Romeo Mawonike | Great Zimbabwe University (original) (raw)

Papers by Romeo Mawonike

International journal of financial engineering, Mar 27, 2023

In this paper, a time-consistent and arbitrage-free state space for the one-, two-, and three-fac... more In this paper, a time-consistent and arbitrage-free state space for the one-, two-, and three-factor Vasicek models for long-term bonds is constructed. To account for the uncertainty in long-term bond yields, we propose a stochastic time-dependent mean-reversion model. The state-space model allows for the computation of measurement errors from observed yields. Appropriate state and measurement linear equations are derived to allow the use of the Kalman filter for model implementation. Based on weekly South African Government Bonds from February 2010 to February 2021, we give parameter estimates for the one-factor, two-factor, and three-factor models. The results from the study show that the developed model can fit the term structure of very long-term bonds.

International Journal of Financial Engineering

Journal of Management and Science, 2015

Statistical Process Control (SPC) uses statistical techniques to improve the quality of a process... more Statistical Process Control (SPC) uses statistical techniques to improve the quality of a process reducing its variability. The main tools of SPC are the control charts. The basic idea of control charts is to test the hypothesis that there are only common causes of variability versus the alternative that there are special causes. Control charts are designed and evaluated under the assumption that the observations from the process are independent and identically distributed (IID) normal. However, the independence assumption is often violated in practice. Autocorrelation may be present in many procedures, and may have a significant effect on the properties of the control charts.Thus, traditional SPC charts are inappropriate for monitoring process quality. In this study, wepresent methods for process control that deal with auto correlated data and a method based on time series ARIMA models (Box Jenkins Methodology). We apply the typical Cumulative Sum (CUSUM) and Exponentially Weighted...

Science Journal of Applied Mathematics and Statistics

Journal of Management and Science, 2014

Ticks cause great economic losses to livestock in the world and have adverse effect on livestock ... more Ticks cause great economic losses to livestock in the world and have adverse effect on livestock host in several ways and parasitize a wide range of vertebrate hosts, and transmit a wider variety of pathogenic agents than any other group of arthropods. A complex of problems related to ticks and tick-borne diseases of cattle created a demand for methods to control ticks and reduce losses of cattle. In this paper, dipping is the only control method used to eradicate cattle ticksin the area of Mukore and only Mashona cows are examined. However, Randomized Complete Block Design (RCBD), an experimental method, confirms that Blue Ticks are resistant to dipping in this area. Four different parts of a cow (blocks) are of interest in this research during the experiment.The results show that the most affected area is the udder followed by the belly, tail and lastly the ear.Tickbuster (EC) cattle Dip is the chemical used in the plunge dipping tank. A supplementary method such as spraying the c...

Journal of the Institute of Brewing, 2017

The brewing process of opaque beer suffers of lack of sophisticated measurement and good hygienic... more The brewing process of opaque beer suffers of lack of sophisticated measurement and good hygienic practices. Breweries of opaque beer experience variation in viscosity and beer quality. This variation is due to inconsistency in the manufacturing process and inputs/ingredients used in the brewing process. In this paper, the opaque beer (chibuku) was monitored via a statistical approach, multivariate cumulative sum (MCUSUM) charting. Monitoring was focused on different processes: gelatinization, souring, mashing, pitching, fermentation and packaging. These involve highly correlated variables including temperature, pH, time, viscosity and alcohol content. The variables were monitored simultaneously by using MCUSUM control charts. The results show that the quality of opaque beer (chibuku) is compromised by lack of uniformity in parameter measurement during production. More thorough inspection during chibuku brewing is required to ensure the consistency of measurable quality variables and to improve taste, shelf life and organoleptic characteristics of the beer.

Numerical Algebra, Control and Optimization

We propose a static Markowitz mean-variance portfolio selection model suitable for long-term zero... more We propose a static Markowitz mean-variance portfolio selection model suitable for long-term zero-coupon bonds. The model uses a multi-factor term structure model of Vasicek (Ornstein-Uhlenbeck) type to compute the portfolio's expected return and its variance in the model. German Government zero-coupon bonds with short to very long time to maturity are considered; the data spans August 2002 to December 2020. The main investment assumption is the re-investment of cash flows of zero-coupon bonds with maturities less than the planning horizon at the current spot interest rate. Solutions for the zero-coupon holding vector and the tangency portfolio are obtained in closed form. Model parameters are estimated under an assumption of modeling ambiguity which takes the form of Knightian uncertainties at the level of the latent factors, allowing the use of a Kalman filter. Different investment strategies are examined on various risk portfolios. Results show that one-and two-factor Vasicek models produce attractive out-of-sample portfolio predictions in terms of the Sharpe ratio especially on long-term investments. It is also noted that a small number of risky bonds can adequately produce very attractive portfolio risk-return profiles.

DOI: 10.21276/sjpms.2018.5.2.3 Abstract: Water quality monitoring and evaluation provides importa... more DOI: 10.21276/sjpms.2018.5.2.3 Abstract: Water quality monitoring and evaluation provides important information to estimate water system status. Clean water prolongs someone’s life through equitable health facility. Residents suffer of unclean water service provided by the utility Service provider due to lack of sophisticated methods of treatment. This research seeks to monitor and improve the water treatment process at various stages. In this regard, multivariate statistical process control (MSPC) techniques specifically, the multivariate exponentially weighted moving average (MEWMA), the Hotelling’s T 2

Application of statistical methods in monitoring and control of industrial processes are generall... more Application of statistical methods in monitoring and control of industrial processes are generally known as statistical process control (SPC). Since most of the modern day industrial processes are multivariate in nature, multivariate statistical process control (MSPC), supplanted univariate SPC techniques. MSPC techniques are not only significant for scholastic pursuit; it has been addressing industrial problems in recent past. Monitoring and controlling a chemical process is a challenging task because of their multivariate, highly correlated and non-linear nature. In this paper, a series of techniques were applied. Time series plot was implemented to determine the stationarity of the data. The Box-Jenkins methodology of model identification, estimation and validation; was used to generate ARIMA models based on multiple non sequential data. As a result, the residuals from ARIMA models have shown four attributes: normally distributed, uncorrelated, independent and no autocorrelation ...

International Journal of Bonds and Derivatives, 2021

We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds.... more We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term...

In this paper multi-server models and some generalizations are considered. With the exception of ... more In this paper multi-server models and some generalizations are considered. With the exception of one model, arrival time and departure time are assumed to be Markovian. Arriving units and departing units are according to the birth-and-death processes. Solutions for the models are obtained under steady state conditions. Waiting times, queue length and the number of customers in the system at any given time are discussed using analytical queuing models. Finally, sensitivity analysis is performed to reach the best optimal solution to the current problem faced by both customers and the company. The results show that two options could be pursued to reduced waiting lines and costs by customers and the company. The first one is to build more parking spaces for waiting trucks and the second option is to increase the service rate while maintaining the number of servers available.

DOI: 10.21276/sjpms.2018.5.2.12 Abstract: In healthcare sector, quality services come with a comp... more DOI: 10.21276/sjpms.2018.5.2.12 Abstract: In healthcare sector, quality services come with a compromise of devoting more resources e.g. labour force, waiting space, efficient laboratory equipment, etc. Few workforce result in prolonged and sluggish queues which are life threatening especially to accident ill patients. Waiting on a queue is not usually interesting, but reduction in this waiting time usually requires planning and extra investments. Still, emergency departments and intensive care units are among the most intricate and expensive of all medicinal resources, and hospital authorities are mandated to meet the demand for intensive care services with suitable capability. This study seeks to address the congestion of patients flow in acute departments (Emergence department and Intensive care unit ward) from our local hospitals by applying analytical queueing models to the situation. However, our models in this paper only address the waiting queues and waiting space as main cha...

The remarkable increase in the Zimbabwe’s migration is of major concern in terms of planning purp... more The remarkable increase in the Zimbabwe’s migration is of major concern in terms of planning purposes and policy formulation by the government, Non-governmental organizations (NGOs), tourism authorities, investors and industrialists. It is important to have statistical models that can be used to project future migrants as the projections are vital in decision making purposes. The total monthly migrants (immigrants) of Zimbabwe from 2001 to 2017 are modelled using the Box Jenkins technique. The data for the study was availed by the Zimbabwe National Statistics Agency (ZIMSTAT). A time series plot determined the migration trend to Zimbabwe and December is noted as the seasonal month with a significant number of migrants. The parsimonious SARIMA (1, 1, 1)(2,0,1)12 model fitted well to the migration data is validated by the Akaike information criterion (AIC), mean square error (MSE), root mean square error (RMSE) and other graphical measures. The model is used to project immigrants for ...

The study of weather parameters is paramount in this era of climate change. Temperature, relative... more The study of weather parameters is paramount in this era of climate change. Temperature, relative humidity, amount of sunshine and wind speed among others; are weather parameters which play a role to determine the amount of rainfall received on land. In this research, the effect temperature and relative humidity on rainfall was studied. The study reveals that both temperature and relative humidity have a positive significant effect on rainfall. Results show that rainfall is maximised when temperature and relative humidity are at high levels and few rainfall is expected when both these parameters are at low levels. It is also observed that temperature contributes about 50% to change in rainfall while relative humidity contributes about 80% to change in rainfall. It has been found that the interaction of temperature and relative humidity has little meaning or insignificant to change in rainfall received.

Young generation of today has become actively involved in unprotected sex despite awareness campa... more Young generation of today has become actively involved in unprotected sex despite awareness campaigns echoed by various health organisations about the deadly incommunicable sexual infections. Most towns and cities have become fertile grounds for STIs regardless of the availability of free female and male condoms at workplaces, institutes of higher learning, beerhalls, and night clubs among other leisure spots. STIs pose serious health problems amongst the infected patients such as infertility, cervical cancer, genital watts, HIV and male sexual dysfunction over and above the many diseases that can be attributed to the effects of STIs. Females from the age of 24-49 are the most affected group of people in Masvingo province followed by females from 10-24 years of age. Vaginal/urethra discharge is the most rampant STI which has caused sleepless nights to young people especially females from 24-49 years of age, the elderly who are above 50 are not spared from this STI either. Age group, gender and type of STI are all significant as well as their interactions in determining sexually transmitted cases in Masvingo.

High quality and uniformity of metallurgical coke has a positive effect on the blast furnace oper... more High quality and uniformity of metallurgical coke has a positive effect on the blast furnace operation and hot metal quality. A high quality coke should be able to support a smooth descent of the blast furnace burden with as little degradation as possible while providing the lowest amount of impurities, highest thermal energy, highest metal reduction and optimum permeability for the flow of gaseous and molten products. Low quality coke has adverse effects on the blast furnace and this will truncate to low molten product quality. In order to produce high quality coke, it is of great importance to monitor both physical and chemical characteristics/ material properties of coal itself. Coke quality variability is low if all these factors are controlled. In this paper, the quality of bituminous coal is being monitored for the production of metallurgical coke. The general multivariate exponentially weighted moving average (MEWMA) control chart [15] is used amongst all MSPC because of its potential to detect small shift in the mean vector as its counterpart, the Multivariate cumulative sum (MCUSUM) control chart. Five chemical quality characteristics of bituminous coal are monitored using MEWMA charts with different weights and average run lengths. The identified out of control variables are eliminated and a revised MEWMA control chart is constructed. The results show that ash and moisture content need more attention as they cause the whole process to be out of control.

American Journal of Theoretical and Applied Statistics, 2016

Poverty is rampant throughout the entire country of Zimbabwe and is smelt everywhere as its wave ... more Poverty is rampant throughout the entire country of Zimbabwe and is smelt everywhere as its wave penetrates every sector of the economy. Zimbabwe's poverty is directly linked to its extremely high unemployment rate. Men, women, and youth are all affected by unemployment, including university graduates, as a number of industries and businesses have closed over the years, due to decline in tobacco exports, and the loss of revenue from the mining and farming sectors. Geographical location has a significant role in determining the income one has to spend to earn a living as there is some disparity in total consumption poverty lines with different provinces. Financial assistance or aids also varies in volume with the nature of province. In this paper, we seek to investigate whether Total consumption poverty line in Zimbabwe varies with time (type of month) and or with geographical location (the type of province into which one lives). We further seek to investigate which provinces share the same TCPL and which ones are most affected. We apply an ordinary Two-Factor Factorial Design to conclude our investigation.