Jacques Sabiti Kiseta, Roger Akumoso Liendi, Patrick Kaleba Kabambi, Jean-Claude K. Kayembe, Olivier Mutombo Tshingombe
We present in this paper two generalized least-squares (GLS) methods for estimating regression coefficients of time series models with exogenous variables. The non-recursive GLS method is a generalization of the GLS method suggested by Cochrane and Orcutt (1949). The proposed GLS method consists of a sequence of four linear regressions. A first regression is fitted and provides residuals. These residuals are modeled as an autoregressive process and are used in a second regression (or autoregression) for obtaining estimators of autoregressive coefficients. These estimators are used to generate transformed endogenous and exogenous variables. A third regression makes use of the lagged values of these transformed variables to estimate the regression coefficients. The estimators of the regression coefficients are used to determine the true residuals which are modeled as an ARMA process which is finally used for obtaining the estimators of autoregressive and moving average parameters. The second GLS method is a recursive version of the first GLS method where the estimators are updated at each time point on receipt of the additional observations. The Simulation results based on different model structures with varying numbers of observations are used to compare the performance of our methods with that of exact maximum likelihood (EML) estimates.
{"title":"Recursive and Non-Recursive Generalized Least-Squares Methods for Estimation of Time Series Models with Exogenous Variables","authors":"Jacques Sabiti Kiseta, Roger Akumoso Liendi, Patrick Kaleba Kabambi, Jean-Claude K. Kayembe, Olivier Mutombo Tshingombe","doi":"10.47285/etr.v3i1.111","DOIUrl":"https://doi.org/10.47285/etr.v3i1.111","url":null,"abstract":"We present in this paper two generalized least-squares (GLS) methods for estimating regression coefficients of time series models with exogenous variables. The non-recursive GLS method is a generalization of the GLS method suggested by Cochrane and Orcutt (1949). The proposed GLS method consists of a sequence of four linear regressions. A first regression is fitted and provides residuals. These residuals are modeled as an autoregressive process and are used in a second regression (or autoregression) for obtaining estimators of autoregressive coefficients. These estimators are used to generate transformed endogenous and exogenous variables. A third regression makes use of the lagged values of these transformed variables to estimate the regression coefficients. The estimators of the regression coefficients are used to determine the true residuals which are modeled as an ARMA process which is finally used for obtaining the estimators of autoregressive and moving average parameters. The second GLS method is a recursive version of the first GLS method where the estimators are updated at each time point on receipt of the additional observations. The Simulation results based on different model structures with varying numbers of observations are used to compare the performance of our methods with that of exact maximum likelihood (EML) estimates.","PeriodicalId":422225,"journal":{"name":"Engineering & Technology Review","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-02-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121160003","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}
This paper proposes a fast algorithm for the exact maximum likelihood estimation of parameters of multiple inputs transfer function models. This algorithm is a generalization of that proposed by Mélard (1984) which is a combination of an improved version of an algorithm of Pearlman (1980) which uses an algorithm of Morf, Sidhu et Kailath (1974) and consists to replace the (matrix) Riccati-type difference equation used in the Kalman filter by a (vector) Chandrasekhar-type difference equation with the quick recursion switching suggested by Gardner, Harvey and Phillips (1980) and an algorithm of Wilson (1979). Simulations and practical examples are used to illustrate the algorithm by comparing it with the method of Poskitt (1989), the generalized least squares method suggested by Sabiti (1993), and the nonlinear least-squares method of Box and Jenkins (1976).
提出了一种多输入传递函数模型参数精确极大似然估计的快速算法。该算法是对m拉德(1984)提出的算法的推广，它结合了Pearlman(1980)算法的改进版本，该算法使用Morf, Sidhu et Kailath(1974)的算法，包括用(向量)chandrasekhar型差分方程替换卡尔曼滤波器中使用的(矩阵)riccati型差分方程，并采用Gardner, Harvey and Phillips(1980)和Wilson(1979)算法提出的快速递归切换。通过与Poskitt(1989)的方法、Sabiti(1993)提出的广义最小二乘法和Box and Jenkins(1976)的非线性最小二乘法的比较，通过仿真和实例来说明该算法。
{"title":"A Fast Algorithm for Exact Maximum Likelihood Estimation of Multiple Input Transfer Function Models with Auto-Correlated Errors","authors":"Jacques Sabiti Kiseta, Roger Liendi Akumoso","doi":"10.47285/etr.v2i2.105","DOIUrl":"https://doi.org/10.47285/etr.v2i2.105","url":null,"abstract":"This paper proposes a fast algorithm for the exact maximum likelihood estimation of parameters of multiple inputs transfer function models. This algorithm is a generalization of that proposed by Mélard (1984) which is a combination of an improved version of an algorithm of Pearlman (1980) which uses an algorithm of Morf, Sidhu et Kailath (1974) and consists to replace the (matrix) Riccati-type difference equation used in the Kalman filter by a (vector) Chandrasekhar-type difference equation with the quick recursion switching suggested by Gardner, Harvey and Phillips (1980) and an algorithm of Wilson (1979). Simulations and practical examples are used to illustrate the algorithm by comparing it with the method of Poskitt (1989), the generalized least squares method suggested by Sabiti (1993), and the nonlinear least-squares method of Box and Jenkins (1976).","PeriodicalId":422225,"journal":{"name":"Engineering & Technology Review","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134473724","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}
A. Elmaryami, Hafied M. B. Khalid, Abdulssalam M. Abdulssalam, Alaa A. Abdulssalam, Mohamed M. Alssafi, Abdullateef S. Abdullateef, Ziadan A. Mohamed
The Rankine cycle is one example of vapor power cycles. One important application of it is in steam power plants. In this paper, a simple model of the steam power plant is designed to study the effect of increasing boiler's pressures (3, 4, 5, and 6 bar respectively) on the efficiency and the dryness friction of the Model. Properties of the important points in the cycle were calculated consequently the losses in the pump, the losses in the condenser, expansion of the working fluid through the turbine, and the heat transfer to the working fluid through the boiler were determined. From the results, it was found that with the increasing of the boiler's operating pressure the thermal efficiency of the model cycle increases due to a substantial increase in network. Thus net-effect is marked increases in the thermal efficiency of the cycle on account of these measures.
{"title":"Design of a Simple Model of S. P. P. to Study the Effect of Increasing the Boiler Pressure on the Efficiency of the Model","authors":"A. Elmaryami, Hafied M. B. Khalid, Abdulssalam M. Abdulssalam, Alaa A. Abdulssalam, Mohamed M. Alssafi, Abdullateef S. Abdullateef, Ziadan A. Mohamed","doi":"10.47285/etr.v2i1.60","DOIUrl":"https://doi.org/10.47285/etr.v2i1.60","url":null,"abstract":"The Rankine cycle is one example of vapor power cycles. One important application of it is in steam power plants. In this paper, a simple model of the steam power plant is designed to study the effect of increasing boiler's pressures (3, 4, 5, and 6 bar respectively) on the efficiency and the dryness friction of the Model. Properties of the important points in the cycle were calculated consequently the losses in the pump, the losses in the condenser, expansion of the working fluid through the turbine, and the heat transfer to the working fluid through the boiler were determined. From the results, it was found that with the increasing of the boiler's operating pressure the thermal efficiency of the model cycle increases due to a substantial increase in network. Thus net-effect is marked increases in the thermal efficiency of the cycle on account of these measures.","PeriodicalId":422225,"journal":{"name":"Engineering & Technology Review","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131751725","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}
A. Elmaryami, Abdulla Sousi, Magdi E. M. El-Garoshi, Abdelkareem Aljair, Ahmed Almasry, Farag Mahjob, Hana Othman
In this study, the flow rate, velocity, head, and power in a designed and manufactured centrifugal water pump were studied and determined experimentally. The effect of the impeller with different blades on the centrifugal pump performance has been investigated. Three different impellers with 4, 5, and 6 blades are tested to determine the number of the optimum blades. The experimental results showed that the flow rate, velocity, heat, and power are higher for the case of the impeller with 6 blades than that for the two cases of 4 and 5 blades. The losses decrease by increasing the number of the blades due to the reduction of the secondary flow for a certain limit. The experimental results showed better centrifugal water pump performance when an impeller with 6 blades is used.
{"title":"Design and Manufacture of a Water Pump to Study the Effect of Impeller Blades Number on the Pump Performance","authors":"A. Elmaryami, Abdulla Sousi, Magdi E. M. El-Garoshi, Abdelkareem Aljair, Ahmed Almasry, Farag Mahjob, Hana Othman","doi":"10.47285/etr.v2i2.97","DOIUrl":"https://doi.org/10.47285/etr.v2i2.97","url":null,"abstract":"In this study, the flow rate, velocity, head, and power in a designed and manufactured centrifugal water pump were studied and determined experimentally. The effect of the impeller with different blades on the centrifugal pump performance has been investigated. Three different impellers with 4, 5, and 6 blades are tested to determine the number of the optimum blades. The experimental results showed that the flow rate, velocity, heat, and power are higher for the case of the impeller with 6 blades than that for the two cases of 4 and 5 blades. The losses decrease by increasing the number of the blades due to the reduction of the secondary flow for a certain limit. The experimental results showed better centrifugal water pump performance when an impeller with 6 blades is used.","PeriodicalId":422225,"journal":{"name":"Engineering & Technology Review","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123449962","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}
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