Nawapon Nakharutai

Chiang Mai University | CMU · Department of Statistics

Tail dependence is the tool to measure dependence in the extremes of a bivariate distribution. Copula is the function used to describe the dependence between the variables. Therefore, copula is used in order to determine the tail dependence. In this work, we focus on dealing with the case of an extreme weight of mixture copula. We provide the trans...

This study introduces a novel approach to estimate tail dependence in financial contagion using mixture copulas. Addressing the challenges of weight parameter estimation in conventional models, we propose a Bayesian model averaging method to determine optimal copula weights. Through both simulations and empirical studies, the proposed method demons...

Introduction Northern Thailand experiences high levels of air pollution in the dry season due to agricultural waste burning and forest fires. Some air pollutants can enter the bloodstream, and the liver has the role of detoxifying these along with other harmful substances. In this study, we assessed the effects of long-term exposure to air pollutan...

This study presents a new approach that combines Data Envelopment Analysis (DEA) for stock selection based on fundamental metrics with Recurrent Neural Networks (RNNs), including simple RNN and Long Short-Term Memory (LSTM) networks, to predict future stock trends in the Thai stock market. DEA can identify the most qualified stocks based on fundame...

The objective of this study is to determine the possible association between exposure to air pollution and the risk of death from cancer during childhood in upper northern Thailand. Data were collected on children aged 0–15 years old diagnosed with cancer between January 2003 and December 2018 from the Chiang Mai Cancer Registry. Survival rates wer...

Background Developmental delay in early childhood can have negative long‐term cognitive and psychiatric sequelae, along with poor academic achievement, so early screening and surveillance are paramount. The aim of this study is to evaluate the impact of screening and surveillance on child developmental delay using the Developmental Surveillance and...

This study presents a new approach that combines Data Envelopment Analysis (DEA) for stock selection based on fundamental metrics with Recurrent Neural Networks (RNNs), including simple RNN and Long Short-Term Memory (LSTM) networks, to predict future stock trends in the Thai stock market. DEA can identify the most qualified stocks based on fundame...

Background To evaluate survival rates of hepatocellular carcinoma (HCC), the Chiang Mai Cancer Registry provided characteristics data of 6276 HCC patients diagnosed between 1998-2020 based on evolution of imaging diagnosis. Evolution can be separated into four cohorts, namely, cohort 1 (1990-2005) when we had ultrasound (US) and single-phase comput...

Background: To evaluate survival rates of hepatocellular carcinoma (HCC), the Chiang Mai Cancer Registry provided characteristics data of 6276 HCC patients diagnosed between 1998-2020 based on evolution of imaging diagnosis. Evolution can be separated into four cohorts, namely, cohort 1 (1990-2005) when we had ultrasound (US) and single-phase comp...

Portfolio optimization aims to minimize risk and maximize return on investment by determining the best combination of securities and proportions. The variance in portfolio optimization models is typically used for a measure of risk. Over the last few decades, portfolio optimization utilizing a variety of risk measures has grown significantly, and m...

Convex sets of probabilities are general models to describe and reason with uncertainty. Moreover, robust decision rules defined for them enable one to make cautious inferences by allowing sets of optimal actions to be returned, reflecting lack of information. One caveat of such rules, though, is that the number of returned actions is only bounded...

Although HIV pre-exposure prophylaxis (PrEP) is free in Thailand, many transgender women discontinue taking it after initiation. We determined the loss to follow-up (LTFU) rate of transgender women who initiated PrEP at the Mplus Foundation, Chiang Mai, Thailand, and identified associated risk factors using Cox proportional hazard models. Of 235 pa...

Microlensing is proving to be one of the best techniques to detect distant, low-mass planets around the most common stars in the Galaxy. In principle, Earth’s microlensing signal could offer the chance for other technological civilisations to find the Earth across Galactic distances. We consider the photometric microlensing signal of Earth to other...

Microlensing is proving to be one of the best techniques to detect distant, low-mass planets around the most common stars in the Galaxy. In principle, Earth's microlensing signal could offer the chance for other technological civilisations to find the Earth across Galactic distances. We consider the photometric microlensing signal of Earth to other...

Air pollutants, especially particulate matter (PM) ≤ 2.5 µm (PM2.5) and PM ≤ 10 µm (PM10), are a major concern in upper northern Thailand. Data from a retrospective cohort comprising 9820 lung cancer patients diagnosed from 2003 to 2018 were obtained from the Chiang Mai Cancer Registry, and used to evaluate mortality and survival rates. Cox proport...

Context. Microlensing provides a unique opportunity to detect non-luminous objects. In the rare cases that the Einstein radius θ_E and microlensing parallax π_E can be measured, it is possible to determine the mass of the lens. With technological advances in both ground- and space-based observatories, astrometric and interferometric measurements ar...

We present the photometric analysis of Gaia19bld, a high-magnification ($A\approx60$) microlensing event located in the southern Galactic plane, which exhibited finite source and microlensing parallax effects. Due to a prompt detection by the Gaia satellite and the very high brightness of $I = 9.05~$mag at the peak, it was possible to collect a com...

Exomoons are natural satellites of exoplanets. Nowadays, none has been confirmed. However, a number of detection techniques have been proposed, including Transit Timing Variations (TTV) and Transit Duration Variations (TDV) techniques. From a recent study, fitting observed transit with the traditional photocentric fitting model shows unique feature...

\Gamma$-maximin, $\Gamma$-maximax and inteval dominance are familiar decision criteria for making decisions under severe uncertainty, when probability distributions can only be partially identified. One can apply these three criteria by solving sequences of linear programs. In this study, we present new algorithms for these criteria and compare the...

Γ-maximin, Γ-maximax and inteval dominance are familiar decision criteria for making decisions under severe uncertainty, when probability distributions can only be partially identified. One can apply these three criteria by solving sequences of linear programs. In this study, we present new algorithms for these criteria and compare their performanc...

-maximin, -maximax, maximality and interval dominance are well-known criteria for decision making using lower previsions when precise probabilities are not available. This study proposes algorithms for generating a set of gambles that has a precise number of -maximin (or -maximax) gambles that can be used to generate random decision problems for be...

Maximality, interval dominance, and E-admissibility are three well-known criteria for decision making under severe uncertainty using lower previsions. We present a new fast algorithm for finding maximal gambles. We compare its performance to existing algorithms, one proposed by Troffaes and Hable (2014) [15], and one by Jansen et al. (2017) [6]. To...

Maximality, interval dominance, and E-admissibility are three well-known criteria for decision making under severe uncertainty using lower previsions. We present a new fast algorithm for finding maximal gambles. We compare its performance to existing algorithms, one proposed by Troffaes and Hable (2014), and one by Jansen, Augustin, and Schollmeyer...

In the UK betting market, bookmakers often offer a free coupon to new customers. These free coupons allow the customer to place extra bets, at lower risk, in combination with the usual betting odds. We are interested in whether a customer can exploit these free coupons in order to make a sure gain, and if so, how the customer can achieve this. To a...

In the UK betting market, bookmakers often offer a free coupon to new customers. These free coupons allow the customer to place extra bets, at lower risk, in combination with the usual betting odds. We are interested in whether a customer can exploit these free coupons in order to make a sure gain, and if so, how the customer can achieve this. To a...

We review the simplex method and two interior-point methods (the affine scaling and the primal-dual) for solving linear programming problems for checking avoiding sure loss, and propose novel improvements. We exploit the structure of these problems to reduce their size. We also present an extra stopping criterion, and direct ways to calculate feasi...

This study focuses on the lowest unique sealed-bid auctions in which the winning bidder is the one who places the unique bid that has the lowest value where exactly m bids per bidder are allowed. The problem can be seen as injecting a minimum into a random subset of a larger subset. By assuming that bids are identical and independently placed accor...