Search results

The purpose of this paper is to provide the results of investigation of multi‐moment statistical characteristics of chaos and apply them to improve the accuracy of nonlinear algorithms for chaos filtering for real‐time applications.

The approach to find multi‐moment statistical properties of chaos‐multi‐moment cumulant (covariance) functions of higher order is a generalization of the previously proposed (by the authors) “degenerated cumulant equations” method. Those multi‐moment cumulants functions are applied in the generalization of the Stratonovich‐Kushner equations (SKE) for the optimum algorithm of nonlinear filtering of chaos as well as for synthesis of the quasi‐optimum algorithms.

Results are presented to investigate the multi‐moment statistical properties of chaos and formulate the theoretical background for synthesis of multi‐moment optimum and quasi‐optimum algorithms for nonlinear filtering of chaos with the improved accuracy in the presence of additive white noise.

The paper presents new theoretical results of the statistical description of chaos, previously partially reported only from experimental studies. A novel approach for chaos filtering is also presented. The proposed approach is dedicated to further improvement of the filtering accuracy for the case of low (less than one) SNR scenarios and is important for implementation in real‐time processing. As an important practical example, the new modified EKF algorithm is proposed with the rather opportunistic characteristics of the filtering fidelity together with algorithm complexity – practically the same as the “classic” one‐moment EKF algorithm.

The purpose of this paper is to compare competing adaptive strategies for fast frequency sweeps for driven and waveguide‐mode problems and give recommendations for practical implementations.

The paper first summarizes the theory of adaptive strategies for multi‐point (MP) sweeps and then evaluates the efficiency of such methods by means of numerical examples.

The authors' numerical tests give clear evidence for exponential convergence. In the driven case, highly resonant structures lead to pronounced pre‐asymptotic regions, followed by almost immediate convergence. Bisection and greedy point‐placement methods behave similarly. Incremental indicators are trivial to implement and perform similarly well as residual‐based methods.

While the underlying reduction methods can be extended to any kind of affine parameter‐dependence, the numerical tests of this paper are for polynomial parameter‐dependence only.

The present paper describes self‐adaptive point‐placement methods and termination criteria to make MP frequency sweeps more efficient and fully automatic.

The paper provides a self‐adaptive strategy that is efficient and easy to implement. Moreover, it demonstrates that exponential convergence rates can be reached in practice.

This paper aims to explore the impact of Sharīʿah-compliant stocks on other investor risk preferences beyond the risk aversion, namely, prudence and temperance.

This paper uses the non-parametric model data envelopment analysis with the shortage function as a measure of performance. The model uses three specifications considering skewness and kurtosis that describe according to expected utility theory, prudence and temperance.

Results show that first, efficient portfolios consist mainly of conventional stocks in the three-model specification. Second, the skewness improvement is achieved only when considering conventional stocks while Sharīʿah-compliant assets do not exhibit any impact on the third moment. Finally, diversification through both conventional and Sharīʿah-compliant stocks does not lead to kurtosis reduction. Sharīʿah-compliant stocks in efficient portfolios are sensitive to return and risk solely, and hence, prudence and temperance as related to skewness and kurtosis measures can be ignored in optimal portfolio selection during normal market conditions.

Findings suggest the same conclusions for four Islamic screening methods; however, readers should be prudent due to the limited sample. Results show that Sharīʿah-compliant assets do not have an impact on higher-order moments optimal portfolio returns, and hence, question the commonly admitted assumption of non-normality return distributions at least for Sharīʿah-compliant stocks.

The research findings suggest that Islamic investor preferences are described only by return and risk along with Sharīʿah criteria for stock selection and portfolio allocation. Portfolio managers should not care about higher-order moments to manage Sharīʿah-compliant funds. The traditional mean-variance Markowitz framework will be sufficient for investment or allocation decision-making. Description of Sharīʿah-compliant portfolio returns with only the first two order moments gives such asset more resiliency to extreme events like a crisis.

This research is the first in literature exploring whether prudence and temperance defined by higher-order moments can be drivers, besides Sharīʿah criteria, in portfolio allocation decision-making. This study is unique in terms of methodology and application. It uses individual stock data on the Casablanca Stock Exchange.

Purpose – The purpose of this chapter is to estimate non-Gaussian distributions by means of Johnson distributions. An empirical illustration on hedge fund returns is detailed.

Methodology/approach – To fit non-Gaussian distributions, the chapter introduces the family of Johnson distributions and its general extensions. We use both parametric and non-parametric approaches. In a first step, we analyze the serial correlation of our sample of hedge fund returns and unsmooth the series to correct the correlations. Then, we estimate the distribution by the standard Johnson system of laws. Finally, we search for a more general distribution of Johnson type, using a non-parametric approach.

Findings – We use data from the indexes Credit Suisse/Tremont Hedge Fund (CSFB/Tremont) provided by Credit Suisse. For the parametric approach, we find that the SU Johnson distribution is the most appropriate, except for the Managed Futures. For the non-parametric approach, we determine the best polynomial approximation of the function characterizing the transformation from the initial Gaussian law to the generalized Johnson distribution.

Originality/value of chapter – These findings are novel since we use an extension of the Johnson distributions to better fit non-Gaussian distributions, in particular in the case of hedge fund returns. We illustrate the power of this methodology that can be further developed in the multidimensional case.

The pupose of this study is to systematically review the current literature on the value stream mapping (VSM) application in the construction industry to investigate the evolution observed over time and the results obtained by adopting this tool. In addition, special attention was given to the potential of VSM in identifying loss and waste, as well as their main causes.

The study analyses papers in literature using Preferred Reporting Items for Systematic Reviews and Meta-Analyses research protocol. As a result, 383 papers were initially identified, and 47 papers were selected.

It was observed that the number of studies addressing this topic has been increasing over the past decade and findings related to the evolution, application and the benefits obtained from the VSM application in context of construction were presented. Additionally, the authors found that the two most cited lean wastes were waiting and defects in the production chain. The main causes of this waste and loss were also identified in this work.

This paper contributes by presenting the applicability of VSM as a tool in the construction as found in the literature. For academics, it will be possible to clearly observe research gaps and for industry managers, to identify the main sources of waste and assess the performance of the tool’s application.

The study uses a systematic review to analyze the application of the VSM tool in the construction industry and provides guidance for future research by identifying research gaps, in addition to conducting an extensive analysis of the tool’s potential in waste identification in the studied papers and their primary causes.