首页 > 最新文献

2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)最新文献

英文 中文
Implementation of Maximum Power Point Tracking on PV System using Artificial Bee Colony Algorithm 用人工蜂群算法实现光伏系统最大功率点跟踪
Muhammad Rizal Fanani, I. Sudiharto, I. Ferdiansyah
Implementation of Solar thermal energy as a source of renewable electricity is currently being developed. The main problem with photovoltaic systems is the result of power efficiency is low. The maximum power point tracking (MPPT) method can increase the efficiency of photovoltaic output power. This research will use the MPPT method with an artificial bee colony (ABC) algorithm. MPPT design will be simulated using Power Simulation (PSIM) software. Simulation results will be compared with no MPPT and MPPT human psychology optimization (HPO) algorithm. The results show MPPT ABC gets the best average accuracy from the average accuracy without MPPT and MPPT HPO, which is 99.95%. And the MPPT ABC has a response time of MPP tracking faster than MPPT HPO, during irradiation 800 W/m2, 900 W/m2, 1000 W/m2.
目前正在开发太阳能热能作为可再生电力的一种来源。光伏系统的主要问题是电力效率低。最大功率点跟踪(MPPT)方法可以提高光伏输出功率的效率。本研究将采用基于人工蜂群(ABC)算法的MPPT方法。MPPT设计将使用Power Simulation (PSIM)软件进行仿真。仿真结果将与无MPPT和MPPT人类心理优化(HPO)算法进行比较。结果表明,MPPT ABC在无MPPT的平均准确率和MPPT HPO的平均准确率中获得了最好的平均准确率,为99.95%。在辐照800w /m2、900w /m2、1000w /m2时,MPPT ABC的MPP跟踪响应时间比MPPT HPO快。
{"title":"Implementation of Maximum Power Point Tracking on PV System using Artificial Bee Colony Algorithm","authors":"Muhammad Rizal Fanani, I. Sudiharto, I. Ferdiansyah","doi":"10.1109/ISRITI51436.2020.9315527","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315527","url":null,"abstract":"Implementation of Solar thermal energy as a source of renewable electricity is currently being developed. The main problem with photovoltaic systems is the result of power efficiency is low. The maximum power point tracking (MPPT) method can increase the efficiency of photovoltaic output power. This research will use the MPPT method with an artificial bee colony (ABC) algorithm. MPPT design will be simulated using Power Simulation (PSIM) software. Simulation results will be compared with no MPPT and MPPT human psychology optimization (HPO) algorithm. The results show MPPT ABC gets the best average accuracy from the average accuracy without MPPT and MPPT HPO, which is 99.95%. And the MPPT ABC has a response time of MPP tracking faster than MPPT HPO, during irradiation 800 W/m2, 900 W/m2, 1000 W/m2.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126519074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Benchmarking Explicit Rating Prediction Algorithms for Cosmetic Products 化妆品显式评级预测算法的基准测试
Raditya Nurfadillah, Fariz Darari, Radityo Eko Prasojo, Yasmin Amalia
Recommendation systems have become a staple feature for any e-commerce sites. The ability to predict whether a customer likes an unseen product forms the very foundation of a recommendation system. In this paper, we concern the issue of explicit rating prediction over cosmetic products. Given a dataset of cosmetic product ratings, we analyze the characteristics of the dataset and implement a wide range of algorithms, such as KNN and matrix factorization, to predict such ratings. We evaluate the performance of these algorithms using MAE and RMSE measures, and discuss factors that may contribute to their performance results. Our experiments have shown that the SVD++ technique performs the best among all with an MAE of 0.7699 and an RMSE of 0.9696. We hope that our paper can shed new light on the selection of explicit rating prediction algorithms not only in the domain of beauty products, but also in wider scenarios.
推荐系统已经成为任何电子商务网站的主要功能。预测顾客是否喜欢未见过的产品的能力构成了推荐系统的基础。在本文中,我们关注化妆品的显式评级预测问题。给定化妆品评级数据集,我们分析数据集的特征,并实现广泛的算法,如KNN和矩阵分解,来预测这些评级。我们使用MAE和RMSE度量来评估这些算法的性能,并讨论可能影响其性能结果的因素。我们的实验表明,svd++技术在所有技术中表现最好,MAE为0.7699,RMSE为0.9696。我们希望我们的论文能够为明确评级预测算法的选择提供新的思路,不仅在美容产品领域,而且在更广泛的场景中。
{"title":"Benchmarking Explicit Rating Prediction Algorithms for Cosmetic Products","authors":"Raditya Nurfadillah, Fariz Darari, Radityo Eko Prasojo, Yasmin Amalia","doi":"10.1109/isriti51436.2020.9315512","DOIUrl":"https://doi.org/10.1109/isriti51436.2020.9315512","url":null,"abstract":"Recommendation systems have become a staple feature for any e-commerce sites. The ability to predict whether a customer likes an unseen product forms the very foundation of a recommendation system. In this paper, we concern the issue of explicit rating prediction over cosmetic products. Given a dataset of cosmetic product ratings, we analyze the characteristics of the dataset and implement a wide range of algorithms, such as KNN and matrix factorization, to predict such ratings. We evaluate the performance of these algorithms using MAE and RMSE measures, and discuss factors that may contribute to their performance results. Our experiments have shown that the SVD++ technique performs the best among all with an MAE of 0.7699 and an RMSE of 0.9696. We hope that our paper can shed new light on the selection of explicit rating prediction algorithms not only in the domain of beauty products, but also in wider scenarios.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117214354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Features of the Use of Solar Panels at Low Temperatures in the Arctic 在北极低温环境下使用太阳能电池板的特点
A. Lagunov, A. Ladvishchenko
The Arctic attracts the attention of many countries around the world because it is rich in hydrocarbons. To conduct exploration for hydrocarbons, researchers need electricity. Traditionally, diesel or gasoline generators are used to generate electricity in the circumpolar region. Fuel delivery is costly, and environmental pollution occurs during the operation of electric generators. Wind generators and solar power plants can be used as alternative sources of electricity. In adverse conditions in the Arctic, wind turbines quickly fail. This work is devoted to choosing the type of solar cells that can operate efficiently at low temperatures.
北极因富含碳氢化合物而吸引了世界上许多国家的注意。为了勘探碳氢化合物,研究人员需要电力。传统上,柴油或汽油发电机被用来在极地地区发电。燃料输送成本高,发电机运行过程中会产生环境污染。风力发电机和太阳能发电厂可以作为电力的替代来源。在北极的恶劣条件下,风力涡轮机很快就会失效。这项工作致力于选择能够在低温下有效工作的太阳能电池类型。
{"title":"Features of the Use of Solar Panels at Low Temperatures in the Arctic","authors":"A. Lagunov, A. Ladvishchenko","doi":"10.1109/ISRITI51436.2020.9315435","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315435","url":null,"abstract":"The Arctic attracts the attention of many countries around the world because it is rich in hydrocarbons. To conduct exploration for hydrocarbons, researchers need electricity. Traditionally, diesel or gasoline generators are used to generate electricity in the circumpolar region. Fuel delivery is costly, and environmental pollution occurs during the operation of electric generators. Wind generators and solar power plants can be used as alternative sources of electricity. In adverse conditions in the Arctic, wind turbines quickly fail. This work is devoted to choosing the type of solar cells that can operate efficiently at low temperatures.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115831756","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Welcome Speech from the Chairman of Stmik Akakom Yogyakarta 日惹公司董事长致欢迎辞
{"title":"Welcome Speech from the Chairman of Stmik Akakom Yogyakarta","authors":"","doi":"10.1109/isriti51436.2020.9315491","DOIUrl":"https://doi.org/10.1109/isriti51436.2020.9315491","url":null,"abstract":"","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127987761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Comparison of Feature Extraction for Speaker Identification System 说话人识别系统特征提取方法比较
Yenni Astuti, Risanuri Hidayat, Agus Bejo
This paper compares the performance of speaker identification systems based on feature extraction methods. Fast Fourier Transform (FFT), Mel-Frequency Cepstral Coefficient (MFCC) and Discrete Wavelet Transform (DWT) are three of chosen feature extraction techniques used to test. These methods are applied to identify speakers by a word spoken. The system used Dynamic Time Warping (DTW) as classifier. Programming is done on MATLAB for training and testing. In this experiment, the combination of DWT and DTW gives better accuracy result than the other methods.
本文比较了基于特征提取方法的说话人识别系统的性能。快速傅里叶变换(FFT)、mel -频率倒谱系数(MFCC)和离散小波变换(DWT)是三种用于测试的特征提取技术。这些方法被用来根据说话的单词来识别说话人。该系统采用动态时间翘曲(DTW)作为分类器。编程在MATLAB上完成,用于训练和测试。在本实验中,DWT和DTW的结合比其他方法获得了更好的精度结果。
{"title":"Comparison of Feature Extraction for Speaker Identification System","authors":"Yenni Astuti, Risanuri Hidayat, Agus Bejo","doi":"10.1109/ISRITI51436.2020.9315332","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315332","url":null,"abstract":"This paper compares the performance of speaker identification systems based on feature extraction methods. Fast Fourier Transform (FFT), Mel-Frequency Cepstral Coefficient (MFCC) and Discrete Wavelet Transform (DWT) are three of chosen feature extraction techniques used to test. These methods are applied to identify speakers by a word spoken. The system used Dynamic Time Warping (DTW) as classifier. Programming is done on MATLAB for training and testing. In this experiment, the combination of DWT and DTW gives better accuracy result than the other methods.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130265640","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Android Forensic Tools Analysis for Unsend Chat on Social Media 社交媒体上Unsend聊天的Android取证工具分析
T. Hermawan, Y. Suryanto, Fahdiaz Alief, Linda Roselina
This research discusses mobile phone forensics on the unsend message feature of social media. It assists investigators forensic or law enforcers in Indonesia to get digital evidence of cybercrime problems such as hoaxes, cyberbullying, illegal transactions, online protection, or other crimes on social media. This research uses Universal Forensic Extraction Device (UFED) and MOBILedit tools to get digital evidence. The selected social media that will be investigated by investigator forensic are Instagram, Line, Whatsapp, Facebook Messenger, Skype, Snapchat, Viber, and Telegram. Based on the results obtained, artifacts can only be found by UFED on social media such as Instagram, Whatsapp, Facebook Messenger, Skype, Viber, and Telegram, whereas digital evidence can not be found on social media such as Line and Snapchat.
本研究讨论了社交媒体的取消发送信息功能的手机取证。它帮助印度尼西亚的调查人员、法医或执法人员获取网络犯罪问题的数字证据,如恶作剧、网络欺凌、非法交易、在线保护或社交媒体上的其他犯罪。本研究使用通用法医提取设备(UFED)和MOBILedit工具获取数字证据。调查人员将调查的社交媒体包括Instagram、Line、Whatsapp、Facebook Messenger、Skype、Snapchat、Viber和Telegram。根据获得的结果,UFED只能在Instagram、Whatsapp、Facebook Messenger、Skype、Viber和Telegram等社交媒体上找到伪影,而在Line和Snapchat等社交媒体上则找不到数字证据。
{"title":"Android Forensic Tools Analysis for Unsend Chat on Social Media","authors":"T. Hermawan, Y. Suryanto, Fahdiaz Alief, Linda Roselina","doi":"10.1109/ISRITI51436.2020.9315364","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315364","url":null,"abstract":"This research discusses mobile phone forensics on the unsend message feature of social media. It assists investigators forensic or law enforcers in Indonesia to get digital evidence of cybercrime problems such as hoaxes, cyberbullying, illegal transactions, online protection, or other crimes on social media. This research uses Universal Forensic Extraction Device (UFED) and MOBILedit tools to get digital evidence. The selected social media that will be investigated by investigator forensic are Instagram, Line, Whatsapp, Facebook Messenger, Skype, Snapchat, Viber, and Telegram. Based on the results obtained, artifacts can only be found by UFED on social media such as Instagram, Whatsapp, Facebook Messenger, Skype, Viber, and Telegram, whereas digital evidence can not be found on social media such as Line and Snapchat.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131323248","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Network Attack Detection System Using Filter-based Feature Selection and SVM 基于过滤器特征选择和支持向量机的网络攻击检测系统
V. J. L. Engel, Firhat Hidayat, Richard Dwiputra
The selection of features plays a big role in improving the results of a computer network attack detection system. This research used a model of feature selection to find the best combination of network traffic features to identify network attacks while retaining power explanations. This research also used filter-based feature selection, namely Information Gain (IG) and Gain Ratio (GR). Training and testing can be carried out after sigma value of SVM parameter has been determined. From sigma value testing, we chose sigma value of 5000. After SVM training, it is found that Gain Ratio with 30 features perform best for most measurement and classes. Nevertheless, full 41 features outperform IG and GR for probe class. Also, model that integrating feature selection has possibility to converge faster. It is recommended that further analysis and examination is needed to understand features combination result. Additionally, further research is needed to determine the effectiveness of features combinations to improve model performance and to try different approaches besides the filter-based method.
特征的选择对提高计算机网络攻击检测系统的检测效果起着至关重要的作用。本研究使用特征选择模型来寻找网络流量特征的最佳组合,以识别网络攻击,同时保留功率解释。本研究还采用基于滤波器的特征选择,即信息增益(Information Gain, IG)和增益比(Gain Ratio, GR)。确定支持向量机参数的sigma值后,即可进行训练和测试。从sigma值检验中,我们选择sigma值为5000。经过SVM训练,发现增益比为30个特征时,对大多数测量和类的效果最好。然而,对于探针类,41个特性的性能优于IG和GR。此外,集成特征选择的模型有可能收敛得更快。建议进一步分析和检查,以了解特征组合结果。此外,还需要进一步的研究来确定特征组合对提高模型性能的有效性,并尝试除基于滤波器的方法之外的不同方法。
{"title":"Network Attack Detection System Using Filter-based Feature Selection and SVM","authors":"V. J. L. Engel, Firhat Hidayat, Richard Dwiputra","doi":"10.1109/ISRITI51436.2020.9315397","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315397","url":null,"abstract":"The selection of features plays a big role in improving the results of a computer network attack detection system. This research used a model of feature selection to find the best combination of network traffic features to identify network attacks while retaining power explanations. This research also used filter-based feature selection, namely Information Gain (IG) and Gain Ratio (GR). Training and testing can be carried out after sigma value of SVM parameter has been determined. From sigma value testing, we chose sigma value of 5000. After SVM training, it is found that Gain Ratio with 30 features perform best for most measurement and classes. Nevertheless, full 41 features outperform IG and GR for probe class. Also, model that integrating feature selection has possibility to converge faster. It is recommended that further analysis and examination is needed to understand features combination result. Additionally, further research is needed to determine the effectiveness of features combinations to improve model performance and to try different approaches besides the filter-based method.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129610008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Index 指数
{"title":"Index","authors":"","doi":"10.1109/isriti51436.2020.9315355","DOIUrl":"https://doi.org/10.1109/isriti51436.2020.9315355","url":null,"abstract":"","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129501104","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Speaker Recognition for Digital Forensic Audio Analysis using Support Vector Machine 基于支持向量机的数字法医音频分析的说话人识别
Rinda Mardhotillah, B. Dirgantoro, C. Setianingsih
Speaker Recognition is included in pattern recognition, where one of the most critical parts is the process of data classification. In the classification, the built system must estimate the classification of data into a classroom dimension closest to the training set. The speaker's introduction aims to identify evidence of speech recording by a handheld telephone that involves comparing one or more unidentified sound samples with one or more known sound samples. In this research, the data used in the form of evidence of recording conversation by telephone and recording of comparison of some unexpected. The part that is done is to classify speaker recognition with the Support Vector Machine (SVM) classification method to recognize the speaker. Using the SVM method, the accuracy of classifying the speaker's introduction is excellent. From the test results, the SVM method's use resulted in an accuracy rate of 86.67% for the test with the same sentence and up to 67% for different sentences to recognize the speaker with the values of C 0.01 and $boldsymbol{gamma}$ (Gamma) 0.0001.
说话人识别是模式识别的一部分,其中最关键的部分之一是数据分类过程。在分类中,构建的系统必须将数据分类到最接近训练集的课堂维度。说话人的介绍旨在识别手持式电话录音的证据,其中涉及将一个或多个未识别的声音样本与一个或多个已知的声音样本进行比较。在本研究中,所使用的数据以证据的形式将电话谈话录音与录音进行了一些意想不到的比较。所做的部分是使用支持向量机(SVM)分类方法对说话人进行分类识别。使用支持向量机方法对说话人的介绍进行分类,准确率很高。从测试结果来看,使用SVM方法识别C 0.01和$boldsymbol{gamma}$ (gamma) 0.0001的说话人,在同一句子的测试中准确率为86.67%,在不同句子的测试中准确率高达67%。
{"title":"Speaker Recognition for Digital Forensic Audio Analysis using Support Vector Machine","authors":"Rinda Mardhotillah, B. Dirgantoro, C. Setianingsih","doi":"10.1109/ISRITI51436.2020.9315351","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315351","url":null,"abstract":"Speaker Recognition is included in pattern recognition, where one of the most critical parts is the process of data classification. In the classification, the built system must estimate the classification of data into a classroom dimension closest to the training set. The speaker's introduction aims to identify evidence of speech recording by a handheld telephone that involves comparing one or more unidentified sound samples with one or more known sound samples. In this research, the data used in the form of evidence of recording conversation by telephone and recording of comparison of some unexpected. The part that is done is to classify speaker recognition with the Support Vector Machine (SVM) classification method to recognize the speaker. Using the SVM method, the accuracy of classifying the speaker's introduction is excellent. From the test results, the SVM method's use resulted in an accuracy rate of 86.67% for the test with the same sentence and up to 67% for different sentences to recognize the speaker with the values of C 0.01 and $boldsymbol{gamma}$ (Gamma) 0.0001.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124855866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
On Parameter Estimation of Stochastic Delay Difference Equation using the Two $m$-delay Autoregressive Coefficients 用两个$m$-delay自回归系数估计随机时滞差分方程的参数
Manlika Ratchagit, B. Wiwatanapataphee, D. Nur
This paper aims to present how to estimate a model parameter, namely the fixed rate of the investment return in the stochastic delay difference equation in financial time series using the two m-delay autoregressive coefficients. The autoregressive coefficients (ARC) algorithm is proposed and compares with the classical differential evolution (DE) algorithm. For a Monte-Carlo simulation tool, the results obtained from the model with the estimated parameter are validated with historical financial data of IBEX 35, JPM and GOOG from Thomson Reuters database in the period between 2008 and 2010. The numerical results confirm that the two $m$-delay autoregressive coefficients perform well to estimate the fixed rate of the investment return and reduce the computation time for the matching process.
本文旨在介绍如何利用两个m-时滞自回归系数估计金融时间序列随机时滞差分方程中的模型参数,即投资收益率的固定率。提出了自回归系数(ARC)算法,并与经典的微分进化(DE)算法进行了比较。对于蒙特卡罗模拟工具,使用Thomson Reuters数据库中IBEX 35、JPM和GOOG三家公司2008 - 2010年的历史财务数据对模型估计参数得到的结果进行验证。数值结果表明,两个$m$-delay自回归系数能够较好地估计固定投资收益率,减少匹配过程的计算时间。
{"title":"On Parameter Estimation of Stochastic Delay Difference Equation using the Two $m$-delay Autoregressive Coefficients","authors":"Manlika Ratchagit, B. Wiwatanapataphee, D. Nur","doi":"10.1109/ISRITI51436.2020.9315414","DOIUrl":"https://doi.org/10.1109/ISRITI51436.2020.9315414","url":null,"abstract":"This paper aims to present how to estimate a model parameter, namely the fixed rate of the investment return in the stochastic delay difference equation in financial time series using the two m-delay autoregressive coefficients. The autoregressive coefficients (ARC) algorithm is proposed and compares with the classical differential evolution (DE) algorithm. For a Monte-Carlo simulation tool, the results obtained from the model with the estimated parameter are validated with historical financial data of IBEX 35, JPM and GOOG from Thomson Reuters database in the period between 2008 and 2010. The numerical results confirm that the two $m$-delay autoregressive coefficients perform well to estimate the fixed rate of the investment return and reduce the computation time for the matching process.","PeriodicalId":325920,"journal":{"name":"2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2020-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125216606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
期刊
2020 3rd International Seminar on Research of Information Technology and Intelligent Systems (ISRITI)
全部 Acc. Chem. Res. ACS Applied Bio Materials ACS Appl. Electron. Mater. ACS Appl. Energy Mater. ACS Appl. Mater. Interfaces ACS Appl. Nano Mater. ACS Appl. Polym. Mater. ACS BIOMATER-SCI ENG ACS Catal. ACS Cent. Sci. ACS Chem. Biol. ACS Chemical Health & Safety ACS Chem. Neurosci. ACS Comb. Sci. ACS Earth Space Chem. ACS Energy Lett. ACS Infect. Dis. ACS Macro Lett. ACS Mater. Lett. ACS Med. Chem. Lett. ACS Nano ACS Omega ACS Photonics ACS Sens. ACS Sustainable Chem. Eng. ACS Synth. Biol. Anal. Chem. BIOCHEMISTRY-US Bioconjugate Chem. BIOMACROMOLECULES Chem. Res. Toxicol. Chem. Rev. Chem. Mater. CRYST GROWTH DES ENERG FUEL Environ. Sci. Technol. Environ. Sci. Technol. Lett. Eur. J. Inorg. Chem. IND ENG CHEM RES Inorg. Chem. J. Agric. Food. Chem. J. Chem. Eng. Data J. Chem. Educ. J. Chem. Inf. Model. J. Chem. Theory Comput. J. Med. Chem. J. Nat. Prod. J PROTEOME RES J. Am. Chem. Soc. LANGMUIR MACROMOLECULES Mol. Pharmaceutics Nano Lett. Org. Lett. ORG PROCESS RES DEV ORGANOMETALLICS J. Org. Chem. J. Phys. Chem. J. Phys. Chem. A J. Phys. Chem. B J. Phys. Chem. C J. Phys. Chem. Lett. Analyst Anal. Methods Biomater. Sci. Catal. Sci. Technol. Chem. Commun. Chem. Soc. Rev. CHEM EDUC RES PRACT CRYSTENGCOMM Dalton Trans. Energy Environ. Sci. ENVIRON SCI-NANO ENVIRON SCI-PROC IMP ENVIRON SCI-WAT RES Faraday Discuss. Food Funct. Green Chem. Inorg. Chem. Front. Integr. Biol. J. Anal. At. Spectrom. J. Mater. Chem. A J. Mater. Chem. B J. Mater. Chem. C Lab Chip Mater. Chem. Front. Mater. Horiz. MEDCHEMCOMM Metallomics Mol. Biosyst. Mol. Syst. Des. Eng. Nanoscale Nanoscale Horiz. Nat. Prod. Rep. New J. Chem. Org. Biomol. Chem. Org. Chem. Front. PHOTOCH PHOTOBIO SCI PCCP Polym. Chem.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1