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1 – 10 of 42Markus Neumayer, Thomas Suppan and Thomas Bretterklieber
The application of statistical inversion theory provides a powerful approach for solving estimation problems including the ability for uncertainty quantification (UQ) by means of…
Abstract
Purpose
The application of statistical inversion theory provides a powerful approach for solving estimation problems including the ability for uncertainty quantification (UQ) by means of Markov chain Monte Carlo (MCMC) methods and Monte Carlo integration. This paper aims to analyze the application of a state reduction technique within different MCMC techniques to improve the computational efficiency and the tuning process of these algorithms.
Design/methodology/approach
A reduced state representation is constructed from a general prior distribution. For sampling the Metropolis Hastings (MH) Algorithm and the Gibbs sampler are used. Efficient proposal generation techniques and techniques for conditional sampling are proposed and evaluated for an exemplary inverse problem.
Findings
For the MH-algorithm, high acceptance rates can be obtained with a simple proposal kernel. For the Gibbs sampler, an efficient technique for conditional sampling was found. The state reduction scheme stabilizes the ill-posed inverse problem, allowing a solution without a dedicated prior distribution. The state reduction is suitable to represent general material distributions.
Practical implications
The state reduction scheme and the MCMC techniques can be applied in different imaging problems. The stabilizing nature of the state reduction improves the solution of ill-posed problems. The tuning of the MCMC methods is simplified.
Originality/value
The paper presents a method to improve the solution process of inverse problems within the Bayesian framework. The stabilization of the inverse problem due to the state reduction improves the solution. The approach simplifies the tuning of MCMC methods.
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Mahmoud ELsayed and Amr Soliman
The purpose of this study is to estimate the linear regression parameters using two alternative techniques. First technique is to apply the generalized linear model (GLM) and the…
Abstract
Purpose
The purpose of this study is to estimate the linear regression parameters using two alternative techniques. First technique is to apply the generalized linear model (GLM) and the second technique is the Markov Chain Monte Carlo (MCMC) method.
Design/methodology/approach
In this paper, the authors adopted the incurred claims of Egyptian non-life insurance market as a dependent variable during a 10-year period. MCMC uses Gibbs sampling to generate a sample from a posterior distribution of a linear regression to estimate the parameters of interest. However, the authors used the R package to estimate the parameters of the linear regression using the above techniques.
Findings
These procedures will guide the decision-maker for estimating the reserve and set proper investment strategy.
Originality/value
In this paper, the authors will estimate the parameters of a linear regression model using MCMC method via R package. Furthermore, MCMC uses Gibbs sampling to generate a sample from a posterior distribution of a linear regression to estimate parameters to predict future claims. In the same line, these procedures will guide the decision-maker for estimating the reserve and set proper investment strategy.
Mohammed Ayoub Ledhem and Mohammed Mekidiche
This paper aims to investigate empirically whether Islamic securities enhance economic growth in the Southeast Asian region based on the endogenous growth theory using the…
Abstract
Purpose
This paper aims to investigate empirically whether Islamic securities enhance economic growth in the Southeast Asian region based on the endogenous growth theory using the non-parametric analysis.
Design/methodology/approach
This paper applies panel quantile regression with Markov chain Monte Carlo optimization as an optimal non-parametric approach to investigate the effect of Islamic securities on economic growth starting from 2013Q4 to 2019Q4 in Southeast Asia. Total issued Islamic securities holdings are employed as a measure for Islamic securities, while the gross domestic product is employed as a proxy for economic growth. The sample includes all working Islamic financial foundations in the top progressive Islamic securities markets' countries of Southeast Asia (Malaysia, Indonesia and Brunei Darussalam).
Findings
The findings confirm that the increase of issuing Islamic securities in Islamic capital markets of Southeast Asia is increasing the levels of economic growth, reflecting the weighty role of the Islamic capital market development as an active contributor to economic growth.
Practical implications
This research would fill the literature gap by exploring Islamic securities–economic growth nexus in Southeast Asia using a robust non-parametric approach based on the endogenous growth theory for better estimation results. The findings of this review serve as a roadmap for financial analysts, policymakers and decision makers to stimulate the Islamic securities markets as another source of finance which can promote the economic growth.
Originality/value
This research is the first that investigates empirically the Islamic securities–economic growth nexus in Southeast Asia using a new empirical investigation built on the non-parametric analysis and outlined within the theoretical context of the endogenous growth model to gain robust evidence about this nexus.
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Tien Ha My Duong, Thi Anh Nhu Nguyen and Van Diep Nguyen
The paper aims to examine the impact of social capital on the size of the shadow economy in the BIRCS countries over the period 1995–2014.
Abstract
Purpose
The paper aims to examine the impact of social capital on the size of the shadow economy in the BIRCS countries over the period 1995–2014.
Design/methodology/approach
The authors employ the Bayesian linear regression method to uncover the relationship between social capital and the shadow economy. The method applies a normal distribution for the prior probability distribution while the posterior distribution is determined using the Markov chain Monte Carlo technique.
Findings
The results indicate that the unemployment rate and tax burden positively affect the size of the shadow economy. By contrast, corruption control and trade openness are negatively associated with the development of this informal sector. Moreover, the paper's primary finding is that social capital represented by social trust and tax morale can hinder the size of the shadow economy.
Research limitations/implications
This study is limited to the case of the BRICS countries for the period 1995–2014. The determinants of the shadow economy in different groups of countries can be heterogeneous. Moreover, social capital is a multidimensional concept that may consist of various components. This difficulty of measuring the social capital calls for further research on the relationship between other dimensions of social capital and the shadow economy.
Originality/value
Many studies investigate the effect of economic factors on the size of the shadow economy. This paper applies a new approach to discover the issue. Notably, the authors use the Bayesian linear regression method to analyze the relationship between social capital and the shadow economy in the BRICS countries.
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Chao Yu, Haiying Li, Xinyue Xu and Qi Sun
During rush hours, many passengers find it difficult to board the first train due to the insufficient capacity of metro vehicles, namely, left behind phenomenon. In this paper, a…
Abstract
Purpose
During rush hours, many passengers find it difficult to board the first train due to the insufficient capacity of metro vehicles, namely, left behind phenomenon. In this paper, a data-driven approach is presented to estimate left-behind patterns using automatic fare collection (AFC) data and train timetable data.
Design/methodology/approach
First, a data preprocessing method is introduced to obtain the waiting time of passengers at the target station. Second, a hierarchical Bayesian (HB) model is proposed to describe the left behind phenomenon, in which the waiting time is expressed as a Gaussian mixture model. Then a sampling algorithm based on Markov Chain Monte Carlo (MCMC) is developed to estimate the parameters in the model. Third, a case of Beijing metro system is taken as an application of the proposed method.
Findings
The comparison result shows that the proposed method performs better in estimating left behind patterns than the existing Maximum Likelihood Estimation. Finally, three main reasons for left behind phenomenon are summarized to make relevant strategies for metro managers.
Originality/value
First, an HB model is constructed to describe the left behind phenomenon in a target station and in the target direction on the basis of AFC data and train timetable data. Second, a MCMC-based sampling method Metropolis–Hasting algorithm is proposed to estimate the model parameters and obtain the quantitative results of left behind patterns. Third, a case of Beijing metro is presented as an application to test the applicability and accuracy of the proposed method.
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Dejan Živkov and Jasmina Đurašković
This paper aims to investigate how oil price uncertainty affects real gross domestic product (GDP) and industrial production in eight Central and Eastern European countries (CEEC).
Abstract
Purpose
This paper aims to investigate how oil price uncertainty affects real gross domestic product (GDP) and industrial production in eight Central and Eastern European countries (CEEC).
Design/methodology/approach
In the research process, the authors use the Bayesian method of inference for the two applied methodologies – Markov switching generalized autoregressive conditional heteroscedasticity (GARCH) model and quantile regression.
Findings
The results clearly indicate that oil price uncertainty has a low effect on output in moderate market conditions in the selected countries. On the other hand, in the phases of contraction and expansion, which are portrayed by the tail quantiles, the authors find negative and positive Bayesian quantile parameters, which are relatively high in magnitude. This implies that in periods of deep economic crises, an increase in the oil price uncertainty reduces output, amplifying in this way recession pressures in the economy. Contrary, when the economy is in expansion, oil price uncertainty has no influence on the output. The probable reason lies in the fact that the negative effect of oil volatility is not strong enough in the expansion phase to overpower all other positive developments which characterize a growing economy. Also, evidence suggests that increased oil uncertainty has a more negative effect on industrial production than on real GDP, whereas industrial share in GDP plays an important role in how strong some CEECs are impacted by oil uncertainty.
Originality/value
This paper is the first one that investigates the spillover effect from oil uncertainty to output in CEEC.
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Stefanella Stranieri, Alessandro Varacca, Mirta Casati, Ettore Capri and Claudio Soregaroli
Environmentally-friendly certifications have increased over the past decade within food supply chains. Although a large body of literature has explored the drivers leading firms…
Abstract
Purpose
Environmentally-friendly certifications have increased over the past decade within food supply chains. Although a large body of literature has explored the drivers leading firms to adopt such certifications, it has not closely examined the strategic motivations associated with their adoption. This paper aims to investigate an environmentally-friendly certification, VIVA, examining its role as an alternative form of supply chain governance. The aim is to investigate the drivers affecting the adoption of VIVA and to assess managerial perceptions related to transaction-related characteristics and the firm’s internal resources and capabilities.
Design/methodology/approach
This study draws upon both an extended transaction cost economics perspective, which is based on transaction risks and the resource-based view, which examines a firm’s internal resources. A survey was conducted via a structured questionnaire sent to all of the wine producers in charge of the decision regarding whether to adopt VIVA certification. A Hierarchal Bayesian Model was applied to analyse questionnaire responses. Such a model allows us to specify the probabilistic relationship between questions and latent constructs and to carry over uncertainty across modelling levels.
Findings
The adoption of this environmentally-friendly certification is envisioned as a tool to curb internal risks, and thus to manage behavioural uncertainty within the supply chain. A high level of exposure to exogenous transaction risks discourages firms from adopting VIVA certification. The certification system is not perceived as a promoter of operational capabilities. Managers are more likely to implement the certification when they expect that its adoption will leverage their potential knowledge of the supply chain or prompt new and better collaborations with the suppliers. Therefore, the certification can become a resource that interacts with the capabilities of the firm, expressing complementarities that stimulate the formation of dynamic capabilities.
Research limitations/implications
The identification of drivers from the two theoretical perspectives offers insights into the attributes that are perceived as important by managers and which, therefore, could be leveraged to foster the adoption of the environmental certification. The external validity of the study could be improved by extending the sample to other certifications and supply chains.
Originality/value
The study offers a different perspective on environmental certification. It demonstrates that considering the certification as an alternative form of supply chain governance opens up a set of efficiency and strategic considerations that could be addressed to promote the effectiveness of an environmental strategy within a supply chain
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Pierre Rostan and Alexandra Rostan
The purpose of this paper is to answer the following two questions: Will Saudi Arabia get older? Will its pension system be sustainable?
Abstract
Purpose
The purpose of this paper is to answer the following two questions: Will Saudi Arabia get older? Will its pension system be sustainable?
Design/methodology/approach
The methodology/approach is to forecast KSA’s population with wavelet analysis combined with the Burg model which fits a pth order autoregressive model to the input signal by minimizing (least squares) the forward and backward prediction errors while constraining the autoregressive parameters to satisfy the Levinson-Durbin recursion, then relies on an infinite impulse response prediction error filter.
Findings
Spectral analysis projections of Saudi age groups are more optimistic than the Bayesian probabilistic model sponsored by the United Nations Population Division: Saudi Arabia will not get older as fast as projected by the United Nations model. The KSA’s pension system will stay sustainable based on spectral analysis, whereas it will not based on the U.N. model.
Originality/value
Spectral analysis will provide better insight and understanding of population dynamics for Saudi government policymakers, as well as economic, health and pension planners.
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This study proposes a Bayesian approach to analyze structural breaks and examines whether structural changes have occurred, at the onset of civil war, with respect to economic…
Abstract
Purpose
This study proposes a Bayesian approach to analyze structural breaks and examines whether structural changes have occurred, at the onset of civil war, with respect to economic development and population during the period from 1945 to 1999.
Design/methodology/approach
In the Bayesian logit regression changepoint model, parameters of covariates are allowed to shift individually, regime transitions can move back and forth, and the model is applicable to cross-sectional, time-series data.
Findings
Contrary to popular belief that the causal process of civil war changed with the end of the Cold War, the empirical analysis shows that the regression relationships between civil war and economic development, as well as between civil war and population, remain quite stable during the study period.
Originality/value
This is the first to develop a Bayesian logit regression changepoint model and to apply it to studies of economic development and civil war.
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Babitha Philip and Hamad AlJassmi
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International…
Abstract
Purpose
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International Roughness Index (IRI). Nonetheless, the behavior of those parameters throughout pavement life cycles is associated with high uncertainty, resulting from various interrelated factors that fluctuate over time. This study aims to propose the use of dynamic Bayesian belief networks for the development of time-series prediction models to probabilistically forecast road distress parameters.
Design/methodology/approach
While Bayesian belief network (BBN) has the merit of capturing uncertainty associated with variables in a domain, dynamic BBNs, in particular, are deemed ideal for forecasting road distress over time due to its Markovian and invariant transition probability properties. Four dynamic BBN models are developed to represent rutting, deflection, cracking and IRI, using pavement data collected from 32 major road sections in the United Arab Emirates between 2013 and 2019. Those models are based on several factors affecting pavement deterioration, which are classified into three categories traffic factors, environmental factors and road-specific factors.
Findings
The four developed performance prediction models achieved an overall precision and reliability rate of over 80%.
Originality/value
The proposed approach provides flexibility to illustrate road conditions under various scenarios, which is beneficial for pavement maintainers in obtaining a realistic representation of expected future road conditions, where maintenance efforts could be prioritized and optimized.
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