - need to make an assumpton about how each household expects

More information

Problem Set 6 Finance 1,

Problem Set 6 Finance 1, Carnege Mellon Unversty Graduate School of Industral Admnstraton Chrs Telmer Wnter 2006 Problem Set 6 Fnance, 47-720. (representatve agent constructon) Consder the followng two-perod, two-agent economy.

More information

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model

Maturity Effect on Risk Measure in a Ratings-Based Default-Mode Model TU Braunschweg - Insttut für Wrtschaftswssenschaften Lehrstuhl Fnanzwrtschaft Maturty Effect on Rsk Measure n a Ratngs-Based Default-Mode Model Marc Gürtler and Drk Hethecker Fnancal Modellng Workshop

More information

NEW APPROACH TO THEORY OF SIGMA-DELTA ANALOG-TO-DIGITAL CONVERTERS. Valeriy I. Didenko, Aleksander V. Ivanov, Aleksey V.

NEW APPROACH TO THEORY OF SIGMA-DELTA ANALOG-TO-DIGITAL CONVERTERS. Valeriy I. Didenko, Aleksander V. Ivanov, Aleksey V. NEW APPROACH TO THEORY OF IGMA-DELTA ANALOG-TO-DIGITAL CONVERTER Valery I. Ddenko, Aleksander V. Ivanov, Aleksey V. Teplovodsky Department o Inormaton and Measurng Technques Moscow Power Engneerng Insttute

More information

Path-Based Statistical Timing Analysis Considering Interand Intra-Die Correlations

Path-Based Statistical Timing Analysis Considering Interand Intra-Die Correlations Path-Based Statstcal Tmng Analyss Consderng Interand Intra-De Correlatons Aseem Agarwal, Davd Blaauw, *Vladmr Zolotov, *Savthr Sundareswaran, *Mn Zhao, *Kaushk Gala, *Rajendran Panda Unversty of Mchgan,

More information

Cracking VAR with kernels

Cracking VAR with kernels CUTTIG EDGE. PORTFOLIO RISK AALYSIS Crackng VAR wth kernels Value-at-rsk analyss has become a key measure of portfolo rsk n recent years, but how can we calculate the contrbuton of some portfolo component?

More information

Introduction. Chapter 7 - An Introduction to Portfolio Management

Introduction. Chapter 7 - An Introduction to Portfolio Management Introducton In the next three chapters, we wll examne dfferent aspects of captal market theory, ncludng: Brngng rsk and return nto the pcture of nvestment management Markowtz optmzaton Modelng rsk and

More information

Comparative analysis of CDO pricing models

Comparative analysis of CDO pricing models Comparatve analyss of CDO prcng models ICBI Rsk Management 2005 Geneva 8 December 2005 Jean-Paul Laurent ISFA, Unversty of Lyon, Scentfc Consultant BNP Parbas laurent.jeanpaul@free.fr, http://laurent.jeanpaul.free.fr

More information

Elton, Gruber, Brown, and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 9

Elton, Gruber, Brown, and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 9 Elton, Gruber, Brown, and Goetzmann Modern Portfolo Theory and Investment Analyss, 7th Edton Solutons to Text Problems: Chapter 9 Chapter 9: Problem In the table below, gven that the rskless rate equals

More information

Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session STS041) p The Max-CUSUM Chart

Int. Statistical Inst.: Proc. 58th World Statistical Congress, 2011, Dublin (Session STS041) p The Max-CUSUM Chart Int. Statstcal Inst.: Proc. 58th World Statstcal Congress, 1, Dubln (Sesson STS41) p.2996 The Max-CUSUM Chart Smley W. Cheng Department of Statstcs Unversty of Mantoba Wnnpeg, Mantoba Canada, R3T 2N2 smley_cheng@umantoba.ca

More information

Elton, Gruber, Brown and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 4

Elton, Gruber, Brown and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 4 Elton, Gruber, Brown and Goetzmann Modern ortfolo Theory and Investment Analyss, 7th Edton Solutons to Text roblems: Chapter 4 Chapter 4: roblem 1 A. Expected return s the sum of each outcome tmes ts assocated

More information

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations Addendum to NOTE 4 Samplng Dstrbutons of OLS Estmators of β and β Monte Carlo Smulatons The True Model: s gven by the populaton regresson equaton (PRE) Y = β + β X + u = 7. +.9X + u () where β = 7. and

More information

A Single-Product Inventory Model for Multiple Demand Classes 1

A Single-Product Inventory Model for Multiple Demand Classes 1 A Sngle-Product Inventory Model for Multple Demand Classes Hasan Arslan, 2 Stephen C. Graves, 3 and Thomas Roemer 4 March 5, 2005 Abstract We consder a sngle-product nventory system that serves multple

More information

Global Optimization in Multi-Agent Models

Global Optimization in Multi-Agent Models Global Optmzaton n Mult-Agent Models John R. Brge R.R. McCormck School of Engneerng and Appled Scence Northwestern Unversty Jont work wth Chonawee Supatgat, Enron, and Rachel Zhang, Cornell 11/19/2004

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. Unversty of Washngton Summer 2001 Department of Economcs Erc Zvot Economcs 483 Mdterm Exam Ths s a closed book and closed note exam. However, you are allowed one page of handwrtten notes. Answer all questons

More information

The convolution computation for Perfectly Matched Boundary Layer algorithm in finite differences

The convolution computation for Perfectly Matched Boundary Layer algorithm in finite differences The convoluton computaton for Perfectly Matched Boundary Layer algorthm n fnte dfferences Herman Jaramllo May 10, 2016 1 Introducton Ths s an exercse to help on the understandng on some mportant ssues

More information

TCOM501 Networking: Theory & Fundamentals Final Examination Professor Yannis A. Korilis April 26, 2002

TCOM501 Networking: Theory & Fundamentals Final Examination Professor Yannis A. Korilis April 26, 2002 TO5 Networng: Theory & undamentals nal xamnaton Professor Yanns. orls prl, Problem [ ponts]: onsder a rng networ wth nodes,,,. In ths networ, a customer that completes servce at node exts the networ wth

More information

Teaching Note on Factor Model with a View --- A tutorial. This version: May 15, Prepared by Zhi Da *

Teaching Note on Factor Model with a View --- A tutorial. This version: May 15, Prepared by Zhi Da * Copyrght by Zh Da and Rav Jagannathan Teachng Note on For Model th a Ve --- A tutoral Ths verson: May 5, 2005 Prepared by Zh Da * Ths tutoral demonstrates ho to ncorporate economc ves n optmal asset allocaton

More information

Skewness and kurtosis unbiased by Gaussian uncertainties

Skewness and kurtosis unbiased by Gaussian uncertainties Skewness and kurtoss unbased by Gaussan uncertantes Lorenzo Rmoldn Observatore astronomque de l Unversté de Genève, chemn des Mallettes 5, CH-9 Versox, Swtzerland ISDC Data Centre for Astrophyscs, Unversté

More information

COS 511: Theoretical Machine Learning. Lecturer: Rob Schapire Lecture #21 Scribe: Lawrence Diao April 23, 2013

COS 511: Theoretical Machine Learning. Lecturer: Rob Schapire Lecture #21 Scribe: Lawrence Diao April 23, 2013 COS 511: Theoretcal Machne Learnng Lecturer: Rob Schapre Lecture #21 Scrbe: Lawrence Dao Aprl 23, 2013 1 On-Lne Log Loss To recap the end of the last lecture, we have the followng on-lne problem wth N

More information

A STUDY OF THE MIMO CHANNEL CAPACITY WHEN USING THE GEOMETRICAL TWO-RING SCATTERING MODEL

A STUDY OF THE MIMO CHANNEL CAPACITY WHEN USING THE GEOMETRICAL TWO-RING SCATTERING MODEL A SUDY OF HE IO CHANNEL CAPACIY WHEN USING HE GEOEICAL WO-ING SCAEING ODEL Bjørn Olav Hogstad and atthas Pätzold Department of Informaton and Communcaton echnology Faculty of Engneerng and Scence, Agder

More information

Raising Food Prices and Welfare Change: A Simple Calibration. Xiaohua Yu

Raising Food Prices and Welfare Change: A Simple Calibration. Xiaohua Yu Rasng Food Prces and Welfare Change: A Smple Calbraton Xaohua Yu Professor of Agrcultural Economcs Courant Research Centre Poverty, Equty and Growth Unversty of Göttngen CRC-PEG, Wlhelm-weber-Str. 2 3773

More information

Risk Reduction and Real Estate Portfolio Size

Risk Reduction and Real Estate Portfolio Size Rsk Reducton and Real Estate Portfolo Sze Stephen L. Lee and Peter J. Byrne Department of Land Management and Development, The Unversty of Readng, Whteknghts, Readng, RG6 6AW, UK. A Paper Presented at

More information

02_EBA2eSolutionsChapter2.pdf 02_EBA2e Case Soln Chapter2.pdf

02_EBA2eSolutionsChapter2.pdf 02_EBA2e Case Soln Chapter2.pdf 0_EBAeSolutonsChapter.pdf 0_EBAe Case Soln Chapter.pdf Chapter Solutons: 1. a. Quanttatve b. Categorcal c. Categorcal d. Quanttatve e. Categorcal. a. The top 10 countres accordng to GDP are lsted below.

More information

Equilibrium in Prediction Markets with Buyers and Sellers

Equilibrium in Prediction Markets with Buyers and Sellers Equlbrum n Predcton Markets wth Buyers and Sellers Shpra Agrawal Nmrod Megddo Benamn Armbruster Abstract Predcton markets wth buyers and sellers of contracts on multple outcomes are shown to have unque

More information

Quiz on Deterministic part of course October 22, 2002

Quiz on Deterministic part of course October 22, 2002 Engneerng ystems Analyss for Desgn Quz on Determnstc part of course October 22, 2002 Ths s a closed book exercse. You may use calculators Grade Tables There are 90 ponts possble for the regular test, or

More information

Introduction. Why One-Pass Statistics?

Introduction. Why One-Pass Statistics? BERKELE RESEARCH GROUP Ths manuscrpt s program documentaton for three ways to calculate the mean, varance, skewness, kurtoss, covarance, correlaton, regresson parameters and other regresson statstcs. Although

More information

Stochastic Generation of Daily Rainfall Data

Stochastic Generation of Daily Rainfall Data Stochastc Generaton of Daly Ranfall Data Srkanthan, R. CRC for Catchment Hydrology, Bureau of Meteorology, Melbourne, Australa, E-Mal: r.srkanthan@bom.gov.au Keywords: Stochastc generaton; daly ranfall;

More information

Localization in Spatially Correlated Shadow-Fading Environment

Localization in Spatially Correlated Shadow-Fading Environment Natonal and Kapodstran Unversty of Athens Master s Thess Localzaton n Spatally Correlated Shadow-Fadng Envronment Author: George Arvantaks Supervsors: Prof. Andreas Polydoros Dr. Ioanns Dagres Athens,

More information

EXTENSIVE VS. INTENSIVE MARGIN: CHANGING PERSPECTIVE ON THE EMPLOYMENT RATE. and Eliana Viviano (Bank of Italy)

EXTENSIVE VS. INTENSIVE MARGIN: CHANGING PERSPECTIVE ON THE EMPLOYMENT RATE. and Eliana Viviano (Bank of Italy) EXTENSIVE VS. INTENSIVE MARGIN: CHANGING PERSPECTIVE ON THE EMPLOYMENT RATE Andrea Brandoln and Elana Vvano (Bank of Italy) 2 European User Conference for EU-LFS and EU-SILC, Mannhem 31 March 1 Aprl, 2011

More information

Using Cumulative Count of Conforming CCC-Chart to Study the Expansion of the Cement

Using Cumulative Count of Conforming CCC-Chart to Study the Expansion of the Cement IOSR Journal of Engneerng (IOSRJEN) e-issn: 225-32, p-issn: 2278-879, www.osrjen.org Volume 2, Issue (October 22), PP 5-6 Usng Cumulatve Count of Conformng CCC-Chart to Study the Expanson of the Cement

More information

Note on Cubic Spline Valuation Methodology

Note on Cubic Spline Valuation Methodology Note on Cubc Splne Valuaton Methodology Regd. Offce: The Internatonal, 2 nd Floor THE CUBIC SPLINE METHODOLOGY A model for yeld curve takes traded yelds for avalable tenors as nput and generates the curve

More information

Scribe: Chris Berlind Date: Feb 1, 2010

Scribe: Chris Berlind Date: Feb 1, 2010 CS/CNS/EE 253: Advanced Topcs n Machne Learnng Topc: Dealng wth Partal Feedback #2 Lecturer: Danel Golovn Scrbe: Chrs Berlnd Date: Feb 1, 2010 8.1 Revew In the prevous lecture we began lookng at algorthms

More information