Comparative Analysis of VaR Estimation of Double Long-Memory GARCH Models: Empirical Analysis of China's Stock Market

NASA Astrophysics Data System (ADS)

Cao, Guangxi; Guo, Jianping; Xu, Lin

GARCH models are widely used to model the volatility of financial assets and measure VaR. Based on the characteristics of long-memory and lepkurtosis and fat tail of stock market return series, we compared the ability of double long-memory GARCH models with skewed student-t-distribution to compute VaR, through the empirical analysis of Shanghai Composite Index (SHCI) and Shenzhen Component Index (SZCI). The results show that the ARFIMA-HYGARCH model performance better than others, and at less than or equal to 2.5 percent of the level of VaR, double long-memory GARCH models have stronger ability to evaluate in-sample VaRs in long position than in short position while there is a diametrically opposite conclusion for ability of out-of-sample VaR forecast.

Forecasting Tehran stock exchange volatility; Markov switching GARCH approach

NASA Astrophysics Data System (ADS)

Abounoori, Esmaiel; Elmi, Zahra (Mila); Nademi, Younes

2016-03-01

This paper evaluates several GARCH models regarding their ability to forecast volatility in Tehran Stock Exchange (TSE). These include GARCH models with both Gaussian and fat-tailed residual conditional distribution, concerning their ability to describe and forecast volatility from 1-day to 22-day horizon. Results indicate that AR(2)-MRSGARCH-GED model outperforms other models at one-day horizon. Also, the AR(2)-MRSGARCH-GED as well as AR(2)-MRSGARCH-t models outperform other models at 5-day horizon. In 10 day horizon, three models of AR(2)-MRSGARCH outperform other models. Concerning 22 day forecast horizon, results indicate no differences between MRSGARCH models with that of standard GARCH models. Regarding Risk management out-of-sample evaluation (95% VaR), a few models seem to provide reasonable and accurate VaR estimates at 1-day horizon, with a coverage rate close to the nominal level. According to the risk management loss functions, there is not a uniformly most accurate model.

Nonlinear GARCH model and 1 / f noise

NASA Astrophysics Data System (ADS)

Kononovicius, A.; Ruseckas, J.

2015-06-01

Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we consider the well known GARCH(1,1) process and its nonlinear modifications, reminiscent of NGARCH model. We investigate the possibility to reproduce power law statistics, probability density function and power spectral density, using ARCH family models. For this purpose we derive stochastic differential equations from the GARCH processes in consideration. We find the obtained equations to be similar to a general class of stochastic differential equations known to reproduce power law statistics. We show that linear GARCH(1,1) process has power law distribution, but its power spectral density is Brownian noise-like. However, the nonlinear modifications exhibit both power law distribution and power spectral density of the 1 /fβ form, including 1 / f noise.

A new estimator method for GARCH models

NASA Astrophysics Data System (ADS)

Onody, R. N.; Favaro, G. M.; Cazaroto, E. R.

2007-06-01

The GARCH (p, q) model is a very interesting stochastic process with widespread applications and a central role in empirical finance. The Markovian GARCH (1, 1) model has only 3 control parameters and a much discussed question is how to estimate them when a series of some financial asset is given. Besides the maximum likelihood estimator technique, there is another method which uses the variance, the kurtosis and the autocorrelation time to determine them. We propose here to use the standardized 6th moment. The set of parameters obtained in this way produces a very good probability density function and a much better time autocorrelation function. This is true for both studied indexes: NYSE Composite and FTSE 100. The probability of return to the origin is investigated at different time horizons for both Gaussian and Laplacian GARCH models. In spite of the fact that these models show almost identical performances with respect to the final probability density function and to the time autocorrelation function, their scaling properties are, however, very different. The Laplacian GARCH model gives a better scaling exponent for the NYSE time series, whereas the Gaussian dynamics fits better the FTSE scaling exponent.

Study of the cross-market effects of Brexit based on the improved symbolic transfer entropy GARCH model—An empirical analysis of stock–bond correlations

PubMed Central

Chen, Xiurong; Zhao, Rubo

2017-01-01

In this paper, we study the cross-market effects of Brexit on the stock and bond markets of nine major countries in the world. By incorporating information theory, we introduce the time-varying impact weights based on symbolic transfer entropy to improve the traditional GARCH model. The empirical results show that under the influence of Brexit, flight-to-quality not only commonly occurs between the stocks and bonds of each country but also simultaneously occurs among different countries. We also find that the accuracy of the time-varying symbolic transfer entropy GARCH model proposed in this paper has been improved compared to the traditional GARCH model, which indicates that it has a certain practical application value. PMID:28817712

Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price

NASA Astrophysics Data System (ADS)

Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John

2015-02-01

Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.

Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach

NASA Astrophysics Data System (ADS)

Gu, Huaying; Liu, Zhixue; Weng, Yingliang

2017-04-01

The present study applies the multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) with spatial effects approach for the analysis of the time-varying conditional correlations and contagion effects among global real estate markets. A distinguishing feature of the proposed model is that it can simultaneously capture the spatial interactions and the dynamic conditional correlations compared with the traditional MGARCH models. Results reveal that the estimated dynamic conditional correlations have exhibited significant increases during the global financial crisis from 2007 to 2009, thereby suggesting contagion effects among global real estate markets. The analysis further indicates that the returns of the regional real estate markets that are in close geographic and economic proximities exhibit strong co-movement. In addition, evidence of significantly positive leverage effects in global real estate markets is also determined. The findings have significant implications on global portfolio diversification opportunities and risk management practices.

Beyond long memory in heart rate variability: An approach based on fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity

NASA Astrophysics Data System (ADS)

Leite, Argentina; Paula Rocha, Ana; Eduarda Silva, Maria

2013-06-01

Heart Rate Variability (HRV) series exhibit long memory and time-varying conditional variance. This work considers the Fractionally Integrated AutoRegressive Moving Average (ARFIMA) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors. ARFIMA-GARCH models may be used to capture and remove long memory and estimate the conditional volatility in 24 h HRV recordings. The ARFIMA-GARCH approach is applied to fifteen long term HRV series available at Physionet, leading to the discrimination among normal individuals, heart failure patients, and patients with atrial fibrillation.

The predictive content of CBOE crude oil volatility index

NASA Astrophysics Data System (ADS)

Chen, Hongtao; Liu, Li; Li, Xiaolei

2018-02-01

Volatility forecasting is an important issue in the area of econophysics. The information content of implied volatility for financial return volatility has been well documented in the literature but very few studies focus on oil volatility. In this paper, we show that the CBOE crude oil volatility index (OVX) has predictive ability for spot volatility of WTI and Brent oil returns, from both in-sample and out-of-sample perspectives. Including OVX-based implied volatility in GARCH-type volatility models can improve forecasting accuracy most of time. The predictability from OVX to spot volatility is also found for longer forecasting horizons of 5 days and 20 days. The simple GARCH(1,1) and fractionally integrated GARCH with OVX performs significantly better than the other OVX models and all 6 univariate GARCH-type models without OVX. Robustness test results suggest that OVX provides different information from as short-term interest rate.

Volatility in GARCH Models of Business Tendency Index

NASA Astrophysics Data System (ADS)

Wahyuni, Dwi A. S.; Wage, Sutarman; Hartono, Ateng

2018-01-01

This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.

A copula-multifractal volatility hedging model for CSI 300 index futures

NASA Astrophysics Data System (ADS)

Wei, Yu; Wang, Yudong; Huang, Dengshi

2011-11-01

In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI 300 index futures, we compare the direct and cross hedging effectiveness of the copula-MFV model with several popular copula-GARCH models. The main empirical results show that the proposed copula-MFV model obtains better hedging effectiveness than the copula-GARCH-type models in general. Furthermore, the hedge operating strategy based MFV hedging model involves fewer transaction costs than those based on the GARCH-type models. The finding of this paper indicates that multifractal analysis may offer a new way of quantitative hedging model design using financial futures.

Essays on oil price volatility and irreversible investment

NASA Astrophysics Data System (ADS)

Pastor, Daniel J.

In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

Hybrid Forecasting of Daily River Discharges Considering Autoregressive Heteroscedasticity

NASA Astrophysics Data System (ADS)

Szolgayová, Elena Peksová; Danačová, Michaela; Komorniková, Magda; Szolgay, Ján

2017-06-01

It is widely acknowledged that in the hydrological and meteorological communities, there is a continuing need to improve the quality of quantitative rainfall and river flow forecasts. A hybrid (combined deterministic-stochastic) modelling approach is proposed here that combines the advantages offered by modelling the system dynamics with a deterministic model and a deterministic forecasting error series with a data-driven model in parallel. Since the processes to be modelled are generally nonlinear and the model error series may exhibit nonstationarity and heteroscedasticity, GARCH-type nonlinear time series models are considered here. The fitting, forecasting and simulation performance of such models have to be explored on a case-by-case basis. The goal of this paper is to test and develop an appropriate methodology for model fitting and forecasting applicable for daily river discharge forecast error data from the GARCH family of time series models. We concentrated on verifying whether the use of a GARCH-type model is suitable for modelling and forecasting a hydrological model error time series on the Hron and Morava Rivers in Slovakia. For this purpose we verified the presence of heteroscedasticity in the simulation error series of the KLN multilinear flow routing model; then we fitted the GARCH-type models to the data and compared their fit with that of an ARMA - type model. We produced one-stepahead forecasts from the fitted models and again provided comparisons of the model's performance.

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model

PubMed Central

Li, Xiaoqing; Wang, Yu

2018-01-01

Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing technology. PMID:29351254

Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model.

PubMed

Xin, Jingzhou; Zhou, Jianting; Yang, Simon X; Li, Xiaoqing; Wang, Yu

2018-01-19

Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing technology.

Clustering of financial time series

NASA Astrophysics Data System (ADS)

D'Urso, Pierpaolo; Cappelli, Carmela; Di Lallo, Dario; Massari, Riccardo

2013-05-01

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.

The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

NASA Astrophysics Data System (ADS)

Gazola, L.; Fernandes, C.; Pizzinga, A.; Riera, R.

2008-02-01

This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model of price movements, which has been largely used to forecast financial crashes. In order to accomplish reliable statistical inference for unknown parameters, we incorporate an autoregressive dynamic and a conditional heteroskedasticity structure in the error term of the original model, yielding the log-periodic-AR(1)-GARCH(1,1) model. Both the original and the extended models are fitted to financial indices of U. S. market, namely S&P500 and NASDAQ. Our analysis reveal two main points: (i) the log-periodic-AR(1)-GARCH(1,1) model has residuals with better statistical properties and (ii) the estimation of the parameter concerning the time of the financial crash has been improved.

The relationship between trading volumes, number of transactions, and stock volatility in GARCH models

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya; Chen, Ting Ting

2016-08-01

We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatility. The impact of trading volumes or number of transactions on volatility is measured using the generalized autoregressive conditional heteroscedasticity (GARCH) model. We find that the GARCH effects, that is, persistence of volatility, is not always removed by adding trading volumes or number of transactions, indicating that trading volumes and number of transactions do not adequately represent the rate of information arrivals.

Long Memory in STOCK Market Volatility: the International Evidence

NASA Astrophysics Data System (ADS)

Yang, Chunxia; Hu, Sen; Xia, Bingying; Wang, Rui

2012-08-01

It is still a hot topic to catch the auto-dependence behavior of volatility. Here, based on the measurement of average volatility, under different observation window size, we investigated the dependence of successive volatility of several main stock indices and their simulated GARCH(1, 1) model, there were obvious linear auto-dependence in the logarithm of volatility under a small observation window size and nonlinear auto-dependence under a big observation. After calculating the correlation and mutual information of the logarithm of volatility for Dow Jones Industrial Average during different periods, we find that some influential events can change the correlation structure and the volatilities of different periods have distinct influence on that of the remote future. Besides, GARCH model could produce similar behavior of dependence as real data and long memory property. But our analyses show that the auto-dependence of volatility in GARCH is different from that in real data, and the long memory is undervalued by GARCH.

Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

NASA Astrophysics Data System (ADS)

Awalludin, S. A.; Ulfah, S.; Soro, S.

2018-01-01

In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

Modeling turbidity and flow at daily steps in karst using ARIMA/ARFIMA-GARCH error models

NASA Astrophysics Data System (ADS)

Massei, N.

2013-12-01

Hydrological and physico-chemical variations recorded at karst springs usually reflect highly non-linear processes and the corresponding time series are then very often also highly non-linear. Among others, turbidity, as an important parameter regarding water quality and management, is a very complex response of karst systems to rain events, involving direct transfer of particles from point-source recharge as well as resuspension of particles previously deposited and stored within the system. For those reasons, turbidity modeling has not been well taken in karst hydrological models so far. Most of the time, the modeling approaches would involve stochastic linear models such ARIMA-type models and their derivatives (ARMA, ARMAX, ARIMAX, ARFIMA...). Yet, linear models usually fail to represent well the whole (stochastic) process variability, and their residuals still contain useful information that can be used to either understand the whole variability or to enhance short-term predictability and forecasting. Model residuals are actually not i.i.d., which can be identified by the fact that squared residuals still present clear and significant serial correlation. Indeed, high (low) amplitudes are followed in time by high (low) amplitudes, which can be seen on residuals time series as periods of time during which amplitudes are higher (lower) then the mean amplitude. This is known as the ARCH effet (AutoRegressive Conditional Heteroskedasticity), and the corresponding non-linear process affecting residuals of a linear model can be modeled using ARCH or generalized ARCH (GARCH) non-linear modeling, which approaches are very well known in econometrics. Here we investigated the capability of ARIMA-GARCH error models to represent a ~20-yr daily turbidity time series recorded at a karst spring used for water supply of the city of Le Havre (Upper Normandy, France). ARIMA and ARFIMA models were used to represent the mean behavior of the time series and the residuals clearly appeared to present a pronounced ARCH effect, as confirmed by Ljung-Box and McLeod-Li tests. We then identified and fitted GARCH models to the residuals of ARIMA and ARFIMA models in order to model the conditional variance and volatility of the turbidity time series. The results eventually showed that serial correlation was succesfully removed in the last standardized residuals of the GARCH model, and hence that the ARIMA-GARCH error model appeared consistent for modeling such time series. The approach finally improved short-term (e.g a few steps-ahead) turbidity forecasting.

Modeling variations in the cedi/dollar exchange rate in Ghana: an autoregressive conditional heteroscedastic (ARCH) models.

PubMed

Techie Quaicoe, Michael; Twenefour, Frank B K; Baah, Emmanuel M; Nortey, Ezekiel N N

2015-01-01

This research article aimed at modeling the variations in the dollar/cedi exchange rate. It examines the applicability of a range of ARCH/GARCH specifications for modeling volatility of the series. The variants considered include the ARMA, GARCH, IGARCH, EGARCH and M-GARCH specifications. The results show that the series was non stationary which resulted from the presence of a unit root in it. The ARMA (1, 1) was found to be the most suitable model for the conditional mean. From the Box-Ljung test statistics x-squared of 1476.338 with p value 0.00217 for squared returns and 16.918 with 0.0153 p values for squared residuals, the null hypothesis of no ARCH effect was rejected at 5% significance level indicating the presence of an ARCH effect in the series. ARMA (1, 1) + GARCH (1, 1) which has all parameters significant was found to be the most suitable model for the conditional mean with conditional variance, thus showing adequacy in describing the conditional mean with variance of the return series at 5% significant level. A 24 months forecast for the mean actual exchange rates and mean returns from January, 2013 to December, 2014 made also showed that the fitted model is appropriate for the data and a depreciating trend of the cedi against the dollar for forecasted period respectively.

Modeling returns volatility: Realized GARCH incorporating realized risk measure

NASA Astrophysics Data System (ADS)

Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye

2018-06-01

This study applies realized GARCH models by introducing several risk measures of intraday returns into the measurement equation, to model the daily volatility of E-mini S&P 500 index futures returns. Besides using the conventional realized measures, realized volatility and realized kernel as our benchmarks, we also use generalized realized risk measures, realized absolute deviation, and two realized tail risk measures, realized value-at-risk and realized expected shortfall. The empirical results show that realized GARCH models using the generalized realized risk measures provide better volatility estimation for the in-sample and substantial improvement in volatility forecasting for the out-of-sample. In particular, the realized expected shortfall performs best for all of the alternative realized measures. Our empirical results reveal that future volatility may be more attributable to present losses (risk measures). The results are robust to different sample estimation windows.

Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

NASA Astrophysics Data System (ADS)

Yu, Wenhua; Yang, Kun; Wei, Yu; Lei, Likun

2018-01-01

Volatilities of crude oil price have important impacts on the steady and sustainable development of world real economy. Thus it is of great academic and practical significance to model and measure the volatility and risk of crude oil markets accurately. This paper aims to measure the Value-at-Risk (VaR) and Expected Shortfall (ES) of a portfolio consists of four crude oil assets by using GARCH-type models, extreme value theory (EVT) and vine copulas. The backtesting results show that the combination of GARCH-type-EVT models and vine copula methods can produce accurate risk measures of the oil portfolio. Mixed R-vine copula is more flexible and superior to other vine copulas. Different GARCH-type models, which can depict the long-memory and/or leverage effect of oil price volatilities, however offer similar marginal distributions of the oil returns.

Modelling of volatility in monetary transmission mechanism

DOE Office of Scientific and Technical Information (OSTI.GOV)

Dobešová, Anna; Klepáč, Václav; Kolman, Pavel

2015-03-10

The aim of this paper is to compare different approaches to modeling of volatility in monetary transmission mechanism. For this purpose we built time-varying parameter VAR (TVP-VAR) model with stochastic volatility and VAR-DCC-GARCH model with conditional variance. The data from three European countries are included in the analysis: the Czech Republic, Germany and Slovakia. Results show that VAR-DCC-GARCH system captures higher volatility of observed variables but main trends and detected breaks are generally identical in both approaches.

Modelling of cayenne production in Central Java using ARIMA-GARCH

NASA Astrophysics Data System (ADS)

Tarno; Sudarno; Ispriyanti, Dwi; Suparti

2018-05-01

Some regencies/cities in Central Java Province are known as producers of horticultural crops in Indonesia, for example, Brebes which is the largest area of shallot producer in Central Java, while the others, such as Cilacap and Wonosobo are the areas of cayenne commodities production. Currently, cayenne is a strategic commodity and it has broad impact to Indonesian economic development. Modelling the cayenne production is necessary to predict about the commodity to meet the need for society. The needs fulfillment of society will affect stability of the concerned commodity price. Based on the reality, the decreasing of cayenne production will cause the increasing of society’s basic needs price, and finally it will affect the inflation level at that area. This research focused on autoregressive integrated moving average (ARIMA) modelling by considering the effect of autoregressive conditional heteroscedasticity (ARCH) to study about cayenne production in Central Java. The result of empirical study of ARIMA-GARCH modelling for cayenne production in Central Java from January 2003 to November 2015 is ARIMA([1,3],0,0)-GARCH(1,0) as the best model.

GARCH modelling of covariance in dynamical estimation of inverse solutions

NASA Astrophysics Data System (ADS)

Galka, Andreas; Yamashita, Okito; Ozaki, Tohru

2004-12-01

The problem of estimating unobserved states of spatially extended dynamical systems poses an inverse problem, which can be solved approximately by a recently developed variant of Kalman filtering; in order to provide the model of the dynamics with more flexibility with respect to space and time, we suggest to combine the concept of GARCH modelling of covariance, well known in econometrics, with Kalman filtering. We formulate this algorithm for spatiotemporal systems governed by stochastic diffusion equations and demonstrate its feasibility by presenting a numerical simulation designed to imitate the situation of the generation of electroencephalographic recordings by the human cortex.

Market interdependence among commodity prices based on information transmission on the Internet

NASA Astrophysics Data System (ADS)

Ji, Qiang; Guo, Jian-Feng

2015-05-01

Human behaviour on the Internet has become a synchro-projection of real society. In this paper, we introduce the public concern derived from query volumes on the Web to empirically analyse the influence of information on commodity markets (e.g., crude oil, heating oil, corn and gold) using multivariate GARCH models based on dynamic conditional correlations. The analysis found that the changes of public concern on the Internet can well depict the changes of market prices, as the former has significant Granger causality effects on market prices. The findings indicate that the information of external shocks to commodity markets could be transmitted quickly, and commodity markets easily absorb the public concern of the information-sensitive traders. Finally, the conditional correlation among commodity prices varies dramatically over time.

Seasonality and Dynamic Spatial Contagion of Air Pollution in 42 Chinese Cities

PubMed Central

He, Zhanqiong; Sriboonchita, Songsak; He, Min

2013-01-01

To monitor and improve the urban air quality, the Chinese government has begun to make many efforts, and the interregional cooperation to cut and improve air quality has been required. In this paper, we focus on the seasonality of the first and second moments of the daily air pollution indexes (APIs) of 42 Chinese sample cities over 10 years, from June 5, 2000 to March 4, 2010, and investigate the dynamic correlation of air pollution indexes (APIs) between 42 Chinese cities and their corresponding regional and national levels; comparison with the model without seasonal consideration is made. By adopting a DCC-GARCH model that accounts for the seasonality, we found that (i) the transformed DCC-GARCH model including seasonality dummies improves the estimation result in this study; (ii) the seasonality feature of the second moment follows that of the first moment, with the condition mean and variance of the second and autumn significantly lower than spring, whereas that of winter is higher than spring; (iii) the correlation between local APIs and their corresponding regional and national levels is dynamic; (iv) comparing with the DCC-GARCH model estimation, the transformed model does not change the feature of the dynamic correlations very much. PMID:23533348

Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model

NASA Astrophysics Data System (ADS)

Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang

2018-02-01

This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.

Assessment of variability in the hydrological cycle of the Loess Plateau, China: examining dependence structures of hydrological processes

NASA Astrophysics Data System (ADS)

Guo, A.; Wang, Y.

2017-12-01

Investigating variability in dependence structures of hydrological processes is of critical importance for developing an understanding of mechanisms of hydrological cycles in changing environments. In focusing on this topic, present work involves the following: (1) identifying and eliminating serial correlation and conditional heteroscedasticity in monthly streamflow (Q), precipitation (P) and potential evapotranspiration (PE) series using the ARMA-GARCH model (ARMA: autoregressive moving average; GARCH: generalized autoregressive conditional heteroscedasticity); (2) describing dependence structures of hydrological processes using partial copula coupled with the ARMA-GARCH model and identifying their variability via copula-based likelihood-ratio test method; and (3) determining conditional probability of annual Q under different climate scenarios on account of above results. This framework enables us to depict hydrological variables in the presence of conditional heteroscedasticity and to examine dependence structures of hydrological processes while excluding the influence of covariates by using partial copula-based ARMA-GARCH model. Eight major catchments across the Loess Plateau (LP) are used as study regions. Results indicate that (1) The occurrence of change points in dependence structures of Q and P (PE) varies across the LP. Change points of P-PE dependence structures in all regions almost fully correspond to the initiation of global warming, i.e., the early 1980s. (3) Conditional probabilities of annual Q under various P and PE scenarios are estimated from the 3-dimensional joint distribution of (Q, P and PE) based on the above change points. These findings shed light on mechanisms of the hydrological cycle and can guide water supply planning and management, particularly in changing environments.

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

NASA Astrophysics Data System (ADS)

Bentes, Sonia R.

2015-11-01

This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)). We use daily data from August 2, 1976 to February 6, 2015 and divide the full sample into two periods: the in-sample period (August 2, 1976-October 24, 2008) is used to estimate model coefficients, while the out-of-sample period (October 27, 2008-February 6, 2015) is for forecasting purposes. Specifically, we employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1, d,1) specifications. The results show that the FIGARCH(1, d,1) is the best model to capture linear dependence in the conditional variance of the gold returns as given by the information criteria. It is also found to be the best model to forecast the volatility of gold returns.

A financial network perspective of financial institutions' systemic risk contributions

NASA Astrophysics Data System (ADS)

Huang, Wei-Qiang; Zhuang, Xin-Tian; Yao, Shuang; Uryasev, Stan

2016-08-01

This study considers the effects of the financial institutions' local topology structure in the financial network on their systemic risk contribution using data from the Chinese stock market. We first measure the systemic risk contribution with the Conditional Value-at-Risk (CoVaR) which is estimated by applying dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH). Financial networks are constructed from dynamic conditional correlations (DCC) with graph filtering method of minimum spanning trees (MSTs). Then we investigate dynamics of systemic risk contributions of financial institution. Also we study dynamics of financial institution's local topology structure in the financial network. Finally, we analyze the quantitative relationships between the local topology structure and systemic risk contribution with panel data regression analysis. We find that financial institutions with greater node strength, larger node betweenness centrality, larger node closeness centrality and larger node clustering coefficient tend to be associated with larger systemic risk contributions.

Application of selection and estimation regular vine copula on go public company share

NASA Astrophysics Data System (ADS)

Hasna Afifah, R.; Noviyanti, Lienda; Bachrudin, Achmad

2018-03-01

The accuracy of financial risk management involving a large number of assets is needed, but information about dependencies among assets cannot be adequately analyzed. To analyze dependencies on a number of assets, several tools have been added to standard multivariate copula. However, these tools have not been adequately used in apps with higher dimensions. The bivariate parametric copula families can be used to solve it. The multivariate copula can be built from the bivariate parametric copula which is connected by a graphical representation to become Pair Copula Constructions (PCCs) or vine copula. The application of C-vine and D-vine copula have been used in some researches, but the use of C-vine and D-vine copula is more limited than R-vine copula. Therefore, this study used R-vine copula to provide flexibility for modeling complex dependencies on a high dimension. Since copula is a static model, while stock values change over time, then copula should be combined with the ARMA- GARCH model for modeling the movement of shares (volatility). The objective of this paper is to select and estimate R-vine copula which is used to analyze PT Jasa Marga (Persero) Tbk (JSMR), PT Waskita Karya (Persero) Tbk (WSKT), and PT Bank Mandiri (Persero) Tbk (BMRI) from august 31, 2014 to august 31, 2017. From the method it is obtained that the selected copulas for 2 edges at the first tree are survival Gumbel and the copula for edge at the second tree is Gaussian.

Modeling and forecasting the volatility of Islamic unit trust in Malaysia using GARCH model

NASA Astrophysics Data System (ADS)

Ismail, Nuraini; Ismail, Mohd Tahir; Karim, Samsul Ariffin Abdul; Hamzah, Firdaus Mohamad

2015-10-01

Due to the tremendous growth of Islamic unit trust in Malaysia since it was first introduced on 12th of January 1993 through the fund named Tabung Ittikal managed by Arab-Malaysian Securities, vast studies have been done to evaluate the performance of Islamic unit trust offered in Malaysia's capital market. Most of the studies found that one of the factors that affect the performance of the fund is the volatility level. Higher volatility produces better performance of the fund. Thus, we believe that a strategy must be set up by the fund managers in order for the fund to perform better. By using a series of net asset value (NAV) data of three different types of fund namely CIMB-IDEGF, CIMB-IBGF and CIMB-ISF from a fund management company named CIMB Principal Asset Management Berhad over a six years period from 1st January 2008 until 31st December 2013, we model and forecast the volatility of these Islamic unit trusts. The study found that the best fitting models for CIMB-IDEGF, CIMB-IBGF and CIMB-ISF are ARCH(4), GARCH(3,3) and GARCH(3,1) respectively. Meanwhile, the fund that is expected to be the least volatile is CIMB-IDEGF and the fund that is expected to be the most volatile is CIMB-IBGF.

ITER EDA Newsletter. Volume 3, no. 2

NASA Astrophysics Data System (ADS)

1994-02-01

This issue of the ITER EDA (Engineering Design Activities) Newsletter contains reports on the Fifth ITER Council Meeting held in Garching, Germany, January 27-28, 1994, a visit (January 28, 1994) of an international group of Harvard Fellows to the San Diego Joint Work Site, the Inauguration Ceremony of the EC-hosted ITER joint work site in Garching (January 28, 1994), on an ITER Technical Meeting on Assembly and Maintenance held in Garching, Germany, January 19-26, 1994, and a report on a Technical Committee Meeting on radiation effects on in-vessel components held in Garching, Germany, November 15-19, 1993, as well as an ITER Status Report.

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

NASA Astrophysics Data System (ADS)

Wei, Yu; Chen, Wang; Lin, Yu

2013-05-01

Recent studies in the econophysics literature reveal that price variability has fractal and multifractal characteristics not only in developed financial markets, but also in emerging markets. Taking high-frequency intraday quotes of the Shanghai Stock Exchange Component (SSEC) Index as example, this paper proposes a new method to measure daily Value-at-Risk (VaR) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR backtesting techniques are then employed to compare the performance of the model with that of a group of linear and nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) models. The empirical results show the multifractal nature of price volatility in Chinese stock market. VaR measures based on the multifractal volatility model and EVT method outperform many GARCH-type models at high-risk levels.

Noise sensitivity of portfolio selection in constant conditional correlation GARCH models

NASA Astrophysics Data System (ADS)

Varga-Haszonits, I.; Kondor, I.

2007-11-01

This paper investigates the efficiency of minimum variance portfolio optimization for stock price movements following the Constant Conditional Correlation GARCH process proposed by Bollerslev. Simulations show that the quality of portfolio selection can be improved substantially by computing optimal portfolio weights from conditional covariances instead of unconditional ones. Measurement noise can be further reduced by applying some filtering method on the conditional correlation matrix (such as Random Matrix Theory based filtering). As an empirical support for the simulation results, the analysis is also carried out for a time series of S&P500 stock prices.

Time series modelling of global mean temperature for managerial decision-making.

PubMed

Romilly, Peter

2005-07-01

Climate change has important implications for business and economic activity. Effective management of climate change impacts will depend on the availability of accurate and cost-effective forecasts. This paper uses univariate time series techniques to model the properties of a global mean temperature dataset in order to develop a parsimonious forecasting model for managerial decision-making over the short-term horizon. Although the model is estimated on global temperature data, the methodology could also be applied to temperature data at more localised levels. The statistical techniques include seasonal and non-seasonal unit root testing with and without structural breaks, as well as ARIMA and GARCH modelling. A forecasting evaluation shows that the chosen model performs well against rival models. The estimation results confirm the findings of a number of previous studies, namely that global mean temperatures increased significantly throughout the 20th century. The use of GARCH modelling also shows the presence of volatility clustering in the temperature data, and a positive association between volatility and global mean temperature.

Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects

NASA Astrophysics Data System (ADS)

Pan, Zhiyuan; Liu, Li

2018-02-01

In this paper, we extend the GARCH-MIDAS model proposed by Engle et al. (2013) to account for the leverage effect in short-term and long-term volatility components. Our in-sample evidence suggests that both short-term and long-term negative returns can cause higher future volatility than positive returns. Out-of-sample results show that the predictive ability of GARCH-MIDAS is significantly improved after taking the leverage effect into account. The leverage effect for short-term volatility component plays more important role than the leverage effect for long-term volatility component in affecting out-of-sample forecasting performance.

A complex network for studying the transmission mechanisms in stock market

NASA Astrophysics Data System (ADS)

Long, Wen; Guan, Lijing; Shen, Jiangjian; Song, Linqiu; Cui, Lingxiao

2017-10-01

This paper introduces a new complex network to describe the volatility transmission mechanisms in stock market. The network can not only endogenize stock market's volatility but also figure out the direction of volatility spillover. In this model, we first use BEKK-GARCH to estimate the volatility spillover effects among Chinese 18 industry sectors. Then, based on the ARCH coefficients and GARCH coefficients, the directional shock networks and variance networks in different stages are constructed separately. We find that the spillover effects and network structures changes in different stages. The results of the topological stability test demonstrate that the connectivity of networks becomes more fragile to selective attacks than stochastic attacks.

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

NASA Astrophysics Data System (ADS)

Chen, Cathy W. S.; Yang, Ming Jing; Gerlach, Richard; Jim Lo, H.

2006-07-01

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market's positive response to the US stock market.

Multiple Stars in the Field

DTIC Science & Technology

2008-01-01

Southern Observatory Karl - Schwarzschild -Str. 2 85748 Garching Germany :--. ,") 1 ’< ’ I () ___ I Andrei Tokovinin Inter-American Observatory...Chile Monika Petr-Gotzens European Southern Observatory Karl -Schwarschild-Str. 2 85748 Garching Germany Series Editor Bruno Leibundgut European

Modeling and predicting historical volatility in exchange rate markets

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

2017-04-01

Volatility modeling and forecasting of currency exchange rate is an important task in several business risk management tasks; including treasury risk management, derivatives pricing, and portfolio risk evaluation. The purpose of this study is to present a simple and effective approach for predicting historical volatility of currency exchange rate. The approach is based on a limited set of technical indicators as inputs to the artificial neural networks (ANN). To show the effectiveness of the proposed approach, it was applied to forecast US/Canada and US/Euro exchange rates volatilities. The forecasting results show that our simple approach outperformed the conventional GARCH and EGARCH with different distribution assumptions, and also the hybrid GARCH and EGARCH with ANN in terms of mean absolute error, mean of squared errors, and Theil's inequality coefficient. Because of the simplicity and effectiveness of the approach, it is promising for US currency volatility prediction tasks.

Extreme Unconditional Dependence Vs. Multivariate GARCH Effect in the Analysis of Dependence Between High Losses on Polish and German Stock Indexes

NASA Astrophysics Data System (ADS)

Rokita, Pawel

Classical portfolio diversification methods do not take account of any dependence between extreme returns (losses). Many researchers provide, however, some empirical evidence for various assets that extreme-losses co-occur. If the co-occurrence is frequent enough to be statistically significant, it may seriously influence portfolio risk. Such effects may result from a few different properties of financial time series, like for instance: (1) extreme dependence in a (long-term) unconditional distribution, (2) extreme dependence in subsequent conditional distributions, (3) time-varying conditional covariance, (4) time-varying (long-term) unconditional covariance, (5) market contagion. Moreover, a mix of these properties may be present in return time series. Modeling each of them requires different approaches. It seams reasonable to investigate whether distinguishing between the properties is highly significant for portfolio risk measurement. If it is, identifying the effect responsible for high loss co-occurrence would be of a great importance. If it is not, the best solution would be selecting the easiest-to-apply model. This article concentrates on two of the aforementioned properties: extreme dependence (in a long-term unconditional distribution) and time-varying conditional covariance.

Measuring Treasury Bond Portfolio Risk and Portfolio Optimization with a Non-Gaussian Multivariate Model

NASA Astrophysics Data System (ADS)

Dong, Yijun

The research about measuring the risk of a bond portfolio and the portfolio optimization was relatively rare previously, because the risk factors of bond portfolios are not very volatile. However, this condition has changed recently. The 2008 financial crisis brought high volatility to the risk factors and the related bond securities, even if the highly rated U.S. treasury bonds. Moreover, the risk factors of bond portfolios show properties of fat-tailness and asymmetry like risk factors of equity portfolios. Therefore, we need to use advanced techniques to measure and manage risk of bond portfolios. In our paper, we first apply autoregressive moving average generalized autoregressive conditional heteroscedasticity (ARMA-GARCH) model with multivariate normal tempered stable (MNTS) distribution innovations to predict risk factors of U.S. treasury bonds and statistically demonstrate that MNTS distribution has the ability to capture the properties of risk factors based on the goodness-of-fit tests. Then based on empirical evidence, we find that the VaR and AVaR estimated by assuming normal tempered stable distribution are more realistic and reliable than those estimated by assuming normal distribution, especially for the financial crisis period. Finally, we use the mean-risk portfolio optimization to minimize portfolios' potential risks. The empirical study indicates that the optimized bond portfolios have better risk-adjusted performances than the benchmark portfolios for some periods. Moreover, the optimized bond portfolios obtained by assuming normal tempered stable distribution have improved performances in comparison to the optimized bond portfolios obtained by assuming normal distribution.

Stationarity test with a direct test for heteroskedasticity in exchange rate forecasting models

NASA Astrophysics Data System (ADS)

Khin, Aye Aye; Chau, Wong Hong; Seong, Lim Chee; Bin, Raymond Ling Leh; Teng, Kevin Low Lock

2017-05-01

Global economic has been decreasing in the recent years, manifested by the greater exchange rates volatility on international commodity market. This study attempts to analyze some prominent exchange rate forecasting models on Malaysian commodity trading: univariate ARIMA, ARCH and GARCH models in conjunction with stationarity test on residual diagnosis direct testing of heteroskedasticity. All forecasting models utilized the monthly data from 1990 to 2015. Given a total of 312 observations, the data used to forecast both short-term and long-term exchange rate. The forecasting power statistics suggested that the forecasting performance of ARIMA (1, 1, 1) model is more efficient than the ARCH (1) and GARCH (1, 1) models. For ex-post forecast, exchange rate was increased from RM 3.50 per USD in January 2015 to RM 4.47 per USD in December 2015 based on the baseline data. For short-term ex-ante forecast, the analysis results indicate a decrease in exchange rate on 2016 June (RM 4.27 per USD) as compared with 2015 December. A more appropriate forecasting method of exchange rate is vital to aid the decision-making process and planning on the sustainable commodities' production in the world economy.

Features of spillover networks in international financial markets: Evidence from the G20 countries

NASA Astrophysics Data System (ADS)

Liu, Xueyong; An, Haizhong; Li, Huajiao; Chen, Zhihua; Feng, Sida; Wen, Shaobo

2017-08-01

The objective of this study is to investigate volatility spillover transmission systematically in stock markets across the G20 countries. To achieve this objective, we combined GARCH-BEKK model with complex network theory using the linkages of spillovers. GARCH-BEKK model was used to capture volatility spillover between stock markets. Then, an information spillover network was built. The data encompass the main stock indexes from 19 individual countries in the G20. To consider the dynamic spillover, the full data set was divided into several sub-periods. The main contribution of this paper is considering the volatility spillover relationships as the edges of a complex network, which can capture the propagation path of volatility spillovers. The results indicate that the volatility spillovers among the stock markets of the G20 countries constitute a holistic associated network, another finding is that Korea acts a role of largest sender in long-term, while Brazil is the largest long-term recipient in the G20 spillover network.

Modeling Hydraulic Components for Automated FMEA of a Braking System

DTIC Science & Technology

2014-12-23

Modeling Hydraulic Components for Automated FMEA of a Braking System Peter Struss, Alessandro Fraracci Tech. Univ. of Munich, 85748 Garching...Germany struss@in.tum.de ABSTRACT This paper presents work on model-based automation of failure-modes-and-effects analysis ( FMEA ) applied to...the hydraulic part of a vehicle braking system. We describe the FMEA task and the application problem and outline the foundations for automating the

RF Negative Ion Source Development at IPP Garching

NASA Astrophysics Data System (ADS)

Kraus, W.; McNeely, P.; Berger, M.; Christ-Koch, S.; Falter, H. D.; Fantz, U.; Franzen, P.; Fröschle, M.; Heinemann, B.; Leyer, S.; Riedl, R.; Speth, E.; Wünderlich, D.

2007-08-01

IPP Garching is heavily involved in the development of an ion source for Neutral Beam Heating of the ITER Tokamak. RF driven ion sources have been successfully developed and are in operation on the ASDEX-Upgrade Tokamak for positive ion based NBH by the NB Heating group at IPP Garching. Building on this experience a RF driven H- ion source has been under development at IPP Garching as an alternative to the ITER reference design ion source. The number of test beds devoted to source development for ITER has increased from one (BATMAN) by the addition of two test beds (MANITU, RADI). This paper contains descriptions of the three test beds. Results on diagnostic development using laser photodetachment and cavity ringdown spectroscopy are given for BATMAN. The latest results for long pulse development on MANITU are presented including the to date longest pulse (600 s). As well, details of source modifications necessitated for pulses in excess of 100 s are given. The newest test bed RADI is still being commissioned and only technical details of the test bed are included in this paper. The final topic of the paper is an investigation into the effects of biasing the plasma grid.

Solar Observations on Magneto-Convection

DTIC Science & Technology

1989-05-31

Technical Library National Solar Observatory Sunspot, NM 88349 Karl - Schwarzschild -Strasse 1 8046 Garching bei Mundhen Solar Observations On Magneto...Schmidt, Hermann-Ulrich Schmidt, Hans-Christoph Thomas (eds.) Max-Planck-Institut fir Physik und Astrophysik Institut fiur Astrophysik Karl ... Schwarzschild -St-. 1 D-8046 Garching, FklG 14TIS CRiA.&l DTIC TA. U~Jar,iou8:ed B ......... ... Distribution I -- Availability COcý----- Avail and or Dist special

Estimating long-run equilibrium real exchange rates: short-lived shocks with long-lived impacts on Pakistan.

PubMed

Zardad, Asma; Mohsin, Asma; Zaman, Khalid

2013-12-01

The purpose of this study is to investigate the factors that affect real exchange rate volatility for Pakistan through the co-integration and error correction model over a 30-year time period, i.e. between 1980 and 2010. The study employed the autoregressive conditional heteroskedasticity (ARCH), generalized autoregressive conditional heteroskedasticity (GARCH) and Vector Error Correction model (VECM) to estimate the changes in the volatility of real exchange rate series, while an error correction model was used to determine the short-run dynamics of the system. The study is limited to a few variables i.e., productivity differential (i.e., real GDP per capita relative to main trading partner); terms of trade; trade openness and government expenditures in order to manage robust data. The result indicates that real effective exchange rate (REER) has been volatile around its equilibrium level; while, the speed of adjustment is relatively slow. VECM results confirm long run convergence of real exchange rate towards its equilibrium level. Results from ARCH and GARCH estimation shows that real shocks volatility persists, so that shocks die out rather slowly, and lasting misalignment seems to have occurred.

Stochastic nonlinear time series forecasting using time-delay reservoir computers: performance and universality.

PubMed

Grigoryeva, Lyudmila; Henriques, Julie; Larger, Laurent; Ortega, Juan-Pablo

2014-07-01

Reservoir computing is a recently introduced machine learning paradigm that has already shown excellent performances in the processing of empirical data. We study a particular kind of reservoir computers called time-delay reservoirs that are constructed out of the sampling of the solution of a time-delay differential equation and show their good performance in the forecasting of the conditional covariances associated to multivariate discrete-time nonlinear stochastic processes of VEC-GARCH type as well as in the prediction of factual daily market realized volatilities computed with intraday quotes, using as training input daily log-return series of moderate size. We tackle some problems associated to the lack of task-universality for individually operating reservoirs and propose a solution based on the use of parallel arrays of time-delay reservoirs. Copyright © 2014 Elsevier Ltd. All rights reserved.

Long-term memory and volatility clustering in high-frequency price changes

NASA Astrophysics Data System (ADS)

oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun

2008-02-01

We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.

Rational GARCH model: An empirical test for stock returns

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2017-05-01

We propose a new ARCH-type model that uses a rational function to capture the asymmetric response of volatility to returns, known as the "leverage effect". Using 10 individual stocks on the Tokyo Stock Exchange and two stock indices, we compare the new model with several other asymmetric ARCH-type models. We find that according to the deviance information criterion, the new model ranks first for several stocks. Results show that the proposed new model can be used as an alternative asymmetric ARCH-type model in empirical applications.

On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics

NASA Astrophysics Data System (ADS)

Queirós, S. M. D.; Tsallis, C.

2005-11-01

The GARCH algorithm is the most renowned generalisation of Engle's original proposal for modelising returns, the ARCH process. Both cases are characterised by presenting a time dependent and correlated variance or volatility. Besides a memory parameter, b, (present in ARCH) and an independent and identically distributed noise, ω, GARCH involves another parameter, c, such that, for c=0, the standard ARCH process is reproduced. In this manuscript we use a generalised noise following a distribution characterised by an index qn, such that qn=1 recovers the Gaussian distribution. Matching low statistical moments of GARCH distribution for returns with a q-Gaussian distribution obtained through maximising the entropy Sq=1-sumipiq/q-1, basis of nonextensive statistical mechanics, we obtain a sole analytical connection between q and left( b,c,qnright) which turns out to be remarkably good when compared with computational simulations. With this result we also derive an analytical approximation for the stationary distribution for the (squared) volatility. Using a generalised Kullback-Leibler relative entropy form based on Sq, we also analyse the degree of dependence between successive returns, zt and zt+1, of GARCH(1,1) processes. This degree of dependence is quantified by an entropic index, qop. Our analysis points the existence of a unique relation between the three entropic indexes qop, q and qn of the problem, independent of the value of (b,c).

Effects of exchange rate volatility on export volume and prices of forest products

Treesearch

Sijia Zhang; Joseph Buongiorno

2010-01-01

The relative value of currencies varies considerably over time. These fluctuations bring uncertainty to international traders. As a result, the volatility in exchange rate movements may influence the volume and the price of traded commodities. The volatility of exchange rates was measured by the variance of residuals in a GARCH(1,1) model of the exchange rate. We...

Laboratory astrophysics on ASDEX Upgrade: Measurements and analysis of K-shell O, F, and Ne spectra in the 9 - 20 A region

NASA Technical Reports Server (NTRS)

Hansen, S. B.; Fournier, K. B.; Finkenthal, M. J.; Smith, R.; Puetterich, T.; Neu, R.

2006-01-01

High-resolution measurements of K-shell emission from O, F, and Ne have been performed at the ASDEX Upgrade tokamak in Garching, Germany. Independently measured temperature and density profiles of the plasma provide a unique test bed for model validation. We present comparisons of measured spectra with calculations based on transport and collisional-radiative models and discuss the reliability of commonly used diagnostic line ratios.

Short-term prediction of rain attenuation level and volatility in Earth-to-Satellite links at EHF band

NASA Astrophysics Data System (ADS)

de Montera, L.; Mallet, C.; Barthès, L.; Golé, P.

2008-08-01

This paper shows how nonlinear models originally developed in the finance field can be used to predict rain attenuation level and volatility in Earth-to-Satellite links operating at the Extremely High Frequencies band (EHF, 20 50 GHz). A common approach to solving this problem is to consider that the prediction error corresponds only to scintillations, whose variance is assumed to be constant. Nevertheless, this assumption does not seem to be realistic because of the heteroscedasticity of error time series: the variance of the prediction error is found to be time-varying and has to be modeled. Since rain attenuation time series behave similarly to certain stocks or foreign exchange rates, a switching ARIMA/GARCH model was implemented. The originality of this model is that not only the attenuation level, but also the error conditional distribution are predicted. It allows an accurate upper-bound of the future attenuation to be estimated in real time that minimizes the cost of Fade Mitigation Techniques (FMT) and therefore enables the communication system to reach a high percentage of availability. The performance of the switching ARIMA/GARCH model was estimated using a measurement database of the Olympus satellite 20/30 GHz beacons and this model is shown to outperform significantly other existing models. The model also includes frequency scaling from the downlink frequency to the uplink frequency. The attenuation effects (gases, clouds and rain) are first separated with a neural network and then scaled using specific scaling factors. As to the resulting uplink prediction error, the error contribution of the frequency scaling step is shown to be larger than that of the downlink prediction, indicating that further study should focus on improving the accuracy of the scaling factor.

Impact of uncertainty in expected return estimation on stock price volatility

NASA Astrophysics Data System (ADS)

Kostanjcar, Zvonko; Jeren, Branko; Juretic, Zeljan

2012-11-01

We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of traders and the number of stock shares approaches infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

Chaotic structure of oil prices

NASA Astrophysics Data System (ADS)

Bildirici, Melike; Sonustun, Fulya Ozaksoy

2018-01-01

The fluctuations in oil prices are very complicated and therefore, it is unable to predict its effects on economies. For modelling complex system of oil prices, linear economic models are not sufficient and efficient tools. Thus, in recent years, economists attached great attention to non-linear structure of oil prices. For analyzing this relationship, GARCH types of models were used in some papers. Distinctively from the other papers, in this study, we aimed to analyze chaotic pattern of oil prices. Thus, it was used the Lyapunov Exponents and Hennon Map to determine chaotic behavior of oil prices for the selected time period.

Forecasting volatility of SSEC in Chinese stock market using multifractal analysis

NASA Astrophysics Data System (ADS)

Wei, Yu; Wang, Peng

2008-03-01

In this paper, taking about 7 years’ high-frequency data of the Shanghai Stock Exchange Composite Index (SSEC) as an example, we propose a daily volatility measure based on the multifractal spectrum of the high-frequency price variability within a trading day. An ARFIMA model is used to depict the dynamics of this multifractal volatility (MFV) measures. The one-day ahead volatility forecasting performances of the MFV model and some other existing volatility models, such as the realized volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The empirical results show that under several loss functions, the MFV model obtains the best forecasting accuracy.

Astrobo: Towards a new observatory control system for the Garching Observatory 0.6m

NASA Astrophysics Data System (ADS)

Schweyer, T.; Jarmatz, P.; Burwitz, V.

2016-12-01

The recently installed Campus Observatory Garching (COG) 0.6m telescope features a wide array of instruments, including a wide-field imager and a variety of spectrographs. To support all these different instruments and improve time usage, it was decided to develop a new control system from scratch, that will be able to safely observe autonomously as well as manually (for student lab courses). It is built using an hierarchical microservice architecture, which allows well-specified communication between its components regardless of the programming language used. This modular design allows for fast prototyping of components as well as easy implementation of complex instrumentation control software.

Invariance in the recurrence of large returns and the validation of models of price dynamics

NASA Astrophysics Data System (ADS)

Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey

2013-08-01

Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.

Leverage effect, economic policy uncertainty and realized volatility with regime switching

NASA Astrophysics Data System (ADS)

Duan, Yinying; Chen, Wang; Zeng, Qing; Liu, Zhicao

2018-03-01

In this study, we first investigate the impacts of leverage effect and economic policy uncertainty (EPU) on future volatility in the framework of regime switching. Out-of-sample results show that the HAR-RV including the leverage effect and economic policy uncertainty with regimes can achieve higher forecast accuracy than RV-type and GARCH-class models. Our robustness results further imply that these factors in the framework of regime switching can substantially improve the HAR-RV's forecast performance.

Gas demand forecasting by a new artificial intelligent algorithm

NASA Astrophysics Data System (ADS)

Khatibi. B, Vahid; Khatibi, Elham

2012-01-01

Energy demand forecasting is a key issue for consumers and generators in all energy markets in the world. This paper presents a new forecasting algorithm for daily gas demand prediction. This algorithm combines a wavelet transform and forecasting models such as multi-layer perceptron (MLP), linear regression or GARCH. The proposed method is applied to real data from the UK gas markets to evaluate their performance. The results show that the forecasting accuracy is improved significantly by using the proposed method.

Introduction to Econophysics

NASA Astrophysics Data System (ADS)

Mantegna, Rosario N.; Stanley, H. Eugene

2007-08-01

Preface; 1. Introduction; 2. Efficient market hypothesis; 3. Random walk; 4. Lévy stochastic processes and limit theorems; 5. Scales in financial data; 6. Stationarity and time correlation; 7. Time correlation in financial time series; 8. Stochastic models of price dynamics; 9. Scaling and its breakdown; 10. ARCH and GARCH processes; 11. Financial markets and turbulence; 12. Correlation and anti-correlation between stocks; 13. Taxonomy of a stock portfolio; 14. Options in idealized markets; 15. Options in real markets; Appendix A: notation guide; Appendix B: martingales; References; Index.

FIFI: The MPE Garching/UC Berkeley Far-Infrared Imaging Fabry-Perot Interferometer

NASA Technical Reports Server (NTRS)

Geis, Norbert; Genzel, Reinhard; Haggerty, M.; Herrmann, F.; Jackson, J.; Madden, Suzanne C.; Nikola, T.; Poglitsch, Albrecht; Rumitz, M.; Stacey, G. J.

1995-01-01

We describe the performance characteristics of the MPE Garching/UC Berkeley Far-Infrared Imaging Fabry-Perot Interferometer (FIFI) for the Kuiper Airborne Observatory (KAO). The spectrometer features two or three cryogenic tunable Fabry-Perot filters in series giving spectral resolution R of up to 10(exp 5) in the range of 40 microns less than lambda less than 200 microns, and an imaging 5x5 array of photoconductive detectors with variable focal plane plate scale. The instrument works at background limited sensitivity of up to 2 x 10(exp -19) W cm(exp -2) Hz(exp -1/2) per pixel per resolution element at R = 10(exp 5) on the KAO.

Exchangeability, extreme returns and Value-at-Risk forecasts

NASA Astrophysics Data System (ADS)

Huang, Chun-Kai; North, Delia; Zewotir, Temesgen

2017-07-01

In this paper, we propose a new approach to extreme value modelling for the forecasting of Value-at-Risk (VaR). In particular, the block maxima and the peaks-over-threshold methods are generalised to exchangeable random sequences. This caters for the dependencies, such as serial autocorrelation, of financial returns observed empirically. In addition, this approach allows for parameter variations within each VaR estimation window. Empirical prior distributions of the extreme value parameters are attained by using resampling procedures. We compare the results of our VaR forecasts to that of the unconditional extreme value theory (EVT) approach and the conditional GARCH-EVT model for robust conclusions.

Risk of portfolio with simulated returns based on copula model

NASA Astrophysics Data System (ADS)

Razak, Ruzanna Ab; Ismail, Noriszura

2015-02-01

The commonly used tool for measuring risk of a portfolio with equally weighted stocks is variance-covariance method. Under extreme circumstances, this method leads to significant underestimation of actual risk due to its multivariate normality assumption of the joint distribution of stocks. The purpose of this research is to compare the actual risk of portfolio with the simulated risk of portfolio in which the joint distribution of two return series is predetermined. The data used is daily stock prices from the ASEAN market for the period January 2000 to December 2012. The copula approach is applied to capture the time varying dependence among the return series. The results shows that the chosen copula families are not suitable to present the dependence structures of each bivariate returns. Exception for the Philippines-Thailand pair where by t copula distribution appears to be the appropriate choice to depict its dependence. Assuming that the t copula distribution is the joint distribution of each paired series, simulated returns is generated and value-at-risk (VaR) is then applied to evaluate the risk of each portfolio consisting of two simulated return series. The VaR estimates was found to be symmetrical due to the simulation of returns via elliptical copula-GARCH approach. By comparison, it is found that the actual risks are underestimated for all pairs of portfolios except for Philippines-Thailand. This study was able to show that disregard of the non-normal dependence structure of two series will result underestimation of actual risk of the portfolio.

Non-extensitivity vs. informative moments for financial models —A unifying framework and empirical results

NASA Astrophysics Data System (ADS)

Herrmann, K.

2009-11-01

Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in the so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an information-theoretic sense and are able to capture kurtosis better than traditional models. In this article we present both approaches in a more general framework. The latter allows the derivation of a wide range of new models. We choose a third model using an entropy measure suggested by Kapur. In an application to financial market data, we find that all considered models - with similar flexibility in terms of skewness and kurtosis - lead to very similar results.

Neutrino-driven Explosion of a 20 Solar-mass Star in Three Dimensions Enabled by Strange-quark Contributions to Neutrino-Nucleon Scattering

NASA Astrophysics Data System (ADS)

Melson, Tobias; Janka, Hans-Thomas; Bollig, Robert; Hanke, Florian; Marek, Andreas; Müller, Bernhard

2015-08-01

Interactions with neutrons and protons play a crucial role for the neutrino opacity of matter in the supernova core. Their current implementation in many simulation codes, however, is rather schematic and ignores not only modifications for the correlated nuclear medium of the nascent neutron star, but also free-space corrections from nucleon recoil, weak magnetism, or strange quarks, which can easily add up to changes of several 10% for neutrino energies in the spectral peak. In the Garching supernova simulations with the Prometheus-Vertex code, such sophistications have been included for a long time except for the strange-quark contributions to the nucleon spin, which affect neutral-current neutrino scattering. We demonstrate on the basis of a 20 {M}⊙ progenitor star that a moderate strangeness-dependent contribution of {g}{{a}}{{s}}=-0.2 to the axial-vector coupling constant {g}{{a}}≈ 1.26 can turn an unsuccessful three-dimensional (3D) model into a successful explosion. Such a modification is in the direction of current experimental results and reduces the neutral-current scattering opacity of neutrons, which dominate in the medium around and above the neutrinosphere. This leads to increased luminosities and mean energies of all neutrino species and strengthens the neutrino-energy deposition in the heating layer. Higher nonradial kinetic energy in the gain layer signals enhanced buoyancy activity that enables the onset of the explosion at ˜300 ms after bounce, in contrast to the model with vanishing strangeness contributions to neutrino-nucleon scattering. Our results demonstrate the close proximity to explosion of the previously published, unsuccessful 3D models of the Garching group.

Wavelet regression model in forecasting crude oil price

NASA Astrophysics Data System (ADS)

Hamid, Mohd Helmie; Shabri, Ani

2017-05-01

This study presents the performance of wavelet multiple linear regression (WMLR) technique in daily crude oil forecasting. WMLR model was developed by integrating the discrete wavelet transform (DWT) and multiple linear regression (MLR) model. The original time series was decomposed to sub-time series with different scales by wavelet theory. Correlation analysis was conducted to assist in the selection of optimal decomposed components as inputs for the WMLR model. The daily WTI crude oil price series has been used in this study to test the prediction capability of the proposed model. The forecasting performance of WMLR model were also compared with regular multiple linear regression (MLR), Autoregressive Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) using root mean square errors (RMSE) and mean absolute errors (MAE). Based on the experimental results, it appears that the WMLR model performs better than the other forecasting technique tested in this study.

Are stock market returns related to the weather effects? Empirical evidence from Taiwan

NASA Astrophysics Data System (ADS)

Chang, Tsangyao; Nieh, Chien-Chung; Yang, Ming Jing; Yang, Tse-Yu

2006-05-01

In this study, we employ a recently developed econometric technique of the threshold model with the GJR-GARCH process on error terms to investigate the relationships between weather factors and stock market returns in Taiwan using daily data for the period of 1 July 1997-22 October 2003. The major weather factors studied include temperature, humidity, and cloud cover. Our empirical evidence shows that temperature and cloud cover are two important weather factors that affect the stock returns in Taiwan. Our empirical findings further support the previous arguments that advocate the inclusion of economically neutral behavioral variables in asset pricing models. These results also have significant implications for individual investors and financial institutions planning to invest in the Taiwan stock market.

Directionality volatility in electroencephalogram time series

NASA Astrophysics Data System (ADS)

Mansor, Mahayaudin M.; Green, David A.; Metcalfe, Andrew V.

2016-06-01

We compare time series of electroencephalograms (EEGs) from healthy volunteers with EEGs from subjects diagnosed with epilepsy. The EEG time series from the healthy group are recorded during awake state with their eyes open and eyes closed, and the records from subjects with epilepsy are taken from three different recording regions of pre-surgical diagnosis: hippocampal, epileptogenic and seizure zone. The comparisons for these 5 categories are in terms of deviations from linear time series models with constant variance Gaussian white noise error inputs. One feature investigated is directionality, and how this can be modelled by either non-linear threshold autoregressive models or non-Gaussian errors. A second feature is volatility, which is modelled by Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) processes. Other features include the proportion of variability accounted for by time series models, and the skewness and the kurtosis of the residuals. The results suggest these comparisons may have diagnostic potential for epilepsy and provide early warning of seizures.

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

NASA Astrophysics Data System (ADS)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

Essays in applied macroeconomics: Asymmetric price adjustment, exchange rate and treatment effect

NASA Astrophysics Data System (ADS)

Gu, Jingping

This dissertation consists of three essays. Chapter II examines the possible asymmetric response of gasoline prices to crude oil price changes using an error correction model with GARCH errors. Recent papers have looked at this issue. Some of these papers estimate a form of error correction model, but none of them accounts for autoregressive heteroskedasticity in estimation and testing for asymmetry and none of them takes the response of crude oil price into consideration. We find that time-varying volatility of gasoline price disturbances is an important feature of the data, and when we allow for asymmetric GARCH errors and investigate the system wide impulse response function, we find evidence of asymmetric adjustment to crude oil price changes in weekly retail gasoline prices. Chapter III discusses the relationship between fiscal deficit and exchange rate. Economic theory predicts that fiscal deficits can significantly affect real exchange rate movements, but existing empirical evidence reports only a weak impact of fiscal deficits on exchange rates. Based on US dollar-based real exchange rates in G5 countries and a flexible varying coefficient model, we show that the previously documented weak relationship between fiscal deficits and exchange rates may be the result of additive specifications, and that the relationship is stronger if we allow fiscal deficits to impact real exchange rates non-additively as well as nonlinearly. We find that the speed of exchange rate adjustment toward equilibrium depends on the state of the fiscal deficit; a fiscal contraction in the US can lead to less persistence in the deviation of exchange rates from fundamentals, and faster mean reversion to the equilibrium. Chapter IV proposes a kernel method to deal with the nonparametric regression model with only discrete covariates as regressors. This new approach is based on recently developed least squares cross-validation kernel smoothing method. It can not only automatically smooth the irrelevant variables out of the nonparametric regression model, but also avoid the problem of loss of efficiency related to the traditional nonparametric frequency-based method and the problem of misspecification based on parametric model.

The evolution of spillover effects between oil and stock markets across multi-scales using a wavelet-based GARCH-BEKK model

NASA Astrophysics Data System (ADS)

Liu, Xueyong; An, Haizhong; Huang, Shupei; Wen, Shaobo

2017-01-01

Aiming to investigate the evolution of mean and volatility spillovers between oil and stock markets in the time and frequency dimensions, we employed WTI crude oil prices, the S&P 500 (USA) index and the MICEX index (Russia) for the period Jan. 2003-Dec. 2014 as sample data. We first applied a wavelet-based GARCH-BEKK method to examine the spillover features in frequency dimension. To consider the evolution of spillover effects in time dimension at multiple-scales, we then divided the full sample period into three sub-periods, pre-crisis period, crisis period, and post-crisis period. The results indicate that spillover effects vary across wavelet scales in terms of strength and direction. By analysis the time-varying linkage, we found the different evolution features of spillover effects between the Oil-US stock market and Oil-Russia stock market. The spillover relationship between oil and US stock market is shifting to short-term while the spillover relationship between oil and Russia stock market is changing to all time scales. That result implies that the linkage between oil and US stock market is weakening in the long-term, and the linkage between oil and Russia stock market is getting close in all time scales. This may explain the phenomenon that the US stock index and the Russia stock index showed the opposite trend with the falling of oil price in the post-crisis period.

Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?

NASA Astrophysics Data System (ADS)

Bentes, Sónia R.; Menezes, Rui; Mendes, Diana A.

2008-06-01

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomenon is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.

Improving 1D Stellar Models with 3D Atmospheres

NASA Astrophysics Data System (ADS)

Mosumgaard, Jakob Rørsted; Silva Aguirre, Víctor; Weiss, Achim; Christensen-Dalsgaard, Jørgen; Trampedach, Regner

2017-10-01

Stellar evolution codes play a major role in present-day astrophysics, yet they share common issues. In this work we seek to remedy some of those by the use of results from realistic and highly detailed 3D hydrodynamical simulations of stellar atmospheres. We have implemented a new temperature stratification extracted directly from the 3D simulations into the Garching Stellar Evolution Code to replace the simplified atmosphere normally used. Secondly, we have implemented the use of a variable mixing-length parameter, which changes as a function of the stellar surface gravity and temperature - also derived from the 3D simulations. Furthermore, to make our models consistent, we have calculated new opacity tables to match the atmospheric simulations. Here, we present the modified code and initial results on stellar evolution using it.

Impact of global financial crisis on precious metals returns: An application of ARCH and GARCH methods

NASA Astrophysics Data System (ADS)

Ismail, Mohd Tahir; Abdullah, Nurul Ain; Abdul Karim, Samsul Ariffin

2013-04-01

This paper is focusing on seeing the resilient of precious metals returns in facing the global financial crisis and provides a new guide for the investors before making investment decisions on precious metals. Four types of precious metals returns which are the variables selected in this study. The precious metals are gold, silver, bronze and platinum. All the variables are transferred to natural logarithm (ln). Daily data over the period 2 January 1995 to 30 December 2011 is used. Unit root tests that involve Augmented Dickey-Fuller (ADF) and Kwiatkowski-Phillips-Schmidt-Shin (KPSS) tests have been employed in determining the stationarity of the variables. Autoregressive Conditional Heteroscedasticity (ARCH) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methods have been applied in measuring the impact of global financial crisis on precious metals returns. The result shows that investing in platinum is less risky compared to the other precious metals because it is not influence by the crisis period.

INVITED SPEAKERS Invited Speakers

NASA Astrophysics Data System (ADS)

2011-01-01

Alain AspectPalaiseau Markus AspelmeyerVienna Vanderlei BagnatoSão Paulo Victor BalykinMoscow Kristian BaumannZürich Jim BergquistNIST, Boulder Frédéric ChevyENS, Paris John CloseCanberra Claude Cohen-TannoudjiENS, Paris Jean DalibardENS, Paris Eugene DemlerHarvard Michael DoserCERN Markus DrescherHamburg Francesca FerlainoInnsbruck Victor FlambaumSydney Chiara FortFlorence Elisabeth GiacobinoENS, Paris Philippe GrangierPalaiseau Chris GreeneJILA, Boulder Markus GreinerHarvard Eric HesselsToronto Hidetoshi KatoriTokyo Wolfgang KetterleMIT Michael KohlCambridge Wu-Ming LiuBeijing Francesco MinardiFlorence Holger MüllerBerkeley Karim MurrGarching Hanns-Christoph NägerlInnsbruck Jeremy O'BrienBristol Silke OspelkausJILA, Boulder Krzysztof PachuckiWarsaw Bill PhillipsGaithersburg Randolf PohlGarching Eugene PolzikCopenhagen Cindy RegalJILA, Boulder Jakob ReichelENS, Paris Helmut RitschInnsbruck Christian RoosInnsbruck Mark SaffmanWisconsin Christophe SalomonENS, Paris Gora ShlyapnikovOrsay Richard TaiebParis Masahito UedaTokyo Chris ValeMelbourne Andreas WallraffZürich Matthias WeidemüllerHeidelberg Martin WeitzBonn Artur WideraBonn David WinelandNIST, Boulder

Short Gamma-ray Bursts: Observations and Physics

NASA Astrophysics Data System (ADS)

Janka, H.-Thomas

2007-04-01

The aim of the workshop, which will be held at the scenic Ringberg castle, is supposed to bring together astrophysicists, physicists, and astronomers from different fields in order to discuss recent observational and theoretical discoveries and developments on short gamma-ray bursts. In particular, we plan to address the following topics: * recent short GRB observations * environments and host galaxies of short GRBs * is there a 3rd class of GRBs? * modeling GRB engines and jet outflows * rate and redshift predictions for short GRBs * the fireball model and short GRBs * gravitational-wave signals from short GRBs * neutrino signals from short GRBs * microphysics needed for modeling short GRBs and their engines Scientific and Local organizing committee members: H.-Thomas Janka (Max Planck Institute for Astrophysics, Garching), Miguel Aloy (University of Valencia), Jochen Greiner (Max Planck Institute for Extraterrestrial Physics), Sandra Savaglio (Max Planck Institute for Extraterrestrial Physics), Shri Kulkarni (California Institute of Technology, Pasadena)

Environment and economic risk: An analysis of carbon emission market and portfolio management.

PubMed

Luo, Cuicui; Wu, Desheng

2016-08-01

Climate change has been one of the biggest and most controversial environmental issues of our times. It affects the global economy, environment and human health. Many researchers find that carbon dioxide (CO2) has contributed the most to climate change between 1750 and 2005. In this study, the orthogonal GARCH (OGARCH) model is applied to examine the time-varying correlations in European CO2 allowance, crude oil and stock markets in US, Europe and China during the Protocol's first commitment period. The results show that the correlations between EUA carbon spot price and the equity markets are higher and more volatile in US and Europe than in China. Then the optimal portfolios consisting these five time series are selected by Mean-Variance and Mean-CVAR models. It shows that the optimal portfolio selected by MV-OGARCH model has the best performance. Copyright © 2016 Elsevier Inc. All rights reserved.

PyOperators: Operators and solvers for high-performance computing

NASA Astrophysics Data System (ADS)

Chanial, P.; Barbey, N.

2012-12-01

PyOperators is a publicly available library that provides basic operators and solvers for small-to-very large inverse problems ({http://pchanial.github.com/pyoperators}). It forms the backbone of the package PySimulators, which implements specific operators to construct an instrument model and means to conveniently represent a map, a timeline or a time-dependent observation ({http://pchanial.github.com/pysimulators}). Both are part of the Tamasis (Tools for Advanced Map-making, Analysis and SImulations of Submillimeter surveys) toolbox, aiming at providing versatile, reliable, easy-to-use, and optimal map-making tools for Herschel and future generation of sub-mm instruments. The project is a collaboration between 4 institutes (ESO Garching, IAS Orsay, CEA Saclay, Univ. Leiden).

A hybrid modeling approach for option pricing

NASA Astrophysics Data System (ADS)

Hajizadeh, Ehsan; Seifi, Abbas

2011-11-01

The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

NASA Astrophysics Data System (ADS)

Cifter, Atilla

2011-06-01

This paper introduces wavelet-based extreme value theory (EVT) for univariate value-at-risk estimation. Wavelets and EVT are combined for volatility forecasting to estimate a hybrid model. In the first stage, wavelets are used as a threshold in generalized Pareto distribution, and in the second stage, EVT is applied with a wavelet-based threshold. This new model is applied to two major emerging stock markets: the Istanbul Stock Exchange (ISE) and the Budapest Stock Exchange (BUX). The relative performance of wavelet-based EVT is benchmarked against the Riskmetrics-EWMA, ARMA-GARCH, generalized Pareto distribution, and conditional generalized Pareto distribution models. The empirical results show that the wavelet-based extreme value theory increases predictive performance of financial forecasting according to number of violations and tail-loss tests. The superior forecasting performance of the wavelet-based EVT model is also consistent with Basel II requirements, and this new model can be used by financial institutions as well.

Regime switching model for financial data: Empirical risk analysis

NASA Astrophysics Data System (ADS)

Salhi, Khaled; Deaconu, Madalina; Lejay, Antoine; Champagnat, Nicolas; Navet, Nicolas

2016-11-01

This paper constructs a regime switching model for the univariate Value-at-Risk estimation. Extreme value theory (EVT) and hidden Markov models (HMM) are combined to estimate a hybrid model that takes volatility clustering into account. In the first stage, HMM is used to classify data in crisis and steady periods, while in the second stage, EVT is applied to the previously classified data to rub out the delay between regime switching and their detection. This new model is applied to prices of numerous stocks exchanged on NYSE Euronext Paris over the period 2001-2011. We focus on daily returns for which calibration has to be done on a small dataset. The relative performance of the regime switching model is benchmarked against other well-known modeling techniques, such as stable, power laws and GARCH models. The empirical results show that the regime switching model increases predictive performance of financial forecasting according to the number of violations and tail-loss tests. This suggests that the regime switching model is a robust forecasting variant of power laws model while remaining practical to implement the VaR measurement.

SAO/NASA ADS at SAO: Mirror Sites

Science.gov Websites

, Garching, Germany Astronomisches Rechen-Institut, Heidelberg, Germany Institute of Astronomy of the Russian Observatory, Chinese Academy of Science, Beijing, China Inter-University Centre for Astronomy and Astrophysics Intensive Astronomy, South Africa [ADS] ADS [CfA] CfA [NASA] NASA ads at cfa.harvard.edu

Manfred Ziebell Retires

NASA Astrophysics Data System (ADS)

Hofstadt, D.

2002-12-01

On December 1st, 2002, after thirty- seven years of service, first in Chile and then in Garching, Ms. Christa Euler will leave ESO to enjoy a welldeserved retirement. Among the current staff, she is probably the only person who started her career at ESO just four years after the Organization was founded.

Crude oil price forecasting based on hybridizing wavelet multiple linear regression model, particle swarm optimization techniques, and principal component analysis.

PubMed

Shabri, Ani; Samsudin, Ruhaidah

2014-01-01

Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series.

Crude Oil Price Forecasting Based on Hybridizing Wavelet Multiple Linear Regression Model, Particle Swarm Optimization Techniques, and Principal Component Analysis

PubMed Central

Shabri, Ani; Samsudin, Ruhaidah

2014-01-01

Crude oil prices do play significant role in the global economy and are a key input into option pricing formulas, portfolio allocation, and risk measurement. In this paper, a hybrid model integrating wavelet and multiple linear regressions (MLR) is proposed for crude oil price forecasting. In this model, Mallat wavelet transform is first selected to decompose an original time series into several subseries with different scale. Then, the principal component analysis (PCA) is used in processing subseries data in MLR for crude oil price forecasting. The particle swarm optimization (PSO) is used to adopt the optimal parameters of the MLR model. To assess the effectiveness of this model, daily crude oil market, West Texas Intermediate (WTI), has been used as the case study. Time series prediction capability performance of the WMLR model is compared with the MLR, ARIMA, and GARCH models using various statistics measures. The experimental results show that the proposed model outperforms the individual models in forecasting of the crude oil prices series. PMID:24895666

Role of positive ions on the surface production of negative ions in a fusion plasma reactor type negative ion source--Insights from a three dimensional particle-in-cell Monte Carlo collisions model

NASA Astrophysics Data System (ADS)

Fubiani, G.; Boeuf, J. P.

2013-11-01

Results from a 3D self-consistent Particle-In-Cell Monte Carlo Collisions (PIC MCC) model of a high power fusion-type negative ion source are presented for the first time. The model is used to calculate the plasma characteristics of the ITER prototype BATMAN ion source developed in Garching. Special emphasis is put on the production of negative ions on the plasma grid surface. The question of the relative roles of the impact of neutral hydrogen atoms and positive ions on the cesiated grid surface has attracted much attention recently and the 3D PIC MCC model is used to address this question. The results show that the production of negative ions by positive ion impact on the plasma grid is small with respect to the production by atomic hydrogen or deuterium bombardment (less than 10%).

Catalog and Atlas from a Sensitive 1.5 GHz Radio Survey Around the North Ecliptic Pole

DTIC Science & Technology

1994-02-28

Physik D T 17(C Garching, Germany F ’, F P. REICH R. WIELEBINSKI Max-Planck-Institutfiir Radioastronomie Bonn, Germany 94-09976 February 28, 1994 11...lnstitut fur Radioastronomie , Bonn, Germany 12a. DISTRIBUTION/AVAILABILITY STATEMENT 12b. DISTRIBUTION CODE Approved for public release; distribution

Thirty-Seven Years of Service with ESO!

NASA Astrophysics Data System (ADS)

Breysacher, J.

2002-12-01

On December 1st, 2002, after thirty- seven years of service, first in Chile and then in Garching, Ms. Christa Euler will leave ESO to enjoy a welldeserved retirement. Among the current staff, she is probably the only person who started her career at ESO just four years after the Organization was founded.

Fuel cells and batteries: Competition or separate paths?

NASA Astrophysics Data System (ADS)

Ilic, D.; Holl, K.; Birke, P.; Wöhrle, T.; Birke-Salam, F.; Perner, A.; Haug, P.

This article in honor of 60th anniversary of Prof. Dr. J. Garche shows some historical and general aspects of batteries and fuel cells. Our most innovative product PoLiFlex™ will be highlighted and compared with the direct methanol fuel cell (DMFC), which is sometimes considered as a replacement for batteries.

Direct Detection of the Close Companion of Polaris With the Hubble Space Telescope

DTIC Science & Technology

2008-09-01

Italy 4 European Southern Observatory, Karl - Schwarzschild -Str. 2, 85748 Garching bei München, Germany; bono@mporzio.astro.it 5 Harvard University, 60...the late Karl Kamper to the study of Polaris were crucial to this work. REFERENCES Anderson, J., & King, I. R. 2004, Instrument Science Report ACS 2004

Statistical process control of mortality series in the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database: implications of the data generating process.

PubMed

Moran, John L; Solomon, Patricia J

2013-05-24

Statistical process control (SPC), an industrial sphere initiative, has recently been applied in health care and public health surveillance. SPC methods assume independent observations and process autocorrelation has been associated with increase in false alarm frequency. Monthly mean raw mortality (at hospital discharge) time series, 1995-2009, at the individual Intensive Care unit (ICU) level, were generated from the Australia and New Zealand Intensive Care Society adult patient database. Evidence for series (i) autocorrelation and seasonality was demonstrated using (partial)-autocorrelation ((P)ACF) function displays and classical series decomposition and (ii) "in-control" status was sought using risk-adjusted (RA) exponentially weighted moving average (EWMA) control limits (3 sigma). Risk adjustment was achieved using a random coefficient (intercept as ICU site and slope as APACHE III score) logistic regression model, generating an expected mortality series. Application of time-series to an exemplar complete ICU series (1995-(end)2009) was via Box-Jenkins methodology: autoregressive moving average (ARMA) and (G)ARCH ((Generalised) Autoregressive Conditional Heteroscedasticity) models, the latter addressing volatility of the series variance. The overall data set, 1995-2009, consisted of 491324 records from 137 ICU sites; average raw mortality was 14.07%; average(SD) raw and expected mortalities ranged from 0.012(0.113) and 0.013(0.045) to 0.296(0.457) and 0.278(0.247) respectively. For the raw mortality series: 71 sites had continuous data for assessment up to or beyond lag40 and 35% had autocorrelation through to lag40; and of 36 sites with continuous data for ≥ 72 months, all demonstrated marked seasonality. Similar numbers and percentages were seen with the expected series. Out-of-control signalling was evident for the raw mortality series with respect to RA-EWMA control limits; a seasonal ARMA model, with GARCH effects, displayed white-noise residuals which were in-control with respect to EWMA control limits and one-step prediction error limits (3SE). The expected series was modelled with a multiplicative seasonal autoregressive model. The data generating process of monthly raw mortality series at the ICU level displayed autocorrelation, seasonality and volatility. False-positive signalling of the raw mortality series was evident with respect to RA-EWMA control limits. A time series approach using residual control charts resolved these issues.

The relationship between inflation and inflation uncertainty. Empirical evidence for the newest EU countries.

PubMed

Viorica, Daniela; Jemna, Danut; Pintilescu, Carmen; Asandului, Mircea

2014-01-01

The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to test the causality between two variables. The working hypothesis is that groups of countries with a similar political and economic background in 1990 and are likely to be characterized by the same causal relationship between inflation and inflation uncertainty. Empirical results partially confirm this hypothesis. C22, E31, E37.

Volatility Spillover in Chinese Steel Markets

NASA Astrophysics Data System (ADS)

Fang, Wen

2018-03-01

This paper examines volatility spillover in Chinese steel markets by comparing spillover effects before and after steel futures market established and finds some interesting change. Volatility spillover method based on multi-GARCH model are proposed. The results show that there is significant proof for spillover effects from B2B electronic market to spot market, and two-way effects between futures and spot market. Market policy planners and practitioners could make decisions according to the master of spillovers. We also find that B2B e-market and futures market can both provide efficient protection against steel price volatility risk, B2B e-market offer a broad-based platform for trading steel commodities over time and space since e-market role in information flow process is dominant.

NASA and ESA astronauts visit ESO. Hubble repair team meets European astronomers in Garching.

NASA Astrophysics Data System (ADS)

1994-02-01

On Wednesday, February 16, 1994, seven NASA and ESA astronauts and their spouses will spend a day at the Headquarters of the European Southern Observatory. They are the members of the STS-61 crew that successfully repaired the Hubble Space Telescope during a Space Shuttle mission in December 1993. This will be the only stop in Germany during their current tour of various European countries. ESO houses the Space Telescope European Coordinating Facility (ST/ECF), a joint venture by the European Space Agency and ESO. This group of astronomers and computer specialists provide all services needed by European astronomers for observations with the Space Telescope. Currently, the European share is about 20 of the total time available at this telescope. During this visit, a Press Conference will be held on Wednesday, February 16, 11:45 - 12:30 at the ESO Headquarters Karl-Schwarzschild-Strasse 2 D-85748 Garching bei Munchen. Please note that participation in this Press Conference is by invitation only. Media representatives may obtain invitations from Mrs. E. Volk, ESO Information Service at this address (Tel.: +49-89-32006276; Fax.: +49-89-3202362), until Friday, February 11, 1994. After the Press Conference, between 12:30 - 14:00, a light refreshment will be served at the ESO Headquarters to all participants. >From 14:00 - 15:30, the astronauts will meet with students and teachers from the many scientific institutes in Garching in the course of an open presentation at the large lecture hall of the Physics Department of the Technical University. It is a 10 minute walk from ESO to the hall. Later the same day, the astronauts will be back at ESO for a private discussion of various space astronomy issues with their astronomer colleagues, many of whom are users of the Hubble Space Telescope, as well as ground-based telescopes at the ESO La Silla Observatory and elsewhere. The astronauts continue to Switzerland in the evening.

Mean-variance portfolio optimization by using time series approaches based on logarithmic utility function

NASA Astrophysics Data System (ADS)

Soeryana, E.; Fadhlina, N.; Sukono; Rusyaman, E.; Supian, S.

2017-01-01

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant based on logarithmic utility function. Non constant mean analysed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analysed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyse some Islamic stocks in Indonesia. The expected result is to get the proportion of investment in each Islamic stock analysed.

Mean-Variance portfolio optimization by using non constant mean and volatility based on the negative exponential utility function

NASA Astrophysics Data System (ADS)

Soeryana, Endang; Halim, Nurfadhlina Bt Abdul; Sukono, Rusyaman, Endang; Supian, Sudradjat

2017-03-01

Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting of several stocks are intended to get the optimal composition of the investment portfolio. This paper discussed about optimizing investment portfolio of Mean-Variance to stocks by using mean and volatility is not constant based on the Negative Exponential Utility Function. Non constant mean analyzed using models Autoregressive Moving Average (ARMA), while non constant volatility models are analyzed using the Generalized Autoregressive Conditional heteroscedastic (GARCH). Optimization process is performed by using the Lagrangian multiplier technique. As a numerical illustration, the method is used to analyze some stocks in Indonesia. The expected result is to get the proportion of investment in each stock analyzed

Forecasting VaR and ES of stock index portfolio: A Vine copula method

NASA Astrophysics Data System (ADS)

Zhang, Bangzheng; Wei, Yu; Yu, Jiang; Lai, Xiaodong; Peng, Zhenfeng

2014-12-01

Risk measurement has both theoretical and practical significance in risk management. Using daily sample of 10 international stock indices, firstly this paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Secondly, the Value-at-Risk (VaR) and Expected Shortfall (ES) of the international stock markets portfolio are forecasted using Monte Carlo method based on the estimated dependence of different Vine copulas. Finally, the accuracy of VaR and ES measurements obtained from different statistical models are evaluated by UC, IND, CC and Posterior analysis. The empirical results show that the VaR forecasts at the quantile levels of 0.9, 0.95, 0.975 and 0.99 with three kinds of Vine copula models are sufficiently accurate. Several traditional methods, such as historical simulation, mean-variance and DCC-GARCH models, fail to pass the CC backtesting. The Vine copula methods can accurately forecast the ES of the portfolio on the base of VaR measurement, and D-Vine copula model is superior to other Vine copulas.

Dynamical Mass of the O-Type Supergiant in Zeta Orionis A

DTIC Science & Technology

2013-01-01

A. Hummel1, Th. Rivinius2, M.-F. Nieva3,4, O. Stahl5, G. van Belle6, and R. T. Zavala7 1 European Southern Observatory, Karl - Schwarzschild -Str. 2...85748 Garching, Germany e-mail: chummel@eso.org 2 European Southern Observatory, Casilla 19001, Santiago 19, Chile 3 Dr. Karl Remeis–Sternwarte & ECAP

Clearing margin system in the futures markets—Applying the value-at-risk model to Taiwanese data

NASA Astrophysics Data System (ADS)

Chiu, Chien-Liang; Chiang, Shu-Mei; Hung, Jui-Cheng; Chen, Yu-Lung

2006-07-01

This article sets out to investigate if the TAIFEX has adequate clearing margin adjustment system via unconditional coverage, conditional coverage test and mean relative scaled bias to assess the performance of three value-at-risk (VaR) models (i.e., the TAIFEX, RiskMetrics and GARCH-t). For the same model, original and absolute returns are compared to explore which can accurately capture the true risk. For the same return, daily and tiered adjustment methods are examined to evaluate which corresponds to risk best. The results indicate that the clearing margin adjustment of the TAIFEX cannot reflect true risks. The adjustment rules, including the use of absolute return and tiered adjustment of the clearing margin, have distorted VaR-based margin requirements. Besides, the results suggest that the TAIFEX should use original return to compute VaR and daily adjustment system to set clearing margin. This approach would improve the funds operation efficiency and the liquidity of the futures markets.

Multifractality and value-at-risk forecasting of exchange rates

NASA Astrophysics Data System (ADS)

Batten, Jonathan A.; Kinateder, Harald; Wagner, Niklas

2014-05-01

This paper addresses market risk prediction for high frequency foreign exchange rates under nonlinear risk scaling behaviour. We use a modified version of the multifractal model of asset returns (MMAR) where trading time is represented by the series of volume ticks. Our dataset consists of 138,418 5-min round-the-clock observations of EUR/USD spot quotes and trading ticks during the period January 5, 2006 to December 31, 2007. Considering fat-tails, long-range dependence as well as scale inconsistency with the MMAR, we derive out-of-sample value-at-risk (VaR) forecasts and compare our approach to historical simulation as well as a benchmark GARCH(1,1) location-scale VaR model. Our findings underline that the multifractal properties in EUR/USD returns in fact have notable risk management implications. The MMAR approach is a parsimonious model which produces admissible VaR forecasts at the 12-h forecast horizon. For the daily horizon, the MMAR outperforms both alternatives based on conditional as well as unconditional coverage statistics.

Tail dependence and information flow: Evidence from international equity markets

NASA Astrophysics Data System (ADS)

Al Rahahleh, Naseem; Bhatti, M. Ishaq; Adeinat, Iman

2017-05-01

Bhatti and Nguyen (2012) used the copula approach to measure the tail dependence between a number of international markets. They observed that some country pairs exhibit only left-tail dependence whereas others show only right-tail. However, the flow of information from uni-dimensional (one-tail) to bi-dimensional (two-tails) between various markets was not accounted for. In this study, we address the flow of information of this nature by using the dynamic conditional correlation (DCC-GARCH) model. More specifically, we use various versions of the DCC models to explain the nexus between the information flow of international equity and to explain the stochastic forward vs. backward dynamics of financial markets based on data for a 15-year period comprising 3,782 observations. We observed that the information flow between the US and Hong Kong markets and between the US and Australian markets are bi-directional. We also observed that the DCC model captures a wider co-movement structure and inter-connectedness compared to the symmetric Joe-Clayton copula.

Impact of global financial crisis on stylized facts between energy markets and stock markets

NASA Astrophysics Data System (ADS)

Leng, Tan Kim; Cheong, Chin Wen; Hooi, Tan Siow

2014-06-01

Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.

Linear models of coregionalization for multivariate lattice data: Order-dependent and order-free cMCARs.

PubMed

MacNab, Ying C

2016-08-01

This paper concerns with multivariate conditional autoregressive models defined by linear combination of independent or correlated underlying spatial processes. Known as linear models of coregionalization, the method offers a systematic and unified approach for formulating multivariate extensions to a broad range of univariate conditional autoregressive models. The resulting multivariate spatial models represent classes of coregionalized multivariate conditional autoregressive models that enable flexible modelling of multivariate spatial interactions, yielding coregionalization models with symmetric or asymmetric cross-covariances of different spatial variation and smoothness. In the context of multivariate disease mapping, for example, they facilitate borrowing strength both over space and cross variables, allowing for more flexible multivariate spatial smoothing. Specifically, we present a broadened coregionalization framework to include order-dependent, order-free, and order-robust multivariate models; a new class of order-free coregionalized multivariate conditional autoregressives is introduced. We tackle computational challenges and present solutions that are integral for Bayesian analysis of these models. We also discuss two ways of computing deviance information criterion for comparison among competing hierarchical models with or without unidentifiable prior parameters. The models and related methodology are developed in the broad context of modelling multivariate data on spatial lattice and illustrated in the context of multivariate disease mapping. The coregionalization framework and related methods also present a general approach for building spatially structured cross-covariance functions for multivariate geostatistics. © The Author(s) 2016.

The Relationship between Inflation and Inflation Uncertainty. Empirical Evidence for the Newest EU Countries

PubMed Central

Viorica, Daniela; Jemna, Danut; Pintilescu, Carmen; Asandului, Mircea

2014-01-01

The objective of this paper is to verify the hypotheses presented in the literature on the causal relationship between inflation and its uncertainty, for the newest EU countries. To ensure the robustness of the results, in the study four models for inflation uncertainty are estimated in parallel: ARCH (1), GARCH (1,1), EGARCH (1,1,1) and PARCH (1,1,1). The Granger method is used to test the causality between two variables. The working hypothesis is that groups of countries with a similar political and economic background in 1990 and are likely to be characterized by the same causal relationship between inflation and inflation uncertainty. Empirical results partially confirm this hypothesis. Jel Classification C22, E31, E37. PMID:24633073

Linear Stability of Self-Similar Flow: 1. Isothermal Cylindrical Implosion and Expansion.

DTIC Science & Technology

1978-03-01

Attn: J. Tachon N. Trocheris C. Z4ercier R. B. Paris 3. Centro di Studio sui Gas lonizzati Univereita di Pe4ova 6/a Via Gre.denigo 35100 Padova, Italia...fur Plasma Physics 8046 Garching bet ?~rncben West Germany Attn: D. Biskamp K. Von Hagenow Horst Pacher chodura V. Schneider D. Pfirsch 10. Siberian

Finland to Join ESO

NASA Astrophysics Data System (ADS)

2004-03-01

Finland will become the eleventh member state of the European Southern Observatory. In a ceremony at the ESO Headquarters in Garching on 9 February 2004, an Agreement to this effect was signed by the Finnish Minister of Education and Science, Ms. Tuula Haatainen and the ESO Director General, Dr. Catherine Cesarsky, in the presence of other high officials from Finland and the ESO member states.

Report on the 2009 ESO Fellows Symposium

NASA Astrophysics Data System (ADS)

Emsellem, Eric; West, Michael; Leibundgut, Bruno

2009-09-01

The fourth ESO Fellows Symposium took place in Garching from 8-10 June 2009. This year's symposium brought together 28 ESO Fellows from Chile and Germany to meet their colleagues from across the ocean, discuss their research and provide feedback on ESO's Fellowship programme. This year's symposium also included training workshops to enhance the practical skills of ESO Fellows in today's competitive job market.

J, H, K Spectro-Interferometry of the Mira Variable S Orionis

DTIC Science & Technology

2008-01-01

the Mira variable S Orionis M. Wittkowski1, D. A. Boboltz2, T. Driebe3, J.-B. Le Bouquin4 F. Millour3 K. Ohnaka3, and M. Scholz5,6 1 ESO, Karl ... Schwarzschild -Str. 2, 85748 Garching bei München, Germany e-mail: mwittkow@eso.org 2 US Naval Observatory, 3450 Massachusetts Avenue, NW, Washington, DC

Detection method of financial crisis in Indonesia using MSGARCH models based on banking condition indicators

NASA Astrophysics Data System (ADS)

Sugiyanto; Zukhronah, E.; Sari, S. P.

2018-05-01

Financial crisis has hit Indonesia for several times resulting the needs for an early detection system to minimize the impact. One of many methods that can be used to detect the crisis is to model the crisis indicators using combination of volatility and Markov switching models [5]. There are some indicators that can be used to detect financial crisis. Three of them are the difference between interest rate on deposit and lending, the real interest rate on deposit, and the difference between real BI rate and real Fed rate which can be referred as banking condition indicators. Volatility model used to overcome the conditional variance that change over time. Combination of volatility and Markov switching models used to detect condition change on the data. The smoothed probability from the combined models can be used to detect the crisis. This research resulted that the best combined volatility and Markov switching models for the three indicators are MS-GARCH(3,1,1) models with three states assumption. Crises in mid of 1997 until 1998 has successfully detected with a certain range of smoothed probability value for the three indicators.

Analyzing Multiple Outcomes in Clinical Research Using Multivariate Multilevel Models

PubMed Central

Baldwin, Scott A.; Imel, Zac E.; Braithwaite, Scott R.; Atkins, David C.

2014-01-01

Objective Multilevel models have become a standard data analysis approach in intervention research. Although the vast majority of intervention studies involve multiple outcome measures, few studies use multivariate analysis methods. The authors discuss multivariate extensions to the multilevel model that can be used by psychotherapy researchers. Method and Results Using simulated longitudinal treatment data, the authors show how multivariate models extend common univariate growth models and how the multivariate model can be used to examine multivariate hypotheses involving fixed effects (e.g., does the size of the treatment effect differ across outcomes?) and random effects (e.g., is change in one outcome related to change in the other?). An online supplemental appendix provides annotated computer code and simulated example data for implementing a multivariate model. Conclusions Multivariate multilevel models are flexible, powerful models that can enhance clinical research. PMID:24491071

An Ensemble System Based on Hybrid EGARCH-ANN with Different Distributional Assumptions to Predict S&P 500 Intraday Volatility

NASA Astrophysics Data System (ADS)

Lahmiri, S.; Boukadoum, M.

2015-10-01

Accurate forecasting of stock market volatility is an important issue in portfolio risk management. In this paper, an ensemble system for stock market volatility is presented. It is composed of three different models that hybridize the exponential generalized autoregressive conditional heteroscedasticity (GARCH) process and the artificial neural network trained with the backpropagation algorithm (BPNN) to forecast stock market volatility under normal, t-Student, and generalized error distribution (GED) assumption separately. The goal is to design an ensemble system where each single hybrid model is capable to capture normality, excess skewness, or excess kurtosis in the data to achieve complementarity. The performance of each EGARCH-BPNN and the ensemble system is evaluated by the closeness of the volatility forecasts to realized volatility. Based on mean absolute error and mean of squared errors, the experimental results show that proposed ensemble model used to capture normality, skewness, and kurtosis in data is more accurate than the individual EGARCH-BPNN models in forecasting the S&P 500 intra-day volatility based on one and five-minute time horizons data.

Modelling volatility recurrence intervals in the Chinese commodity futures market

NASA Astrophysics Data System (ADS)

Zhou, Weijie; Wang, Zhengxin; Guo, Haiming

2016-09-01

The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.

Modeling Non-Gaussian Time Series with Nonparametric Bayesian Model.

PubMed

Xu, Zhiguang; MacEachern, Steven; Xu, Xinyi

2015-02-01

We present a class of Bayesian copula models whose major components are the marginal (limiting) distribution of a stationary time series and the internal dynamics of the series. We argue that these are the two features with which an analyst is typically most familiar, and hence that these are natural components with which to work. For the marginal distribution, we use a nonparametric Bayesian prior distribution along with a cdf-inverse cdf transformation to obtain large support. For the internal dynamics, we rely on the traditionally successful techniques of normal-theory time series. Coupling the two components gives us a family of (Gaussian) copula transformed autoregressive models. The models provide coherent adjustments of time scales and are compatible with many extensions, including changes in volatility of the series. We describe basic properties of the models, show their ability to recover non-Gaussian marginal distributions, and use a GARCH modification of the basic model to analyze stock index return series. The models are found to provide better fit and improved short-range and long-range predictions than Gaussian competitors. The models are extensible to a large variety of fields, including continuous time models, spatial models, models for multiple series, models driven by external covariate streams, and non-stationary models.

Statistical process control of mortality series in the Australian and New Zealand Intensive Care Society (ANZICS) adult patient database: implications of the data generating process

PubMed Central

2013-01-01

Background Statistical process control (SPC), an industrial sphere initiative, has recently been applied in health care and public health surveillance. SPC methods assume independent observations and process autocorrelation has been associated with increase in false alarm frequency. Methods Monthly mean raw mortality (at hospital discharge) time series, 1995–2009, at the individual Intensive Care unit (ICU) level, were generated from the Australia and New Zealand Intensive Care Society adult patient database. Evidence for series (i) autocorrelation and seasonality was demonstrated using (partial)-autocorrelation ((P)ACF) function displays and classical series decomposition and (ii) “in-control” status was sought using risk-adjusted (RA) exponentially weighted moving average (EWMA) control limits (3 sigma). Risk adjustment was achieved using a random coefficient (intercept as ICU site and slope as APACHE III score) logistic regression model, generating an expected mortality series. Application of time-series to an exemplar complete ICU series (1995-(end)2009) was via Box-Jenkins methodology: autoregressive moving average (ARMA) and (G)ARCH ((Generalised) Autoregressive Conditional Heteroscedasticity) models, the latter addressing volatility of the series variance. Results The overall data set, 1995-2009, consisted of 491324 records from 137 ICU sites; average raw mortality was 14.07%; average(SD) raw and expected mortalities ranged from 0.012(0.113) and 0.013(0.045) to 0.296(0.457) and 0.278(0.247) respectively. For the raw mortality series: 71 sites had continuous data for assessment up to or beyond lag40 and 35% had autocorrelation through to lag40; and of 36 sites with continuous data for ≥ 72 months, all demonstrated marked seasonality. Similar numbers and percentages were seen with the expected series. Out-of-control signalling was evident for the raw mortality series with respect to RA-EWMA control limits; a seasonal ARMA model, with GARCH effects, displayed white-noise residuals which were in-control with respect to EWMA control limits and one-step prediction error limits (3SE). The expected series was modelled with a multiplicative seasonal autoregressive model. Conclusions The data generating process of monthly raw mortality series at the ICU level displayed autocorrelation, seasonality and volatility. False-positive signalling of the raw mortality series was evident with respect to RA-EWMA control limits. A time series approach using residual control charts resolved these issues. PMID:23705957

Bayesian inference on risk differences: an application to multivariate meta-analysis of adverse events in clinical trials.

PubMed

Chen, Yong; Luo, Sheng; Chu, Haitao; Wei, Peng

2013-05-01

Multivariate meta-analysis is useful in combining evidence from independent studies which involve several comparisons among groups based on a single outcome. For binary outcomes, the commonly used statistical models for multivariate meta-analysis are multivariate generalized linear mixed effects models which assume risks, after some transformation, follow a multivariate normal distribution with possible correlations. In this article, we consider an alternative model for multivariate meta-analysis where the risks are modeled by the multivariate beta distribution proposed by Sarmanov (1966). This model have several attractive features compared to the conventional multivariate generalized linear mixed effects models, including simplicity of likelihood function, no need to specify a link function, and has a closed-form expression of distribution functions for study-specific risk differences. We investigate the finite sample performance of this model by simulation studies and illustrate its use with an application to multivariate meta-analysis of adverse events of tricyclic antidepressants treatment in clinical trials.

Extreme value modelling of Ghana stock exchange index.

PubMed

Nortey, Ezekiel N N; Asare, Kwabena; Mettle, Felix Okoe

2015-01-01

Modelling of extreme events has always been of interest in fields such as hydrology and meteorology. However, after the recent global financial crises, appropriate models for modelling of such rare events leading to these crises have become quite essential in the finance and risk management fields. This paper models the extreme values of the Ghana stock exchange all-shares index (2000-2010) by applying the extreme value theory (EVT) to fit a model to the tails of the daily stock returns data. A conditional approach of the EVT was preferred and hence an ARMA-GARCH model was fitted to the data to correct for the effects of autocorrelation and conditional heteroscedastic terms present in the returns series, before the EVT method was applied. The Peak Over Threshold approach of the EVT, which fits a Generalized Pareto Distribution (GPD) model to excesses above a certain selected threshold, was employed. Maximum likelihood estimates of the model parameters were obtained and the model's goodness of fit was assessed graphically using Q-Q, P-P and density plots. The findings indicate that the GPD provides an adequate fit to the data of excesses. The size of the extreme daily Ghanaian stock market movements were then computed using the value at risk and expected shortfall risk measures at some high quantiles, based on the fitted GPD model.

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

NASA Astrophysics Data System (ADS)

Shahzad, Syed Jawad Hussain; Kumar, Ronald Ravinesh; Ali, Sajid; Ameer, Saba

2016-09-01

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country's Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

The impact of derivatives on Malaysian stock market

NASA Astrophysics Data System (ADS)

Malim, M. R.; Halim, F. A.; Murad, A.; Maad, H. A.; Annuar, N. F. M.

2017-09-01

The essential of derivatives has been discovered by researchers over recent decade. However, the conclusions made regarding the impact of derivatives on stock market volatility remains debatable. The main objective of this study is to examine the impact of derivatives on Malaysian stock market volatility by exploring FTSE Bursa Malaysia Kuala Lumpur Composite Index Futures (BMD FKLI) using FBM KLCI as the underlying asset. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) model was employed to realize the objective. The results have shown that the introduction of futures trading has decreased the volatility of Malaysian stock market. The volatility increased vigorously during the Asian financial crisis compared to the Global financial crisis. However, the role of futures as a risk transfer is agreed as it could improve the market by decreasing the volatility in the spot market.

Arbitrage and Volatility in Chinese Stock's Markets

NASA Astrophysics Data System (ADS)

Lu, Shu Quan; Ito, Takao; Zhang, Jianbo

From the point of view of no-arbitrage pricing, what matters is how much volatility the stock has, for volatility measures the amount of profit that can be made from shorting stocks and purchasing options. With the short-sales constraints or in the absence of options, however, high volatility is likely to mean arbitrage from stock market. As emerging stock markets for China, investors are increasingly concerned about volatilities of Chinese two stock markets. We estimate volatility's models for Chinese stock markets' indexes using Markov chain Monte Carlo (MCMC) method and GARCH. We find that estimated values of volatility parameters are very high for all data frequencies. It suggests that stock returns are extremely volatile even at long term intervals in Chinese markets. Furthermore, this result could be considered that there seems to be arbitrage opportunities in Chinese stock markets.

[Prevalence of pressure sores in a university hospital in 2003].

PubMed

Daideri, G; Berthier, F; Brocker, P; Darmon, M-J; Mignolet, F; Quaranta, J-F; Staccini, P

2006-12-01

To determine the prevalence of pressure sores in a university hospital and to assess the risk of developing a pressure sore. A one-day survey was performed in all hospitalized patients, day hospital excepted. The Garches scale was used to assess the severity of pressure sores and the Braden scale was used to measure the patient's risk for the development of pressure ulcers. One thousand six hundred and eleven patients were included, mean age was 62+/-23 years and 53.3% were over 65 years old. In hospitalized patients, 64% were in acute care, 29% in intermediate medicine and long-term care and 7% in intensive care units. We have found 675 pressure sores in 268 patients, mean age of 76 years; 263 decubitus ulcers were acquired during hospitalization. The most frequent sites were heels (46%) and sacrum (26%). Stage 1 pressure ulcers showed 33% of the total. The total prevalence was 16.6%, 95% CI (14.9-18.6), the hospital acquired pressure sores prevalence was 7.5%, all stages included. A Braden score less than or equal to 15 was found in 29.1% of hospitalized patients. Standard mattresses were used in 37% of patients with pressure sores. Multivariate analysis showed that age and a Braden score less than or equal to 15 were significantly associated with pressure sores. Pressure sores are still an important problem in hospital; occurrence must be considered as an iatrogenic event and management requires a multidisciplinary approach.

A new multivariate zero-adjusted Poisson model with applications to biomedicine.

PubMed

Liu, Yin; Tian, Guo-Liang; Tang, Man-Lai; Yuen, Kam Chuen

2018-05-25

Recently, although advances were made on modeling multivariate count data, existing models really has several limitations: (i) The multivariate Poisson log-normal model (Aitchison and Ho, ) cannot be used to fit multivariate count data with excess zero-vectors; (ii) The multivariate zero-inflated Poisson (ZIP) distribution (Li et al., 1999) cannot be used to model zero-truncated/deflated count data and it is difficult to apply to high-dimensional cases; (iii) The Type I multivariate zero-adjusted Poisson (ZAP) distribution (Tian et al., 2017) could only model multivariate count data with a special correlation structure for random components that are all positive or negative. In this paper, we first introduce a new multivariate ZAP distribution, based on a multivariate Poisson distribution, which allows the correlations between components with a more flexible dependency structure, that is some of the correlation coefficients could be positive while others could be negative. We then develop its important distributional properties, and provide efficient statistical inference methods for multivariate ZAP model with or without covariates. Two real data examples in biomedicine are used to illustrate the proposed methods. © 2018 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

Universal behavior of the interoccurrence times between losses in financial markets: independence of the time resolution.

PubMed

Ludescher, Josef; Bunde, Armin

2014-12-01

We consider representative financial records (stocks and indices) on time scales between one minute and one day, as well as historical monthly data sets, and show that the distribution P(Q)(r) of the interoccurrence times r between losses below a negative threshold -Q, for fixed mean interoccurrence times R(Q) in multiples of the corresponding time resolutions, can be described on all time scales by the same q exponentials, P(Q)(r)∝1/{[1+(q-1)βr](1/(q-1))}. We propose that the asset- and time-scale-independent analytic form of P(Q)(r) can be regarded as an additional stylized fact of the financial markets and represents a nontrivial test for market models. We analyze the distribution P(Q)(r) as well as the autocorrelation C(Q)(s) of the interoccurrence times for three market models: (i) multiplicative random cascades, (ii) multifractal random walks, and (iii) the generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model. We find that only one of the considered models, the multifractal random walk model, approximately reproduces the q-exponential form of P(Q)(r) and the power-law decay of C(Q)(s).

Universal behavior of the interoccurrence times between losses in financial markets: Independence of the time resolution

NASA Astrophysics Data System (ADS)

Ludescher, Josef; Bunde, Armin

2014-12-01

We consider representative financial records (stocks and indices) on time scales between one minute and one day, as well as historical monthly data sets, and show that the distribution PQ(r ) of the interoccurrence times r between losses below a negative threshold -Q , for fixed mean interoccurrence times RQ in multiples of the corresponding time resolutions, can be described on all time scales by the same q exponentials, PQ(r ) ∝1 /{[1+(q -1 ) β r ] 1 /(q -1 )} . We propose that the asset- and time-scale-independent analytic form of PQ(r ) can be regarded as an additional stylized fact of the financial markets and represents a nontrivial test for market models. We analyze the distribution PQ(r ) as well as the autocorrelation CQ(s ) of the interoccurrence times for three market models: (i) multiplicative random cascades, (ii) multifractal random walks, and (iii) the generalized autoregressive conditional heteroskedasticity [GARCH(1,1)] model. We find that only one of the considered models, the multifractal random walk model, approximately reproduces the q -exponential form of PQ(r ) and the power-law decay of CQ(s ) .

The X-ray view of EROs

NASA Astrophysics Data System (ADS)

Brusa, M.; Comastri, A.; Daddi, E.; Cimatti, A.; Vignali, C.

(1) Dip. Astronomia Bologna University, via Ranzani 1, I-40127 Bologna ITALY (2) INAF - Osservatorio Astronomico di Bologna, via Ranzani 1, I-40127 Bologna ITALY (3) ESO - European Southern Observatory, Karl-Schwarzschild-Strasse 2, D-85748 Garching bei Muenchen Germany (4) INAF - Osservatorio Astrofisico di Arcetri, Largo E. Fermi 5, I-55025 Firenze, Italy (5) Dept. of Astronomy and Astrophysics, The Pennsylvania State University, 525 Davey Lab, University Park, PA 16802, USA

Bi-Level Arbitrage Potential Evaluation for Grid-Scale Energy Storage Considering Wind Power and LMP Smoothing Effect

DOE Office of Scientific and Technical Information (OSTI.GOV)

Cui, Hantao; Li, Fangxing; Fang, Xin

Our paper deals with extended-term energy storage (ES) arbitrage problems to maximize the annual revenue in deregulated power systems with high penetration wind power. The conventional ES arbitrage model takes the locational marginal prices (LMP) as an input and is unable to account for the impacts of ES operations on system LMPs. This paper proposes a bi-level ES arbitrage model, where the upper level maximizes the ES arbitrage revenue and the lower level simulates the market clearing process considering wind power and ES. The bi-level model is formulated as a mathematical program with equilibrium constraints (MPEC) and then recast intomore » a mixed-integer linear programming (MILP) using strong duality theory. Wind power fluctuations are characterized by the GARCH forecast model and the forecast error is modeled by forecast-bin based Beta distributions. Case studies are performed on a modified PJM 5-bus system and an IEEE 118-bus system with a weekly time horizon over an annual term to show the validity of the proposed bi-level model. The results from the conventional model and the bi-level model are compared under different ES power and energy ratings, and also various load and wind penetration levels.« less

Bi-Level Arbitrage Potential Evaluation for Grid-Scale Energy Storage Considering Wind Power and LMP Smoothing Effect

DOE PAGES

Cui, Hantao; Li, Fangxing; Fang, Xin; ...

2017-10-04

Our paper deals with extended-term energy storage (ES) arbitrage problems to maximize the annual revenue in deregulated power systems with high penetration wind power. The conventional ES arbitrage model takes the locational marginal prices (LMP) as an input and is unable to account for the impacts of ES operations on system LMPs. This paper proposes a bi-level ES arbitrage model, where the upper level maximizes the ES arbitrage revenue and the lower level simulates the market clearing process considering wind power and ES. The bi-level model is formulated as a mathematical program with equilibrium constraints (MPEC) and then recast intomore » a mixed-integer linear programming (MILP) using strong duality theory. Wind power fluctuations are characterized by the GARCH forecast model and the forecast error is modeled by forecast-bin based Beta distributions. Case studies are performed on a modified PJM 5-bus system and an IEEE 118-bus system with a weekly time horizon over an annual term to show the validity of the proposed bi-level model. The results from the conventional model and the bi-level model are compared under different ES power and energy ratings, and also various load and wind penetration levels.« less

Multivariate Strategies in Functional Magnetic Resonance Imaging

ERIC Educational Resources Information Center

Hansen, Lars Kai

2007-01-01

We discuss aspects of multivariate fMRI modeling, including the statistical evaluation of multivariate models and means for dimensional reduction. In a case study we analyze linear and non-linear dimensional reduction tools in the context of a "mind reading" predictive multivariate fMRI model.

Investigating College and Graduate Students' Multivariable Reasoning in Computational Modeling

ERIC Educational Resources Information Center

Wu, Hsin-Kai; Wu, Pai-Hsing; Zhang, Wen-Xin; Hsu, Ying-Shao

2013-01-01

Drawing upon the literature in computational modeling, multivariable reasoning, and causal attribution, this study aims at characterizing multivariable reasoning practices in computational modeling and revealing the nature of understanding about multivariable causality. We recruited two freshmen, two sophomores, two juniors, two seniors, four…

A Multivariate Model for the Study of Parental Acceptance-Rejection and Child Abuse.

ERIC Educational Resources Information Center

Rohner, Ronald P.; Rohner, Evelyn C.

This paper proposes a multivariate strategy for the study of parental acceptance-rejection and child abuse and describes a research study on parental rejection and child abuse which illustrates the advantages of using a multivariate, (rather than a simple-model) approach. The multivariate model is a combination of three simple models used to study…

The comparison study among several data transformations in autoregressive modeling

NASA Astrophysics Data System (ADS)

Setiyowati, Susi; Waluyo, Ramdhani Try

2015-12-01

In finance, the adjusted close of stocks are used to observe the performance of a company. The extreme prices, which may increase or decrease drastically, are often become particular concerned since it can impact to bankruptcy. As preventing action, the investors have to observe the future (forecasting) stock prices comprehensively. For that purpose, time series analysis could be one of statistical methods that can be implemented, for both stationary and non-stationary processes. Since the variability process of stocks prices tend to large and also most of time the extreme values are always exist, then it is necessary to do data transformation so that the time series models, i.e. autoregressive model, could be applied appropriately. One of popular data transformation in finance is return model, in addition to ratio of logarithm and some others Tukey ladder transformation. In this paper these transformations are applied to AR stationary models and non-stationary ARCH and GARCH models through some simulations with varying parameters. As results, this work present the suggestion table that shows transformations behavior for some condition of parameters and models. It is confirmed that the better transformation is obtained, depends on type of data distributions. In other hands, the parameter conditions term give significant influence either.

Max-Planck-Institut für Astrophysik

NASA Astrophysics Data System (ADS)

Murdin, P.

2000-11-01

The Max-Planck-Institut für Astrophysik, now located in the town of Garching north of Munich in Germany, is one of the more than 70 autonomous research institutes of the Max-Planck-Gesellschaft. It was founded in 1958 under the direction of Ludwig Biermann as part of the Max-Planck-Institut für Physik und Astrophysik, directed at that time by Werner Heisenberg. In 1979, when the headquarters of t...

Extensions to Multivariate Space Time Mixture Modeling of Small Area Cancer Data.

PubMed

Carroll, Rachel; Lawson, Andrew B; Faes, Christel; Kirby, Russell S; Aregay, Mehreteab; Watjou, Kevin

2017-05-09

Oral cavity and pharynx cancer, even when considered together, is a fairly rare disease. Implementation of multivariate modeling with lung and bronchus cancer, as well as melanoma cancer of the skin, could lead to better inference for oral cavity and pharynx cancer. The multivariate structure of these models is accomplished via the use of shared random effects, as well as other multivariate prior distributions. The results in this paper indicate that care should be taken when executing these types of models, and that multivariate mixture models may not always be the ideal option, depending on the data of interest.

The time-varying correlation between policy uncertainty and stock returns: Evidence from China

NASA Astrophysics Data System (ADS)

Xiong, Xiong; Bian, Yuxiang; Shen, Dehua

2018-06-01

In this paper, we use a new policy uncertainty index to investigate the time-varying correlation between economic policy uncertainty (EPU) and Chinese stock market returns. The correlation is examined in the period from January 1995 to December 2016. We show that absolute changes in EPU have a significant impact on stock market returns. Specifically, empirical results based on the DCC-GARCH model reveal that the correlation between EPU and stock returns has large fluctuations, especially during a financial crisis; in addition, the impact of EPU on the Shanghai stock market is greater than on the Shenzhen stock market. Robustness results reveal that the impact of EPU on state-owned enterprises is larger than on non-state enterprises. All of these results highlight the important role of EPU in the Chinese stock market, and shed light on such issues for future research.

Does NVIX matter for market volatility? Evidence from Asia-Pacific markets

NASA Astrophysics Data System (ADS)

Su, Zhi; Fang, Tong; Yin, Libo

2018-02-01

Forecasting financial market volatility is an important issue in the area of econophysics, and revealing the determinants of the market volatility has drawn much attentions of the academics. In order to better predict market volatilities, we use news-based implied volatility (NVIX) to measure uncertainty, and examine the predictive power of NVIX on the stock market volatility in both long and short-term among Asia-Pacific markets via GARCH-MIDAS model. We find that NVIX does not well explain long-term volatility variants in the full sample period, and it is positively associated with market volatility through a subsample analysis starting from the Financial Crisis. We also find that NVIX is more efficient in determining short-term volatility than the long-term volatility, indicating that the impact of NVIX is short-lived and information that investors concern could be quickly reflected in the stock market volatilities.

Adaptive Optics at the World’s Biggest Optical Telescope

DTIC Science & Technology

2010-09-01

bottom up. The reflective, and deformable, component of each of the LBT’s mirrors is a concave Zerodur shell, 1.6 mm in average thickness and 911 mm in...Physik, 85748 Garching, Germany ABSTRACT The Large Binocular Telescope (LBT) on Mt. Graham, Arizona, comprises two 8.4 m primary mirrors on a...adaptive optics (AO) was incorporated into the design through two adaptive secondary mirrors (ASM), each 91 cm in diameter with 672 actuators, which feed

The deformable secondary mirror of VLT: final electro-mechanical and optical acceptance test results

NASA Astrophysics Data System (ADS)

Briguglio, Runa; Biasi, Roberto; Xompero, Marco; Riccardi, Armando; Andrighettoni, Mario; Pescoller, Dietrich; Angerer, Gerald; Gallieni, Daniele; Vernet, Elise; Kolb, Johann; Arsenault, Robin; Madec, Pierre-Yves

2014-07-01

The Deformable Secondary Mirror (DSM) for the VLT ended the stand-alone electro-mechanical and optical acceptance process, entering the test phase as part of the Adaptive Optics Facility (AOF) at the ESO Headquarter (Garching). The VLT-DSM currently represents the most advanced already-built large-format deformable mirror with its 1170 voice-coil actuators and its internal metrology based on co-located capacitive sensors to control the shape of the 1.12m-diameter 2mm-thick convex shell. The present paper reports the final results of the electro-mechanical and optical characterization of the DSM executed in a collaborative effort by the DSM manufacturing companies (Microgate s.r.l. and A.D.S. International s.r.l.), INAF-Osservatorio Astrofisico di Arcetri and ESO. The electro-mechanical acceptance tests have been performed in the company premises and their main purpose was the dynamical characterization of the internal control loop response and the calibration of the system data that are needed for its optimization. The optical acceptance tests have been performed at ESO (Garching) using the ASSIST optical test facility. The main purpose of the tests are the characterization of the optical shell flattening residuals, the corresponding calibration of flattening commands, the optical calibration of the capacitive sensors and the optical calibration of the mirror influence functions.

Modeling volatility using state space models.

PubMed

Timmer, J; Weigend, A S

1997-08-01

In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

A multivariate time series approach to modeling and forecasting demand in the emergency department.

PubMed

Jones, Spencer S; Evans, R Scott; Allen, Todd L; Thomas, Alun; Haug, Peter J; Welch, Shari J; Snow, Gregory L

2009-02-01

The goals of this investigation were to study the temporal relationships between the demands for key resources in the emergency department (ED) and the inpatient hospital, and to develop multivariate forecasting models. Hourly data were collected from three diverse hospitals for the year 2006. Descriptive analysis and model fitting were carried out using graphical and multivariate time series methods. Multivariate models were compared to a univariate benchmark model in terms of their ability to provide out-of-sample forecasts of ED census and the demands for diagnostic resources. Descriptive analyses revealed little temporal interaction between the demand for inpatient resources and the demand for ED resources at the facilities considered. Multivariate models provided more accurate forecasts of ED census and of the demands for diagnostic resources. Our results suggest that multivariate time series models can be used to reliably forecast ED patient census; however, forecasts of the demands for diagnostic resources were not sufficiently reliable to be useful in the clinical setting.

Comparison of Multidimensional Item Response Models: Multivariate Normal Ability Distributions versus Multivariate Polytomous Ability Distributions. Research Report. ETS RR-08-45

ERIC Educational Resources Information Center

Haberman, Shelby J.; von Davier, Matthias; Lee, Yi-Hsuan

2008-01-01

Multidimensional item response models can be based on multivariate normal ability distributions or on multivariate polytomous ability distributions. For the case of simple structure in which each item corresponds to a unique dimension of the ability vector, some applications of the two-parameter logistic model to empirical data are employed to…

Stochastic modelling of temperatures affecting the in situ performance of a solar-assisted heat pump: The multivariate approach and physical interpretation

DOE Office of Scientific and Technical Information (OSTI.GOV)

Loveday, D.L.; Craggs, C.

Box-Jenkins-based multivariate stochastic modeling is carried out using data recorded from a domestic heating system. The system comprises an air-source heat pump sited in the roof space of a house, solar assistance being provided by the conventional tile roof acting as a radiation absorber. Multivariate models are presented which illustrate the time-dependent relationships between three air temperatures - at external ambient, at entry to, and at exit from, the heat pump evaporator. Using a deterministic modeling approach, physical interpretations are placed on the results of the multivariate technique. It is concluded that the multivariate Box-Jenkins approach is a suitable techniquemore » for building thermal analysis. Application to multivariate Box-Jenkins approach is a suitable technique for building thermal analysis. Application to multivariate model-based control is discussed, with particular reference to building energy management systems. It is further concluded that stochastic modeling of data drawn from a short monitoring period offers a means of retrofitting an advanced model-based control system in existing buildings, which could be used to optimize energy savings. An approach to system simulation is suggested.« less

LiSICON-Ionic Liquid Electrolyte for Lithium Ion Battery

DTIC Science & Technology

2011-08-15

Nat Mater, 9 (2010) 353-358. [3] B. Scrosati, J. Garche, Journal of Power Sources, 195 (2010) 2419-2430. [4] F. Mizuno, A. Hayashi , K. Tadanaga, M...Minami, A. Hayashi , M. Tatsumisago, Solid State Ionics, 179 (2008) 1282-1285. [7] G. Girishkumar, B. McCloskey, A.C. Luntz, S. Swanson, W. Wilcke, The...Song, K. Zaghib, K. Kinoshita, F. McLarnon, Journal of Power Sources, 97-8 (2001) 58-66. [15] S. Seki, Y. Kobayashi, H. Miyashiro, Y. Ohno , Y. Mita, N

The solar abundance of Oxygen

NASA Astrophysics Data System (ADS)

Grevesse, N.

2009-07-01

With Martin Asplund (Max Planck Institute of Astrophysics, Garching) and Jacques Sauval (Observatoire Royal de Belgique, Brussels) I recently published detailed reviews on the solar chemical composition ({Asplund et al. 2005}, {Grevesse et al. 2007}). A new one, with Pat Scott (Stockholm University) as additional co-author, will appear in Annual Review of Astronomy and Astrophysics ({Asplund et al. 2009}). Here we briefly analyze recent works on the solar abundance of Oxygen and recommend a value of 8.70 in the usual astronomical scale.

Characterizing multivariate decoding models based on correlated EEG spectral features

PubMed Central

McFarland, Dennis J.

2013-01-01

Objective Multivariate decoding methods are popular techniques for analysis of neurophysiological data. The present study explored potential interpretative problems with these techniques when predictors are correlated. Methods Data from sensorimotor rhythm-based cursor control experiments was analyzed offline with linear univariate and multivariate models. Features were derived from autoregressive (AR) spectral analysis of varying model order which produced predictors that varied in their degree of correlation (i.e., multicollinearity). Results The use of multivariate regression models resulted in much better prediction of target position as compared to univariate regression models. However, with lower order AR features interpretation of the spectral patterns of the weights was difficult. This is likely to be due to the high degree of multicollinearity present with lower order AR features. Conclusions Care should be exercised when interpreting the pattern of weights of multivariate models with correlated predictors. Comparison with univariate statistics is advisable. Significance While multivariate decoding algorithms are very useful for prediction their utility for interpretation may be limited when predictors are correlated. PMID:23466267

Multivariate Longitudinal Analysis with Bivariate Correlation Test.

PubMed

Adjakossa, Eric Houngla; Sadissou, Ibrahim; Hounkonnou, Mahouton Norbert; Nuel, Gregory

2016-01-01

In the context of multivariate multilevel data analysis, this paper focuses on the multivariate linear mixed-effects model, including all the correlations between the random effects when the dimensional residual terms are assumed uncorrelated. Using the EM algorithm, we suggest more general expressions of the model's parameters estimators. These estimators can be used in the framework of the multivariate longitudinal data analysis as well as in the more general context of the analysis of multivariate multilevel data. By using a likelihood ratio test, we test the significance of the correlations between the random effects of two dependent variables of the model, in order to investigate whether or not it is useful to model these dependent variables jointly. Simulation studies are done to assess both the parameter recovery performance of the EM estimators and the power of the test. Using two empirical data sets which are of longitudinal multivariate type and multivariate multilevel type, respectively, the usefulness of the test is illustrated.

Approximation methods of European option pricing in multiscale stochastic volatility model

NASA Astrophysics Data System (ADS)

Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

2017-01-01

In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

The Virtual Observatory: I

NASA Astrophysics Data System (ADS)

Hanisch, R. J.

2014-11-01

The concept of the Virtual Observatory arose more-or-less simultaneously in the United States and Europe circa 2000. Ten pages of Astronomy and Astrophysics in the New Millennium: Panel Reports (National Academy Press, Washington, 2001), that is, the detailed recommendations of the Panel on Theory, Computation, and Data Exploration of the 2000 Decadal Survey in Astronomy, are dedicated to describing the motivation for, scientific value of, and major components required in implementing the National Virtual Observatory. European initiatives included the Astrophysical Virtual Observatory at the European Southern Observatory, the AstroGrid project in the United Kingdom, and the Euro-VO (sponsored by the European Union). Organizational/conceptual meetings were held in the US at the California Institute of Technology (Virtual Observatories of the Future, June 13-16, 2000) and at ESO Headquarters in Garching, Germany (Mining the Sky, July 31-August 4, 2000; Toward an International Virtual Observatory, June 10-14, 2002). The nascent US, UK, and European VO projects formed the International Virtual Observatory Alliance (IVOA) at the June 2002 meeting in Garching, with yours truly as the first chair. The IVOA has grown to a membership of twenty-one national projects and programs on six continents, and has developed a broad suite of data access protocols and standards that have been widely implemented. Astronomers can now discover, access, and compare data from hundreds of telescopes and facilities, hosted at hundreds of organizations worldwide, stored in thousands of databases, all with a single query.

Small Sample Properties of Bayesian Multivariate Autoregressive Time Series Models

ERIC Educational Resources Information Center

Price, Larry R.

2012-01-01

The aim of this study was to compare the small sample (N = 1, 3, 5, 10, 15) performance of a Bayesian multivariate vector autoregressive (BVAR-SEM) time series model relative to frequentist power and parameter estimation bias. A multivariate autoregressive model was developed based on correlated autoregressive time series vectors of varying…

Characterizing multivariate decoding models based on correlated EEG spectral features.

PubMed

McFarland, Dennis J

2013-07-01

Multivariate decoding methods are popular techniques for analysis of neurophysiological data. The present study explored potential interpretative problems with these techniques when predictors are correlated. Data from sensorimotor rhythm-based cursor control experiments was analyzed offline with linear univariate and multivariate models. Features were derived from autoregressive (AR) spectral analysis of varying model order which produced predictors that varied in their degree of correlation (i.e., multicollinearity). The use of multivariate regression models resulted in much better prediction of target position as compared to univariate regression models. However, with lower order AR features interpretation of the spectral patterns of the weights was difficult. This is likely to be due to the high degree of multicollinearity present with lower order AR features. Care should be exercised when interpreting the pattern of weights of multivariate models with correlated predictors. Comparison with univariate statistics is advisable. While multivariate decoding algorithms are very useful for prediction their utility for interpretation may be limited when predictors are correlated. Copyright © 2013 International Federation of Clinical Neurophysiology. Published by Elsevier Ireland Ltd. All rights reserved.

Multivariate Models of Parent-Late Adolescent Gender Dyads: The Importance of Parenting Processes in Predicting Adjustment

ERIC Educational Resources Information Center

McKinney, Cliff; Renk, Kimberly

2008-01-01

Although parent-adolescent interactions have been examined, relevant variables have not been integrated into a multivariate model. As a result, this study examined a multivariate model of parent-late adolescent gender dyads in an attempt to capture important predictors in late adolescents' important and unique transition to adulthood. The sample…

Portfolio management under sudden changes in volatility and heterogeneous investment horizons

NASA Astrophysics Data System (ADS)

Fernandez, Viviana; Lucey, Brian M.

2007-03-01

We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.

The heart of the story: peripheral physiology during narrative exposure predicts charitable giving.

PubMed

Barraza, Jorge A; Alexander, Veronika; Beavin, Laura E; Terris, Elizabeth T; Zak, Paul J

2015-02-01

Emotionally laden narratives are often used as persuasive appeals by charitable organizations. Physiological responses to a narrative may explain why some people respond to an appeal while others do not. In this study we tested whether autonomic and hormonal activity during a narrative predict subsequent narrative influence via charitable giving. Participants viewed a brief story of a father's experience with his 2-year-old son who has terminal cancer. After the story, participants were presented with an opportunity to donate some of their study earnings to a related charity. Measures derived from cardiac and electrodermal activity, including HF-HRV, significantly predicted donor status. Time-series GARCH models of physiology during the narrative further differentiated donors from non-donors. Moreover, cardiac activity and experienced concern were found to covary from moment-to-moment across the narrative. Our findings indicate that the physiological response to a stimulus, herein a narrative, can predict influence as indexed by stimulus-related behavior. Copyright © 2015 Elsevier B.V. All rights reserved.

Investigating Long-Range Dependence in American Treasury Bills Variations and Volatilities during Stable and Unstable Periods

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

2016-05-01

Detrended fluctuation analysis (DFA) is used to examine long-range dependence in variations and volatilities of American treasury bills (TB) during periods of low and high movements in TB rates. Volatility series are estimated by generalized autoregressive conditional heteroskedasticity (GARCH) model under Gaussian, Student, and the generalized error distribution (GED) assumptions. The DFA-based Hurst exponents from 3-month, 6-month, and 1-year TB data indicates that in general the dynamics of the TB variations process is characterized by persistence during stable time period (before 2008 international financial crisis) and anti-persistence during unstable time period (post-2008 international financial crisis). For volatility series, it is found that; for stable period; 3-month volatility process is more likely random, 6-month volatility process is anti-persistent, and 1-year volatility process is persistent. For unstable period, estimation results show that the generating process is persistent for all maturities and for all distributional assumptions.

Forecasting space weather: Can new econometric methods improve accuracy?

NASA Astrophysics Data System (ADS)

Reikard, Gordon

2011-06-01

Space weather forecasts are currently used in areas ranging from navigation and communication to electric power system operations. The relevant forecast horizons can range from as little as 24 h to several days. This paper analyzes the predictability of two major space weather measures using new time series methods, many of them derived from econometrics. The data sets are the A p geomagnetic index and the solar radio flux at 10.7 cm. The methods tested include nonlinear regressions, neural networks, frequency domain algorithms, GARCH models (which utilize the residual variance), state transition models, and models that combine elements of several techniques. While combined models are complex, they can be programmed using modern statistical software. The data frequency is daily, and forecasting experiments are run over horizons ranging from 1 to 7 days. Two major conclusions stand out. First, the frequency domain method forecasts the A p index more accurately than any time domain model, including both regressions and neural networks. This finding is very robust, and holds for all forecast horizons. Combining the frequency domain method with other techniques yields a further small improvement in accuracy. Second, the neural network forecasts the solar flux more accurately than any other method, although at short horizons (2 days or less) the regression and net yield similar results. The neural net does best when it includes measures of the long-term component in the data.

A multivariate model and statistical method for validating tree grade lumber yield equations

Treesearch

Donald W. Seegrist

1975-01-01

Lumber yields within lumber grades can be described by a multivariate linear model. A method for validating lumber yield prediction equations when there are several tree grades is presented. The method is based on multivariate simultaneous test procedures.

Multivariate Boosting for Integrative Analysis of High-Dimensional Cancer Genomic Data

PubMed Central

Xiong, Lie; Kuan, Pei-Fen; Tian, Jianan; Keles, Sunduz; Wang, Sijian

2015-01-01

In this paper, we propose a novel multivariate component-wise boosting method for fitting multivariate response regression models under the high-dimension, low sample size setting. Our method is motivated by modeling the association among different biological molecules based on multiple types of high-dimensional genomic data. Particularly, we are interested in two applications: studying the influence of DNA copy number alterations on RNA transcript levels and investigating the association between DNA methylation and gene expression. For this purpose, we model the dependence of the RNA expression levels on DNA copy number alterations and the dependence of gene expression on DNA methylation through multivariate regression models and utilize boosting-type method to handle the high dimensionality as well as model the possible nonlinear associations. The performance of the proposed method is demonstrated through simulation studies. Finally, our multivariate boosting method is applied to two breast cancer studies. PMID:26609213

Testing for unit root bilinearity in the Brazilian stock market

NASA Astrophysics Data System (ADS)

Tabak, Benjamin M.

2007-11-01

In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of nonlinear unit roots in Brazilian equity shares. The empirical evidence for a set of 53 individual stocks, after adjusting for GARCH effects, suggests that for more than 66%, the hypothesis of unit root bilinearity is accepted. Therefore, the dynamics of Brazilian share prices is in conformity with this type of nonlinearity. These nonlinearities in spot prices may emerge due to the sophistication of the derivatives market.

Rotatable multifunctional load frames for neutron diffractometers at FRM II—design, specifications and applications

NASA Astrophysics Data System (ADS)

Hoelzel, M.; Gan, W. M.; Hofmann, M.; Randau, C.; Seidl, G.; Jüttner, Ph.; Schmahl, W. W.

2013-05-01

Novel tensile rigs have been designed and manufactured at the research reactor Heinz Maier-Leibnitz (FRM II, Garching near Munich). Besides tensile and compressive stress, also torsion can be applied. The unique Eulerian cradle type design (ω, χ, and φ axis) allows orienting the stress axis with respect to the scattering vector. Applications of these tensile rigs at our neutron diffractometers enable various investigations of structural changes under mechanical load, e.g. crystallographic texture evolution, stress-induced phase transformations or lattice expansion, and the anisotropy of mechanical response.

Multivariate Feature Selection of Image Descriptors Data for Breast Cancer with Computer-Assisted Diagnosis

PubMed Central

Galván-Tejada, Carlos E.; Zanella-Calzada, Laura A.; Galván-Tejada, Jorge I.; Celaya-Padilla, José M.; Gamboa-Rosales, Hamurabi; Garza-Veloz, Idalia; Martinez-Fierro, Margarita L.

2017-01-01

Breast cancer is an important global health problem, and the most common type of cancer among women. Late diagnosis significantly decreases the survival rate of the patient; however, using mammography for early detection has been demonstrated to be a very important tool increasing the survival rate. The purpose of this paper is to obtain a multivariate model to classify benign and malignant tumor lesions using a computer-assisted diagnosis with a genetic algorithm in training and test datasets from mammography image features. A multivariate search was conducted to obtain predictive models with different approaches, in order to compare and validate results. The multivariate models were constructed using: Random Forest, Nearest centroid, and K-Nearest Neighbor (K-NN) strategies as cost function in a genetic algorithm applied to the features in the BCDR public databases. Results suggest that the two texture descriptor features obtained in the multivariate model have a similar or better prediction capability to classify the data outcome compared with the multivariate model composed of all the features, according to their fitness value. This model can help to reduce the workload of radiologists and present a second opinion in the classification of tumor lesions. PMID:28216571

Multivariate Feature Selection of Image Descriptors Data for Breast Cancer with Computer-Assisted Diagnosis.

PubMed

Galván-Tejada, Carlos E; Zanella-Calzada, Laura A; Galván-Tejada, Jorge I; Celaya-Padilla, José M; Gamboa-Rosales, Hamurabi; Garza-Veloz, Idalia; Martinez-Fierro, Margarita L

2017-02-14

Breast cancer is an important global health problem, and the most common type of cancer among women. Late diagnosis significantly decreases the survival rate of the patient; however, using mammography for early detection has been demonstrated to be a very important tool increasing the survival rate. The purpose of this paper is to obtain a multivariate model to classify benign and malignant tumor lesions using a computer-assisted diagnosis with a genetic algorithm in training and test datasets from mammography image features. A multivariate search was conducted to obtain predictive models with different approaches, in order to compare and validate results. The multivariate models were constructed using: Random Forest, Nearest centroid, and K-Nearest Neighbor (K-NN) strategies as cost function in a genetic algorithm applied to the features in the BCDR public databases. Results suggest that the two texture descriptor features obtained in the multivariate model have a similar or better prediction capability to classify the data outcome compared with the multivariate model composed of all the features, according to their fitness value. This model can help to reduce the workload of radiologists and present a second opinion in the classification of tumor lesions.

Multivariate Longitudinal Analysis with Bivariate Correlation Test

PubMed Central

Adjakossa, Eric Houngla; Sadissou, Ibrahim; Hounkonnou, Mahouton Norbert; Nuel, Gregory

2016-01-01

In the context of multivariate multilevel data analysis, this paper focuses on the multivariate linear mixed-effects model, including all the correlations between the random effects when the dimensional residual terms are assumed uncorrelated. Using the EM algorithm, we suggest more general expressions of the model’s parameters estimators. These estimators can be used in the framework of the multivariate longitudinal data analysis as well as in the more general context of the analysis of multivariate multilevel data. By using a likelihood ratio test, we test the significance of the correlations between the random effects of two dependent variables of the model, in order to investigate whether or not it is useful to model these dependent variables jointly. Simulation studies are done to assess both the parameter recovery performance of the EM estimators and the power of the test. Using two empirical data sets which are of longitudinal multivariate type and multivariate multilevel type, respectively, the usefulness of the test is illustrated. PMID:27537692

Multivariate spatial models of excess crash frequency at area level: case of Costa Rica.

PubMed

Aguero-Valverde, Jonathan

2013-10-01

Recently, areal models of crash frequency have being used in the analysis of various area-wide factors affecting road crashes. On the other hand, disease mapping methods are commonly used in epidemiology to assess the relative risk of the population at different spatial units. A natural next step is to combine these two approaches to estimate the excess crash frequency at area level as a measure of absolute crash risk. Furthermore, multivariate spatial models of crash severity are explored in order to account for both frequency and severity of crashes and control for the spatial correlation frequently found in crash data. This paper aims to extent the concept of safety performance functions to be used in areal models of crash frequency. A multivariate spatial model is used for that purpose and compared to its univariate counterpart. Full Bayes hierarchical approach is used to estimate the models of crash frequency at canton level for Costa Rica. An intrinsic multivariate conditional autoregressive model is used for modeling spatial random effects. The results show that the multivariate spatial model performs better than its univariate counterpart in terms of the penalized goodness-of-fit measure Deviance Information Criteria. Additionally, the effects of the spatial smoothing due to the multivariate spatial random effects are evident in the estimation of excess equivalent property damage only crashes. Copyright © 2013 Elsevier Ltd. All rights reserved.

An empirical study on information spillover effects between the Chinese copper futures market and spot market

NASA Astrophysics Data System (ADS)

Liu, Xiangli; Cheng, Siwei; Wang, Shouyang; Hong, Yongmiao; Li, Yi

2008-02-01

This study employs a parametric approach based on TGARCH and GARCH models to estimate the VaR of the copper futures market and spot market in China. Considering the short selling mechanism in the futures market, the paper introduces two new notions: upside VaR and extreme upside risk spillover. And downside VaR and upside VaR are examined by using the above approach. Also, we use Kupiec’s [P.H. Kupiec, Techniques for verifying the accuracy of risk measurement models, Journal of Derivatives 3 (1995) 73-84] backtest to test the power of our approaches. In addition, we investigate information spillover effects between the futures market and the spot market by employing a linear Granger causality test, and Granger causality tests in mean, volatility and risk respectively. Moreover, we also investigate the relationship between the futures market and the spot market by using a test based on a kernel function. Empirical results indicate that there exist significant two-way spillovers between the futures market and the spot market, and the spillovers from the futures market to the spot market are much more striking.

A Robust Bayesian Approach for Structural Equation Models with Missing Data

ERIC Educational Resources Information Center

Lee, Sik-Yum; Xia, Ye-Mao

2008-01-01

In this paper, normal/independent distributions, including but not limited to the multivariate t distribution, the multivariate contaminated distribution, and the multivariate slash distribution, are used to develop a robust Bayesian approach for analyzing structural equation models with complete or missing data. In the context of a nonlinear…

A Comparison of Three Multivariate Models for Estimating Test Battery Reliability.

ERIC Educational Resources Information Center

Wood, Terry M.; Safrit, Margaret J.

1987-01-01

A comparison of three multivariate models (canonical reliability model, maximum generalizability model, canonical correlation model) for estimating test battery reliability indicated that the maximum generalizability model showed the least degree of bias, smallest errors in estimation, and the greatest relative efficiency across all experimental…

Application of multivariate Gaussian detection theory to known non-Gaussian probability density functions

NASA Astrophysics Data System (ADS)

Schwartz, Craig R.; Thelen, Brian J.; Kenton, Arthur C.

1995-06-01

A statistical parametric multispectral sensor performance model was developed by ERIM to support mine field detection studies, multispectral sensor design/performance trade-off studies, and target detection algorithm development. The model assumes target detection algorithms and their performance models which are based on data assumed to obey multivariate Gaussian probability distribution functions (PDFs). The applicability of these algorithms and performance models can be generalized to data having non-Gaussian PDFs through the use of transforms which convert non-Gaussian data to Gaussian (or near-Gaussian) data. An example of one such transform is the Box-Cox power law transform. In practice, such a transform can be applied to non-Gaussian data prior to the introduction of a detection algorithm that is formally based on the assumption of multivariate Gaussian data. This paper presents an extension of these techniques to the case where the joint multivariate probability density function of the non-Gaussian input data is known, and where the joint estimate of the multivariate Gaussian statistics, under the Box-Cox transform, is desired. The jointly estimated multivariate Gaussian statistics can then be used to predict the performance of a target detection algorithm which has an associated Gaussian performance model.

A Review of Multivariate Distributions for Count Data Derived from the Poisson Distribution.

PubMed

Inouye, David; Yang, Eunho; Allen, Genevera; Ravikumar, Pradeep

2017-01-01

The Poisson distribution has been widely studied and used for modeling univariate count-valued data. Multivariate generalizations of the Poisson distribution that permit dependencies, however, have been far less popular. Yet, real-world high-dimensional count-valued data found in word counts, genomics, and crime statistics, for example, exhibit rich dependencies, and motivate the need for multivariate distributions that can appropriately model this data. We review multivariate distributions derived from the univariate Poisson, categorizing these models into three main classes: 1) where the marginal distributions are Poisson, 2) where the joint distribution is a mixture of independent multivariate Poisson distributions, and 3) where the node-conditional distributions are derived from the Poisson. We discuss the development of multiple instances of these classes and compare the models in terms of interpretability and theory. Then, we empirically compare multiple models from each class on three real-world datasets that have varying data characteristics from different domains, namely traffic accident data, biological next generation sequencing data, and text data. These empirical experiments develop intuition about the comparative advantages and disadvantages of each class of multivariate distribution that was derived from the Poisson. Finally, we suggest new research directions as explored in the subsequent discussion section.

Bayesian inference for multivariate meta-analysis Box-Cox transformation models for individual patient data with applications to evaluation of cholesterol lowering drugs

PubMed Central

Kim, Sungduk; Chen, Ming-Hui; Ibrahim, Joseph G.; Shah, Arvind K.; Lin, Jianxin

2013-01-01

In this paper, we propose a class of Box-Cox transformation regression models with multidimensional random effects for analyzing multivariate responses for individual patient data (IPD) in meta-analysis. Our modeling formulation uses a multivariate normal response meta-analysis model with multivariate random effects, in which each response is allowed to have its own Box-Cox transformation. Prior distributions are specified for the Box-Cox transformation parameters as well as the regression coefficients in this complex model, and the Deviance Information Criterion (DIC) is used to select the best transformation model. Since the model is quite complex, a novel Monte Carlo Markov chain (MCMC) sampling scheme is developed to sample from the joint posterior of the parameters. This model is motivated by a very rich dataset comprising 26 clinical trials involving cholesterol lowering drugs where the goal is to jointly model the three dimensional response consisting of Low Density Lipoprotein Cholesterol (LDL-C), High Density Lipoprotein Cholesterol (HDL-C), and Triglycerides (TG) (LDL-C, HDL-C, TG). Since the joint distribution of (LDL-C, HDL-C, TG) is not multivariate normal and in fact quite skewed, a Box-Cox transformation is needed to achieve normality. In the clinical literature, these three variables are usually analyzed univariately: however, a multivariate approach would be more appropriate since these variables are correlated with each other. A detailed analysis of these data is carried out using the proposed methodology. PMID:23580436

Bayesian inference for multivariate meta-analysis Box-Cox transformation models for individual patient data with applications to evaluation of cholesterol-lowering drugs.

PubMed

Kim, Sungduk; Chen, Ming-Hui; Ibrahim, Joseph G; Shah, Arvind K; Lin, Jianxin

2013-10-15

In this paper, we propose a class of Box-Cox transformation regression models with multidimensional random effects for analyzing multivariate responses for individual patient data in meta-analysis. Our modeling formulation uses a multivariate normal response meta-analysis model with multivariate random effects, in which each response is allowed to have its own Box-Cox transformation. Prior distributions are specified for the Box-Cox transformation parameters as well as the regression coefficients in this complex model, and the deviance information criterion is used to select the best transformation model. Because the model is quite complex, we develop a novel Monte Carlo Markov chain sampling scheme to sample from the joint posterior of the parameters. This model is motivated by a very rich dataset comprising 26 clinical trials involving cholesterol-lowering drugs where the goal is to jointly model the three-dimensional response consisting of low density lipoprotein cholesterol (LDL-C), high density lipoprotein cholesterol (HDL-C), and triglycerides (TG) (LDL-C, HDL-C, TG). Because the joint distribution of (LDL-C, HDL-C, TG) is not multivariate normal and in fact quite skewed, a Box-Cox transformation is needed to achieve normality. In the clinical literature, these three variables are usually analyzed univariately; however, a multivariate approach would be more appropriate because these variables are correlated with each other. We carry out a detailed analysis of these data by using the proposed methodology. Copyright © 2013 John Wiley & Sons, Ltd.

Semiparametric Thurstonian Models for Recurrent Choices: A Bayesian Analysis

ERIC Educational Resources Information Center

Ansari, Asim; Iyengar, Raghuram

2006-01-01

We develop semiparametric Bayesian Thurstonian models for analyzing repeated choice decisions involving multinomial, multivariate binary or multivariate ordinal data. Our modeling framework has multiple components that together yield considerable flexibility in modeling preference utilities, cross-sectional heterogeneity and parameter-driven…

Error Covariance Penalized Regression: A novel multivariate model combining penalized regression with multivariate error structure.

PubMed

Allegrini, Franco; Braga, Jez W B; Moreira, Alessandro C O; Olivieri, Alejandro C

2018-06-29

A new multivariate regression model, named Error Covariance Penalized Regression (ECPR) is presented. Following a penalized regression strategy, the proposed model incorporates information about the measurement error structure of the system, using the error covariance matrix (ECM) as a penalization term. Results are reported from both simulations and experimental data based on replicate mid and near infrared (MIR and NIR) spectral measurements. The results for ECPR are better under non-iid conditions when compared with traditional first-order multivariate methods such as ridge regression (RR), principal component regression (PCR) and partial least-squares regression (PLS). Copyright © 2018 Elsevier B.V. All rights reserved.

Effects of Covariance Heterogeneity on Three Procedures for Analyzing Multivariate Repeated Measures Designs.

ERIC Educational Resources Information Center

Vallejo, Guillermo; Fidalgo, Angel; Fernandez, Paula

2001-01-01

Estimated empirical Type I error rate and power rate for three procedures for analyzing multivariate repeated measures designs: (1) the doubly multivariate model; (2) the Welch-James multivariate solution (H. Keselman, M. Carriere, a nd L. Lix, 1993); and (3) the multivariate version of the modified Brown-Forsythe procedure (M. Brown and A.…

On the Numerical Formulation of Parametric Linear Fractional Transformation (LFT) Uncertainty Models for Multivariate Matrix Polynomial Problems

NASA Technical Reports Server (NTRS)

Belcastro, Christine M.

1998-01-01

Robust control system analysis and design is based on an uncertainty description, called a linear fractional transformation (LFT), which separates the uncertain (or varying) part of the system from the nominal system. These models are also useful in the design of gain-scheduled control systems based on Linear Parameter Varying (LPV) methods. Low-order LFT models are difficult to form for problems involving nonlinear parameter variations. This paper presents a numerical computational method for constructing and LFT model for a given LPV model. The method is developed for multivariate polynomial problems, and uses simple matrix computations to obtain an exact low-order LFT representation of the given LPV system without the use of model reduction. Although the method is developed for multivariate polynomial problems, multivariate rational problems can also be solved using this method by reformulating the rational problem into a polynomial form.

Multivariate Methods for Meta-Analysis of Genetic Association Studies.

PubMed

Dimou, Niki L; Pantavou, Katerina G; Braliou, Georgia G; Bagos, Pantelis G

2018-01-01

Multivariate meta-analysis of genetic association studies and genome-wide association studies has received a remarkable attention as it improves the precision of the analysis. Here, we review, summarize and present in a unified framework methods for multivariate meta-analysis of genetic association studies and genome-wide association studies. Starting with the statistical methods used for robust analysis and genetic model selection, we present in brief univariate methods for meta-analysis and we then scrutinize multivariate methodologies. Multivariate models of meta-analysis for a single gene-disease association studies, including models for haplotype association studies, multiple linked polymorphisms and multiple outcomes are discussed. The popular Mendelian randomization approach and special cases of meta-analysis addressing issues such as the assumption of the mode of inheritance, deviation from Hardy-Weinberg Equilibrium and gene-environment interactions are also presented. All available methods are enriched with practical applications and methodologies that could be developed in the future are discussed. Links for all available software implementing multivariate meta-analysis methods are also provided.

A system to build distributed multivariate models and manage disparate data sharing policies: implementation in the scalable national network for effectiveness research.

PubMed

Meeker, Daniella; Jiang, Xiaoqian; Matheny, Michael E; Farcas, Claudiu; D'Arcy, Michel; Pearlman, Laura; Nookala, Lavanya; Day, Michele E; Kim, Katherine K; Kim, Hyeoneui; Boxwala, Aziz; El-Kareh, Robert; Kuo, Grace M; Resnic, Frederic S; Kesselman, Carl; Ohno-Machado, Lucila

2015-11-01

Centralized and federated models for sharing data in research networks currently exist. To build multivariate data analysis for centralized networks, transfer of patient-level data to a central computation resource is necessary. The authors implemented distributed multivariate models for federated networks in which patient-level data is kept at each site and data exchange policies are managed in a study-centric manner. The objective was to implement infrastructure that supports the functionality of some existing research networks (e.g., cohort discovery, workflow management, and estimation of multivariate analytic models on centralized data) while adding additional important new features, such as algorithms for distributed iterative multivariate models, a graphical interface for multivariate model specification, synchronous and asynchronous response to network queries, investigator-initiated studies, and study-based control of staff, protocols, and data sharing policies. Based on the requirements gathered from statisticians, administrators, and investigators from multiple institutions, the authors developed infrastructure and tools to support multisite comparative effectiveness studies using web services for multivariate statistical estimation in the SCANNER federated network. The authors implemented massively parallel (map-reduce) computation methods and a new policy management system to enable each study initiated by network participants to define the ways in which data may be processed, managed, queried, and shared. The authors illustrated the use of these systems among institutions with highly different policies and operating under different state laws. Federated research networks need not limit distributed query functionality to count queries, cohort discovery, or independently estimated analytic models. Multivariate analyses can be efficiently and securely conducted without patient-level data transport, allowing institutions with strict local data storage requirements to participate in sophisticated analyses based on federated research networks. © The Author 2015. Published by Oxford University Press on behalf of the American Medical Informatics Association.

MULTIVARIATE RECEPTOR MODELS AND MODEL UNCERTAINTY. (R825173)

EPA Science Inventory

Abstract

Estimation of the number of major pollution sources, the source composition profiles, and the source contributions are the main interests in multivariate receptor modeling. Due to lack of identifiability of the receptor model, however, the estimation cannot be...

A Review of Multivariate Distributions for Count Data Derived from the Poisson Distribution

PubMed Central

Inouye, David; Yang, Eunho; Allen, Genevera; Ravikumar, Pradeep

2017-01-01

The Poisson distribution has been widely studied and used for modeling univariate count-valued data. Multivariate generalizations of the Poisson distribution that permit dependencies, however, have been far less popular. Yet, real-world high-dimensional count-valued data found in word counts, genomics, and crime statistics, for example, exhibit rich dependencies, and motivate the need for multivariate distributions that can appropriately model this data. We review multivariate distributions derived from the univariate Poisson, categorizing these models into three main classes: 1) where the marginal distributions are Poisson, 2) where the joint distribution is a mixture of independent multivariate Poisson distributions, and 3) where the node-conditional distributions are derived from the Poisson. We discuss the development of multiple instances of these classes and compare the models in terms of interpretability and theory. Then, we empirically compare multiple models from each class on three real-world datasets that have varying data characteristics from different domains, namely traffic accident data, biological next generation sequencing data, and text data. These empirical experiments develop intuition about the comparative advantages and disadvantages of each class of multivariate distribution that was derived from the Poisson. Finally, we suggest new research directions as explored in the subsequent discussion section. PMID:28983398

Quantifying the impact of between-study heterogeneity in multivariate meta-analyses

PubMed Central

Jackson, Dan; White, Ian R; Riley, Richard D

2012-01-01

Measures that quantify the impact of heterogeneity in univariate meta-analysis, including the very popular I2 statistic, are now well established. Multivariate meta-analysis, where studies provide multiple outcomes that are pooled in a single analysis, is also becoming more commonly used. The question of how to quantify heterogeneity in the multivariate setting is therefore raised. It is the univariate R2 statistic, the ratio of the variance of the estimated treatment effect under the random and fixed effects models, that generalises most naturally, so this statistic provides our basis. This statistic is then used to derive a multivariate analogue of I2, which we call . We also provide a multivariate H2 statistic, the ratio of a generalisation of Cochran's heterogeneity statistic and its associated degrees of freedom, with an accompanying generalisation of the usual I2 statistic, . Our proposed heterogeneity statistics can be used alongside all the usual estimates and inferential procedures used in multivariate meta-analysis. We apply our methods to some real datasets and show how our statistics are equally appropriate in the context of multivariate meta-regression, where study level covariate effects are included in the model. Our heterogeneity statistics may be used when applying any procedure for fitting the multivariate random effects model. Copyright © 2012 John Wiley & Sons, Ltd. PMID:22763950

Up-scaling of multi-variable flood loss models from objects to land use units at the meso-scale

NASA Astrophysics Data System (ADS)

Kreibich, Heidi; Schröter, Kai; Merz, Bruno

2016-05-01

Flood risk management increasingly relies on risk analyses, including loss modelling. Most of the flood loss models usually applied in standard practice have in common that complex damaging processes are described by simple approaches like stage-damage functions. Novel multi-variable models significantly improve loss estimation on the micro-scale and may also be advantageous for large-scale applications. However, more input parameters also reveal additional uncertainty, even more in upscaling procedures for meso-scale applications, where the parameters need to be estimated on a regional area-wide basis. To gain more knowledge about challenges associated with the up-scaling of multi-variable flood loss models the following approach is applied: Single- and multi-variable micro-scale flood loss models are up-scaled and applied on the meso-scale, namely on basis of ATKIS land-use units. Application and validation is undertaken in 19 municipalities, which were affected during the 2002 flood by the River Mulde in Saxony, Germany by comparison to official loss data provided by the Saxon Relief Bank (SAB).In the meso-scale case study based model validation, most multi-variable models show smaller errors than the uni-variable stage-damage functions. The results show the suitability of the up-scaling approach, and, in accordance with micro-scale validation studies, that multi-variable models are an improvement in flood loss modelling also on the meso-scale. However, uncertainties remain high, stressing the importance of uncertainty quantification. Thus, the development of probabilistic loss models, like BT-FLEMO used in this study, which inherently provide uncertainty information are the way forward.

An error bound for a discrete reduced order model of a linear multivariable system

NASA Technical Reports Server (NTRS)

Al-Saggaf, Ubaid M.; Franklin, Gene F.

1987-01-01

The design of feasible controllers for high dimension multivariable systems can be greatly aided by a method of model reduction. In order for the design based on the order reduction to include a guarantee of stability, it is sufficient to have a bound on the model error. Previous work has provided such a bound for continuous-time systems for algorithms based on balancing. In this note an L-infinity bound is derived for model error for a method of order reduction of discrete linear multivariable systems based on balancing.

Multivariate Radiological-Based Models for the Prediction of Future Knee Pain: Data from the OAI

PubMed Central

Galván-Tejada, Jorge I.; Celaya-Padilla, José M.; Treviño, Victor; Tamez-Peña, José G.

2015-01-01

In this work, the potential of X-ray based multivariate prognostic models to predict the onset of chronic knee pain is presented. Using X-rays quantitative image assessments of joint-space-width (JSW) and paired semiquantitative central X-ray scores from the Osteoarthritis Initiative (OAI), a case-control study is presented. The pain assessments of the right knee at the baseline and the 60-month visits were used to screen for case/control subjects. Scores were analyzed at the time of pain incidence (T-0), the year prior incidence (T-1), and two years before pain incidence (T-2). Multivariate models were created by a cross validated elastic-net regularized generalized linear models feature selection tool. Univariate differences between cases and controls were reported by AUC, C-statistics, and ODDs ratios. Univariate analysis indicated that the medial osteophytes were significantly more prevalent in cases than controls: C-stat 0.62, 0.62, and 0.61, at T-0, T-1, and T-2, respectively. The multivariate JSW models significantly predicted pain: AUC = 0.695, 0.623, and 0.620, at T-0, T-1, and T-2, respectively. Semiquantitative multivariate models predicted paint with C-stat = 0.671, 0.648, and 0.645 at T-0, T-1, and T-2, respectively. Multivariate models derived from plain X-ray radiography assessments may be used to predict subjects that are at risk of developing knee pain. PMID:26504490

Preliminary Multi-Variable Parametric Cost Model for Space Telescopes

NASA Technical Reports Server (NTRS)

Stahl, H. Philip; Hendrichs, Todd

2010-01-01

This slide presentation reviews creating a preliminary multi-variable cost model for the contract costs of making a space telescope. There is discussion of the methodology for collecting the data, definition of the statistical analysis methodology, single variable model results, testing of historical models and an introduction of the multi variable models.

Multivariate Models for Normal and Binary Responses in Intervention Studies

ERIC Educational Resources Information Center

Pituch, Keenan A.; Whittaker, Tiffany A.; Chang, Wanchen

2016-01-01

Use of multivariate analysis (e.g., multivariate analysis of variance) is common when normally distributed outcomes are collected in intervention research. However, when mixed responses--a set of normal and binary outcomes--are collected, standard multivariate analyses are no longer suitable. While mixed responses are often obtained in…

Multivariate quantile mapping bias correction: an N-dimensional probability density function transform for climate model simulations of multiple variables

NASA Astrophysics Data System (ADS)

Cannon, Alex J.

2018-01-01

Most bias correction algorithms used in climatology, for example quantile mapping, are applied to univariate time series. They neglect the dependence between different variables. Those that are multivariate often correct only limited measures of joint dependence, such as Pearson or Spearman rank correlation. Here, an image processing technique designed to transfer colour information from one image to another—the N-dimensional probability density function transform—is adapted for use as a multivariate bias correction algorithm (MBCn) for climate model projections/predictions of multiple climate variables. MBCn is a multivariate generalization of quantile mapping that transfers all aspects of an observed continuous multivariate distribution to the corresponding multivariate distribution of variables from a climate model. When applied to climate model projections, changes in quantiles of each variable between the historical and projection period are also preserved. The MBCn algorithm is demonstrated on three case studies. First, the method is applied to an image processing example with characteristics that mimic a climate projection problem. Second, MBCn is used to correct a suite of 3-hourly surface meteorological variables from the Canadian Centre for Climate Modelling and Analysis Regional Climate Model (CanRCM4) across a North American domain. Components of the Canadian Forest Fire Weather Index (FWI) System, a complicated set of multivariate indices that characterizes the risk of wildfire, are then calculated and verified against observed values. Third, MBCn is used to correct biases in the spatial dependence structure of CanRCM4 precipitation fields. Results are compared against a univariate quantile mapping algorithm, which neglects the dependence between variables, and two multivariate bias correction algorithms, each of which corrects a different form of inter-variable correlation structure. MBCn outperforms these alternatives, often by a large margin, particularly for annual maxima of the FWI distribution and spatiotemporal autocorrelation of precipitation fields.

Partial Least Squares Calibration Modeling Towards the Multivariate Limit of Detection for Enriched Isotopic Mixtures via Laser Ablation Molecular Isotopic Spectroscopy

DOE Office of Scientific and Technical Information (OSTI.GOV)

Harris, Candace; Profeta, Luisa; Akpovo, Codjo

The psuedo univariate limit of detection was calculated to compare to the multivariate interval. ompared with results from the psuedounivariate LOD, the multivariate LOD includes other factors (i.e. signal uncertainties) and the reveals the significance in creating models that not only use the analyte’s emission line but also its entire molecular spectra.

Multiple imputation for handling missing outcome data when estimating the relative risk.

PubMed

Sullivan, Thomas R; Lee, Katherine J; Ryan, Philip; Salter, Amy B

2017-09-06

Multiple imputation is a popular approach to handling missing data in medical research, yet little is known about its applicability for estimating the relative risk. Standard methods for imputing incomplete binary outcomes involve logistic regression or an assumption of multivariate normality, whereas relative risks are typically estimated using log binomial models. It is unclear whether misspecification of the imputation model in this setting could lead to biased parameter estimates. Using simulated data, we evaluated the performance of multiple imputation for handling missing data prior to estimating adjusted relative risks from a correctly specified multivariable log binomial model. We considered an arbitrary pattern of missing data in both outcome and exposure variables, with missing data induced under missing at random mechanisms. Focusing on standard model-based methods of multiple imputation, missing data were imputed using multivariate normal imputation or fully conditional specification with a logistic imputation model for the outcome. Multivariate normal imputation performed poorly in the simulation study, consistently producing estimates of the relative risk that were biased towards the null. Despite outperforming multivariate normal imputation, fully conditional specification also produced somewhat biased estimates, with greater bias observed for higher outcome prevalences and larger relative risks. Deleting imputed outcomes from analysis datasets did not improve the performance of fully conditional specification. Both multivariate normal imputation and fully conditional specification produced biased estimates of the relative risk, presumably since both use a misspecified imputation model. Based on simulation results, we recommend researchers use fully conditional specification rather than multivariate normal imputation and retain imputed outcomes in the analysis when estimating relative risks. However fully conditional specification is not without its shortcomings, and so further research is needed to identify optimal approaches for relative risk estimation within the multiple imputation framework.

A simplified parsimonious higher order multivariate Markov chain model

NASA Astrophysics Data System (ADS)

Wang, Chao; Yang, Chuan-sheng

2017-09-01

In this paper, a simplified parsimonious higher-order multivariate Markov chain model (SPHOMMCM) is presented. Moreover, parameter estimation method of TPHOMMCM is give. Numerical experiments shows the effectiveness of TPHOMMCM.

Piecewise multivariate modelling of sequential metabolic profiling data.

PubMed

Rantalainen, Mattias; Cloarec, Olivier; Ebbels, Timothy M D; Lundstedt, Torbjörn; Nicholson, Jeremy K; Holmes, Elaine; Trygg, Johan

2008-02-19

Modelling the time-related behaviour of biological systems is essential for understanding their dynamic responses to perturbations. In metabolic profiling studies, the sampling rate and number of sampling points are often restricted due to experimental and biological constraints. A supervised multivariate modelling approach with the objective to model the time-related variation in the data for short and sparsely sampled time-series is described. A set of piecewise Orthogonal Projections to Latent Structures (OPLS) models are estimated, describing changes between successive time points. The individual OPLS models are linear, but the piecewise combination of several models accommodates modelling and prediction of changes which are non-linear with respect to the time course. We demonstrate the method on both simulated and metabolic profiling data, illustrating how time related changes are successfully modelled and predicted. The proposed method is effective for modelling and prediction of short and multivariate time series data. A key advantage of the method is model transparency, allowing easy interpretation of time-related variation in the data. The method provides a competitive complement to commonly applied multivariate methods such as OPLS and Principal Component Analysis (PCA) for modelling and analysis of short time-series data.

A tridiagonal parsimonious higher order multivariate Markov chain model

NASA Astrophysics Data System (ADS)

Wang, Chao; Yang, Chuan-sheng

2017-09-01

In this paper, we present a tridiagonal parsimonious higher-order multivariate Markov chain model (TPHOMMCM). Moreover, estimation method of the parameters in TPHOMMCM is give. Numerical experiments illustrate the effectiveness of TPHOMMCM.

MULTIVARIATE LINEAR MIXED MODELS FOR MULTIPLE OUTCOMES. (R824757)

EPA Science Inventory

We propose a multivariate linear mixed (MLMM) for the analysis of multiple outcomes, which generalizes the latent variable model of Sammel and Ryan. The proposed model assumes a flexible correlation structure among the multiple outcomes, and allows a global test of the impact of ...

Electricity Consumption in the Industrial Sector of Jordan: Application of Multivariate Linear Regression and Adaptive Neuro-Fuzzy Techniques

NASA Astrophysics Data System (ADS)

Samhouri, M.; Al-Ghandoor, A.; Fouad, R. H.

2009-08-01

In this study two techniques, for modeling electricity consumption of the Jordanian industrial sector, are presented: (i) multivariate linear regression and (ii) neuro-fuzzy models. Electricity consumption is modeled as function of different variables such as number of establishments, number of employees, electricity tariff, prevailing fuel prices, production outputs, capacity utilizations, and structural effects. It was found that industrial production and capacity utilization are the most important variables that have significant effect on future electrical power demand. The results showed that both the multivariate linear regression and neuro-fuzzy models are generally comparable and can be used adequately to simulate industrial electricity consumption. However, comparison that is based on the square root average squared error of data suggests that the neuro-fuzzy model performs slightly better for future prediction of electricity consumption than the multivariate linear regression model. Such results are in full agreement with similar work, using different methods, for other countries.

Measurement of stray EC radiation on W7-AS

NASA Astrophysics Data System (ADS)

Gandini, F.; Hirsch, M.; Cirant, S.; Erckmann, V.; Granucci, G.; Kasparek, W.; Laqua, H. P.; Muzzini, V.; Nowak, S.; Radau, S.

2001-10-01

In the framework of a collaboration between IFP-CNR Milano, IPP Garching/Greifswald and IPF Stuttgart, a set of four millimeterwave probes has been installed in W7-AS stellarator at selected positions of the inner vessel wall. Their purpose is to observe RF stray radiation during operation in presence of strong level of Electron Cyclotron (EC) waves, used for plasma start-up, heating and current drive. The aim of these measurements is to benchmark two complementary theoretical models for the distribution of the stray radiation in the vessel. From these codes, quantitative predictions are expected for the spatial distribution of the RF wall load and the RF-impact on in-vessel components in large future devices such as W7-X and, possibly, ITER. This input is important to optimize the wall armour and select rf-compatible in-vessel materials. We present first measurements from different heating and startup scenarios, with up to 800 kW of injected power at 140 GHz and different launching geometries. An analysis of measurements performed on FTU using a previous version of sniffer probe is also presented.

In-Situ Neutron Diffraction Studies of Micromechanical Behavior in a Friction Stir Welded AA7475-T761

NASA Astrophysics Data System (ADS)

Liu, X. P.; Lin Peng, R.; Hofmann, M.; Johansson, S.; Wang, Y. D.

2011-01-01

An in-situ neutron diffraction technique was used to investigate the lattice strain distributions and micromechanical behavior in a friction stir welded (FSW) sheet of AA7475-T761. The neutron diffraction experiments were performed on the spectrometer for material research, STRESS-SPEC, at FRM II (Garching, Germany). The lattice strain profiles around the weld center were measured as a function of the applied strain during the tensile loading and unloading. The anisotropic elastic and plastic properties of the FSW aluminum alloy were simulated by elasto-plastic self-consistent (EPSC) model to predict the anisotropic deformation behaviors involving the grain-to-grain interactions. Material parameters used for describing the constitutive laws of each test position were determined from the measured lattice strain distributions for different diffraction hkl planes as well as the macroscopic stress-strain curve of the FSW aluminum alloy. A good agreement between experimental results and numerical simulations was obtained. The present investigations provided a reliable prediction of the anisotropic micromechanical behavior of the FSW aluminum alloy during tensile deformation.

Orthopedic Management of Scoliosis by Garches Brace and Spinal Fusion in SMA Type 2 Children.

PubMed

Catteruccia, Michela; Vuillerot, Carole; Vaugier, Isabelle; Leclair, Danielle; Azzi, Viviane; Viollet, Louis; Estournet, Brigitte; Bertini, Enrico; Quijano-Roy, Susana

2015-11-21

Scoliosis is the most debilitating issue in SMA type 2 patients. No evidence confirms the efficacy of Garches braces (GB) to delay definitive spinal fusion. Compare orthopedic and pulmonary outcomes in children with SMA type 2 function to management. We carried out a monocentric retrospective study on 29 SMA type 2 children who had spinal fusion between 1999 and 2009. Patients were divided in 3 groups: group 1-French patients (12 children) with a preventive use of GB; group 2-French patients (10 children) with use of GB after the beginning of the scoliosis curve; and group 3-Italian patients (7 children) with use of GB after the beginning of the scoliosis curve referred to our centre to perform orthopedic preoperative management. Mean preoperative and postoperative Cobb angle were significantly lower in the group 1 of proactively braced than in group 2 or 3 (Anova p = 0.03; Kruskal Wallis test p = 0.05). Better surgical results were observed in patients with a minor preoperative Cobb angle (r = 0.92 p <  0.0001). Fewer patients in the group 1 proactively braced required trunk casts and/or halo traction and an additional anterior fusion in comparison with patients in the group 2 and 3. Moreover, major complications tend to be less in the group 1 proactively braced. No significant differences were found between groups in pulmonary outcome measures. A proactive orthotic management may improve orthopedic outcome in SMA type 2. Further prospective studies comparing SMA management are needed to confirm these results. Therapeutic Level III. See Instructions to Authors on jbjs.org for a complete description of levels of evidence (Retrospective comparative study).

Comparing Within-Person Effects from Multivariate Longitudinal Models

ERIC Educational Resources Information Center

Bainter, Sierra A.; Howard, Andrea L.

2016-01-01

Several multivariate models are motivated to answer similar developmental questions regarding within-person (intraindividual) effects between 2 or more constructs over time, yet the within-person effects tested by each model are distinct. In this article, the authors clarify the types of within-person inferences that can be made from each model.…

Applying the multivariate time-rescaling theorem to neural population models

PubMed Central

Gerhard, Felipe; Haslinger, Robert; Pipa, Gordon

2011-01-01

Statistical models of neural activity are integral to modern neuroscience. Recently, interest has grown in modeling the spiking activity of populations of simultaneously recorded neurons to study the effects of correlations and functional connectivity on neural information processing. However any statistical model must be validated by an appropriate goodness-of-fit test. Kolmogorov-Smirnov tests based upon the time-rescaling theorem have proven to be useful for evaluating point-process-based statistical models of single-neuron spike trains. Here we discuss the extension of the time-rescaling theorem to the multivariate (neural population) case. We show that even in the presence of strong correlations between spike trains, models which neglect couplings between neurons can be erroneously passed by the univariate time-rescaling test. We present the multivariate version of the time-rescaling theorem, and provide a practical step-by-step procedure for applying it towards testing the sufficiency of neural population models. Using several simple analytically tractable models and also more complex simulated and real data sets, we demonstrate that important features of the population activity can only be detected using the multivariate extension of the test. PMID:21395436

Remote-sensing data processing with the multivariate regression analysis method for iron mineral resource potential mapping: a case study in the Sarvian area, central Iran

NASA Astrophysics Data System (ADS)

Mansouri, Edris; Feizi, Faranak; Jafari Rad, Alireza; Arian, Mehran

2018-03-01

This paper uses multivariate regression to create a mathematical model for iron skarn exploration in the Sarvian area, central Iran, using multivariate regression for mineral prospectivity mapping (MPM). The main target of this paper is to apply multivariate regression analysis (as an MPM method) to map iron outcrops in the northeastern part of the study area in order to discover new iron deposits in other parts of the study area. Two types of multivariate regression models using two linear equations were employed to discover new mineral deposits. This method is one of the reliable methods for processing satellite images. ASTER satellite images (14 bands) were used as unique independent variables (UIVs), and iron outcrops were mapped as dependent variables for MPM. According to the results of the probability value (p value), coefficient of determination value (R2) and adjusted determination coefficient (Radj2), the second regression model (which consistent of multiple UIVs) fitted better than other models. The accuracy of the model was confirmed by iron outcrops map and geological observation. Based on field observation, iron mineralization occurs at the contact of limestone and intrusive rocks (skarn type).

Meta-Analytic Structural Equation Modeling (MASEM): Comparison of the Multivariate Methods

ERIC Educational Resources Information Center

Zhang, Ying

2011-01-01

Meta-analytic Structural Equation Modeling (MASEM) has drawn interest from many researchers recently. In doing MASEM, researchers usually first synthesize correlation matrices across studies using meta-analysis techniques and then analyze the pooled correlation matrix using structural equation modeling techniques. Several multivariate methods of…

MULTIVARIATE RECEPTOR MODELS-CURRENT PRACTICE AND FUTURE TRENDS. (R826238)

EPA Science Inventory

Multivariate receptor models have been applied to the analysis of air quality data for sometime. However, solving the general mixture problem is important in several other fields. This paper looks at the panoply of these models with a view of identifying common challenges and ...

The lead-lag relationship between stock index and stock index futures: A thermal optimal path method

NASA Astrophysics Data System (ADS)

Gong, Chen-Chen; Ji, Shen-Dan; Su, Li-Ling; Li, Sai-Ping; Ren, Fei

2016-02-01

The study of lead-lag relationship between stock index and stock index futures is of great importance for its wide application in hedging and portfolio investments. Previous works mainly use conventional methods like Granger causality test, GARCH model and error correction model, and focus on the causality relation between the index and futures in a certain period. By using a non-parametric approach-thermal optimal path (TOP) method, we study the lead-lag relationship between China Securities Index 300 (CSI 300), Hang Seng Index (HSI), Standard and Poor 500 (S&P 500) Index and their associated futures to reveal the variance of their relationship over time. Our finding shows evidence of pronounced futures leadership for well established index futures, namely HSI and S&P 500 index futures, while index of developing market like CSI 300 has pronounced leadership. We offer an explanation based on the measure of an indicator which quantifies the differences between spot and futures prices for the surge of lead-lag function. Our results provide new perspectives for the understanding of the dynamical evolution of lead-lag relationship between stock index and stock index futures, which is valuable for the study of market efficiency and its applications.

Regression Models For Multivariate Count Data

PubMed Central

Zhang, Yiwen; Zhou, Hua; Zhou, Jin; Sun, Wei

2016-01-01

Data with multivariate count responses frequently occur in modern applications. The commonly used multinomial-logit model is limiting due to its restrictive mean-variance structure. For instance, analyzing count data from the recent RNA-seq technology by the multinomial-logit model leads to serious errors in hypothesis testing. The ubiquity of over-dispersion and complicated correlation structures among multivariate counts calls for more flexible regression models. In this article, we study some generalized linear models that incorporate various correlation structures among the counts. Current literature lacks a treatment of these models, partly due to the fact that they do not belong to the natural exponential family. We study the estimation, testing, and variable selection for these models in a unifying framework. The regression models are compared on both synthetic and real RNA-seq data. PMID:28348500

Regression Models For Multivariate Count Data.

PubMed

Zhang, Yiwen; Zhou, Hua; Zhou, Jin; Sun, Wei

2017-01-01

Data with multivariate count responses frequently occur in modern applications. The commonly used multinomial-logit model is limiting due to its restrictive mean-variance structure. For instance, analyzing count data from the recent RNA-seq technology by the multinomial-logit model leads to serious errors in hypothesis testing. The ubiquity of over-dispersion and complicated correlation structures among multivariate counts calls for more flexible regression models. In this article, we study some generalized linear models that incorporate various correlation structures among the counts. Current literature lacks a treatment of these models, partly due to the fact that they do not belong to the natural exponential family. We study the estimation, testing, and variable selection for these models in a unifying framework. The regression models are compared on both synthetic and real RNA-seq data.

A "Model" Multivariable Calculus Course.

ERIC Educational Resources Information Center

Beckmann, Charlene E.; Schlicker, Steven J.

1999-01-01

Describes a rich, investigative approach to multivariable calculus. Introduces a project in which students construct physical models of surfaces that represent real-life applications of their choice. The models, along with student-selected datasets, serve as vehicles to study most of the concepts of the course from both continuous and discrete…

Bayesian Estimation of Multivariate Latent Regression Models: Gauss versus Laplace

ERIC Educational Resources Information Center

Culpepper, Steven Andrew; Park, Trevor

2017-01-01

A latent multivariate regression model is developed that employs a generalized asymmetric Laplace (GAL) prior distribution for regression coefficients. The model is designed for high-dimensional applications where an approximate sparsity condition is satisfied, such that many regression coefficients are near zero after accounting for all the model…

A Sandwich-Type Standard Error Estimator of SEM Models with Multivariate Time Series

ERIC Educational Resources Information Center

Zhang, Guangjian; Chow, Sy-Miin; Ong, Anthony D.

2011-01-01

Structural equation models are increasingly used as a modeling tool for multivariate time series data in the social and behavioral sciences. Standard error estimators of SEM models, originally developed for independent data, require modifications to accommodate the fact that time series data are inherently dependent. In this article, we extend a…

Multivariate Autoregressive Modeling and Granger Causality Analysis of Multiple Spike Trains

PubMed Central

Krumin, Michael; Shoham, Shy

2010-01-01

Recent years have seen the emergence of microelectrode arrays and optical methods allowing simultaneous recording of spiking activity from populations of neurons in various parts of the nervous system. The analysis of multiple neural spike train data could benefit significantly from existing methods for multivariate time-series analysis which have proven to be very powerful in the modeling and analysis of continuous neural signals like EEG signals. However, those methods have not generally been well adapted to point processes. Here, we use our recent results on correlation distortions in multivariate Linear-Nonlinear-Poisson spiking neuron models to derive generalized Yule-Walker-type equations for fitting ‘‘hidden” Multivariate Autoregressive models. We use this new framework to perform Granger causality analysis in order to extract the directed information flow pattern in networks of simulated spiking neurons. We discuss the relative merits and limitations of the new method. PMID:20454705

A joint modeling and estimation method for multivariate longitudinal data with mixed types of responses to analyze physical activity data generated by accelerometers.

PubMed

Li, Haocheng; Zhang, Yukun; Carroll, Raymond J; Keadle, Sarah Kozey; Sampson, Joshua N; Matthews, Charles E

2017-11-10

A mixed effect model is proposed to jointly analyze multivariate longitudinal data with continuous, proportion, count, and binary responses. The association of the variables is modeled through the correlation of random effects. We use a quasi-likelihood type approximation for nonlinear variables and transform the proposed model into a multivariate linear mixed model framework for estimation and inference. Via an extension to the EM approach, an efficient algorithm is developed to fit the model. The method is applied to physical activity data, which uses a wearable accelerometer device to measure daily movement and energy expenditure information. Our approach is also evaluated by a simulation study. Copyright © 2017 John Wiley & Sons, Ltd.

Load compensation in a lean burn natural gas vehicle

NASA Astrophysics Data System (ADS)

Gangopadhyay, Anupam

A new multivariable PI tuning technique is developed in this research that is primarily developed for regulation purposes. Design guidelines are developed based on closed-loop stability. The new multivariable design is applied in a natural gas vehicle to combine idle and A/F ratio control loops. This results in better recovery during low idle operation of a vehicle under external step torques. A powertrain model of a natural gas engine is developed and validated for steady-state and transient operation. The nonlinear model has three states: engine speed, intake manifold pressure and fuel fraction in the intake manifold. The model includes the effect of fuel partial pressure in the intake manifold filling and emptying dynamics. Due to the inclusion of fuel fraction as a state, fuel flow rate into the cylinders is also accurately modeled. A linear system identification is performed on the nonlinear model. The linear model structure is predicted analytically from the nonlinear model and the coefficients of the predicted transfer function are shown to be functions of key physical parameters in the plant. Simulations of linear system and model parameter identification is shown to converge to the predicted values of the model coefficients. The multivariable controller developed in this research could be designed in an algebraic fashion once the plant model is known. It is thus possible to implement the multivariable PI design in an adaptive fashion combining the controller with identified plant model on-line. This will result in a self-tuning regulator (STR) type controller where the underlying design criteria is the multivariable tuning technique designed in this research.

Practical robustness measures in multivariable control system analysis. Ph.D. Thesis

NASA Technical Reports Server (NTRS)

Lehtomaki, N. A.

1981-01-01

The robustness of the stability of multivariable linear time invariant feedback control systems with respect to model uncertainty is considered using frequency domain criteria. Available robustness tests are unified under a common framework based on the nature and structure of model errors. These results are derived using a multivariable version of Nyquist's stability theorem in which the minimum singular value of the return difference transfer matrix is shown to be the multivariable generalization of the distance to the critical point on a single input, single output Nyquist diagram. Using the return difference transfer matrix, a very general robustness theorem is presented from which all of the robustness tests dealing with specific model errors may be derived. The robustness tests that explicitly utilized model error structure are able to guarantee feedback system stability in the face of model errors of larger magnitude than those robustness tests that do not. The robustness of linear quadratic Gaussian control systems are analyzed.

A matrix-based method of moments for fitting the multivariate random effects model for meta-analysis and meta-regression

PubMed Central

Jackson, Dan; White, Ian R; Riley, Richard D

2013-01-01

Multivariate meta-analysis is becoming more commonly used. Methods for fitting the multivariate random effects model include maximum likelihood, restricted maximum likelihood, Bayesian estimation and multivariate generalisations of the standard univariate method of moments. Here, we provide a new multivariate method of moments for estimating the between-study covariance matrix with the properties that (1) it allows for either complete or incomplete outcomes and (2) it allows for covariates through meta-regression. Further, for complete data, it is invariant to linear transformations. Our method reduces to the usual univariate method of moments, proposed by DerSimonian and Laird, in a single dimension. We illustrate our method and compare it with some of the alternatives using a simulation study and a real example. PMID:23401213

Multivariate Phylogenetic Comparative Methods: Evaluations, Comparisons, and Recommendations.

PubMed

Adams, Dean C; Collyer, Michael L

2018-01-01

Recent years have seen increased interest in phylogenetic comparative analyses of multivariate data sets, but to date the varied proposed approaches have not been extensively examined. Here we review the mathematical properties required of any multivariate method, and specifically evaluate existing multivariate phylogenetic comparative methods in this context. Phylogenetic comparative methods based on the full multivariate likelihood are robust to levels of covariation among trait dimensions and are insensitive to the orientation of the data set, but display increasing model misspecification as the number of trait dimensions increases. This is because the expected evolutionary covariance matrix (V) used in the likelihood calculations becomes more ill-conditioned as trait dimensionality increases, and as evolutionary models become more complex. Thus, these approaches are only appropriate for data sets with few traits and many species. Methods that summarize patterns across trait dimensions treated separately (e.g., SURFACE) incorrectly assume independence among trait dimensions, resulting in nearly a 100% model misspecification rate. Methods using pairwise composite likelihood are highly sensitive to levels of trait covariation, the orientation of the data set, and the number of trait dimensions. The consequences of these debilitating deficiencies are that a user can arrive at differing statistical conclusions, and therefore biological inferences, simply from a dataspace rotation, like principal component analysis. By contrast, algebraic generalizations of the standard phylogenetic comparative toolkit that use the trace of covariance matrices are insensitive to levels of trait covariation, the number of trait dimensions, and the orientation of the data set. Further, when appropriate permutation tests are used, these approaches display acceptable Type I error and statistical power. We conclude that methods summarizing information across trait dimensions, as well as pairwise composite likelihood methods should be avoided, whereas algebraic generalizations of the phylogenetic comparative toolkit provide a useful means of assessing macroevolutionary patterns in multivariate data. Finally, we discuss areas in which multivariate phylogenetic comparative methods are still in need of future development; namely highly multivariate Ornstein-Uhlenbeck models and approaches for multivariate evolutionary model comparisons. © The Author(s) 2017. Published by Oxford University Press on behalf of the Systematic Biology. All rights reserved. For Permissions, please email: journals.permissions@oup.com.

A Journey Through the Universe at the Deutsches Museum

NASA Astrophysics Data System (ADS)

Wankerl, B.

2010-12-01

Five research institutions in Munich and Garching bei München joined forces in the International Year of Astronomy 2009 to realise a unique exhibition project at the Deutsches Museum. The exhibition is called Evolution of the Universe and invites visitors to take a tour through time, beginning 13.7 billion years ago with the Big Bang and finishing with a glimpse into the future of the Universe. En route visitors learn how space, time, matter and the large structures in space have formed. The exhibition combines findings from astronomy, astrophysics, nuclear and particle physics in order to present the history of cosmos from different perspectives.

Ultraviolet, Optical and near-infrared photometric follow up of the transient source Fermi J1654-1055 with GROND and Swift-UVOT

NASA Astrophysics Data System (ADS)

Kaur, A.; Bolmer, J.; Greiner, J.; Rau, A.; Schady, P.; Ajello, M.; Hartmann, D. H.

2016-02-01

Ultraviolet, Optical and near-infrared photometric follow up of the transient source Fermi J1654-1055 with GROND and Swift-UVOT A. Kaur (Clemson University), J. Bolmer, J. Greiner, A. Rau, P. Schady (all MPE, Garching), M. Ajello, D. H. Hartmann (Clemson University) We report the ultraviolet, optical and near IR photometric observations of the new gamma-ray source Fermi J1654-1055/PMN J1632-1052 (RA = 248.20900 deg and Dec = -10.87578 deg) detected by Fermi during the week of February 08 and 15, 2016 (see ATel #8721).

Describing the Elephant: Structure and Function in Multivariate Data.

ERIC Educational Resources Information Center

McDonald, Roderick P.

1986-01-01

There is a unity underlying the diversity of models for the analysis of multivariate data. Essentially, they constitute a family of models, most generally nonlinear, for structural/functional relations between variables drawn from a behavior domain. (Author)

Clinical risk assessment of patients with chronic kidney disease by using clinical data and multivariate models.

PubMed

Chen, Zewei; Zhang, Xin; Zhang, Zhuoyong

2016-12-01

Timely risk assessment of chronic kidney disease (CKD) and proper community-based CKD monitoring are important to prevent patients with potential risk from further kidney injuries. As many symptoms are associated with the progressive development of CKD, evaluating risk of CKD through a set of clinical data of symptoms coupled with multivariate models can be considered as an available method for prevention of CKD and would be useful for community-based CKD monitoring. Three common used multivariate models, i.e., K-nearest neighbor (KNN), support vector machine (SVM), and soft independent modeling of class analogy (SIMCA), were used to evaluate risk of 386 patients based on a series of clinical data taken from UCI machine learning repository. Different types of composite data, in which proportional disturbances were added to simulate measurement deviations caused by environment and instrument noises, were also utilized to evaluate the feasibility and robustness of these models in risk assessment of CKD. For the original data set, three mentioned multivariate models can differentiate patients with CKD and non-CKD with the overall accuracies over 93 %. KNN and SVM have better performances than SIMCA has in this study. For the composite data set, SVM model has the best ability to tolerate noise disturbance and thus are more robust than the other two models. Using clinical data set on symptoms coupled with multivariate models has been proved to be feasible approach for assessment of patient with potential CKD risk. SVM model can be used as useful and robust tool in this study.

Cole-Cole, linear and multivariate modeling of capacitance data for on-line monitoring of biomass.

PubMed

Dabros, Michal; Dennewald, Danielle; Currie, David J; Lee, Mark H; Todd, Robert W; Marison, Ian W; von Stockar, Urs

2009-02-01

This work evaluates three techniques of calibrating capacitance (dielectric) spectrometers used for on-line monitoring of biomass: modeling of cell properties using the theoretical Cole-Cole equation, linear regression of dual-frequency capacitance measurements on biomass concentration, and multivariate (PLS) modeling of scanning dielectric spectra. The performance and robustness of each technique is assessed during a sequence of validation batches in two experimental settings of differing signal noise. In more noisy conditions, the Cole-Cole model had significantly higher biomass concentration prediction errors than the linear and multivariate models. The PLS model was the most robust in handling signal noise. In less noisy conditions, the three models performed similarly. Estimates of the mean cell size were done additionally using the Cole-Cole and PLS models, the latter technique giving more satisfactory results.

Multivariate regression model for predicting lumber grade volumes of northern red oak sawlogs

Treesearch

Daniel A. Yaussy; Robert L. Brisbin

1983-01-01

A multivariate regression model was developed to predict green board-foot yields for the seven common factory lumber grades processed from northern red oak (Quercus rubra L.) factory grade logs. The model uses the standard log measurements of grade, scaling diameter, length, and percent defect. It was validated with an independent data set. The model...

A Hierarchical Multivariate Bayesian Approach to Ensemble Model output Statistics in Atmospheric Prediction

DTIC Science & Technology

2017-09-01

efficacy of statistical post-processing methods downstream of these dynamical model components with a hierarchical multivariate Bayesian approach to...Bayesian hierarchical modeling, Markov chain Monte Carlo methods , Metropolis algorithm, machine learning, atmospheric prediction 15. NUMBER OF PAGES...scale processes. However, this dissertation explores the efficacy of statistical post-processing methods downstream of these dynamical model components

Predictive and mechanistic multivariate linear regression models for reaction development

PubMed Central

Santiago, Celine B.; Guo, Jing-Yao

2018-01-01

Multivariate Linear Regression (MLR) models utilizing computationally-derived and empirically-derived physical organic molecular descriptors are described in this review. Several reports demonstrating the effectiveness of this methodological approach towards reaction optimization and mechanistic interrogation are discussed. A detailed protocol to access quantitative and predictive MLR models is provided as a guide for model development and parameter analysis. PMID:29719711

Linear regression analysis and its application to multivariate chromatographic calibration for the quantitative analysis of two-component mixtures.

PubMed

Dinç, Erdal; Ozdemir, Abdil

2005-01-01

Multivariate chromatographic calibration technique was developed for the quantitative analysis of binary mixtures enalapril maleate (EA) and hydrochlorothiazide (HCT) in tablets in the presence of losartan potassium (LST). The mathematical algorithm of multivariate chromatographic calibration technique is based on the use of the linear regression equations constructed using relationship between concentration and peak area at the five-wavelength set. The algorithm of this mathematical calibration model having a simple mathematical content was briefly described. This approach is a powerful mathematical tool for an optimum chromatographic multivariate calibration and elimination of fluctuations coming from instrumental and experimental conditions. This multivariate chromatographic calibration contains reduction of multivariate linear regression functions to univariate data set. The validation of model was carried out by analyzing various synthetic binary mixtures and using the standard addition technique. Developed calibration technique was applied to the analysis of the real pharmaceutical tablets containing EA and HCT. The obtained results were compared with those obtained by classical HPLC method. It was observed that the proposed multivariate chromatographic calibration gives better results than classical HPLC.

Power of Models in Longitudinal Study: Findings from a Full-Crossed Simulation Design

ERIC Educational Resources Information Center

Fang, Hua; Brooks, Gordon P.; Rizzo, Maria L.; Espy, Kimberly Andrews; Barcikowski, Robert S.

2009-01-01

Because the power properties of traditional repeated measures and hierarchical multivariate linear models have not been clearly determined in the balanced design for longitudinal studies in the literature, the authors present a power comparison study of traditional repeated measures and hierarchical multivariate linear models under 3…

Species distribution modelling for plant communities: Stacked single species or multivariate modelling approaches?

Treesearch

Emilie B. Henderson; Janet L. Ohmann; Matthew J. Gregory; Heather M. Roberts; Harold S.J. Zald

2014-01-01

Landscape management and conservation planning require maps of vegetation composition and structure over large regions. Species distribution models (SDMs) are often used for individual species, but projects mapping multiple species are rarer. We compare maps of plant community composition assembled by stacking results from many SDMs with multivariate maps constructed...

IRT-ZIP Modeling for Multivariate Zero-Inflated Count Data

ERIC Educational Resources Information Center

Wang, Lijuan

2010-01-01

This study introduces an item response theory-zero-inflated Poisson (IRT-ZIP) model to investigate psychometric properties of multiple items and predict individuals' latent trait scores for multivariate zero-inflated count data. In the model, two link functions are used to capture two processes of the zero-inflated count data. Item parameters are…

A flexible model for multivariate interval-censored survival times with complex correlation structure.

PubMed

Falcaro, Milena; Pickles, Andrew

2007-02-10

We focus on the analysis of multivariate survival times with highly structured interdependency and subject to interval censoring. Such data are common in developmental genetics and genetic epidemiology. We propose a flexible mixed probit model that deals naturally with complex but uninformative censoring. The recorded ages of onset are treated as possibly censored ordinal outcomes with the interval censoring mechanism seen as arising from a coarsened measurement of a continuous variable observed as falling between subject-specific thresholds. This bypasses the requirement for the failure times to be observed as falling into non-overlapping intervals. The assumption of a normal age-of-onset distribution of the standard probit model is relaxed by embedding within it a multivariate Box-Cox transformation whose parameters are jointly estimated with the other parameters of the model. Complex decompositions of the underlying multivariate normal covariance matrix of the transformed ages of onset become possible. The new methodology is here applied to a multivariate study of the ages of first use of tobacco and first consumption of alcohol without parental permission in twins. The proposed model allows estimation of the genetic and environmental effects that are shared by both of these risk behaviours as well as those that are specific. 2006 John Wiley & Sons, Ltd.

Can multivariate models based on MOAKS predict OA knee pain? Data from the Osteoarthritis Initiative

NASA Astrophysics Data System (ADS)

Luna-Gómez, Carlos D.; Zanella-Calzada, Laura A.; Galván-Tejada, Jorge I.; Galván-Tejada, Carlos E.; Celaya-Padilla, José M.

2017-03-01

Osteoarthritis is the most common rheumatic disease in the world. Knee pain is the most disabling symptom in the disease, the prediction of pain is one of the targets in preventive medicine, this can be applied to new therapies or treatments. Using the magnetic resonance imaging and the grading scales, a multivariate model based on genetic algorithms is presented. Using a predictive model can be useful to associate minor structure changes in the joint with the future knee pain. Results suggest that multivariate models can be predictive with future knee chronic pain. All models; T0, T1 and T2, were statistically significant, all p values were < 0.05 and all AUC > 0.60.

Multivariate-$t$ nonlinear mixed models with application to censored multi-outcome AIDS studies.

PubMed

Lin, Tsung-I; Wang, Wan-Lun

2017-10-01

In multivariate longitudinal HIV/AIDS studies, multi-outcome repeated measures on each patient over time may contain outliers, and the viral loads are often subject to a upper or lower limit of detection depending on the quantification assays. In this article, we consider an extension of the multivariate nonlinear mixed-effects model by adopting a joint multivariate-$t$ distribution for random effects and within-subject errors and taking the censoring information of multiple responses into account. The proposed model is called the multivariate-$t$ nonlinear mixed-effects model with censored responses (MtNLMMC), allowing for analyzing multi-outcome longitudinal data exhibiting nonlinear growth patterns with censorship and fat-tailed behavior. Utilizing the Taylor-series linearization method, a pseudo-data version of expectation conditional maximization either (ECME) algorithm is developed for iteratively carrying out maximum likelihood estimation. We illustrate our techniques with two data examples from HIV/AIDS studies. Experimental results signify that the MtNLMMC performs favorably compared to its Gaussian analogue and some existing approaches. © The Author 2017. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

Multivariate analysis of longitudinal rates of change.

PubMed

Bryan, Matthew; Heagerty, Patrick J

2016-12-10

Longitudinal data allow direct comparison of the change in patient outcomes associated with treatment or exposure. Frequently, several longitudinal measures are collected that either reflect a common underlying health status, or characterize processes that are influenced in a similar way by covariates such as exposure or demographic characteristics. Statistical methods that can combine multivariate response variables into common measures of covariate effects have been proposed in the literature. Current methods for characterizing the relationship between covariates and the rate of change in multivariate outcomes are limited to select models. For example, 'accelerated time' methods have been developed which assume that covariates rescale time in longitudinal models for disease progression. In this manuscript, we detail an alternative multivariate model formulation that directly structures longitudinal rates of change and that permits a common covariate effect across multiple outcomes. We detail maximum likelihood estimation for a multivariate longitudinal mixed model. We show via asymptotic calculations the potential gain in power that may be achieved with a common analysis of multiple outcomes. We apply the proposed methods to the analysis of a trivariate outcome for infant growth and compare rates of change for HIV infected and uninfected infants. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

Voxelwise multivariate analysis of multimodality magnetic resonance imaging

PubMed Central

Naylor, Melissa G.; Cardenas, Valerie A.; Tosun, Duygu; Schuff, Norbert; Weiner, Michael; Schwartzman, Armin

2015-01-01

Most brain magnetic resonance imaging (MRI) studies concentrate on a single MRI contrast or modality, frequently structural MRI. By performing an integrated analysis of several modalities, such as structural, perfusion-weighted, and diffusion-weighted MRI, new insights may be attained to better understand the underlying processes of brain diseases. We compare two voxelwise approaches: (1) fitting multiple univariate models, one for each outcome and then adjusting for multiple comparisons among the outcomes and (2) fitting a multivariate model. In both cases, adjustment for multiple comparisons is performed over all voxels jointly to account for the search over the brain. The multivariate model is able to account for the multiple comparisons over outcomes without assuming independence because the covariance structure between modalities is estimated. Simulations show that the multivariate approach is more powerful when the outcomes are correlated and, even when the outcomes are independent, the multivariate approach is just as powerful or more powerful when at least two outcomes are dependent on predictors in the model. However, multiple univariate regressions with Bonferroni correction remains a desirable alternative in some circumstances. To illustrate the power of each approach, we analyze a case control study of Alzheimer's disease, in which data from three MRI modalities are available. PMID:23408378

Preliminary Multivariable Cost Model for Space Telescopes

NASA Technical Reports Server (NTRS)

Stahl, H. Philip

2010-01-01

Parametric cost models are routinely used to plan missions, compare concepts and justify technology investments. Previously, the authors published two single variable cost models based on 19 flight missions. The current paper presents the development of a multi-variable space telescopes cost model. The validity of previously published models are tested. Cost estimating relationships which are and are not significant cost drivers are identified. And, interrelationships between variables are explored

DUALITY IN MULTIVARIATE RECEPTOR MODEL. (R831078)

EPA Science Inventory

Multivariate receptor models are used for source apportionment of multiple observations of compositional data of air pollutants that obey mass conservation. Singular value decomposition of the data leads to two sets of eigenvectors. One set of eigenvectors spans a space in whi...

Multivariate modelling of endophenotypes associated with the metabolic syndrome in Chinese twins.

PubMed

Pang, Z; Zhang, D; Li, S; Duan, H; Hjelmborg, J; Kruse, T A; Kyvik, K O; Christensen, K; Tan, Q

2010-12-01

The common genetic and environmental effects on endophenotypes related to the metabolic syndrome have been investigated using bivariate and multivariate twin models. This paper extends the pairwise analysis approach by introducing independent and common pathway models to Chinese twin data. The aim was to explore the common genetic architecture in the development of these phenotypes in the Chinese population. Three multivariate models including the full saturated Cholesky decomposition model, the common factor independent pathway model and the common factor common pathway model were fitted to 695 pairs of Chinese twins representing six phenotypes including BMI, total cholesterol, total triacylglycerol, fasting glucose, HDL and LDL. Performances of the nested models were compared with that of the full Cholesky model. Cross-phenotype correlation coefficients gave clear indication of common genetic or environmental backgrounds in the phenotypes. Decomposition of phenotypic correlation by the Cholesky model revealed that the observed phenotypic correlation among lipid phenotypes had genetic and unique environmental backgrounds. Both pathway models suggest a common genetic architecture for lipid phenotypes, which is distinct from that of the non-lipid phenotypes. The declining performance with model restriction indicates biological heterogeneity in development among some of these phenotypes. Our multivariate analyses revealed common genetic and environmental backgrounds for the studied lipid phenotypes in Chinese twins. Model performance showed that physiologically distinct endophenotypes may follow different genetic regulations.

Methodological challenges to multivariate syndromic surveillance: a case study using Swiss animal health data.

PubMed

Vial, Flavie; Wei, Wei; Held, Leonhard

2016-12-20

In an era of ubiquitous electronic collection of animal health data, multivariate surveillance systems (which concurrently monitor several data streams) should have a greater probability of detecting disease events than univariate systems. However, despite their limitations, univariate aberration detection algorithms are used in most active syndromic surveillance (SyS) systems because of their ease of application and interpretation. On the other hand, a stochastic modelling-based approach to multivariate surveillance offers more flexibility, allowing for the retention of historical outbreaks, for overdispersion and for non-stationarity. While such methods are not new, they are yet to be applied to animal health surveillance data. We applied an example of such stochastic model, Held and colleagues' two-component model, to two multivariate animal health datasets from Switzerland. In our first application, multivariate time series of the number of laboratories test requests were derived from Swiss animal diagnostic laboratories. We compare the performance of the two-component model to parallel monitoring using an improved Farrington algorithm and found both methods yield a satisfactorily low false alarm rate. However, the calibration test of the two-component model on the one-step ahead predictions proved satisfactory, making such an approach suitable for outbreak prediction. In our second application, the two-component model was applied to the multivariate time series of the number of cattle abortions and the number of test requests for bovine viral diarrhea (a disease that often results in abortions). We found that there is a two days lagged effect from the number of abortions to the number of test requests. We further compared the joint modelling and univariate modelling of the number of laboratory test requests time series. The joint modelling approach showed evidence of superiority in terms of forecasting abilities. Stochastic modelling approaches offer the potential to address more realistic surveillance scenarios through, for example, the inclusion of times series specific parameters, or of covariates known to have an impact on syndrome counts. Nevertheless, many methodological challenges to multivariate surveillance of animal SyS data still remain. Deciding on the amount of corroboration among data streams that is required to escalate into an alert is not a trivial task given the sparse data on the events under consideration (e.g. disease outbreaks).

Higher-order Multivariable Polynomial Regression to Estimate Human Affective States

NASA Astrophysics Data System (ADS)

Wei, Jie; Chen, Tong; Liu, Guangyuan; Yang, Jiemin

2016-03-01

From direct observations, facial, vocal, gestural, physiological, and central nervous signals, estimating human affective states through computational models such as multivariate linear-regression analysis, support vector regression, and artificial neural network, have been proposed in the past decade. In these models, linear models are generally lack of precision because of ignoring intrinsic nonlinearities of complex psychophysiological processes; and nonlinear models commonly adopt complicated algorithms. To improve accuracy and simplify model, we introduce a new computational modeling method named as higher-order multivariable polynomial regression to estimate human affective states. The study employs standardized pictures in the International Affective Picture System to induce thirty subjects’ affective states, and obtains pure affective patterns of skin conductance as input variables to the higher-order multivariable polynomial model for predicting affective valence and arousal. Experimental results show that our method is able to obtain efficient correlation coefficients of 0.98 and 0.96 for estimation of affective valence and arousal, respectively. Moreover, the method may provide certain indirect evidences that valence and arousal have their brain’s motivational circuit origins. Thus, the proposed method can serve as a novel one for efficiently estimating human affective states.

Higher-order Multivariable Polynomial Regression to Estimate Human Affective States

PubMed Central

Wei, Jie; Chen, Tong; Liu, Guangyuan; Yang, Jiemin

2016-01-01

From direct observations, facial, vocal, gestural, physiological, and central nervous signals, estimating human affective states through computational models such as multivariate linear-regression analysis, support vector regression, and artificial neural network, have been proposed in the past decade. In these models, linear models are generally lack of precision because of ignoring intrinsic nonlinearities of complex psychophysiological processes; and nonlinear models commonly adopt complicated algorithms. To improve accuracy and simplify model, we introduce a new computational modeling method named as higher-order multivariable polynomial regression to estimate human affective states. The study employs standardized pictures in the International Affective Picture System to induce thirty subjects’ affective states, and obtains pure affective patterns of skin conductance as input variables to the higher-order multivariable polynomial model for predicting affective valence and arousal. Experimental results show that our method is able to obtain efficient correlation coefficients of 0.98 and 0.96 for estimation of affective valence and arousal, respectively. Moreover, the method may provide certain indirect evidences that valence and arousal have their brain’s motivational circuit origins. Thus, the proposed method can serve as a novel one for efficiently estimating human affective states. PMID:26996254

Esophageal wall dose-surface maps do not improve the predictive performance of a multivariable NTCP model for acute esophageal toxicity in advanced stage NSCLC patients treated with intensity-modulated (chemo-)radiotherapy.

PubMed

Dankers, Frank; Wijsman, Robin; Troost, Esther G C; Monshouwer, René; Bussink, Johan; Hoffmann, Aswin L

2017-05-07

In our previous work, a multivariable normal-tissue complication probability (NTCP) model for acute esophageal toxicity (AET) Grade  ⩾2 after highly conformal (chemo-)radiotherapy for non-small cell lung cancer (NSCLC) was developed using multivariable logistic regression analysis incorporating clinical parameters and mean esophageal dose (MED). Since the esophagus is a tubular organ, spatial information of the esophageal wall dose distribution may be important in predicting AET. We investigated whether the incorporation of esophageal wall dose-surface data with spatial information improves the predictive power of our established NTCP model. For 149 NSCLC patients treated with highly conformal radiation therapy esophageal wall dose-surface histograms (DSHs) and polar dose-surface maps (DSMs) were generated. DSMs were used to generate new DSHs and dose-length-histograms that incorporate spatial information of the dose-surface distribution. From these histograms dose parameters were derived and univariate logistic regression analysis showed that they correlated significantly with AET. Following our previous work, new multivariable NTCP models were developed using the most significant dose histogram parameters based on univariate analysis (19 in total). However, the 19 new models incorporating esophageal wall dose-surface data with spatial information did not show improved predictive performance (area under the curve, AUC range 0.79-0.84) over the established multivariable NTCP model based on conventional dose-volume data (AUC  =  0.84). For prediction of AET, based on the proposed multivariable statistical approach, spatial information of the esophageal wall dose distribution is of no added value and it is sufficient to only consider MED as a predictive dosimetric parameter.

Esophageal wall dose-surface maps do not improve the predictive performance of a multivariable NTCP model for acute esophageal toxicity in advanced stage NSCLC patients treated with intensity-modulated (chemo-)radiotherapy

NASA Astrophysics Data System (ADS)

Dankers, Frank; Wijsman, Robin; Troost, Esther G. C.; Monshouwer, René; Bussink, Johan; Hoffmann, Aswin L.

2017-05-01

In our previous work, a multivariable normal-tissue complication probability (NTCP) model for acute esophageal toxicity (AET) Grade  ⩾2 after highly conformal (chemo-)radiotherapy for non-small cell lung cancer (NSCLC) was developed using multivariable logistic regression analysis incorporating clinical parameters and mean esophageal dose (MED). Since the esophagus is a tubular organ, spatial information of the esophageal wall dose distribution may be important in predicting AET. We investigated whether the incorporation of esophageal wall dose-surface data with spatial information improves the predictive power of our established NTCP model. For 149 NSCLC patients treated with highly conformal radiation therapy esophageal wall dose-surface histograms (DSHs) and polar dose-surface maps (DSMs) were generated. DSMs were used to generate new DSHs and dose-length-histograms that incorporate spatial information of the dose-surface distribution. From these histograms dose parameters were derived and univariate logistic regression analysis showed that they correlated significantly with AET. Following our previous work, new multivariable NTCP models were developed using the most significant dose histogram parameters based on univariate analysis (19 in total). However, the 19 new models incorporating esophageal wall dose-surface data with spatial information did not show improved predictive performance (area under the curve, AUC range 0.79-0.84) over the established multivariable NTCP model based on conventional dose-volume data (AUC  =  0.84). For prediction of AET, based on the proposed multivariable statistical approach, spatial information of the esophageal wall dose distribution is of no added value and it is sufficient to only consider MED as a predictive dosimetric parameter.

Multivariate meta-analysis: potential and promise.

PubMed

Jackson, Dan; Riley, Richard; White, Ian R

2011-09-10

The multivariate random effects model is a generalization of the standard univariate model. Multivariate meta-analysis is becoming more commonly used and the techniques and related computer software, although continually under development, are now in place. In order to raise awareness of the multivariate methods, and discuss their advantages and disadvantages, we organized a one day 'Multivariate meta-analysis' event at the Royal Statistical Society. In addition to disseminating the most recent developments, we also received an abundance of comments, concerns, insights, critiques and encouragement. This article provides a balanced account of the day's discourse. By giving others the opportunity to respond to our assessment, we hope to ensure that the various view points and opinions are aired before multivariate meta-analysis simply becomes another widely used de facto method without any proper consideration of it by the medical statistics community. We describe the areas of application that multivariate meta-analysis has found, the methods available, the difficulties typically encountered and the arguments for and against the multivariate methods, using four representative but contrasting examples. We conclude that the multivariate methods can be useful, and in particular can provide estimates with better statistical properties, but also that these benefits come at the price of making more assumptions which do not result in better inference in every case. Although there is evidence that multivariate meta-analysis has considerable potential, it must be even more carefully applied than its univariate counterpart in practice. Copyright © 2011 John Wiley & Sons, Ltd.

Multivariate meta-analysis: Potential and promise

PubMed Central

Jackson, Dan; Riley, Richard; White, Ian R

2011-01-01

The multivariate random effects model is a generalization of the standard univariate model. Multivariate meta-analysis is becoming more commonly used and the techniques and related computer software, although continually under development, are now in place. In order to raise awareness of the multivariate methods, and discuss their advantages and disadvantages, we organized a one day ‘Multivariate meta-analysis’ event at the Royal Statistical Society. In addition to disseminating the most recent developments, we also received an abundance of comments, concerns, insights, critiques and encouragement. This article provides a balanced account of the day's discourse. By giving others the opportunity to respond to our assessment, we hope to ensure that the various view points and opinions are aired before multivariate meta-analysis simply becomes another widely used de facto method without any proper consideration of it by the medical statistics community. We describe the areas of application that multivariate meta-analysis has found, the methods available, the difficulties typically encountered and the arguments for and against the multivariate methods, using four representative but contrasting examples. We conclude that the multivariate methods can be useful, and in particular can provide estimates with better statistical properties, but also that these benefits come at the price of making more assumptions which do not result in better inference in every case. Although there is evidence that multivariate meta-analysis has considerable potential, it must be even more carefully applied than its univariate counterpart in practice. Copyright © 2011 John Wiley & Sons, Ltd. PMID:21268052

Stress and Personal Resource as Predictors of the Adjustment of Parents to Autistic Children: A Multivariate Model

ERIC Educational Resources Information Center

Siman-Tov, Ayelet; Kaniel, Shlomo

2011-01-01

The research validates a multivariate model that predicts parental adjustment to coping successfully with an autistic child. The model comprises four elements: parental stress, parental resources, parental adjustment and the child's autism symptoms. 176 parents of children aged between 6 to 16 diagnosed with PDD answered several questionnaires…

Multivariate mixed linear model analysis of longitudinal data: an information-rich statistical technique for analyzing disease resistance data

USDA-ARS?s Scientific Manuscript database

The mixed linear model (MLM) is currently among the most advanced and flexible statistical modeling techniques and its use in tackling problems in plant pathology has begun surfacing in the literature. The longitudinal MLM is a multivariate extension that handles repeatedly measured data, such as r...

Decomposing biodiversity data using the Latent Dirichlet Allocation model, a probabilistic multivariate statistical method

Treesearch

Denis Valle; Benjamin Baiser; Christopher W. Woodall; Robin Chazdon; Jerome Chave

2014-01-01

We propose a novel multivariate method to analyse biodiversity data based on the Latent Dirichlet Allocation (LDA) model. LDA, a probabilistic model, reduces assemblages to sets of distinct component communities. It produces easily interpretable results, can represent abrupt and gradual changes in composition, accommodates missing data and allows for coherent estimates...

Multivariate Regression Analysis and Slaughter Livestock,

DTIC Science & Technology

AGRICULTURE, *ECONOMICS), (*MEAT, PRODUCTION), MULTIVARIATE ANALYSIS, REGRESSION ANALYSIS , ANIMALS, WEIGHT, COSTS, PREDICTIONS, STABILITY, MATHEMATICAL MODELS, STORAGE, BEEF, PORK, FOOD, STATISTICAL DATA, ACCURACY

Univariate and multivariate spatial models of health facility utilisation for childhood fevers in an area on the coast of Kenya.

PubMed

Ouma, Paul O; Agutu, Nathan O; Snow, Robert W; Noor, Abdisalan M

2017-09-18

Precise quantification of health service utilisation is important for the estimation of disease burden and allocation of health resources. Current approaches to mapping health facility utilisation rely on spatial accessibility alone as the predictor. However, other spatially varying social, demographic and economic factors may affect the use of health services. The exclusion of these factors can lead to the inaccurate estimation of health facility utilisation. Here, we compare the accuracy of a univariate spatial model, developed only from estimated travel time, to a multivariate model that also includes relevant social, demographic and economic factors. A theoretical surface of travel time to the nearest public health facility was developed. These were assigned to each child reported to have had fever in the Kenya demographic and health survey of 2014 (KDHS 2014). The relationship of child treatment seeking for fever with travel time, household and individual factors from the KDHS2014 were determined using multilevel mixed modelling. Bayesian information criterion (BIC) and likelihood ratio test (LRT) tests were carried out to measure how selected factors improve parsimony and goodness of fit of the time model. Using the mixed model, a univariate spatial model of health facility utilisation was fitted using travel time as the predictor. The mixed model was also used to compute a multivariate spatial model of utilisation, using travel time and modelled surfaces of selected household and individual factors as predictors. The univariate and multivariate spatial models were then compared using the receiver operating area under the curve (AUC) and a percent correct prediction (PCP) test. The best fitting multivariate model had travel time, household wealth index and number of children in household as the predictors. These factors reduced BIC of the time model from 4008 to 2959, a change which was confirmed by the LRT test. Although there was a high correlation of the two modelled probability surfaces (Adj R 2  = 88%), the multivariate model had better AUC compared to the univariate model; 0.83 versus 0.73 and PCP 0.61 versus 0.45 values. Our study shows that a model that uses travel time, as well as household and individual-level socio-demographic factors, results in a more accurate estimation of use of health facilities for the treatment of childhood fever, compared to one that relies on only travel time.

Adjustment of automatic control systems of production facilities at coal processing plants using multivariant physico- mathematical models

NASA Astrophysics Data System (ADS)

Evtushenko, V. F.; Myshlyaev, L. P.; Makarov, G. V.; Ivushkin, K. A.; Burkova, E. V.

2016-10-01

The structure of multi-variant physical and mathematical models of control system is offered as well as its application for adjustment of automatic control system (ACS) of production facilities on the example of coal processing plant.

A simplified parsimonious higher order multivariate Markov chain model with new convergence condition

NASA Astrophysics Data System (ADS)

Wang, Chao; Yang, Chuan-sheng

2017-09-01

In this paper, we present a simplified parsimonious higher-order multivariate Markov chain model with new convergence condition. (TPHOMMCM-NCC). Moreover, estimation method of the parameters in TPHOMMCM-NCC is give. Numerical experiments illustrate the effectiveness of TPHOMMCM-NCC.

Various forms of indexing HDMR for modelling multivariate classification problems

DOE Office of Scientific and Technical Information (OSTI.GOV)

Aksu, Çağrı; Tunga, M. Alper

2014-12-10

The Indexing HDMR method was recently developed for modelling multivariate interpolation problems. The method uses the Plain HDMR philosophy in partitioning the given multivariate data set into less variate data sets and then constructing an analytical structure through these partitioned data sets to represent the given multidimensional problem. Indexing HDMR makes HDMR be applicable to classification problems having real world data. Mostly, we do not know all possible class values in the domain of the given problem, that is, we have a non-orthogonal data structure. However, Plain HDMR needs an orthogonal data structure in the given problem to be modelled.more » In this sense, the main idea of this work is to offer various forms of Indexing HDMR to successfully model these real life classification problems. To test these different forms, several well-known multivariate classification problems given in UCI Machine Learning Repository were used and it was observed that the accuracy results lie between 80% and 95% which are very satisfactory.« less

Multivariate random-parameters zero-inflated negative binomial regression model: an application to estimate crash frequencies at intersections.

PubMed

Dong, Chunjiao; Clarke, David B; Yan, Xuedong; Khattak, Asad; Huang, Baoshan

2014-09-01

Crash data are collected through police reports and integrated with road inventory data for further analysis. Integrated police reports and inventory data yield correlated multivariate data for roadway entities (e.g., segments or intersections). Analysis of such data reveals important relationships that can help focus on high-risk situations and coming up with safety countermeasures. To understand relationships between crash frequencies and associated variables, while taking full advantage of the available data, multivariate random-parameters models are appropriate since they can simultaneously consider the correlation among the specific crash types and account for unobserved heterogeneity. However, a key issue that arises with correlated multivariate data is the number of crash-free samples increases, as crash counts have many categories. In this paper, we describe a multivariate random-parameters zero-inflated negative binomial (MRZINB) regression model for jointly modeling crash counts. The full Bayesian method is employed to estimate the model parameters. Crash frequencies at urban signalized intersections in Tennessee are analyzed. The paper investigates the performance of MZINB and MRZINB regression models in establishing the relationship between crash frequencies, pavement conditions, traffic factors, and geometric design features of roadway intersections. Compared to the MZINB model, the MRZINB model identifies additional statistically significant factors and provides better goodness of fit in developing the relationships. The empirical results show that MRZINB model possesses most of the desirable statistical properties in terms of its ability to accommodate unobserved heterogeneity and excess zero counts in correlated data. Notably, in the random-parameters MZINB model, the estimated parameters vary significantly across intersections for different crash types. Copyright © 2014 Elsevier Ltd. All rights reserved.

Insights on multivariate updates of physical and biogeochemical ocean variables using an Ensemble Kalman Filter and an idealized model of upwelling

NASA Astrophysics Data System (ADS)

Yu, Liuqian; Fennel, Katja; Bertino, Laurent; Gharamti, Mohamad El; Thompson, Keith R.

2018-06-01

Effective data assimilation methods for incorporating observations into marine biogeochemical models are required to improve hindcasts, nowcasts and forecasts of the ocean's biogeochemical state. Recent assimilation efforts have shown that updating model physics alone can degrade biogeochemical fields while only updating biogeochemical variables may not improve a model's predictive skill when the physical fields are inaccurate. Here we systematically investigate whether multivariate updates of physical and biogeochemical model states are superior to only updating either physical or biogeochemical variables. We conducted a series of twin experiments in an idealized ocean channel that experiences wind-driven upwelling. The forecast model was forced with biased wind stress and perturbed biogeochemical model parameters compared to the model run representing the "truth". Taking advantage of the multivariate nature of the deterministic Ensemble Kalman Filter (DEnKF), we assimilated different combinations of synthetic physical (sea surface height, sea surface temperature and temperature profiles) and biogeochemical (surface chlorophyll and nitrate profiles) observations. We show that when biogeochemical and physical properties are highly correlated (e.g., thermocline and nutricline), multivariate updates of both are essential for improving model skill and can be accomplished by assimilating either physical (e.g., temperature profiles) or biogeochemical (e.g., nutrient profiles) observations. In our idealized domain, the improvement is largely due to a better representation of nutrient upwelling, which results in a more accurate nutrient input into the euphotic zone. In contrast, assimilating surface chlorophyll improves the model state only slightly, because surface chlorophyll contains little information about the vertical density structure. We also show that a degradation of the correlation between observed subsurface temperature and nutrient fields, which has been an issue in several previous assimilation studies, can be reduced by multivariate updates of physical and biogeochemical fields.

Multivariate generalized multifactor dimensionality reduction to detect gene-gene interactions

PubMed Central

2013-01-01

Background Recently, one of the greatest challenges in genome-wide association studies is to detect gene-gene and/or gene-environment interactions for common complex human diseases. Ritchie et al. (2001) proposed multifactor dimensionality reduction (MDR) method for interaction analysis. MDR is a combinatorial approach to reduce multi-locus genotypes into high-risk and low-risk groups. Although MDR has been widely used for case-control studies with binary phenotypes, several extensions have been proposed. One of these methods, a generalized MDR (GMDR) proposed by Lou et al. (2007), allows adjusting for covariates and applying to both dichotomous and continuous phenotypes. GMDR uses the residual score of a generalized linear model of phenotypes to assign either high-risk or low-risk group, while MDR uses the ratio of cases to controls. Methods In this study, we propose multivariate GMDR, an extension of GMDR for multivariate phenotypes. Jointly analysing correlated multivariate phenotypes may have more power to detect susceptible genes and gene-gene interactions. We construct generalized estimating equations (GEE) with multivariate phenotypes to extend generalized linear models. Using the score vectors from GEE we discriminate high-risk from low-risk groups. We applied the multivariate GMDR method to the blood pressure data of the 7,546 subjects from the Korean Association Resource study: systolic blood pressure (SBP) and diastolic blood pressure (DBP). We compare the results of multivariate GMDR for SBP and DBP to the results from separate univariate GMDR for SBP and DBP, respectively. We also applied the multivariate GMDR method to the repeatedly measured hypertension status from 5,466 subjects and compared its result with those of univariate GMDR at each time point. Results Results from the univariate GMDR and multivariate GMDR in two-locus model with both blood pressures and hypertension phenotypes indicate best combinations of SNPs whose interaction has significant association with risk for high blood pressures or hypertension. Although the test balanced accuracy (BA) of multivariate analysis was not always greater than that of univariate analysis, the multivariate BAs were more stable with smaller standard deviations. Conclusions In this study, we have developed multivariate GMDR method using GEE approach. It is useful to use multivariate GMDR with correlated multiple phenotypes of interests. PMID:24565370

Estimation and model selection of semiparametric multivariate survival functions under general censorship.

PubMed

Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang

2010-07-01

We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root- n asymptotic normality of a two-step copula estimator to the pseudo-true copula parameter value according to KLIC, and provide a simple consistent estimator of its asymptotic variance, allowing for a first-step nonparametric estimation of the marginal survivals. We establish the asymptotic distribution of the penalized pseudo-likelihood ratio statistic for comparing multiple semiparametric multivariate survival functions subject to copula misspecification and general censorship. An empirical application is provided.

Estimation and model selection of semiparametric multivariate survival functions under general censorship

PubMed Central

Chen, Xiaohong; Fan, Yanqin; Pouzo, Demian; Ying, Zhiliang

2013-01-01

We study estimation and model selection of semiparametric models of multivariate survival functions for censored data, which are characterized by possibly misspecified parametric copulas and nonparametric marginal survivals. We obtain the consistency and root-n asymptotic normality of a two-step copula estimator to the pseudo-true copula parameter value according to KLIC, and provide a simple consistent estimator of its asymptotic variance, allowing for a first-step nonparametric estimation of the marginal survivals. We establish the asymptotic distribution of the penalized pseudo-likelihood ratio statistic for comparing multiple semiparametric multivariate survival functions subject to copula misspecification and general censorship. An empirical application is provided. PMID:24790286

Usual Dietary Intakes: SAS Macros for Fitting Multivariate Measurement Error Models & Estimating Multivariate Usual Intake Distributions

Cancer.gov

The following SAS macros can be used to create a multivariate usual intake distribution for multiple dietary components that are consumed nearly every day or episodically. A SAS macro for performing balanced repeated replication (BRR) variance estimation is also included.

Comparative Robustness of Recent Methods for Analyzing Multivariate Repeated Measures Designs

ERIC Educational Resources Information Center

Seco, Guillermo Vallejo; Gras, Jaime Arnau; Garcia, Manuel Ato

2007-01-01

This study evaluated the robustness of two recent methods for analyzing multivariate repeated measures when the assumptions of covariance homogeneity and multivariate normality are violated. Specifically, the authors' work compares the performance of the modified Brown-Forsythe (MBF) procedure and the mixed-model procedure adjusted by the…

Critical elements on fitting the Bayesian multivariate Poisson Lognormal model

NASA Astrophysics Data System (ADS)

Zamzuri, Zamira Hasanah binti

2015-10-01

Motivated by a problem on fitting multivariate models to traffic accident data, a detailed discussion of the Multivariate Poisson Lognormal (MPL) model is presented. This paper reveals three critical elements on fitting the MPL model: the setting of initial estimates, hyperparameters and tuning parameters. These issues have not been highlighted in the literature. Based on simulation studies conducted, we have shown that to use the Univariate Poisson Model (UPM) estimates as starting values, at least 20,000 iterations are needed to obtain reliable final estimates. We also illustrated the sensitivity of the specific hyperparameter, which if it is not given extra attention, may affect the final estimates. The last issue is regarding the tuning parameters where they depend on the acceptance rate. Finally, a heuristic algorithm to fit the MPL model is presented. This acts as a guide to ensure that the model works satisfactorily given any data set.

Analysis/forecast experiments with a multivariate statistical analysis scheme using FGGE data

NASA Technical Reports Server (NTRS)

Baker, W. E.; Bloom, S. C.; Nestler, M. S.

1985-01-01

A three-dimensional, multivariate, statistical analysis method, optimal interpolation (OI) is described for modeling meteorological data from widely dispersed sites. The model was developed to analyze FGGE data at the NASA-Goddard Laboratory of Atmospherics. The model features a multivariate surface analysis over the oceans, including maintenance of the Ekman balance and a geographically dependent correlation function. Preliminary comparisons are made between the OI model and similar schemes employed at the European Center for Medium Range Weather Forecasts and the National Meteorological Center. The OI scheme is used to provide input to a GCM, and model error correlations are calculated for forecasts of 500 mb vertical water mixing ratios and the wind profiles. Comparisons are made between the predictions and measured data. The model is shown to be as accurate as a successive corrections model out to 4.5 days.

Multivariate Bayesian modeling of known and unknown causes of events--an application to biosurveillance.

PubMed

Shen, Yanna; Cooper, Gregory F

2012-09-01

This paper investigates Bayesian modeling of known and unknown causes of events in the context of disease-outbreak detection. We introduce a multivariate Bayesian approach that models multiple evidential features of every person in the population. This approach models and detects (1) known diseases (e.g., influenza and anthrax) by using informative prior probabilities and (2) unknown diseases (e.g., a new, highly contagious respiratory virus that has never been seen before) by using relatively non-informative prior probabilities. We report the results of simulation experiments which support that this modeling method can improve the detection of new disease outbreaks in a population. A contribution of this paper is that it introduces a multivariate Bayesian approach for jointly modeling both known and unknown causes of events. Such modeling has general applicability in domains where the space of known causes is incomplete. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.

FACTOR ANALYTIC MODELS OF CLUSTERED MULTIVARIATE DATA WITH INFORMATIVE CENSORING

EPA Science Inventory

This paper describes a general class of factor analytic models for the analysis of clustered multivariate data in the presence of informative missingness. We assume that there are distinct sets of cluster-level latent variables related to the primary outcomes and to the censorin...

PREFACE: 31st European Physical Society Conference on Plasma Physics

NASA Astrophysics Data System (ADS)

Dendy, Richard

2004-12-01

This special issue of Plasma Physics and Controlled Fusion comprises refereed papers contributed by invited speakers at the 31st European Physical Society Conference on Plasma Physics. The conference was jointly hosted by the Rutherford Appleton Laboratory, by the EURATOM/UKAEA Fusion Association and by Imperial College London, where it took place from 28 June to 2 July 2004. The overall agenda for this conference was set by the Board of the Plasma Physics Division of the European Physical Society, chaired by Friedrich Wagner (MPIPP, Garching) and his successor Jo Lister (CRPP, Lausanne). It built on developments in recent years, by further increasing the scientific diversity of the conference programme, whilst maintaining its depth and quality. A correspondingly diverse Programme Committee was set up, whose members are listed below. The final task of the Programme Committee has been the preparation of this special issue. In carrying out this work, as in preparing the scientific programme of the conference, the Programme Committee formed specialist subcommittees representing the different fields of plasma science. The chairmen of these subcommittees, in particular, accepted a very heavy workload on behalf of their respective research communities. It is a great pleasure to take this opportunity to thank: Emilia R Solano (CIEMAT, Madrid), magnetic confinement fusion; Jürgen Meyer-ter-Vehn (MPQ, Garching), laser-plasma interaction and beam plasma physics; and Jean-Luc Dorier (CRPP, Lausanne), dusty plasmas. The relatively few papers in astrophysical and basic plasma physics were co-ordinated by a small subcommittee which I led. Together with Peter Norreys (RAL, Chilton), we five constitute the editorial team for this special issue. The extensive refereeing load, compressed into a short time interval, was borne by the Programme Committee members and by many other experts, to whom this special issue owes much. We are also grateful to the Local Organizing Committee chaired by Henry Hutchinson (RAL, Chilton), and to the Plasma Physics and Controlled Fusion journal team (Institute of Physics Publishing, Bristol), for their work on this conference. At the 2004 European Physical Society Conference on Plasma Physics, plenary invited speakers whose talks spanned the entire field were followed, each day, by multiple parallel sessions which also included invited talks. Invited speakers in both these categories were asked to contribute papers to this special issue (the contributed papers at this conference, and at all recent conferences in this series, are archived at http://epsppd.epfl.ch). The Programme Committee is very grateful to the many invited speakers who have responded positively to this request. Invited papers appear here in their order of presentation during the week beginning 28 June 2004; this ordering provides an echo of the character of the conference, as it was experienced by those who took part. Programme Committee 2004 Professor Richard Dendy UKAEA Culham Division, UK Chairman and guest editor Dr Jean-Luc Dorier Centre de Recherches en Physique des Plasmas, Lausanne, Switzerland (Co-ordinator of dusty plasmas and guest editor) Professor Jürgen Meyer-ter-Vehn Max-Planck-Institut für Quantenoptik, Garching, Germany (Co-ordinator of laser-plasma interaction and beam plasma physics and guest editor) Dr Peter Norreys Rutherford Appleton Laboratory, Chilton, UK (Scientific Secretary and guest editor) Dr Emilia R Solano CIEMAT Laboratorio Nacional de Fusión, Madrid, Spain ( Co-ordinator of magnetic confinement fusion and guest editor) Dr Shalom Eliezer Soreq Nuclear Research Centre, Israel Dr Wim Goedheer FOM-Instituut voor Plasmafysica, Rijnhuizen, Netherlands Professor Henry Hutchinson Rutherford Appleton Laboratory, Chilton, UK Professor John Kirk Max-Planck-Institut für Kernphysik, Heidelberg, Germany Dr Raymond Koch Ecole Royale Militaire/Koninklijke Militaire School, Brussels, Belgium Professor Gerrit Kroesen Technische Universiteit Eindhoven, Netherlands Dr Martin Lampe Naval Research Laboratory, Washington DC, USA Dr Jo Lister Centre de Recherches en Physique des Plasmas, Lausanne, Switzerland Dr Paola Mantica Istituto di Fisica del Plasma, Milan, Italy Professor Tito Mendonca Instituto Superior Tecnico, Lisbon, Portugal Dr Patrick Mora École Polytechnique, Palaiseau, France Professor Lennart Stenflo Umeå Universitet, Sweden Professor Paul Thomas CEA Cadarache, Saint-Paul-lez-Durance, France Professor Friedrich Wagner Max-Planck-Institut fr Plasmaphysik, Garching, Germany Professor Hannspeter Winter Technische Universität Wien, Austria

An Examination of the Domain of Multivariable Functions Using the Pirie-Kieren Model

ERIC Educational Resources Information Center

Sengul, Sare; Yildiz, Sevda Goktepe

2016-01-01

The aim of this study is to employ the Pirie-Kieren model so as to examine the understandings relating to the domain of multivariable functions held by primary school mathematics preservice teachers. The data obtained was categorized according to Pirie-Kieren model and demonstrated visually in tables and bar charts. The study group consisted of…

Multivariate regression model for predicting yields of grade lumber from yellow birch sawlogs

Treesearch

Andrew F. Howard; Daniel A. Yaussy

1986-01-01

A multivariate regression model was developed to predict green board-foot yields for the common grades of factory lumber processed from yellow birch factory-grade logs. The model incorporates the standard log measurements of scaling diameter, length, proportion of scalable defects, and the assigned USDA Forest Service log grade. Differences in yields between band and...

A Multivariate Model for the Meta-Analysis of Study Level Survival Data at Multiple Times

ERIC Educational Resources Information Center

Jackson, Dan; Rollins, Katie; Coughlin, Patrick

2014-01-01

Motivated by our meta-analytic dataset involving survival rates after treatment for critical leg ischemia, we develop and apply a new multivariate model for the meta-analysis of study level survival data at multiple times. Our data set involves 50 studies that provide mortality rates at up to seven time points, which we model simultaneously, and…

Analytical framework for reconstructing heterogeneous environmental variables from mammal community structure.

PubMed

Louys, Julien; Meloro, Carlo; Elton, Sarah; Ditchfield, Peter; Bishop, Laura C

2015-01-01

We test the performance of two models that use mammalian communities to reconstruct multivariate palaeoenvironments. While both models exploit the correlation between mammal communities (defined in terms of functional groups) and arboreal heterogeneity, the first uses a multiple multivariate regression of community structure and arboreal heterogeneity, while the second uses a linear regression of the principal components of each ecospace. The success of these methods means the palaeoenvironment of a particular locality can be reconstructed in terms of the proportions of heavy, moderate, light, and absent tree canopy cover. The linear regression is less biased, and more precisely and accurately reconstructs heavy tree canopy cover than the multiple multivariate model. However, the multiple multivariate model performs better than the linear regression for all other canopy cover categories. Both models consistently perform better than randomly generated reconstructions. We apply both models to the palaeocommunity of the Upper Laetolil Beds, Tanzania. Our reconstructions indicate that there was very little heavy tree cover at this site (likely less than 10%), with the palaeo-landscape instead comprising a mixture of light and absent tree cover. These reconstructions help resolve the previous conflicting palaeoecological reconstructions made for this site. Copyright © 2014 Elsevier Ltd. All rights reserved.

Preliminary results concerning the simulation of beam profiles from extracted ion current distributions for mini-STRIKE

DOE Office of Scientific and Technical Information (OSTI.GOV)

Agostinetti, P., E-mail: piero.agostinetti@igi.cnr.it; Serianni, G.; Veltri, P.

The Radio Frequency (RF) negative hydrogen ion source prototype has been chosen for the ITER neutral beam injectors due to its optimal performances and easier maintenance demonstrated at Max-Planck-Institut für Plasmaphysik, Garching in hydrogen and deuterium. One of the key information to better understand the operating behavior of the RF ion sources is the extracted negative ion current density distribution. This distribution—influenced by several factors like source geometry, particle drifts inside the source, cesium distribution, and layout of cesium ovens—is not straightforward to be evaluated. The main outcome of the present contribution is the development of a minimization method tomore » estimate the extracted current distribution using the footprint of the beam recorded with mini-STRIKE (Short-Time Retractable Instrumented Kalorimeter). To accomplish this, a series of four computational models have been set up, where the output of a model is the input of the following one. These models compute the optics of the ion beam, evaluate the distribution of the heat deposited on the mini-STRIKE diagnostic calorimeter, and finally give an estimate of the temperature distribution on the back of mini-STRIKE. Several iterations with different extracted current profiles are necessary to give an estimate of the profile most compatible with the experimental data. A first test of the application of the method to the BAvarian Test Machine for Negative ions beam is given.« less

The NLS-Based Nonlinear Grey Multivariate Model for Forecasting Pollutant Emissions in China.

PubMed

Pei, Ling-Ling; Li, Qin; Wang, Zheng-Xin

2018-03-08

The relationship between pollutant discharge and economic growth has been a major research focus in environmental economics. To accurately estimate the nonlinear change law of China's pollutant discharge with economic growth, this study establishes a transformed nonlinear grey multivariable (TNGM (1, N )) model based on the nonlinear least square (NLS) method. The Gauss-Seidel iterative algorithm was used to solve the parameters of the TNGM (1, N ) model based on the NLS basic principle. This algorithm improves the precision of the model by continuous iteration and constantly approximating the optimal regression coefficient of the nonlinear model. In our empirical analysis, the traditional grey multivariate model GM (1, N ) and the NLS-based TNGM (1, N ) models were respectively adopted to forecast and analyze the relationship among wastewater discharge per capita (WDPC), and per capita emissions of SO₂ and dust, alongside GDP per capita in China during the period 1996-2015. Results indicated that the NLS algorithm is able to effectively help the grey multivariable model identify the nonlinear relationship between pollutant discharge and economic growth. The results show that the NLS-based TNGM (1, N ) model presents greater precision when forecasting WDPC, SO₂ emissions and dust emissions per capita, compared to the traditional GM (1, N ) model; WDPC indicates a growing tendency aligned with the growth of GDP, while the per capita emissions of SO₂ and dust reduce accordingly.

Voxelwise multivariate analysis of multimodality magnetic resonance imaging.

PubMed

Naylor, Melissa G; Cardenas, Valerie A; Tosun, Duygu; Schuff, Norbert; Weiner, Michael; Schwartzman, Armin

2014-03-01

Most brain magnetic resonance imaging (MRI) studies concentrate on a single MRI contrast or modality, frequently structural MRI. By performing an integrated analysis of several modalities, such as structural, perfusion-weighted, and diffusion-weighted MRI, new insights may be attained to better understand the underlying processes of brain diseases. We compare two voxelwise approaches: (1) fitting multiple univariate models, one for each outcome and then adjusting for multiple comparisons among the outcomes and (2) fitting a multivariate model. In both cases, adjustment for multiple comparisons is performed over all voxels jointly to account for the search over the brain. The multivariate model is able to account for the multiple comparisons over outcomes without assuming independence because the covariance structure between modalities is estimated. Simulations show that the multivariate approach is more powerful when the outcomes are correlated and, even when the outcomes are independent, the multivariate approach is just as powerful or more powerful when at least two outcomes are dependent on predictors in the model. However, multiple univariate regressions with Bonferroni correction remain a desirable alternative in some circumstances. To illustrate the power of each approach, we analyze a case control study of Alzheimer's disease, in which data from three MRI modalities are available. Copyright © 2013 Wiley Periodicals, Inc.

Multivariate Analysis of Longitudinal Rates of Change

PubMed Central

Bryan, Matthew; Heagerty, Patrick J.

2016-01-01

Longitudinal data allow direct comparison of the change in patient outcomes associated with treatment or exposure. Frequently, several longitudinal measures are collected that either reflect a common underlying health status, or characterize processes that are influenced in a similar way by covariates such as exposure or demographic characteristics. Statistical methods that can combine multivariate response variables into common measures of covariate effects have been proposed by Roy and Lin [1]; Proust-Lima, Letenneur and Jacqmin-Gadda [2]; and Gray and Brookmeyer [3] among others. Current methods for characterizing the relationship between covariates and the rate of change in multivariate outcomes are limited to select models. For example, Gray and Brookmeyer [3] introduce an “accelerated time” method which assumes that covariates rescale time in longitudinal models for disease progression. In this manuscript we detail an alternative multivariate model formulation that directly structures longitudinal rates of change, and that permits a common covariate effect across multiple outcomes. We detail maximum likelihood estimation for a multivariate longitudinal mixed model. We show via asymptotic calculations the potential gain in power that may be achieved with a common analysis of multiple outcomes. We apply the proposed methods to the analysis of a trivariate outcome for infant growth and compare rates of change for HIV infected and uninfected infants. PMID:27417129

A Multivariate Descriptive Model of Motivation for Orthodontic Treatment.

ERIC Educational Resources Information Center

Hackett, Paul M. W.; And Others

1993-01-01

Motivation for receiving orthodontic treatment was studied among 109 young adults, and a multivariate model of the process is proposed. The combination of smallest scale analysis and Partial Order Scalogram Analysis by base Coordinates (POSAC) illustrates an interesting methodology for health treatment studies and explores motivation for dental…

Mathematical Formulation of Multivariate Euclidean Models for Discrimination Methods.

ERIC Educational Resources Information Center

Mullen, Kenneth; Ennis, Daniel M.

1987-01-01

Multivariate models for the triangular and duo-trio methods are described, and theoretical methods are compared to a Monte Carlo simulation. Implications are discussed for a new theory of multidimensional scaling which challenges the traditional assumption that proximity measures and perceptual distances are monotonically related. (Author/GDC)

A Multivariate Model of Parent-Adolescent Relationship Variables in Early Adolescence

ERIC Educational Resources Information Center

McKinney, Cliff; Renk, Kimberly

2011-01-01

Given the importance of predicting outcomes for early adolescents, this study examines a multivariate model of parent-adolescent relationship variables, including parenting, family environment, and conflict. Participants, who completed measures assessing these variables, included 710 culturally diverse 11-14-year-olds who were attending a middle…

Classical least squares multivariate spectral analysis

DOEpatents

Haaland, David M.

2002-01-01

An improved classical least squares multivariate spectral analysis method that adds spectral shapes describing non-calibrated components and system effects (other than baseline corrections) present in the analyzed mixture to the prediction phase of the method. These improvements decrease or eliminate many of the restrictions to the CLS-type methods and greatly extend their capabilities, accuracy, and precision. One new application of PACLS includes the ability to accurately predict unknown sample concentrations when new unmodeled spectral components are present in the unknown samples. Other applications of PACLS include the incorporation of spectrometer drift into the quantitative multivariate model and the maintenance of a calibration on a drifting spectrometer. Finally, the ability of PACLS to transfer a multivariate model between spectrometers is demonstrated.

Hierarchical Bayesian spatial models for predicting multiple forest variables using waveform LiDAR, hyperspectral imagery, and large inventory datasets

USGS Publications Warehouse

Finley, Andrew O.; Banerjee, Sudipto; Cook, Bruce D.; Bradford, John B.

2013-01-01

In this paper we detail a multivariate spatial regression model that couples LiDAR, hyperspectral and forest inventory data to predict forest outcome variables at a high spatial resolution. The proposed model is used to analyze forest inventory data collected on the US Forest Service Penobscot Experimental Forest (PEF), ME, USA. In addition to helping meet the regression model's assumptions, results from the PEF analysis suggest that the addition of multivariate spatial random effects improves model fit and predictive ability, compared with two commonly applied modeling approaches. This improvement results from explicitly modeling the covariation among forest outcome variables and spatial dependence among observations through the random effects. Direct application of such multivariate models to even moderately large datasets is often computationally infeasible because of cubic order matrix algorithms involved in estimation. We apply a spatial dimension reduction technique to help overcome this computational hurdle without sacrificing richness in modeling.

Open House at the ESO Headquarters

NASA Astrophysics Data System (ADS)

Madsen, C.

2006-12-01

On 15 October, the ESO Headquarters opened its doors to the public as part of the All-Campus Open House organised in connection with the inauguration of the extension of the underground line U6 from Munich to the Garching campus. The day was blessed with clear skies and plenty of sunshine, and a large number of citizens took advantage of the opportunity to visit the campus. The estimated number of visitors at ESO was close to 3000 people, a record number. Another record was set by the number of ESO staff who, in anticipation of the high num-ber of guests, volunteered to spend their Sunday at work to explain what ESO is doing and why it is important.

Transaction fees and optimal rebalancing in the growth-optimal portfolio

NASA Astrophysics Data System (ADS)

Feng, Yu; Medo, Matúš; Zhang, Liang; Zhang, Yi-Cheng

2011-05-01

The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing. The optimal period is found analytically in the case of lognormal returns. This result is consequently generalized and numerically verified for broad return distributions and returns generated by a GARCH process. Finally we study the case when investment is rebalanced only partially and show that this strategy can improve the investment long-term growth rate more than optimization of the rebalancing period.

Multivariate missing data in hydrology - Review and applications

NASA Astrophysics Data System (ADS)

Ben Aissia, Mohamed-Aymen; Chebana, Fateh; Ouarda, Taha B. M. J.

2017-12-01

Water resources planning and management require complete data sets of a number of hydrological variables, such as flood peaks and volumes. However, hydrologists are often faced with the problem of missing data (MD) in hydrological databases. Several methods are used to deal with the imputation of MD. During the last decade, multivariate approaches have gained popularity in the field of hydrology, especially in hydrological frequency analysis (HFA). However, treating the MD remains neglected in the multivariate HFA literature whereas the focus has been mainly on the modeling component. For a complete analysis and in order to optimize the use of data, MD should also be treated in the multivariate setting prior to modeling and inference. Imputation of MD in the multivariate hydrological framework can have direct implications on the quality of the estimation. Indeed, the dependence between the series represents important additional information that can be included in the imputation process. The objective of the present paper is to highlight the importance of treating MD in multivariate hydrological frequency analysis by reviewing and applying multivariate imputation methods and by comparing univariate and multivariate imputation methods. An application is carried out for multiple flood attributes on three sites in order to evaluate the performance of the different methods based on the leave-one-out procedure. The results indicate that, the performance of imputation methods can be improved by adopting the multivariate setting, compared to mean substitution and interpolation methods, especially when using the copula-based approach.

A mixed-effects regression model for longitudinal multivariate ordinal data.

PubMed

Liu, Li C; Hedeker, Donald

2006-03-01

A mixed-effects item response theory model that allows for three-level multivariate ordinal outcomes and accommodates multiple random subject effects is proposed for analysis of multivariate ordinal outcomes in longitudinal studies. This model allows for the estimation of different item factor loadings (item discrimination parameters) for the multiple outcomes. The covariates in the model do not have to follow the proportional odds assumption and can be at any level. Assuming either a probit or logistic response function, maximum marginal likelihood estimation is proposed utilizing multidimensional Gauss-Hermite quadrature for integration of the random effects. An iterative Fisher scoring solution, which provides standard errors for all model parameters, is used. An analysis of a longitudinal substance use data set, where four items of substance use behavior (cigarette use, alcohol use, marijuana use, and getting drunk or high) are repeatedly measured over time, is used to illustrate application of the proposed model.

A multivariate spatial mixture model for areal data: examining regional differences in standardized test scores

PubMed Central

Neelon, Brian; Gelfand, Alan E.; Miranda, Marie Lynn

2013-01-01

Summary Researchers in the health and social sciences often wish to examine joint spatial patterns for two or more related outcomes. Examples include infant birth weight and gestational length, psychosocial and behavioral indices, and educational test scores from different cognitive domains. We propose a multivariate spatial mixture model for the joint analysis of continuous individual-level outcomes that are referenced to areal units. The responses are modeled as a finite mixture of multivariate normals, which accommodates a wide range of marginal response distributions and allows investigators to examine covariate effects within subpopulations of interest. The model has a hierarchical structure built at the individual level (i.e., individuals are nested within areal units), and thus incorporates both individual- and areal-level predictors as well as spatial random effects for each mixture component. Conditional autoregressive (CAR) priors on the random effects provide spatial smoothing and allow the shape of the multivariate distribution to vary flexibly across geographic regions. We adopt a Bayesian modeling approach and develop an efficient Markov chain Monte Carlo model fitting algorithm that relies primarily on closed-form full conditionals. We use the model to explore geographic patterns in end-of-grade math and reading test scores among school-age children in North Carolina. PMID:26401059

Data driven discrete-time parsimonious identification of a nonlinear state-space model for a weakly nonlinear system with short data record

NASA Astrophysics Data System (ADS)

Relan, Rishi; Tiels, Koen; Marconato, Anna; Dreesen, Philippe; Schoukens, Johan

2018-05-01

Many real world systems exhibit a quasi linear or weakly nonlinear behavior during normal operation, and a hard saturation effect for high peaks of the input signal. In this paper, a methodology to identify a parsimonious discrete-time nonlinear state space model (NLSS) for the nonlinear dynamical system with relatively short data record is proposed. The capability of the NLSS model structure is demonstrated by introducing two different initialisation schemes, one of them using multivariate polynomials. In addition, a method using first-order information of the multivariate polynomials and tensor decomposition is employed to obtain the parsimonious decoupled representation of the set of multivariate real polynomials estimated during the identification of NLSS model. Finally, the experimental verification of the model structure is done on the cascaded water-benchmark identification problem.

Multivariate meta-analysis of individual participant data helped externally validate the performance and implementation of a prediction model.

PubMed

Snell, Kym I E; Hua, Harry; Debray, Thomas P A; Ensor, Joie; Look, Maxime P; Moons, Karel G M; Riley, Richard D

2016-01-01

Our aim was to improve meta-analysis methods for summarizing a prediction model's performance when individual participant data are available from multiple studies for external validation. We suggest multivariate meta-analysis for jointly synthesizing calibration and discrimination performance, while accounting for their correlation. The approach estimates a prediction model's average performance, the heterogeneity in performance across populations, and the probability of "good" performance in new populations. This allows different implementation strategies (e.g., recalibration) to be compared. Application is made to a diagnostic model for deep vein thrombosis (DVT) and a prognostic model for breast cancer mortality. In both examples, multivariate meta-analysis reveals that calibration performance is excellent on average but highly heterogeneous across populations unless the model's intercept (baseline hazard) is recalibrated. For the cancer model, the probability of "good" performance (defined by C statistic ≥0.7 and calibration slope between 0.9 and 1.1) in a new population was 0.67 with recalibration but 0.22 without recalibration. For the DVT model, even with recalibration, there was only a 0.03 probability of "good" performance. Multivariate meta-analysis can be used to externally validate a prediction model's calibration and discrimination performance across multiple populations and to evaluate different implementation strategies. Crown Copyright © 2016. Published by Elsevier Inc. All rights reserved.

Multivariate Formation Pressure Prediction with Seismic-derived Petrophysical Properties from Prestack AVO inversion and Poststack Seismic Motion Inversion

NASA Astrophysics Data System (ADS)

Yu, H.; Gu, H.

2017-12-01

A novel multivariate seismic formation pressure prediction methodology is presented, which incorporates high-resolution seismic velocity data from prestack AVO inversion, and petrophysical data (porosity and shale volume) derived from poststack seismic motion inversion. In contrast to traditional seismic formation prediction methods, the proposed methodology is based on a multivariate pressure prediction model and utilizes a trace-by-trace multivariate regression analysis on seismic-derived petrophysical properties to calibrate model parameters in order to make accurate predictions with higher resolution in both vertical and lateral directions. With prestack time migration velocity as initial velocity model, an AVO inversion was first applied to prestack dataset to obtain high-resolution seismic velocity with higher frequency that is to be used as the velocity input for seismic pressure prediction, and the density dataset to calculate accurate Overburden Pressure (OBP). Seismic Motion Inversion (SMI) is an inversion technique based on Markov Chain Monte Carlo simulation. Both structural variability and similarity of seismic waveform are used to incorporate well log data to characterize the variability of the property to be obtained. In this research, porosity and shale volume are first interpreted on well logs, and then combined with poststack seismic data using SMI to build porosity and shale volume datasets for seismic pressure prediction. A multivariate effective stress model is used to convert velocity, porosity and shale volume datasets to effective stress. After a thorough study of the regional stratigraphic and sedimentary characteristics, a regional normally compacted interval model is built, and then the coefficients in the multivariate prediction model are determined in a trace-by-trace multivariate regression analysis on the petrophysical data. The coefficients are used to convert velocity, porosity and shale volume datasets to effective stress and then to calculate formation pressure with OBP. Application of the proposed methodology to a research area in East China Sea has proved that the method can bridge the gap between seismic and well log pressure prediction and give predicted pressure values close to pressure meassurements from well testing.

Time Series Model Identification by Estimating Information.

DTIC Science & Technology

1982-11-01

principle, Applications of Statistics, P. R. Krishnaiah , ed., North-Holland: Amsterdam, 27-41. Anderson, T. W. (1971). The Statistical Analysis of Time Series...E. (1969). Multiple Time Series Modeling, Multivariate Analysis II, edited by P. Krishnaiah , Academic Press: New York, 389-409. Parzen, E. (1981...Newton, H. J. (1980). Multiple Time Series Modeling, II Multivariate Analysis - V, edited by P. Krishnaiah , North Holland: Amsterdam, 181-197. Shibata, R

Determining the Relationship Between Moral Waivers and Marine Corps Unsuitability Attrition

DTIC Science & Technology

2008-03-01

observed characteristics. However, econometric research indicates that the magnitude of interaction effects estimated via probit or logit models may...1997 to 2005. Multivariate probit models were used to analyze the effects of moral waivers on unsatisfactory service separations. 15. NUMBER OF...files from fiscal years 1997 to 2005. Multivariate probit models were used to analyze the effects of moral waivers on unsatisfactory service

Constraining Calcium Production in Novae

NASA Astrophysics Data System (ADS)

Tiwari, Pranjal; C. Fry, C. Wrede Team; A. Chen, J. Liang Collaboration; S. Bishop, T. Faestermann, D. Seiler Collaboration; R. Hertenberger, H. Wirth Collaboration

2017-09-01

Calcium is an element that can be produced by thermonuclear reactions in the hottest classical novae. There are discrepancies between the abundance of Calcium observed in novae and expectations based on astrophysical models. Unbound states 1 MeV above the proton threshold affect the production of Calcium in nova models because they act as resonances in the 38 K(p , γ) 39 Ca reaction present. This work describes an experiment to measure the energies of the excited states of 39 Ca . We will bombard a thin target of 40 Ca with a beam of 22 MeV deuterons, resulting in tritons and 39Ca. We will use a Q3D magnetic spectrograph from the MLL in Garching, Germany to momenta analyze the tritons to observe the excitation energies of the resulting 39 Ca states. Simulations have been run to determine the optimal spectrograph settings. We decided to use a chemically stable target composed of CaF2 , doing so resulted in an extra contaminant, Fluorine, which is dealt with by measuring the background from a LiF target. These simulations have led to settings and targets that will result in the observation of the 39 Ca states of interest with minimal interference from contaminants. Preliminary results from this experiment will be presented. National Sciences and Engineering Research Council of Canada and U.S. National Science Foundation.

Investigations of Spectroscopic Factors and Sum Rules from the Single Neutron Transfer Reaction 111Cd(overrightarrow {{d}} ,p)112Cd

NASA Astrophysics Data System (ADS)

Jamieson, D. S.; Garrett, P. E.; Ball, G. C.; Demand, G. A.; Faestermann, T.; Finlay, P.; Green, K. L.; Hertenberger, R.; Krücken, R.; Leach, K. G.; Phillips, A. A.; Sumithrarachchi, C. S.; Triambak, S.; Wirth, H.-F.

2014-03-01

Cadmium isotopes have been presented for decades as excellent examples of vibrational nuclei, with low-lying levels interpreted as multi-phonon quadrupole, octupole, and mixed-symmetry states. A large amount of spectroscopic data has been obtained through various experimental studies of cadmiumisotopes. In the present work, the 111Cd(overrightarrow {{d}} ,p)112Cd reaction was used to investigate the single-particle structure of the 112Cd nucleus. A 22 MeV beam of polarized deuterons was obtained at the Maier-Leibnitz laboratory in Garching, Germany. The reaction ejectiles were momentum analyzed using a Q3D spectrograph, and 130 levels have been identified up to 4.2 MeV of excitation energy. Using DWBA analysis with optical model calculations, spin-parity assignments have been made for observed levels, and spectroscopic factors have been extracted from the experimental angular distributions of differential cross section and analyzing power. In this high energy resolution investigation, many additional levels have been observed compared with the previous (d,p) study using 8 MeV deuterons [1]. There were a total of 44 new levels observed, and the parity assignments of 34 levels were improved.

The short-term impact of economic uncertainty on motor vehicle collisions.

PubMed

Vandoros, Sotiris; Avendano, Mauricio; Kawachi, Ichiro

2018-06-01

Stress and anxiety lead to attention loss and sleep deprivation and may reduce driving performance, increasing the risk of motor vehicle collision. We used evidence from a natural experiment to examine whether daily changes in economic uncertainty, potentially leading to attention or sleep loss, are associated with collisions in Great Britain. Daily data from the economic policy uncertainty index, derived from analysis of daily UK newspapers, were linked to the daily number of motor vehicle collisions in Great Britain over the period 2005-2015, obtained from the Department for Transport. Exploiting daily variations in economic uncertainty, we used a GARCH approach to model daily rates of motor vehicle collisions as a function of economic uncertainty, controlling for month and day of the week, monthly unemployment rates and weekly unleaded petrol prices. A spike in the daily economic uncertainty index was associated with an immediate increase in the number of motor vehicle collisions. Results were robust to various sensitivity analyses. Overall, daily increases in economic uncertainty are associated with short-term spikes in motor vehicle collisions. Preventive and traffic control measures may need to increase during periods of economic uncertainty. Copyright © 2018 Elsevier Inc. All rights reserved.

A General Multivariate Latent Growth Model with Applications to Student Achievement

ERIC Educational Resources Information Center

Bianconcini, Silvia; Cagnone, Silvia

2012-01-01

The evaluation of the formative process in the University system has been assuming an ever increasing importance in the European countries. Within this context, the analysis of student performance and capabilities plays a fundamental role. In this work, the authors propose a multivariate latent growth model for studying the performances of a…

Bayesian Estimation of Random Coefficient Dynamic Factor Models

ERIC Educational Resources Information Center

Song, Hairong; Ferrer, Emilio

2012-01-01

Dynamic factor models (DFMs) have typically been applied to multivariate time series data collected from a single unit of study, such as a single individual or dyad. The goal of DFMs application is to capture dynamics of multivariate systems. When multiple units are available, however, DFMs are not suited to capture variations in dynamics across…

Rotation in the Dynamic Factor Modeling of Multivariate Stationary Time Series.

ERIC Educational Resources Information Center

Molenaar, Peter C. M.; Nesselroade, John R.

2001-01-01

Proposes a special rotation procedure for the exploratory dynamic factor model for stationary multivariate time series. The rotation procedure applies separately to each univariate component series of a q-variate latent factor series and transforms such a component, initially represented as white noise, into a univariate moving-average.…

Modeling Associations among Multivariate Longitudinal Categorical Variables in Survey Data: A Semiparametric Bayesian Approach

ERIC Educational Resources Information Center

Tchumtchoua, Sylvie; Dey, Dipak K.

2012-01-01

This paper proposes a semiparametric Bayesian framework for the analysis of associations among multivariate longitudinal categorical variables in high-dimensional data settings. This type of data is frequent, especially in the social and behavioral sciences. A semiparametric hierarchical factor analysis model is developed in which the…

Parametric Cost Models for Space Telescopes

NASA Technical Reports Server (NTRS)

Stahl, H. Philip

2010-01-01

A study is in-process to develop a multivariable parametric cost model for space telescopes. Cost and engineering parametric data has been collected on 30 different space telescopes. Statistical correlations have been developed between 19 variables of 59 variables sampled. Single Variable and Multi-Variable Cost Estimating Relationships have been developed. Results are being published.

A Dynamic Intrusion Detection System Based on Multivariate Hotelling's T2 Statistics Approach for Network Environments

PubMed Central

Avalappampatty Sivasamy, Aneetha; Sundan, Bose

2015-01-01

The ever expanding communication requirements in today's world demand extensive and efficient network systems with equally efficient and reliable security features integrated for safe, confident, and secured communication and data transfer. Providing effective security protocols for any network environment, therefore, assumes paramount importance. Attempts are made continuously for designing more efficient and dynamic network intrusion detection models. In this work, an approach based on Hotelling's T2 method, a multivariate statistical analysis technique, has been employed for intrusion detection, especially in network environments. Components such as preprocessing, multivariate statistical analysis, and attack detection have been incorporated in developing the multivariate Hotelling's T2 statistical model and necessary profiles have been generated based on the T-square distance metrics. With a threshold range obtained using the central limit theorem, observed traffic profiles have been classified either as normal or attack types. Performance of the model, as evaluated through validation and testing using KDD Cup'99 dataset, has shown very high detection rates for all classes with low false alarm rates. Accuracy of the model presented in this work, in comparison with the existing models, has been found to be much better. PMID:26357668

A Dynamic Intrusion Detection System Based on Multivariate Hotelling's T2 Statistics Approach for Network Environments.

PubMed

Sivasamy, Aneetha Avalappampatty; Sundan, Bose

2015-01-01

The ever expanding communication requirements in today's world demand extensive and efficient network systems with equally efficient and reliable security features integrated for safe, confident, and secured communication and data transfer. Providing effective security protocols for any network environment, therefore, assumes paramount importance. Attempts are made continuously for designing more efficient and dynamic network intrusion detection models. In this work, an approach based on Hotelling's T(2) method, a multivariate statistical analysis technique, has been employed for intrusion detection, especially in network environments. Components such as preprocessing, multivariate statistical analysis, and attack detection have been incorporated in developing the multivariate Hotelling's T(2) statistical model and necessary profiles have been generated based on the T-square distance metrics. With a threshold range obtained using the central limit theorem, observed traffic profiles have been classified either as normal or attack types. Performance of the model, as evaluated through validation and testing using KDD Cup'99 dataset, has shown very high detection rates for all classes with low false alarm rates. Accuracy of the model presented in this work, in comparison with the existing models, has been found to be much better.

Predictive model for falling in Parkinson disease patients.

PubMed

Custodio, Nilton; Lira, David; Herrera-Perez, Eder; Montesinos, Rosa; Castro-Suarez, Sheila; Cuenca-Alfaro, Jose; Cortijo, Patricia

2016-12-01

Falls are a common complication of advancing Parkinson's disease (PD). Although numerous risk factors are known, reliable predictors of future falls are still lacking. The aim of this study was to develop a multivariate model to predict falling in PD patients. Prospective cohort with forty-nine PD patients. The area under the receiver-operating characteristic curve (AUC) was calculated to evaluate predictive performance of the purposed multivariate model. The median of PD duration and UPDRS-III score in the cohort was 6 years and 24 points, respectively. Falls occurred in 18 PD patients (30%). Predictive factors for falling identified by univariate analysis were age, PD duration, physical activity, and scores of UPDRS motor, FOG, ACE, IFS, PFAQ and GDS ( p -value < 0.001), as well as fear of falling score ( p -value = 0.04). The final multivariate model (PD duration, FOG, ACE, and physical activity) showed an AUC = 0.9282 (correctly classified = 89.83%; sensitivity = 92.68%; specificity = 83.33%). This study showed that our multivariate model have a high performance to predict falling in a sample of PD patients.

The choice of prior distribution for a covariance matrix in multivariate meta-analysis: a simulation study.

PubMed

Hurtado Rúa, Sandra M; Mazumdar, Madhu; Strawderman, Robert L

2015-12-30

Bayesian meta-analysis is an increasingly important component of clinical research, with multivariate meta-analysis a promising tool for studies with multiple endpoints. Model assumptions, including the choice of priors, are crucial aspects of multivariate Bayesian meta-analysis (MBMA) models. In a given model, two different prior distributions can lead to different inferences about a particular parameter. A simulation study was performed in which the impact of families of prior distributions for the covariance matrix of a multivariate normal random effects MBMA model was analyzed. Inferences about effect sizes were not particularly sensitive to prior choice, but the related covariance estimates were. A few families of prior distributions with small relative biases, tight mean squared errors, and close to nominal coverage for the effect size estimates were identified. Our results demonstrate the need for sensitivity analysis and suggest some guidelines for choosing prior distributions in this class of problems. The MBMA models proposed here are illustrated in a small meta-analysis example from the periodontal field and a medium meta-analysis from the study of stroke. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.

Studying Resist Stochastics with the Multivariate Poisson Propagation Model

DOE PAGES

Naulleau, Patrick; Anderson, Christopher; Chao, Weilun; ...

2014-01-01

Progress in the ultimate performance of extreme ultraviolet resist has arguably decelerated in recent years suggesting an approach to stochastic limits both in photon counts and material parameters. Here we report on the performance of a variety of leading extreme ultraviolet resist both with and without chemical amplification. The measured performance is compared to stochastic modeling results using the Multivariate Poisson Propagation Model. The results show that the best materials are indeed nearing modeled performance limits.

Multivariable Parametric Cost Model for Ground Optical Telescope Assembly

NASA Technical Reports Server (NTRS)

Stahl, H. Philip; Rowell, Ginger Holmes; Reese, Gayle; Byberg, Alicia

2005-01-01

A parametric cost model for ground-based telescopes is developed using multivariable statistical analysis of both engineering and performance parameters. While diameter continues to be the dominant cost driver, diffraction-limited wavelength is found to be a secondary driver. Other parameters such as radius of curvature are examined. The model includes an explicit factor for primary mirror segmentation and/or duplication (i.e., multi-telescope phased-array systems). Additionally, single variable models Based on aperture diameter are derived.

Order-restricted inference for multivariate longitudinal data with applications to the natural history of hearing loss.

PubMed

Rosen, Sophia; Davidov, Ori

2012-07-20

Multivariate outcomes are often measured longitudinally. For example, in hearing loss studies, hearing thresholds for each subject are measured repeatedly over time at several frequencies. Thus, each patient is associated with a multivariate longitudinal outcome. The multivariate mixed-effects model is a useful tool for the analysis of such data. There are situations in which the parameters of the model are subject to some restrictions or constraints. For example, it is known that hearing thresholds, at every frequency, increase with age. Moreover, this age-related threshold elevation is monotone in frequency, that is, the higher the frequency, the higher, on average, is the rate of threshold elevation. This means that there is a natural ordering among the different frequencies in the rate of hearing loss. In practice, this amounts to imposing a set of constraints on the different frequencies' regression coefficients modeling the mean effect of time and age at entry to the study on hearing thresholds. The aforementioned constraints should be accounted for in the analysis. The result is a multivariate longitudinal model with restricted parameters. We propose estimation and testing procedures for such models. We show that ignoring the constraints may lead to misleading inferences regarding the direction and the magnitude of various effects. Moreover, simulations show that incorporating the constraints substantially improves the mean squared error of the estimates and the power of the tests. We used this methodology to analyze a real hearing loss study. Copyright © 2012 John Wiley & Sons, Ltd.

The NLS-Based Nonlinear Grey Multivariate Model for Forecasting Pollutant Emissions in China

PubMed Central

Pei, Ling-Ling; Li, Qin

2018-01-01

The relationship between pollutant discharge and economic growth has been a major research focus in environmental economics. To accurately estimate the nonlinear change law of China’s pollutant discharge with economic growth, this study establishes a transformed nonlinear grey multivariable (TNGM (1, N)) model based on the nonlinear least square (NLS) method. The Gauss–Seidel iterative algorithm was used to solve the parameters of the TNGM (1, N) model based on the NLS basic principle. This algorithm improves the precision of the model by continuous iteration and constantly approximating the optimal regression coefficient of the nonlinear model. In our empirical analysis, the traditional grey multivariate model GM (1, N) and the NLS-based TNGM (1, N) models were respectively adopted to forecast and analyze the relationship among wastewater discharge per capita (WDPC), and per capita emissions of SO2 and dust, alongside GDP per capita in China during the period 1996–2015. Results indicated that the NLS algorithm is able to effectively help the grey multivariable model identify the nonlinear relationship between pollutant discharge and economic growth. The results show that the NLS-based TNGM (1, N) model presents greater precision when forecasting WDPC, SO2 emissions and dust emissions per capita, compared to the traditional GM (1, N) model; WDPC indicates a growing tendency aligned with the growth of GDP, while the per capita emissions of SO2 and dust reduce accordingly. PMID:29517985

Kepler AutoRegressive Planet Search: Motivation & Methodology

NASA Astrophysics Data System (ADS)

Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

2015-08-01

The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Auto-Regressive Moving-Average (ARMA) models, Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH), and related models are flexible, phenomenological methods used with great success to model stochastic temporal behaviors in many fields of study, particularly econometrics. Powerful statistical methods are implemented in the public statistical software environment R and its many packages. Modeling involves maximum likelihood fitting, model selection, and residual analysis. These techniques provide a useful framework to model stellar variability and are used in KARPS with the objective of reducing stellar noise to enhance opportunities to find as-yet-undiscovered planets. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; ARMA-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. We apply the procedures to simulated Kepler-like time series with known stellar and planetary signals to evaluate the effectiveness of the KARPS procedures. The ARMA-type modeling is effective at reducing stellar noise, but also reduces and transforms the transit signal into ingress/egress spikes. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. We also illustrate the efficient coding in R.

Space-time variation of respiratory cancers in South Carolina: a flexible multivariate mixture modeling approach to risk estimation.

PubMed

Carroll, Rachel; Lawson, Andrew B; Kirby, Russell S; Faes, Christel; Aregay, Mehreteab; Watjou, Kevin

2017-01-01

Many types of cancer have an underlying spatiotemporal distribution. Spatiotemporal mixture modeling can offer a flexible approach to risk estimation via the inclusion of latent variables. In this article, we examine the application and benefits of using four different spatiotemporal mixture modeling methods in the modeling of cancer of the lung and bronchus as well as "other" respiratory cancer incidences in the state of South Carolina. Of the methods tested, no single method outperforms the other methods; which method is best depends on the cancer under consideration. The lung and bronchus cancer incidence outcome is best described by the univariate modeling formulation, whereas the "other" respiratory cancer incidence outcome is best described by the multivariate modeling formulation. Spatiotemporal multivariate mixture methods can aid in the modeling of cancers with small and sparse incidences when including information from a related, more common type of cancer. Copyright © 2016 Elsevier Inc. All rights reserved.

Multivariate Time Series Decomposition into Oscillation Components.

PubMed

Matsuda, Takeru; Komaki, Fumiyasu

2017-08-01

Many time series are considered to be a superposition of several oscillation components. We have proposed a method for decomposing univariate time series into oscillation components and estimating their phases (Matsuda & Komaki, 2017 ). In this study, we extend that method to multivariate time series. We assume that several oscillators underlie the given multivariate time series and that each variable corresponds to a superposition of the projections of the oscillators. Thus, the oscillators superpose on each variable with amplitude and phase modulation. Based on this idea, we develop gaussian linear state-space models and use them to decompose the given multivariate time series. The model parameters are estimated from data using the empirical Bayes method, and the number of oscillators is determined using the Akaike information criterion. Therefore, the proposed method extracts underlying oscillators in a data-driven manner and enables investigation of phase dynamics in a given multivariate time series. Numerical results show the effectiveness of the proposed method. From monthly mean north-south sunspot number data, the proposed method reveals an interesting phase relationship.

Bavarian Prime Minister to Visit la Silla

NASA Astrophysics Data System (ADS)

1997-03-01

The Bavarian Prime Minister, Dr. Edmund Stoiber , is currently visiting a number of countries in South America. He is accompanied by a high-ranking delegation of representatives of Bavarian politics and industry. During this trip, the Bavarian delegation will visit the Republic of Chile, arriving in Santiago de Chile on Sunday, March 9, 1997. On the same day, Dr. Stoiber and most other members of the delegation, on the invitation of the Director General of ESO, Professor Riccardo Giacconi, will visit the ESO La Silla Observatory , located in an isolated area in the Atacama desert some 600 km north of the Chilean capital. ESO, the European Organisation for Astronomy, with Headquarters in Garching near Munich in Bavaria, welcomes this opportunity to present its high-tech research facilities to Dr. Stoiber and leaders of the Bavarian industry. During the visit, the delegation will learn about the various front-line research projects, now being carried out by astronomers from Germany and other ESO member countries with the large telescopes at La Silla. There will also be a presentation of the ESO VLT project , which will become the world's largest optical astronomical telescope, when it is ready a few years from now. The delegation will be met by the Director of the La Silla Observatory, Dr. Jorge Melnick and his scientific-technical staff which includes several members of German nationality. Also present will be ESO's Head of Administration, Dr. Norbert König (Garching) and the General Manager of ESO in Chile, Mr. Daniel Hofstadt. More information about this visit and the ESO facilities is available from the ESO Education and Public Relations Department (Tel.: +49-89-32006-276; Fax.: +49-89-3202362; email: ips@eso.org; Web: http://www.eso.org../../../epr/ ). Diese Pressemitteilung ist auch in einer Deutschen Fassung vorhanden. How to obtain ESO Press Information ESO Press Information is made available on the World-Wide Web (URL: http://www.eso.org../). ESO Press Photos may be reproduced, if credit is given to the European Southern Observatory.

Experimental results of near real-time protection system for plasma facing components in Wendelstein 7-X at GLADIS

NASA Astrophysics Data System (ADS)

Ali, A.; Jakubowski, M.; Greuner, H.; Böswirth, B.; Moncada, V.; Sitjes, A. Puig; Neu, R.; Pedersen, T. S.; the W7-X Team

2017-12-01

One of the aims of stellarator Wendelstein 7-X (W7-X), is to investigate steady state operation, for which power exhaust is an important issue. The predominant fraction of the energy lost from the confined plasma region will be absorbed by an island divertors, which is designed for 10 {{MWm}}-2 steady state operation. In order to protect the divertor targets from overheating, 10 state-of-the-art infrared endoscopes will be installed at W7-X. In this work, we present the experimental results obtained at the high heat flux test facility GLADIS (Garching LArge DIvertor Sample test facility in IPP Garching) [1] during tests of a new plasma facing components (PFCs) protection algorithm designed for W7-X. The GLADIS device is equipped with two ion beams that can generate a heat load in the range from 3 MWm-2 to 55 MWm-2. The algorithms developed at W7-X to detect defects and hot spots are based on the analysis of surface temperature evolution and are adapted to work in near real-time. The aim of this work was to test the near real-time algorithms in conditions close to those expected in W7-X. The experiments were performed on W7-X pre-series tiles to detect CFC/Cu delaminations. For detection of surface layers, carbon fiber composite (CFC) blocks from the divertor of the Wendelstein 7-AS stellarator were used to observe temporal behavior of fully developed surface layers. These layers of re-deposited materials, like carbon, boron, oxygen and iron, were formed during the W7-AS operation. A detailed analysis of the composition and their thermal response to high heat fluxes (HHF) are described in [2]. The experiments indicate that the automatic detection of critical events works according to W7-X PFC protection requirements.

Multivariate meta-analysis using individual participant data

PubMed Central

Riley, R. D.; Price, M. J.; Jackson, D.; Wardle, M.; Gueyffier, F.; Wang, J.; Staessen, J. A.; White, I. R.

2016-01-01

When combining results across related studies, a multivariate meta-analysis allows the joint synthesis of correlated effect estimates from multiple outcomes. Joint synthesis can improve efficiency over separate univariate syntheses, may reduce selective outcome reporting biases, and enables joint inferences across the outcomes. A common issue is that within-study correlations needed to fit the multivariate model are unknown from published reports. However, provision of individual participant data (IPD) allows them to be calculated directly. Here, we illustrate how to use IPD to estimate within-study correlations, using a joint linear regression for multiple continuous outcomes and bootstrapping methods for binary, survival and mixed outcomes. In a meta-analysis of 10 hypertension trials, we then show how these methods enable multivariate meta-analysis to address novel clinical questions about continuous, survival and binary outcomes; treatment–covariate interactions; adjusted risk/prognostic factor effects; longitudinal data; prognostic and multiparameter models; and multiple treatment comparisons. Both frequentist and Bayesian approaches are applied, with example software code provided to derive within-study correlations and to fit the models. PMID:26099484

Multivariable Parametric Cost Model for Ground Optical: Telescope Assembly

NASA Technical Reports Server (NTRS)

Stahl, H. Philip; Rowell, Ginger Holmes; Reese, Gayle; Byberg, Alicia

2004-01-01

A parametric cost model for ground-based telescopes is developed using multi-variable statistical analysis of both engineering and performance parameters. While diameter continues to be the dominant cost driver, diffraction limited wavelength is found to be a secondary driver. Other parameters such as radius of curvature were examined. The model includes an explicit factor for primary mirror segmentation and/or duplication (i.e. multi-telescope phased-array systems). Additionally, single variable models based on aperture diameter were derived.

A Multivariate Multilevel Approach to the Modeling of Accuracy and Speed of Test Takers

ERIC Educational Resources Information Center

Klein Entink, R. H.; Fox, J. P.; van der Linden, W. J.

2009-01-01

Response times on test items are easily collected in modern computerized testing. When collecting both (binary) responses and (continuous) response times on test items, it is possible to measure the accuracy and speed of test takers. To study the relationships between these two constructs, the model is extended with a multivariate multilevel…

Multivariate regression model for partitioning tree volume of white oak into round-product classes

Treesearch

Daniel A. Yaussy; David L. Sonderman

1984-01-01

Describes the development of multivariate equations that predict the expected cubic volume of four round-product classes from independent variables composed of individual tree-quality characteristics. Although the model has limited application at this time, it does demonstrate the feasibility of partitioning total tree cubic volume into round-product classes based on...

The Dirichlet-Multinomial Model for Multivariate Randomized Response Data and Small Samples

ERIC Educational Resources Information Center

Avetisyan, Marianna; Fox, Jean-Paul

2012-01-01

In survey sampling the randomized response (RR) technique can be used to obtain truthful answers to sensitive questions. Although the individual answers are masked due to the RR technique, individual (sensitive) response rates can be estimated when observing multivariate response data. The beta-binomial model for binary RR data will be generalized…

Tracking Problem Solving by Multivariate Pattern Analysis and Hidden Markov Model Algorithms

ERIC Educational Resources Information Center

Anderson, John R.

2012-01-01

Multivariate pattern analysis can be combined with Hidden Markov Model algorithms to track the second-by-second thinking as people solve complex problems. Two applications of this methodology are illustrated with a data set taken from children as they interacted with an intelligent tutoring system for algebra. The first "mind reading" application…

Four Families of Multi-Variant Issues in Graduate-Level Asynchronous Online Courses

ERIC Educational Resources Information Center

Gisburne, Jaclyn M.; Fairchild, Patricia J.

2004-01-01

This is the first of several papers developed from a faculty and student perspective describing a new distance learning (DL) model. Integral to the model are four interrelated families of multi-variant issues, referred to here as (a) the academic divide, (b) student misalignment, (c) administrative influences, and (d) the use of student…

Assessing Reliability of Student Ratings of Advisor: A Comparison of Univariate and Multivariate Generalizability Approaches.

ERIC Educational Resources Information Center

Sun, Anji; Valiga, Michael J.

In this study, the reliability of the American College Testing (ACT) Program's "Survey of Academic Advising" (SAA) was examined using both univariate and multivariate generalizability theory approaches. The primary purpose of the study was to compare the results of three generalizability theory models (a random univariate model, a mixed…

Web-Based Tools for Modelling and Analysis of Multivariate Data: California Ozone Pollution Activity

ERIC Educational Resources Information Center

Dinov, Ivo D.; Christou, Nicolas

2011-01-01

This article presents a hands-on web-based activity motivated by the relation between human health and ozone pollution in California. This case study is based on multivariate data collected monthly at 20 locations in California between 1980 and 2006. Several strategies and tools for data interrogation and exploratory data analysis, model fitting…

Multivariate Generalizations of Student's t-Distribution. ONR Technical Report. [Biometric Lab Report No. 90-3.

ERIC Educational Resources Information Center

Gibbons, Robert D.; And Others

In the process of developing a conditionally-dependent item response theory (IRT) model, the problem arose of modeling an underlying multivariate normal (MVN) response process with general correlation among the items. Without the assumption of conditional independence, for which the underlying MVN cdf takes on comparatively simple forms and can be…

Bias and Precision of Measures of Association for a Fixed-Effect Multivariate Analysis of Variance Model

ERIC Educational Resources Information Center

Kim, Soyoung; Olejnik, Stephen

2005-01-01

The sampling distributions of five popular measures of association with and without two bias adjusting methods were examined for the single factor fixed-effects multivariate analysis of variance model. The number of groups, sample sizes, number of outcomes, and the strength of association were manipulated. The results indicate that all five…

POWTEX - A new High-Intensity Powder and Texture Diffractometer at FRM II, Garching Germany

NASA Astrophysics Data System (ADS)

Walter, J. M.; Brückel, T.; Dronskowski, R.; Hansen, B. T.; Houben, A.; Klein, H.; Leiss, B.; Vollbrecht, A.; Sowa, H.

2009-05-01

In recent years, neutron diffraction has become a routine tool in Geoscience for experimental high-field (HP/HT/HH) powder diffraction and for the quantitative analysis of the crystallographic preferred orientation (CPO). Quantitative texture analysis is e.g. involved in the research fields of fabric development in mono- and polyphase rocks, deformation histories and kinematics during mountain building processes and the characterization of flow kinematics in lava flows. Secondly the quantitative characterization of anisotropic physical properties of both rock and analogue materials is conducted by bulk texture measurements of sometimes larger sample volumes. This is easily achievable by neutron diffraction due to the high penetration capabilities of the neutrons. The resulting geoscientific need for increased measuring time at neutron diffraction facilities with the corresponding technical characteristics and equipment will in future be satisfied by this high-intensity diffractometer at the neutron research reactor FRM II in Garching, Germany. It will be built by a consortium of groups from the RWTH Aachen, Forschungszentrum Jülich and the University of Göttingen, who will also operate the instrument. The diffractometer will be optimized to high intensities (flux) with an equivalent sufficient resolution for polyphase rocks. Furthermore a broad range of d-values (0.5 to 15 Å) will be measurable. The uniqueness of this instrument is the geoscientific focus on different sample environments for in situ-static and deformation experiments (stress, strain and annealing/recrystallisation) and (U)HP/(U)HT experiments. A LP/LT or atmospheric-P deformation rig for in situ-deformation experiments on ice, halite or rock analogue materials is planned, to allow in situ-measurements of the texture development during deformation and annealing. Additionally a uniaxial HT/MP deformation apparatus for salt deformation experiments and an adapted Griggs- type deformation rig are also designated. Furthermore an uniaxial stress frame for in situ stress investigations is planned to conduct simultaneous measurements of stress, elastic or plastic deformation and texture. Other sample environments for geoscientific application will be HP/HT furnaces and pressure cells for powder diffraction investigations. Furthermore the diffractometer will be built in combination with a high-pressure multi anvil up to 25 GPa and 2500 K built by the University of Bayreuth at the same beam line. The detector concept allows single shot texture measurements and therefore the measurement of larger geological sample series as necessary for the investigations of complete geological structures. This concept is complementary to the geoscience neutron texture diffractometer in Dubna, Russia and the stress diffractometer STRESS-SPEC located also at the Garching research reactor. For powder diffraction the diffractometer will be complementary to the existing high-resolution powder diffractometer SPODI at the FRM-II. It will offer the possibility of short, high-intensity parametric powder diffraction measurements in dependency of temperature, electrical, magnetic and stress fields due to the higher flux at the sample. The optimization to high-intensities and therefore short measuring times will also allow time-resolved measurements of kinetic reactions even of small sample volumes.

MULTIVARIATE ANALYSES (CONONICAL CORRELATION AND PARTIAL LEAST SQUARE, PLS) TO MODEL AND ASSESS THE ASSOCIATION OF LANDSCAPE METRICS TO SURFACE WATER CHEMICAL AND BIOLOGICAL PROPERTIES USING SAVANNAH RIVER BASIN DATA.

EPA Science Inventory

Many multivariate methods are used in describing and predicting relation; each has its unique usage of categorical and non-categorical data. In multivariate analysis of variance (MANOVA), many response variables (y's) are related to many independent variables that are categorical...

Toward the Multivariate Modeling of Achievement, Aptitude, and Personality.

ERIC Educational Resources Information Center

Foshay, Wellesley R.; Misanchuk, Earl R.

1981-01-01

A multivariate investigation of the dynamics of cumulative achievement studied the influence of course grades, personality traits, environmental variables, and previous performance. The latter was the best single predictor of performance. (CJ)

Bayesian transformation cure frailty models with multivariate failure time data.

PubMed

Yin, Guosheng

2008-12-10

We propose a class of transformation cure frailty models to accommodate a survival fraction in multivariate failure time data. Established through a general power transformation, this family of cure frailty models includes the proportional hazards and the proportional odds modeling structures as two special cases. Within the Bayesian paradigm, we obtain the joint posterior distribution and the corresponding full conditional distributions of the model parameters for the implementation of Gibbs sampling. Model selection is based on the conditional predictive ordinate statistic and deviance information criterion. As an illustration, we apply the proposed method to a real data set from dentistry.

Multivariate exploration of non-intrusive load monitoring via spatiotemporal pattern network

DOE PAGES

Liu, Chao; Akintayo, Adedotun; Jiang, Zhanhong; ...

2017-12-18

Non-intrusive load monitoring (NILM) of electrical demand for the purpose of identifying load components has thus far mostly been studied using univariate data, e.g., using only whole building electricity consumption time series to identify a certain type of end-use such as lighting load. However, using additional variables in the form of multivariate time series data may provide more information in terms of extracting distinguishable features in the context of energy disaggregation. In this work, a novel probabilistic graphical modeling approach, namely the spatiotemporal pattern network (STPN) is proposed for energy disaggregation using multivariate time-series data. The STPN framework is shownmore » to be capable of handling diverse types of multivariate time-series to improve the energy disaggregation performance. The technique outperforms the state of the art factorial hidden Markov models (FHMM) and combinatorial optimization (CO) techniques in multiple real-life test cases. Furthermore, based on two homes' aggregate electric consumption data, a similarity metric is defined for the energy disaggregation of one home using a trained model based on the other home (i.e., out-of-sample case). The proposed similarity metric allows us to enhance scalability via learning supervised models for a few homes and deploying such models to many other similar but unmodeled homes with significantly high disaggregation accuracy.« less

A simple prognostic model for overall survival in metastatic renal cell carcinoma.

PubMed

Assi, Hazem I; Patenaude, Francois; Toumishey, Ethan; Ross, Laura; Abdelsalam, Mahmoud; Reiman, Tony

2016-01-01

The primary purpose of this study was to develop a simpler prognostic model to predict overall survival for patients treated for metastatic renal cell carcinoma (mRCC) by examining variables shown in the literature to be associated with survival. We conducted a retrospective analysis of patients treated for mRCC at two Canadian centres. All patients who started first-line treatment were included in the analysis. A multivariate Cox proportional hazards regression model was constructed using a stepwise procedure. Patients were assigned to risk groups depending on how many of the three risk factors from the final multivariate model they had. There were three risk factors in the final multivariate model: hemoglobin, prior nephrectomy, and time from diagnosis to treatment. Patients in the high-risk group (two or three risk factors) had a median survival of 5.9 months, while those in the intermediate-risk group (one risk factor) had a median survival of 16.2 months, and those in the low-risk group (no risk factors) had a median survival of 50.6 months. In multivariate analysis, shorter survival times were associated with hemoglobin below the lower limit of normal, absence of prior nephrectomy, and initiation of treatment within one year of diagnosis.

A simple prognostic model for overall survival in metastatic renal cell carcinoma

PubMed Central

Assi, Hazem I.; Patenaude, Francois; Toumishey, Ethan; Ross, Laura; Abdelsalam, Mahmoud; Reiman, Tony

2016-01-01

Introduction: The primary purpose of this study was to develop a simpler prognostic model to predict overall survival for patients treated for metastatic renal cell carcinoma (mRCC) by examining variables shown in the literature to be associated with survival. Methods: We conducted a retrospective analysis of patients treated for mRCC at two Canadian centres. All patients who started first-line treatment were included in the analysis. A multivariate Cox proportional hazards regression model was constructed using a stepwise procedure. Patients were assigned to risk groups depending on how many of the three risk factors from the final multivariate model they had. Results: There were three risk factors in the final multivariate model: hemoglobin, prior nephrectomy, and time from diagnosis to treatment. Patients in the high-risk group (two or three risk factors) had a median survival of 5.9 months, while those in the intermediate-risk group (one risk factor) had a median survival of 16.2 months, and those in the low-risk group (no risk factors) had a median survival of 50.6 months. Conclusions: In multivariate analysis, shorter survival times were associated with hemoglobin below the lower limit of normal, absence of prior nephrectomy, and initiation of treatment within one year of diagnosis. PMID:27217858

Multivariate exploration of non-intrusive load monitoring via spatiotemporal pattern network

DOE Office of Scientific and Technical Information (OSTI.GOV)

Liu, Chao; Akintayo, Adedotun; Jiang, Zhanhong

Non-intrusive load monitoring (NILM) of electrical demand for the purpose of identifying load components has thus far mostly been studied using univariate data, e.g., using only whole building electricity consumption time series to identify a certain type of end-use such as lighting load. However, using additional variables in the form of multivariate time series data may provide more information in terms of extracting distinguishable features in the context of energy disaggregation. In this work, a novel probabilistic graphical modeling approach, namely the spatiotemporal pattern network (STPN) is proposed for energy disaggregation using multivariate time-series data. The STPN framework is shownmore » to be capable of handling diverse types of multivariate time-series to improve the energy disaggregation performance. The technique outperforms the state of the art factorial hidden Markov models (FHMM) and combinatorial optimization (CO) techniques in multiple real-life test cases. Furthermore, based on two homes' aggregate electric consumption data, a similarity metric is defined for the energy disaggregation of one home using a trained model based on the other home (i.e., out-of-sample case). The proposed similarity metric allows us to enhance scalability via learning supervised models for a few homes and deploying such models to many other similar but unmodeled homes with significantly high disaggregation accuracy.« less

First results of the ITER-relevant negative ion beam test facility ELISE (invited).

PubMed

Fantz, U; Franzen, P; Heinemann, B; Wünderlich, D

2014-02-01

An important step in the European R&D roadmap towards the neutral beam heating systems of ITER is the new test facility ELISE (Extraction from a Large Ion Source Experiment) for large-scale extraction from a half-size ITER RF source. The test facility was constructed in the last years at Max-Planck-Institut für Plasmaphysik Garching and is now operational. ELISE is gaining early experience of the performance and operation of large RF-driven negative hydrogen ion sources with plasma illumination of a source area of 1 × 0.9 m(2) and an extraction area of 0.1 m(2) using 640 apertures. First results in volume operation, i.e., without caesium seeding, are presented.

Development and tests of molybdenum armored copper components for MITICA ion source

NASA Astrophysics Data System (ADS)

Pavei, Mauro; Böswirth, Bernd; Greuner, Henri; Marcuzzi, Diego; Rizzolo, Andrea; Valente, Matteo

2016-02-01

In order to prevent detrimental material erosion of components impinged by back-streaming positive D or H ions in the megavolt ITER injector and concept advancement beam source, a solution based on explosion bonding technique has been identified for producing a 1 mm thick molybdenum armour layer on copper substrate, compatible with ITER requirements. Prototypes have been recently manufactured and tested in the high heat flux test facility Garching Large Divertor Sample Test Facility (GLADIS) to check the capability of the molybdenum-copper interface to withstand several thermal shock cycles at high power density. This paper presents both the numerical fluid-dynamic analyses of the prototypes simulating the test conditions in GLADIS as well as the experimental results.

Determination of Trace Concentration in TMD Detectors using PGAA

NASA Astrophysics Data System (ADS)

Tomandl, I.; Viererbl, L.; Kudějová, P.; Lahodová, Z.; Klupák, V.; Fikrle, M.

2015-05-01

Transmutation detectors could be alternative to the traditional activation detector method for neutron fluence dosimetry at power nuclear reactors. This new method require an isotopically highly-sensitive, non-destructive in sense of compactness as well as isotopic content, precise and standardly used analytical method for trace concentration determination. The capability of Prompt Gamma-ray Activation Analysis (PGAA) for determination of trace concentrations of transmuted stable nuclides in the metallic foils of Ni, Au, Cu and Nb, which were irradiated for 21 days in the reactor core at the LVR-15 research reactor in Řež, is reported. The PGAA measurements of these activation foils were performed at the PGAA facility at Forschungs-Neutronenquelle Heinz Maier-Leibnitz (FRMII) in Garching.

Development and tests of molybdenum armored copper components for MITICA ion source

DOE Office of Scientific and Technical Information (OSTI.GOV)

Pavei, Mauro, E-mail: mauro.pavei@igi.cnr.it; Marcuzzi, Diego; Rizzolo, Andrea

2016-02-15

In order to prevent detrimental material erosion of components impinged by back-streaming positive D or H ions in the megavolt ITER injector and concept advancement beam source, a solution based on explosion bonding technique has been identified for producing a 1 mm thick molybdenum armour layer on copper substrate, compatible with ITER requirements. Prototypes have been recently manufactured and tested in the high heat flux test facility Garching Large Divertor Sample Test Facility (GLADIS) to check the capability of the molybdenum-copper interface to withstand several thermal shock cycles at high power density. This paper presents both the numerical fluid-dynamic analysesmore » of the prototypes simulating the test conditions in GLADIS as well as the experimental results.« less

Development and tests of molybdenum armored copper components for MITICA ion source.

PubMed

Pavei, Mauro; Böswirth, Bernd; Greuner, Henri; Marcuzzi, Diego; Rizzolo, Andrea; Valente, Matteo

2016-02-01

In order to prevent detrimental material erosion of components impinged by back-streaming positive D or H ions in the megavolt ITER injector and concept advancement beam source, a solution based on explosion bonding technique has been identified for producing a 1 mm thick molybdenum armour layer on copper substrate, compatible with ITER requirements. Prototypes have been recently manufactured and tested in the high heat flux test facility Garching Large Divertor Sample Test Facility (GLADIS) to check the capability of the molybdenum-copper interface to withstand several thermal shock cycles at high power density. This paper presents both the numerical fluid-dynamic analyses of the prototypes simulating the test conditions in GLADIS as well as the experimental results.

Investigation of excited 0+ states in 160Er populated via the (p, t) two-neutron transfer reaction

NASA Astrophysics Data System (ADS)

Burbadge, C.; Garrett, P. E.; Ball, G. C.; Bildstein, V.; Diaz Varela, A.; Dunlop, M. R.; Dunlop, R.; Faesternann, T.; Hertenberger, R.; Jamieson, D. S.; Kisliuk, D.; Leach, K. G.; Loranger, J.; MacLean, A. D.; Radich, A. J.; Rand, E. T.; Svensson, C. E.; Triambak, S.; Wirth, H.-F.

2018-05-01

Many efforts have been made in nuclear structure physics to interpret the nature of low-lying excited 0+ states in well-deformed rare-earth nuclei. However, one of the difficulties in resolving the nature of these states is that there is a paucity of data. In this work, excited 0+ states in the N = 92 nucleus 160Er were studied via the 162Er(p, t)160Er two-neutron transfer reaction, which is ideal for probing 0+ → 0+ transitions, at the Maier-Leibnitz-Laboratorium in Garching, Germany. Reaction products were momentum-analyzed with a Quadrupole-3-Dipole magnetic spectrograph. The 0+2 state was observed to be strongly populated with 18% of the ground state strength.

A High-Dimensional, Multivariate Copula Approach to Modeling Multivariate Agricultural Price Relationships and Tail Dependencies

Treesearch

Xuan Chi; Barry Goodwin

2012-01-01

Spatial and temporal relationships among agricultural prices have been an important topic of applied research for many years. Such research is used to investigate the performance of markets and to examine linkages up and down the marketing chain. This research has empirically evaluated price linkages by using correlation and regression models and, later, linear and...

Validation of cross-sectional time series and multivariate adaptive regression splines models for the prediction of energy expenditure in children and adolescents using doubly labeled water

USDA-ARS?s Scientific Manuscript database

Accurate, nonintrusive, and inexpensive techniques are needed to measure energy expenditure (EE) in free-living populations. Our primary aim in this study was to validate cross-sectional time series (CSTS) and multivariate adaptive regression splines (MARS) models based on observable participant cha...

Identifying pleiotropic genes in genome-wide association studies from related subjects using the linear mixed model and Fisher combination function.

PubMed

Yang, James J; Williams, L Keoki; Buu, Anne

2017-08-24

A multivariate genome-wide association test is proposed for analyzing data on multivariate quantitative phenotypes collected from related subjects. The proposed method is a two-step approach. The first step models the association between the genotype and marginal phenotype using a linear mixed model. The second step uses the correlation between residuals of the linear mixed model to estimate the null distribution of the Fisher combination test statistic. The simulation results show that the proposed method controls the type I error rate and is more powerful than the marginal tests across different population structures (admixed or non-admixed) and relatedness (related or independent). The statistical analysis on the database of the Study of Addiction: Genetics and Environment (SAGE) demonstrates that applying the multivariate association test may facilitate identification of the pleiotropic genes contributing to the risk for alcohol dependence commonly expressed by four correlated phenotypes. This study proposes a multivariate method for identifying pleiotropic genes while adjusting for cryptic relatedness and population structure between subjects. The two-step approach is not only powerful but also computationally efficient even when the number of subjects and the number of phenotypes are both very large.

Copula-based prediction of economic movements

NASA Astrophysics Data System (ADS)

García, J. E.; González-López, V. A.; Hirsh, I. D.

2016-06-01

In this paper we model the discretized returns of two paired time series BM&FBOVESPA Dividend Index and BM&FBOVESPA Public Utilities Index using multivariate Markov models. The discretization corresponds to three categories, high losses, high profits and the complementary periods of the series. In technical terms, the maximal memory that can be considered for a Markov model, can be derived from the size of the alphabet and dataset. The number of parameters needed to specify a discrete multivariate Markov chain grows exponentially with the order and dimension of the chain. In this case the size of the database is not large enough for a consistent estimation of the model. We apply a strategy to estimate a multivariate process with an order greater than the order achieved using standard procedures. The new strategy consist on obtaining a partition of the state space which is constructed from a combination, of the partitions corresponding to the two marginal processes and the partition corresponding to the multivariate Markov chain. In order to estimate the transition probabilities, all the partitions are linked using a copula. In our application this strategy provides a significant improvement in the movement predictions.

Cross-country transferability of multi-variable damage models

NASA Astrophysics Data System (ADS)

Wagenaar, Dennis; Lüdtke, Stefan; Kreibich, Heidi; Bouwer, Laurens

2017-04-01

Flood damage assessment is often done with simple damage curves based only on flood water depth. Additionally, damage models are often transferred in space and time, e.g. from region to region or from one flood event to another. Validation has shown that depth-damage curve estimates are associated with high uncertainties, particularly when applied in regions outside the area where the data for curve development was collected. Recently, progress has been made with multi-variable damage models created with data-mining techniques, i.e. Bayesian Networks and random forest. However, it is still unknown to what extent and under which conditions model transfers are possible and reliable. Model validations in different countries will provide valuable insights into the transferability of multi-variable damage models. In this study we compare multi-variable models developed on basis of flood damage datasets from Germany as well as from The Netherlands. Data from several German floods was collected using computer aided telephone interviews. Data from the 1993 Meuse flood in the Netherlands is available, based on compensations paid by the government. The Bayesian network and random forest based models are applied and validated in both countries on basis of the individual datasets. A major challenge was the harmonization of the variables between both datasets due to factors like differences in variable definitions, and regional and temporal differences in flood hazard and exposure characteristics. Results of model validations and comparisons in both countries are discussed, particularly in respect to encountered challenges and possible solutions for an improvement of model transferability.

Multivariate Prediction Equations for HbA1c Lowering, Weight Change, and Hypoglycemic Events Associated with Insulin Rescue Medication in Type 2 Diabetes Mellitus: Informing Economic Modeling.

PubMed

Willis, Michael; Asseburg, Christian; Nilsson, Andreas; Johnsson, Kristina; Kartman, Bernt

2017-03-01

Type 2 diabetes mellitus (T2DM) is chronic and progressive and the cost-effectiveness of new treatment interventions must be established over long time horizons. Given the limited durability of drugs, assumptions regarding downstream rescue medication can drive results. Especially for insulin, for which treatment effects and adverse events are known to depend on patient characteristics, this can be problematic for health economic evaluation involving modeling. To estimate parsimonious multivariate equations of treatment effects and hypoglycemic event risks for use in parameterizing insulin rescue therapy in model-based cost-effectiveness analysis. Clinical evidence for insulin use in T2DM was identified in PubMed and from published reviews and meta-analyses. Study and patient characteristics and treatment effects and adverse event rates were extracted and the data used to estimate parsimonious treatment effect and hypoglycemic event risk equations using multivariate regression analysis. Data from 91 studies featuring 171 usable study arms were identified, mostly for premix and basal insulin types. Multivariate prediction equations for glycated hemoglobin A 1c lowering and weight change were estimated separately for insulin-naive and insulin-experienced patients. Goodness of fit (R 2 ) for both outcomes were generally good, ranging from 0.44 to 0.84. Multivariate prediction equations for symptomatic, nocturnal, and severe hypoglycemic events were also estimated, though considerable heterogeneity in definitions limits their usefulness. Parsimonious and robust multivariate prediction equations were estimated for glycated hemoglobin A 1c and weight change, separately for insulin-naive and insulin-experienced patients. Using these in economic simulation modeling in T2DM can improve realism and flexibility in modeling insulin rescue medication. Copyright © 2017 International Society for Pharmacoeconomics and Outcomes Research (ISPOR). Published by Elsevier Inc. All rights reserved.

A multivariate mixed model system for wood specific gravity and moisture content of planted loblolly pine stands in the southern United States

Treesearch

Finto Antony; Laurence R. Schimleck; Alex Clark; Richard F. Daniels

2012-01-01

Specific gravity (SG) and moisture content (MC) both have a strong influence on the quantity and quality of wood fiber. We proposed a multivariate mixed model system to model the two properties simultaneously. Disk SG and MC at different height levels were measured from 3 trees in 135 stands across the natural range of loblolly pine and the stand level values were used...

Multivariate curve resolution-alternating least squares and kinetic modeling applied to near-infrared data from curing reactions of epoxy resins: mechanistic approach and estimation of kinetic rate constants.

PubMed

Garrido, M; Larrechi, M S; Rius, F X

2006-02-01

This study describes the combination of multivariate curve resolution-alternating least squares with a kinetic modeling strategy for obtaining the kinetic rate constants of a curing reaction of epoxy resins. The reaction between phenyl glycidyl ether and aniline is monitored by near-infrared spectroscopy under isothermal conditions for several initial molar ratios of the reagents. The data for all experiments, arranged in a column-wise augmented data matrix, are analyzed using multivariate curve resolution-alternating least squares. The concentration profiles recovered are fitted to a chemical model proposed for the reaction. The selection of the kinetic model is assisted by the information contained in the recovered concentration profiles. The nonlinear fitting provides the kinetic rate constants. The optimized rate constants are in agreement with values reported in the literature.

The PIT-trap-A "model-free" bootstrap procedure for inference about regression models with discrete, multivariate responses.

PubMed

Warton, David I; Thibaut, Loïc; Wang, Yi Alice

2017-01-01

Bootstrap methods are widely used in statistics, and bootstrapping of residuals can be especially useful in the regression context. However, difficulties are encountered extending residual resampling to regression settings where residuals are not identically distributed (thus not amenable to bootstrapping)-common examples including logistic or Poisson regression and generalizations to handle clustered or multivariate data, such as generalised estimating equations. We propose a bootstrap method based on probability integral transform (PIT-) residuals, which we call the PIT-trap, which assumes data come from some marginal distribution F of known parametric form. This method can be understood as a type of "model-free bootstrap", adapted to the problem of discrete and highly multivariate data. PIT-residuals have the key property that they are (asymptotically) pivotal. The PIT-trap thus inherits the key property, not afforded by any other residual resampling approach, that the marginal distribution of data can be preserved under PIT-trapping. This in turn enables the derivation of some standard bootstrap properties, including second-order correctness of pivotal PIT-trap test statistics. In multivariate data, bootstrapping rows of PIT-residuals affords the property that it preserves correlation in data without the need for it to be modelled, a key point of difference as compared to a parametric bootstrap. The proposed method is illustrated on an example involving multivariate abundance data in ecology, and demonstrated via simulation to have improved properties as compared to competing resampling methods.

The PIT-trap—A “model-free” bootstrap procedure for inference about regression models with discrete, multivariate responses

PubMed Central

Thibaut, Loïc; Wang, Yi Alice

2017-01-01

Bootstrap methods are widely used in statistics, and bootstrapping of residuals can be especially useful in the regression context. However, difficulties are encountered extending residual resampling to regression settings where residuals are not identically distributed (thus not amenable to bootstrapping)—common examples including logistic or Poisson regression and generalizations to handle clustered or multivariate data, such as generalised estimating equations. We propose a bootstrap method based on probability integral transform (PIT-) residuals, which we call the PIT-trap, which assumes data come from some marginal distribution F of known parametric form. This method can be understood as a type of “model-free bootstrap”, adapted to the problem of discrete and highly multivariate data. PIT-residuals have the key property that they are (asymptotically) pivotal. The PIT-trap thus inherits the key property, not afforded by any other residual resampling approach, that the marginal distribution of data can be preserved under PIT-trapping. This in turn enables the derivation of some standard bootstrap properties, including second-order correctness of pivotal PIT-trap test statistics. In multivariate data, bootstrapping rows of PIT-residuals affords the property that it preserves correlation in data without the need for it to be modelled, a key point of difference as compared to a parametric bootstrap. The proposed method is illustrated on an example involving multivariate abundance data in ecology, and demonstrated via simulation to have improved properties as compared to competing resampling methods. PMID:28738071

Synthesis of a control model for a liquid nitrogen cooled, closed circuit, cryogenic nitrogen wind tunnel and its validation

NASA Technical Reports Server (NTRS)

Balakrishna, S.; Goglia, G. L.

1979-01-01

The details of the efforts to synthesize a control-compatible multivariable model of a liquid nitrogen cooled, gaseous nitrogen operated, closed circuit, cryogenic pressure tunnel are presented. The synthesized model was transformed into a real-time cryogenic tunnel simulator, and this model is validated by comparing the model responses to the actual tunnel responses of the 0.3 m transonic cryogenic tunnel, using the quasi-steady-state and the transient responses of the model and the tunnel. The global nature of the simple, explicit, lumped multivariable model of a closed circuit cryogenic tunnel is demonstrated.

The impact of covariance misspecification in multivariate Gaussian mixtures on estimation and inference: an application to longitudinal modeling.

PubMed

Heggeseth, Brianna C; Jewell, Nicholas P

2013-07-20

Multivariate Gaussian mixtures are a class of models that provide a flexible parametric approach for the representation of heterogeneous multivariate outcomes. When the outcome is a vector of repeated measurements taken on the same subject, there is often inherent dependence between observations. However, a common covariance assumption is conditional independence-that is, given the mixture component label, the outcomes for subjects are independent. In this paper, we study, through asymptotic bias calculations and simulation, the impact of covariance misspecification in multivariate Gaussian mixtures. Although maximum likelihood estimators of regression and mixing probability parameters are not consistent under misspecification, they have little asymptotic bias when mixture components are well separated or if the assumed correlation is close to the truth even when the covariance is misspecified. We also present a robust standard error estimator and show that it outperforms conventional estimators in simulations and can indicate that the model is misspecified. Body mass index data from a national longitudinal study are used to demonstrate the effects of misspecification on potential inferences made in practice. Copyright © 2013 John Wiley & Sons, Ltd.

Multivariate meta-analysis using individual participant data.

PubMed

Riley, R D; Price, M J; Jackson, D; Wardle, M; Gueyffier, F; Wang, J; Staessen, J A; White, I R

2015-06-01

When combining results across related studies, a multivariate meta-analysis allows the joint synthesis of correlated effect estimates from multiple outcomes. Joint synthesis can improve efficiency over separate univariate syntheses, may reduce selective outcome reporting biases, and enables joint inferences across the outcomes. A common issue is that within-study correlations needed to fit the multivariate model are unknown from published reports. However, provision of individual participant data (IPD) allows them to be calculated directly. Here, we illustrate how to use IPD to estimate within-study correlations, using a joint linear regression for multiple continuous outcomes and bootstrapping methods for binary, survival and mixed outcomes. In a meta-analysis of 10 hypertension trials, we then show how these methods enable multivariate meta-analysis to address novel clinical questions about continuous, survival and binary outcomes; treatment-covariate interactions; adjusted risk/prognostic factor effects; longitudinal data; prognostic and multiparameter models; and multiple treatment comparisons. Both frequentist and Bayesian approaches are applied, with example software code provided to derive within-study correlations and to fit the models. © 2014 The Authors. Research Synthesis Methods published by John Wiley & Sons, Ltd.

Determination of rice syrup adulterant concentration in honey using three-dimensional fluorescence spectra and multivariate calibrations

NASA Astrophysics Data System (ADS)

Chen, Quansheng; Qi, Shuai; Li, Huanhuan; Han, Xiaoyan; Ouyang, Qin; Zhao, Jiewen

2014-10-01

To rapidly and efficiently detect the presence of adulterants in honey, three-dimensional fluorescence spectroscopy (3DFS) technique was employed with the help of multivariate calibration. The data of 3D fluorescence spectra were compressed using characteristic extraction and the principal component analysis (PCA). Then, partial least squares (PLS) and back propagation neural network (BP-ANN) algorithms were used for modeling. The model was optimized by cross validation, and its performance was evaluated according to root mean square error of prediction (RMSEP) and correlation coefficient (R) in prediction set. The results showed that BP-ANN model was superior to PLS models, and the optimum prediction results of the mixed group (sunflower ± longan ± buckwheat ± rape) model were achieved as follow: RMSEP = 0.0235 and R = 0.9787 in the prediction set. The study demonstrated that the 3D fluorescence spectroscopy technique combined with multivariate calibration has high potential in rapid, nondestructive, and accurate quantitative analysis of honey adulteration.

Multivariable model predictive control design of reactive distillation column for Dimethyl Ether production

NASA Astrophysics Data System (ADS)

Wahid, A.; Putra, I. G. E. P.

2018-03-01

Dimethyl ether (DME) as an alternative clean energy has attracted a growing attention in the recent years. DME production via reactive distillation has potential for capital cost and energy requirement savings. However, combination of reaction and distillation on a single column makes reactive distillation process a very complex multivariable system with high non-linearity of process and strong interaction between process variables. This study investigates a multivariable model predictive control (MPC) based on two-point temperature control strategy for the DME reactive distillation column to maintain the purities of both product streams. The process model is estimated by a first order plus dead time model. The DME and water purity is maintained by controlling a stage temperature in rectifying and stripping section, respectively. The result shows that the model predictive controller performed faster responses compared to conventional PI controller that are showed by the smaller ISE values. In addition, the MPC controller is able to handle the loop interactions well.

An Investigation of Multivariate Adaptive Regression Splines for Modeling and Analysis of Univariate and Semi-Multivariate Time Series Systems

DTIC Science & Technology

1991-09-01

However, there is no guarantee that this would work; for instance if the data were generated by an ARCH model (Tong, 1990 pp. 116-117) then a simple...Hill, R., Griffiths, W., Lutkepohl, H., and Lee, T., Introduction to the Theory and Practice of Econometrics , 2th ed., Wiley, 1985. Kendall, M., Stuart

Locating the Seventh Cervical Spinous Process: Development and Validation of a Multivariate Model Using Palpation and Personal Information.

PubMed

Ferreira, Ana Paula A; Póvoa, Luciana C; Zanier, José F C; Ferreira, Arthur S

2017-02-01

The aim of this study was to develop and validate a multivariate prediction model, guided by palpation and personal information, for locating the seventh cervical spinous process (C7SP). A single-blinded, cross-sectional study at a primary to tertiary health care center was conducted for model development and temporal validation. One-hundred sixty participants were prospectively included for model development (n = 80) and time-split validation stages (n = 80). The C7SP was located using the thorax-rib static method (TRSM). Participants underwent chest radiography for assessment of the inner body structure located with TRSM and using radio-opaque markers placed over the skin. Age, sex, height, body mass, body mass index, and vertex-marker distance (D V-M ) were used to predict the distance from the C7SP to the vertex (D V-C7 ). Multivariate linear regression modeling, limits of agreement plot, histogram of residues, receiver operating characteristic curves, and confusion tables were analyzed. The multivariate linear prediction model for D V-C7 (in centimeters) was D V-C7 = 0.986D V-M + 0.018(mass) + 0.014(age) - 1.008. Receiver operating characteristic curves had better discrimination of D V-C7 (area under the curve = 0.661; 95% confidence interval = 0.541-0.782; P = .015) than D V-M (area under the curve = 0.480; 95% confidence interval = 0.345-0.614; P = .761), with respective cutoff points at 23.40 cm (sensitivity = 41%, specificity = 63%) and 24.75 cm (sensitivity = 69%, specificity = 52%). The C7SP was correctly located more often when using predicted D V-C7 in the validation sample than when using the TRSM in the development sample: n = 53 (66%) vs n = 32 (40%), P < .001. Better accuracy was obtained when locating the C7SP by use of a multivariate model that incorporates palpation and personal information. Copyright © 2016. Published by Elsevier Inc.

DasPy – Open Source Multivariate Land Data Assimilation Framework with High Performance Computing

NASA Astrophysics Data System (ADS)

Han, Xujun; Li, Xin; Montzka, Carsten; Kollet, Stefan; Vereecken, Harry; Hendricks Franssen, Harrie-Jan

2015-04-01

Data assimilation has become a popular method to integrate observations from multiple sources with land surface models to improve predictions of the water and energy cycles of the soil-vegetation-atmosphere continuum. In recent years, several land data assimilation systems have been developed in different research agencies. Because of the software availability or adaptability, these systems are not easy to apply for the purpose of multivariate land data assimilation research. Multivariate data assimilation refers to the simultaneous assimilation of observation data for multiple model state variables into a simulation model. Our main motivation was to develop an open source multivariate land data assimilation framework (DasPy) which is implemented using the Python script language mixed with C++ and Fortran language. This system has been evaluated in several soil moisture, L-band brightness temperature and land surface temperature assimilation studies. The implementation allows also parameter estimation (soil properties and/or leaf area index) on the basis of the joint state and parameter estimation approach. LETKF (Local Ensemble Transform Kalman Filter) is implemented as the main data assimilation algorithm, and uncertainties in the data assimilation can be represented by perturbed atmospheric forcings, perturbed soil and vegetation properties and model initial conditions. The CLM4.5 (Community Land Model) was integrated as the model operator. The CMEM (Community Microwave Emission Modelling Platform), COSMIC (COsmic-ray Soil Moisture Interaction Code) and the two source formulation were integrated as observation operators for assimilation of L-band passive microwave, cosmic-ray soil moisture probe and land surface temperature measurements, respectively. DasPy is parallelized using the hybrid MPI (Message Passing Interface) and OpenMP (Open Multi-Processing) techniques. All the input and output data flow is organized efficiently using the commonly used NetCDF file format. Online 1D and 2D visualization of data assimilation results is also implemented to facilitate the post simulation analysis. In summary, DasPy is a ready to use open source parallel multivariate land data assimilation framework.

A comparison of bivariate, multivariate random-effects, and Poisson correlated gamma-frailty models to meta-analyze individual patient data of ordinal scale diagnostic tests.

PubMed

Simoneau, Gabrielle; Levis, Brooke; Cuijpers, Pim; Ioannidis, John P A; Patten, Scott B; Shrier, Ian; Bombardier, Charles H; de Lima Osório, Flavia; Fann, Jesse R; Gjerdingen, Dwenda; Lamers, Femke; Lotrakul, Manote; Löwe, Bernd; Shaaban, Juwita; Stafford, Lesley; van Weert, Henk C P M; Whooley, Mary A; Wittkampf, Karin A; Yeung, Albert S; Thombs, Brett D; Benedetti, Andrea

2017-11-01

Individual patient data (IPD) meta-analyses are increasingly common in the literature. In the context of estimating the diagnostic accuracy of ordinal or semi-continuous scale tests, sensitivity and specificity are often reported for a given threshold or a small set of thresholds, and a meta-analysis is conducted via a bivariate approach to account for their correlation. When IPD are available, sensitivity and specificity can be pooled for every possible threshold. Our objective was to compare the bivariate approach, which can be applied separately at every threshold, to two multivariate methods: the ordinal multivariate random-effects model and the Poisson correlated gamma-frailty model. Our comparison was empirical, using IPD from 13 studies that evaluated the diagnostic accuracy of the 9-item Patient Health Questionnaire depression screening tool, and included simulations. The empirical comparison showed that the implementation of the two multivariate methods is more laborious in terms of computational time and sensitivity to user-supplied values compared to the bivariate approach. Simulations showed that ignoring the within-study correlation of sensitivity and specificity across thresholds did not worsen inferences with the bivariate approach compared to the Poisson model. The ordinal approach was not suitable for simulations because the model was highly sensitive to user-supplied starting values. We tentatively recommend the bivariate approach rather than more complex multivariate methods for IPD diagnostic accuracy meta-analyses of ordinal scale tests, although the limited type of diagnostic data considered in the simulation study restricts the generalization of our findings. © 2017 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim.

PHI and PCA3 improve the prognostic performance of PRIAS and Epstein criteria in predicting insignificant prostate cancer in men eligible for active surveillance.

PubMed

Cantiello, Francesco; Russo, Giorgio Ivan; Cicione, Antonio; Ferro, Matteo; Cimino, Sebastiano; Favilla, Vincenzo; Perdonà, Sisto; De Cobelli, Ottavio; Magno, Carlo; Morgia, Giuseppe; Damiano, Rocco

2016-04-01

To assess the performance of prostate health index (PHI) and prostate cancer antigen 3 (PCA3) when added to the PRIAS or Epstein criteria in predicting the presence of pathologically insignificant prostate cancer (IPCa) in patients who underwent radical prostatectomy (RP) but eligible for active surveillance (AS). An observational retrospective study was performed in 188 PCa patients treated with laparoscopic or robot-assisted RP but eligible for AS according to Epstein or PRIAS criteria. Blood and urinary specimens were collected before initial prostate biopsy for PHI and PCA3 measurements. Multivariate logistic regression analyses and decision curve analysis were carried out to identify predictors of IPCa using the updated ERSPC definition. At the multivariate analyses, the inclusion of both PCA3 and PHI significantly increased the accuracy of the Epstein multivariate model in predicting IPCa with an increase of 17 % (AUC = 0.77) and of 32 % (AUC = 0.92), respectively. The inclusion of both PCA3 and PHI also increased the predictive accuracy of the PRIAS multivariate model with an increase of 29 % (AUC = 0.87) and of 39 % (AUC = 0.97), respectively. DCA revealed that the multivariable models with the addition of PHI or PCA3 showed a greater net benefit and performed better than the reference models. In a direct comparison, PHI outperformed PCA3 performance resulting in higher net benefit. In a same cohort of patients eligible for AS, the addition of PHI and PCA3 to Epstein or PRIAS models improved their prognostic performance. PHI resulted in greater net benefit in predicting IPCa compared to PCA3.

Seizure-Onset Mapping Based on Time-Variant Multivariate Functional Connectivity Analysis of High-Dimensional Intracranial EEG: A Kalman Filter Approach.

PubMed

Lie, Octavian V; van Mierlo, Pieter

2017-01-01

The visual interpretation of intracranial EEG (iEEG) is the standard method used in complex epilepsy surgery cases to map the regions of seizure onset targeted for resection. Still, visual iEEG analysis is labor-intensive and biased due to interpreter dependency. Multivariate parametric functional connectivity measures using adaptive autoregressive (AR) modeling of the iEEG signals based on the Kalman filter algorithm have been used successfully to localize the electrographic seizure onsets. Due to their high computational cost, these methods have been applied to a limited number of iEEG time-series (<60). The aim of this study was to test two Kalman filter implementations, a well-known multivariate adaptive AR model (Arnold et al. 1998) and a simplified, computationally efficient derivation of it, for their potential application to connectivity analysis of high-dimensional (up to 192 channels) iEEG data. When used on simulated seizures together with a multivariate connectivity estimator, the partial directed coherence, the two AR models were compared for their ability to reconstitute the designed seizure signal connections from noisy data. Next, focal seizures from iEEG recordings (73-113 channels) in three patients rendered seizure-free after surgery were mapped with the outdegree, a graph-theory index of outward directed connectivity. Simulation results indicated high levels of mapping accuracy for the two models in the presence of low-to-moderate noise cross-correlation. Accordingly, both AR models correctly mapped the real seizure onset to the resection volume. This study supports the possibility of conducting fully data-driven multivariate connectivity estimations on high-dimensional iEEG datasets using the Kalman filter approach.

Quantitative monitoring of sucrose, reducing sugar and total sugar dynamics for phenotyping of water-deficit stress tolerance in rice through spectroscopy and chemometrics

NASA Astrophysics Data System (ADS)

Das, Bappa; Sahoo, Rabi N.; Pargal, Sourabh; Krishna, Gopal; Verma, Rakesh; Chinnusamy, Viswanathan; Sehgal, Vinay K.; Gupta, Vinod K.; Dash, Sushanta K.; Swain, Padmini

2018-03-01

In the present investigation, the changes in sucrose, reducing and total sugar content due to water-deficit stress in rice leaves were modeled using visible, near infrared (VNIR) and shortwave infrared (SWIR) spectroscopy. The objectives of the study were to identify the best vegetation indices and suitable multivariate technique based on precise analysis of hyperspectral data (350 to 2500 nm) and sucrose, reducing sugar and total sugar content measured at different stress levels from 16 different rice genotypes. Spectral data analysis was done to identify suitable spectral indices and models for sucrose estimation. Novel spectral indices in near infrared (NIR) range viz. ratio spectral index (RSI) and normalised difference spectral indices (NDSI) sensitive to sucrose, reducing sugar and total sugar content were identified which were subsequently calibrated and validated. The RSI and NDSI models had R2 values of 0.65, 0.71 and 0.67; RPD values of 1.68, 1.95 and 1.66 for sucrose, reducing sugar and total sugar, respectively for validation dataset. Different multivariate spectral models such as artificial neural network (ANN), multivariate adaptive regression splines (MARS), multiple linear regression (MLR), partial least square regression (PLSR), random forest regression (RFR) and support vector machine regression (SVMR) were also evaluated. The best performing multivariate models for sucrose, reducing sugars and total sugars were found to be, MARS, ANN and MARS, respectively with respect to RPD values of 2.08, 2.44, and 1.93. Results indicated that VNIR and SWIR spectroscopy combined with multivariate calibration can be used as a reliable alternative to conventional methods for measurement of sucrose, reducing sugars and total sugars of rice under water-deficit stress as this technique is fast, economic, and noninvasive.

Using Time Series Analysis to Predict Cardiac Arrest in a PICU.

PubMed

Kennedy, Curtis E; Aoki, Noriaki; Mariscalco, Michele; Turley, James P

2015-11-01

To build and test cardiac arrest prediction models in a PICU, using time series analysis as input, and to measure changes in prediction accuracy attributable to different classes of time series data. Retrospective cohort study. Thirty-one bed academic PICU that provides care for medical and general surgical (not congenital heart surgery) patients. Patients experiencing a cardiac arrest in the PICU and requiring external cardiac massage for at least 2 minutes. None. One hundred three cases of cardiac arrest and 109 control cases were used to prepare a baseline dataset that consisted of 1,025 variables in four data classes: multivariate, raw time series, clinical calculations, and time series trend analysis. We trained 20 arrest prediction models using a matrix of five feature sets (combinations of data classes) with four modeling algorithms: linear regression, decision tree, neural network, and support vector machine. The reference model (multivariate data with regression algorithm) had an accuracy of 78% and 87% area under the receiver operating characteristic curve. The best model (multivariate + trend analysis data with support vector machine algorithm) had an accuracy of 94% and 98% area under the receiver operating characteristic curve. Cardiac arrest predictions based on a traditional model built with multivariate data and a regression algorithm misclassified cases 3.7 times more frequently than predictions that included time series trend analysis and built with a support vector machine algorithm. Although the final model lacks the specificity necessary for clinical application, we have demonstrated how information from time series data can be used to increase the accuracy of clinical prediction models.

Chemiluminescence-based multivariate sensing of local equivalence ratios in premixed atmospheric methane-air flames

DOE Office of Scientific and Technical Information (OSTI.GOV)

Tripathi, Markandey M.; Krishnan, Sundar R.; Srinivasan, Kalyan K.

Chemiluminescence emissions from OH*, CH*, C2, and CO2 formed within the reaction zone of premixed flames depend upon the fuel-air equivalence ratio in the burning mixture. In the present paper, a new partial least square regression (PLS-R) based multivariate sensing methodology is investigated and compared with an OH*/CH* intensity ratio-based calibration model for sensing equivalence ratio in atmospheric methane-air premixed flames. Five replications of spectral data at nine different equivalence ratios ranging from 0.73 to 1.48 were used in the calibration of both models. During model development, the PLS-R model was initially validated with the calibration data set using themore » leave-one-out cross validation technique. Since the PLS-R model used the entire raw spectral intensities, it did not need the nonlinear background subtraction of CO2 emission that is required for typical OH*/CH* intensity ratio calibrations. An unbiased spectral data set (not used in the PLS-R model development), for 28 different equivalence ratio conditions ranging from 0.71 to 1.67, was used to predict equivalence ratios using the PLS-R and the intensity ratio calibration models. It was found that the equivalence ratios predicted with the PLS-R based multivariate calibration model matched the experimentally measured equivalence ratios within 7%; whereas, the OH*/CH* intensity ratio calibration grossly underpredicted equivalence ratios in comparison to measured equivalence ratios, especially under rich conditions ( > 1.2). The practical implications of the chemiluminescence-based multivariate equivalence ratio sensing methodology are also discussed.« less

Local polynomial estimation of heteroscedasticity in a multivariate linear regression model and its applications in economics.

PubMed

Su, Liyun; Zhao, Yanyong; Yan, Tianshun; Li, Fenglan

2012-01-01

Multivariate local polynomial fitting is applied to the multivariate linear heteroscedastic regression model. Firstly, the local polynomial fitting is applied to estimate heteroscedastic function, then the coefficients of regression model are obtained by using generalized least squares method. One noteworthy feature of our approach is that we avoid the testing for heteroscedasticity by improving the traditional two-stage method. Due to non-parametric technique of local polynomial estimation, it is unnecessary to know the form of heteroscedastic function. Therefore, we can improve the estimation precision, when the heteroscedastic function is unknown. Furthermore, we verify that the regression coefficients is asymptotic normal based on numerical simulations and normal Q-Q plots of residuals. Finally, the simulation results and the local polynomial estimation of real data indicate that our approach is surely effective in finite-sample situations.

Multivariate calibration on NIR data: development of a model for the rapid evaluation of ethanol content in bakery products.

PubMed

Bello, Alessandra; Bianchi, Federica; Careri, Maria; Giannetto, Marco; Mori, Giovanni; Musci, Marilena

2007-11-05

A new NIR method based on multivariate calibration for determination of ethanol in industrially packed wholemeal bread was developed and validated. GC-FID was used as reference method for the determination of actual ethanol concentration of different samples of wholemeal bread with proper content of added ethanol, ranging from 0 to 3.5% (w/w). Stepwise discriminant analysis was carried out on the NIR dataset, in order to reduce the number of original variables by selecting those that were able to discriminate between the samples of different ethanol concentrations. With the so selected variables a multivariate calibration model was then obtained by multiple linear regression. The prediction power of the linear model was optimized by a new "leave one out" method, so that the number of original variables resulted further reduced.

Modeling of turbulent supersonic H2-air combustion with a multivariate beta PDF

NASA Technical Reports Server (NTRS)

Baurle, R. A.; Hassan, H. A.

1993-01-01

Recent calculations of turbulent supersonic reacting shear flows using an assumed multivariate beta PDF (probability density function) resulted in reduced production rates and a delay in the onset of combustion. This result is not consistent with available measurements. The present research explores two possible reasons for this behavior: use of PDF's that do not yield Favre averaged quantities, and the gradient diffusion assumption. A new multivariate beta PDF involving species densities is introduced which makes it possible to compute Favre averaged mass fractions. However, using this PDF did not improve comparisons with experiment. A countergradient diffusion model is then introduced. Preliminary calculations suggest this to be the cause of the discrepancy.

Square Root Graphical Models: Multivariate Generalizations of Univariate Exponential Families that Permit Positive Dependencies

PubMed Central

Inouye, David I.; Ravikumar, Pradeep; Dhillon, Inderjit S.

2016-01-01

We develop Square Root Graphical Models (SQR), a novel class of parametric graphical models that provides multivariate generalizations of univariate exponential family distributions. Previous multivariate graphical models (Yang et al., 2015) did not allow positive dependencies for the exponential and Poisson generalizations. However, in many real-world datasets, variables clearly have positive dependencies. For example, the airport delay time in New York—modeled as an exponential distribution—is positively related to the delay time in Boston. With this motivation, we give an example of our model class derived from the univariate exponential distribution that allows for almost arbitrary positive and negative dependencies with only a mild condition on the parameter matrix—a condition akin to the positive definiteness of the Gaussian covariance matrix. Our Poisson generalization allows for both positive and negative dependencies without any constraints on the parameter values. We also develop parameter estimation methods using node-wise regressions with ℓ1 regularization and likelihood approximation methods using sampling. Finally, we demonstrate our exponential generalization on a synthetic dataset and a real-world dataset of airport delay times. PMID:27563373

Optimal moment determination in POME-copula based hydrometeorological dependence modelling

NASA Astrophysics Data System (ADS)

Liu, Dengfeng; Wang, Dong; Singh, Vijay P.; Wang, Yuankun; Wu, Jichun; Wang, Lachun; Zou, Xinqing; Chen, Yuanfang; Chen, Xi

2017-07-01

Copula has been commonly applied in multivariate modelling in various fields where marginal distribution inference is a key element. To develop a flexible, unbiased mathematical inference framework in hydrometeorological multivariate applications, the principle of maximum entropy (POME) is being increasingly coupled with copula. However, in previous POME-based studies, determination of optimal moment constraints has generally not been considered. The main contribution of this study is the determination of optimal moments for POME for developing a coupled optimal moment-POME-copula framework to model hydrometeorological multivariate events. In this framework, margins (marginals, or marginal distributions) are derived with the use of POME, subject to optimal moment constraints. Then, various candidate copulas are constructed according to the derived margins, and finally the most probable one is determined, based on goodness-of-fit statistics. This optimal moment-POME-copula framework is applied to model the dependence patterns of three types of hydrometeorological events: (i) single-site streamflow-water level; (ii) multi-site streamflow; and (iii) multi-site precipitation, with data collected from Yichang and Hankou in the Yangtze River basin, China. Results indicate that the optimal-moment POME is more accurate in margin fitting and the corresponding copulas reflect a good statistical performance in correlation simulation. Also, the derived copulas, capturing more patterns which traditional correlation coefficients cannot reflect, provide an efficient way in other applied scenarios concerning hydrometeorological multivariate modelling.

Design, evaluation and test of an electronic, multivariable control for the F100 turbofan engine

NASA Technical Reports Server (NTRS)

Skira, C. A.; Dehoff, R. L.; Hall, W. E., Jr.

1980-01-01

A digital, multivariable control design procedure for the F100 turbofan engine is described. The controller is based on locally linear synthesis techniques using linear, quadratic regulator design methods. The control structure uses an explicit model reference form with proportional and integral feedback near a nominal trajectory. Modeling issues, design procedures for the control law and the estimation of poorly measured variables are presented.

Copula Multivariate analysis of Gross primary production and its hydro-environmental driver; A BIOME-BGC model applied to the Antisana páramos

NASA Astrophysics Data System (ADS)

Minaya, Veronica; Corzo, Gerald; van der Kwast, Johannes; Galarraga, Remigio; Mynett, Arthur

2014-05-01

Simulations of carbon cycling are prone to uncertainties from different sources, which in general are related to input data, parameters and the model representation capacities itself. The gross carbon uptake in the cycle is represented by the gross primary production (GPP), which deals with the spatio-temporal variability of the precipitation and the soil moisture dynamics. This variability associated with uncertainty of the parameters can be modelled by multivariate probabilistic distributions. Our study presents a novel methodology that uses multivariate Copulas analysis to assess the GPP. Multi-species and elevations variables are included in a first scenario of the analysis. Hydro-meteorological conditions that might generate a change in the next 50 or more years are included in a second scenario of this analysis. The biogeochemical model BIOME-BGC was applied in the Ecuadorian Andean region in elevations greater than 4000 masl with the presence of typical vegetation of páramo. The change of GPP over time is crucial for climate scenarios of the carbon cycling in this type of ecosystem. The results help to improve our understanding of the ecosystem function and clarify the dynamics and the relationship with the change of climate variables. Keywords: multivariate analysis, Copula, BIOME-BGC, NPP, páramos

Gaussian Mixture Models of Between-Source Variation for Likelihood Ratio Computation from Multivariate Data

PubMed Central

Franco-Pedroso, Javier; Ramos, Daniel; Gonzalez-Rodriguez, Joaquin

2016-01-01

In forensic science, trace evidence found at a crime scene and on suspect has to be evaluated from the measurements performed on them, usually in the form of multivariate data (for example, several chemical compound or physical characteristics). In order to assess the strength of that evidence, the likelihood ratio framework is being increasingly adopted. Several methods have been derived in order to obtain likelihood ratios directly from univariate or multivariate data by modelling both the variation appearing between observations (or features) coming from the same source (within-source variation) and that appearing between observations coming from different sources (between-source variation). In the widely used multivariate kernel likelihood-ratio, the within-source distribution is assumed to be normally distributed and constant among different sources and the between-source variation is modelled through a kernel density function (KDF). In order to better fit the observed distribution of the between-source variation, this paper presents a different approach in which a Gaussian mixture model (GMM) is used instead of a KDF. As it will be shown, this approach provides better-calibrated likelihood ratios as measured by the log-likelihood ratio cost (Cllr) in experiments performed on freely available forensic datasets involving different trace evidences: inks, glass fragments and car paints. PMID:26901680

Implementation Challenges for Multivariable Control: What You Did Not Learn in School

NASA Technical Reports Server (NTRS)

Garg, Sanjay

2008-01-01

Multivariable control allows controller designs that can provide decoupled command tracking and robust performance in the presence of modeling uncertainties. Although the last two decades have seen extensive development of multivariable control theory and example applications to complex systems in software/hardware simulations, there are no production flying systems aircraft or spacecraft, that use multivariable control. This is because of the tremendous challenges associated with implementation of such multivariable control designs. Unfortunately, the curriculum in schools does not provide sufficient time to be able to provide an exposure to the students in such implementation challenges. The objective of this paper is to share the lessons learned by a practitioner of multivariable control in the process of applying some of the modern control theory to the Integrated Flight Propulsion Control (IFPC) design for an advanced Short Take-Off Vertical Landing (STOVL) aircraft simulation.

Combining Frequency Doubling Technology Perimetry and Scanning Laser Polarimetry for Glaucoma Detection.

PubMed

Mwanza, Jean-Claude; Warren, Joshua L; Hochberg, Jessica T; Budenz, Donald L; Chang, Robert T; Ramulu, Pradeep Y

2015-01-01

To determine the ability of frequency doubling technology (FDT) and scanning laser polarimetry with variable corneal compensation (GDx-VCC) to detect glaucoma when used individually and in combination. One hundred ten normal and 114 glaucomatous subjects were tested with FDT C-20-5 screening protocol and the GDx-VCC. The discriminating ability was tested for each device individually and for both devices combined using GDx-NFI, GDx-TSNIT, number of missed points of FDT, and normal or abnormal FDT. Measures of discrimination included sensitivity, specificity, area under the curve (AUC), Akaike's information criterion (AIC), and prediction confidence interval lengths. For detecting glaucoma regardless of severity, the multivariable model resulting from the combination of GDx-TSNIT, number of abnormal points on FDT (NAP-FDT), and the interaction GDx-TSNIT×NAP-FDT (AIC: 88.28, AUC: 0.959, sensitivity: 94.6%, specificity: 89.5%) outperformed the best single-variable model provided by GDx-NFI (AIC: 120.88, AUC: 0.914, sensitivity: 87.8%, specificity: 84.2%). The multivariable model combining GDx-TSNIT, NAP-FDT, and interaction GDx-TSNIT×NAP-FDT consistently provided better discriminating abilities for detecting early, moderate, and severe glaucoma than the best single-variable models. The multivariable model including GDx-TSNIT, NAP-FDT, and the interaction GDx-TSNIT×NAP-FDT provides the best glaucoma prediction compared with all other multivariable and univariable models. Combining the FDT C-20-5 screening protocol and GDx-VCC improves glaucoma detection compared with using GDx or FDT alone.

Comparative evaluation of spectroscopic models using different multivariate statistical tools in a multicancer scenario

NASA Astrophysics Data System (ADS)

Ghanate, A. D.; Kothiwale, S.; Singh, S. P.; Bertrand, Dominique; Krishna, C. Murali

2011-02-01

Cancer is now recognized as one of the major causes of morbidity and mortality. Histopathological diagnosis, the gold standard, is shown to be subjective, time consuming, prone to interobserver disagreement, and often fails to predict prognosis. Optical spectroscopic methods are being contemplated as adjuncts or alternatives to conventional cancer diagnostics. The most important aspect of these approaches is their objectivity, and multivariate statistical tools play a major role in realizing it. However, rigorous evaluation of the robustness of spectral models is a prerequisite. The utility of Raman spectroscopy in the diagnosis of cancers has been well established. Until now, the specificity and applicability of spectral models have been evaluated for specific cancer types. In this study, we have evaluated the utility of spectroscopic models representing normal and malignant tissues of the breast, cervix, colon, larynx, and oral cavity in a broader perspective, using different multivariate tests. The limit test, which was used in our earlier study, gave high sensitivity but suffered from poor specificity. The performance of other methods such as factorial discriminant analysis and partial least square discriminant analysis are at par with more complex nonlinear methods such as decision trees, but they provide very little information about the classification model. This comparative study thus demonstrates not just the efficacy of Raman spectroscopic models but also the applicability and limitations of different multivariate tools for discrimination under complex conditions such as the multicancer scenario.

Atrial Electrogram Fractionation Distribution before and after Pulmonary Vein Isolation in Human Persistent Atrial Fibrillation-A Retrospective Multivariate Statistical Analysis.

PubMed

Almeida, Tiago P; Chu, Gavin S; Li, Xin; Dastagir, Nawshin; Tuan, Jiun H; Stafford, Peter J; Schlindwein, Fernando S; Ng, G André

2017-01-01

Purpose: Complex fractionated atrial electrograms (CFAE)-guided ablation after pulmonary vein isolation (PVI) has been used for persistent atrial fibrillation (persAF) therapy. This strategy has shown suboptimal outcomes due to, among other factors, undetected changes in the atrial tissue following PVI. In the present work, we investigate CFAE distribution before and after PVI in patients with persAF using a multivariate statistical model. Methods: 207 pairs of atrial electrograms (AEGs) were collected before and after PVI respectively, from corresponding LA regions in 18 persAF patients. Twelve attributes were measured from the AEGs, before and after PVI. Statistical models based on multivariate analysis of variance (MANOVA) and linear discriminant analysis (LDA) have been used to characterize the atrial regions and AEGs. Results: PVI significantly reduced CFAEs in the LA (70 vs. 40%; P < 0.0001). Four types of LA regions were identified, based on the AEGs characteristics: (i) fractionated before PVI that remained fractionated after PVI (31% of the collected points); (ii) fractionated that converted to normal (39%); (iii) normal prior to PVI that became fractionated (9%) and; (iv) normal that remained normal (21%). Individually, the attributes failed to distinguish these LA regions, but multivariate statistical models were effective in their discrimination ( P < 0.0001). Conclusion: Our results have unveiled that there are LA regions resistant to PVI, while others are affected by it. Although, traditional methods were unable to identify these different regions, the proposed multivariate statistical model discriminated LA regions resistant to PVI from those affected by it without prior ablation information.

A multivariable model for predicting the frictional behaviour and hydration of the human skin.

PubMed

Veijgen, N K; van der Heide, E; Masen, M A

2013-08-01

The frictional characteristics of skin-object interactions are important when handling objects, in the assessment of perception and comfort of products and materials and in the origins and prevention of skin injuries. In this study, based on statistical methods, a quantitative model is developed that describes the friction behaviour of human skin as a function of the subject characteristics, contact conditions, the properties of the counter material as well as environmental conditions. Although the frictional behaviour of human skin is a multivariable problem, in literature the variables that are associated with skin friction have been studied using univariable methods. In this work, multivariable models for the static and dynamic coefficients of friction as well as for the hydration of the skin are presented. A total of 634 skin-friction measurements were performed using a recently developed tribometer. Using a statistical analysis, previously defined potential influential variables were linked to the static and dynamic coefficient of friction and to the hydration of the skin, resulting in three predictive quantitative models that descibe the friction behaviour and the hydration of human skin respectively. Increased dynamic coefficients of friction were obtained from older subjects, on the index finger, with materials with a higher surface energy at higher room temperatures, whereas lower dynamic coefficients of friction were obtained at lower skin temperatures, on the temple with rougher contact materials. The static coefficient of friction increased with higher skin hydration, increasing age, on the index finger, with materials with a higher surface energy and at higher ambient temperatures. The hydration of the skin was associated with the skin temperature, anatomical location, presence of hair on the skin and the relative air humidity. Predictive models have been derived for the static and dynamic coefficient of friction using a multivariable approach. These two coefficients of friction show a strong correlation. Consequently the two multivariable models resemble, with the static coefficient of friction being on average 18% lower than the dynamic coefficient of friction. The multivariable models in this study can be used to describe the data set that was the basis for this study. Care should be taken when generalising these results. © 2013 John Wiley & Sons A/S. Published by John Wiley & Sons Ltd.

The equation of state package FEOS for high energy density matter

NASA Astrophysics Data System (ADS)

Faik, Steffen; Tauschwitz, Anna; Iosilevskiy, Igor

2018-06-01

Adequate equation of state (EOS) data is of high interest in the growing field of high energy density physics and especially essential for hydrodynamic simulation codes. The semi-analytical method used in the newly developed Frankfurt equation of state (FEOS) package provides an easy and fast access to the EOS of - in principle - arbitrary materials. The code is based on the well known QEOS model (More et al., 1988; Young and Corey, 1995) and is a further development of the MPQeos code (Kemp and Meyer-ter Vehn, 1988; Kemp and Meyer-ter Vehn, 1998) from Max-Planck-Institut für Quantenoptik (MPQ) in Garching Germany. The list of features contains the calculation of homogeneous mixtures of chemical elements and the description of the liquid-vapor two-phase region with or without a Maxwell construction. Full flexibility of the package is assured by its structure: A program library provides the EOS with an interface designed for Fortran or C/C++ codes. Two additional software tools allow for the generation of EOS tables in different file output formats and for the calculation and visualization of isolines and Hugoniot shock adiabats. As an example the EOS of fused silica (SiO2) is calculated and compared to experimental data and other EOS codes.

Upgrade to the control system of the reflectometry diagnostic of ASDEX upgrade

NASA Astrophysics Data System (ADS)

Graça, S.; Santos, J.; Manso, M. E.

2004-10-01

The broadband frequency modulation-continuous wave microwave/millimeter wave reflectometer of ASDEX upgrade tokamak (Institut für Plasma Physik (IPP), Garching, Germany) developed by Centro de Fusão Nuclear (Lisboa, Portugal) with the collaboration of IPP, is a complex system with 13 channels (O and X modes) and two types of operation modes (swept and fixed frequency). The control system that ensures remote operation of the diagnostic incorporates VME and CAMAC bus based acquisition/timing systems. Microprocessor input/output boards are used to control and monitor the microwave circuitry and associated electronic devices. The implementation of the control system is based on an object-oriented client/server model: a centralized server manages the hardware and receives input from remote clients. Communication is handled through transmission control protocol/internet protocol sockets. Here we describe recent upgrades of the control system aiming to: (i) accommodate new channels; (ii) adapt to the heterogeneity of computing platforms and operating systems; and (iii) overcome remote access restrictions. Platform and operating system independence was achieved by redesigning the graphical user interface in JAVA. As secure shell is the standard remote access protocol adopted in major fusion laboratories, secure shell tunneling was implemented to allow remote operation of the diagnostic through the existing firewalls.

An effective drift correction for dynamical downscaling of decadal global climate predictions

NASA Astrophysics Data System (ADS)

Paeth, Heiko; Li, Jingmin; Pollinger, Felix; Müller, Wolfgang A.; Pohlmann, Holger; Feldmann, Hendrik; Panitz, Hans-Jürgen

2018-04-01

Initialized decadal climate predictions with coupled climate models are often marked by substantial climate drifts that emanate from a mismatch between the climatology of the coupled model system and the data set used for initialization. While such drifts may be easily removed from the prediction system when analyzing individual variables, a major problem prevails for multivariate issues and, especially, when the output of the global prediction system shall be used for dynamical downscaling. In this study, we present a statistical approach to remove climate drifts in a multivariate context and demonstrate the effect of this drift correction on regional climate model simulations over the Euro-Atlantic sector. The statistical approach is based on an empirical orthogonal function (EOF) analysis adapted to a very large data matrix. The climate drift emerges as a dramatic cooling trend in North Atlantic sea surface temperatures (SSTs) and is captured by the leading EOF of the multivariate output from the global prediction system, accounting for 7.7% of total variability. The SST cooling pattern also imposes drifts in various atmospheric variables and levels. The removal of the first EOF effectuates the drift correction while retaining other components of intra-annual, inter-annual and decadal variability. In the regional climate model, the multivariate drift correction of the input data removes the cooling trends in most western European land regions and systematically reduces the discrepancy between the output of the regional climate model and observational data. In contrast, removing the drift only in the SST field from the global model has hardly any positive effect on the regional climate model.

Ways to improve the efficiency and reliability of radio frequency driven negative ion sources for fusion.

PubMed

Kraus, W; Briefi, S; Fantz, U; Gutmann, P; Doerfler, J

2014-02-01

Large RF driven negative hydrogen ion sources are being developed at IPP Garching for the future neutral beam injection system of ITER. The overall power efficiency of these sources is low, because for the RF power supply self-excited generators are utilized and the plasma is generated in small cylindrical sources ("drivers") and expands into the source main volume. At IPP experiments to reduce the primary power and the RF power required for the plasma production are performed in two ways: The oscillator generator of the prototype source has been replaced by a transistorized RF transmitter and two alternative driver concepts, a spiral coil, in which the field is concentrated by ferrites, which omits the losses by plasma expansion and a helicon source are being tested.

Does implied volatility of currency futures option imply volatility of exchange rates?

NASA Astrophysics Data System (ADS)

Wang, Alan T.

2007-02-01

By investigating currency futures options, this paper provides an alternative economic implication for the result reported by Stein [Overreactions in the options market, Journal of Finance 44 (1989) 1011-1023] that long-maturity options tend to overreact to changes in the implied volatility of short-maturity options. When a GARCH process is assumed for exchange rates, a continuous-time relationship is developed. We provide evidence that implied volatilities may not be the simple average of future expected volatilities. By comparing the term-structure relationship of implied volatilities with the process of the underlying exchange rates, we find that long-maturity options are more consistent with the exchange rates process. In sum, short-maturity options overreact to the dynamics of underlying assets rather than long-maturity options overreacting to short-maturity options.

A power analysis for multivariate tests of temporal trend in species composition.

PubMed

Irvine, Kathryn M; Dinger, Eric C; Sarr, Daniel

2011-10-01

Long-term monitoring programs emphasize power analysis as a tool to determine the sampling effort necessary to effectively document ecologically significant changes in ecosystems. Programs that monitor entire multispecies assemblages require a method for determining the power of multivariate statistical models to detect trend. We provide a method to simulate presence-absence species assemblage data that are consistent with increasing or decreasing directional change in species composition within multiple sites. This step is the foundation for using Monte Carlo methods to approximate the power of any multivariate method for detecting temporal trends. We focus on comparing the power of the Mantel test, permutational multivariate analysis of variance, and constrained analysis of principal coordinates. We find that the power of the various methods we investigate is sensitive to the number of species in the community, univariate species patterns, and the number of sites sampled over time. For increasing directional change scenarios, constrained analysis of principal coordinates was as or more powerful than permutational multivariate analysis of variance, the Mantel test was the least powerful. However, in our investigation of decreasing directional change, the Mantel test was typically as or more powerful than the other models.

Multivariate Bayesian analysis of Gaussian, right censored Gaussian, ordered categorical and binary traits using Gibbs sampling

PubMed Central

Korsgaard, Inge Riis; Lund, Mogens Sandø; Sorensen, Daniel; Gianola, Daniel; Madsen, Per; Jensen, Just

2003-01-01

A fully Bayesian analysis using Gibbs sampling and data augmentation in a multivariate model of Gaussian, right censored, and grouped Gaussian traits is described. The grouped Gaussian traits are either ordered categorical traits (with more than two categories) or binary traits, where the grouping is determined via thresholds on the underlying Gaussian scale, the liability scale. Allowances are made for unequal models, unknown covariance matrices and missing data. Having outlined the theory, strategies for implementation are reviewed. These include joint sampling of location parameters; efficient sampling from the fully conditional posterior distribution of augmented data, a multivariate truncated normal distribution; and sampling from the conditional inverse Wishart distribution, the fully conditional posterior distribution of the residual covariance matrix. Finally, a simulated dataset was analysed to illustrate the methodology. This paper concentrates on a model where residuals associated with liabilities of the binary traits are assumed to be independent. A Bayesian analysis using Gibbs sampling is outlined for the model where this assumption is relaxed. PMID:12633531

Bayesian multivariate hierarchical transformation models for ROC analysis.

PubMed

O'Malley, A James; Zou, Kelly H

2006-02-15

A Bayesian multivariate hierarchical transformation model (BMHTM) is developed for receiver operating characteristic (ROC) curve analysis based on clustered continuous diagnostic outcome data with covariates. Two special features of this model are that it incorporates non-linear monotone transformations of the outcomes and that multiple correlated outcomes may be analysed. The mean, variance, and transformation components are all modelled parametrically, enabling a wide range of inferences. The general framework is illustrated by focusing on two problems: (1) analysis of the diagnostic accuracy of a covariate-dependent univariate test outcome requiring a Box-Cox transformation within each cluster to map the test outcomes to a common family of distributions; (2) development of an optimal composite diagnostic test using multivariate clustered outcome data. In the second problem, the composite test is estimated using discriminant function analysis and compared to the test derived from logistic regression analysis where the gold standard is a binary outcome. The proposed methodology is illustrated on prostate cancer biopsy data from a multi-centre clinical trial.

Bayesian multivariate hierarchical transformation models for ROC analysis

PubMed Central

O'Malley, A. James; Zou, Kelly H.

2006-01-01

SUMMARY A Bayesian multivariate hierarchical transformation model (BMHTM) is developed for receiver operating characteristic (ROC) curve analysis based on clustered continuous diagnostic outcome data with covariates. Two special features of this model are that it incorporates non-linear monotone transformations of the outcomes and that multiple correlated outcomes may be analysed. The mean, variance, and transformation components are all modelled parametrically, enabling a wide range of inferences. The general framework is illustrated by focusing on two problems: (1) analysis of the diagnostic accuracy of a covariate-dependent univariate test outcome requiring a Box–Cox transformation within each cluster to map the test outcomes to a common family of distributions; (2) development of an optimal composite diagnostic test using multivariate clustered outcome data. In the second problem, the composite test is estimated using discriminant function analysis and compared to the test derived from logistic regression analysis where the gold standard is a binary outcome. The proposed methodology is illustrated on prostate cancer biopsy data from a multi-centre clinical trial. PMID:16217836

A multivariate cure model for left-censored and right-censored data with application to colorectal cancer screening patterns.

PubMed

Hagar, Yolanda C; Harvey, Danielle J; Beckett, Laurel A

2016-08-30

We develop a multivariate cure survival model to estimate lifetime patterns of colorectal cancer screening. Screening data cover long periods of time, with sparse observations for each person. Some events may occur before the study begins or after the study ends, so the data are both left-censored and right-censored, and some individuals are never screened (the 'cured' population). We propose a multivariate parametric cure model that can be used with left-censored and right-censored data. Our model allows for the estimation of the time to screening as well as the average number of times individuals will be screened. We calculate likelihood functions based on the observations for each subject using a distribution that accounts for within-subject correlation and estimate parameters using Markov chain Monte Carlo methods. We apply our methods to the estimation of lifetime colorectal cancer screening behavior in the SEER-Medicare data set. Copyright © 2016 John Wiley & Sons, Ltd. Copyright © 2016 John Wiley & Sons, Ltd.

Comparing lagged linear correlation, lagged regression, Granger causality, and vector autoregression for uncovering associations in EHR data.

PubMed

Levine, Matthew E; Albers, David J; Hripcsak, George

2016-01-01

Time series analysis methods have been shown to reveal clinical and biological associations in data collected in the electronic health record. We wish to develop reliable high-throughput methods for identifying adverse drug effects that are easy to implement and produce readily interpretable results. To move toward this goal, we used univariate and multivariate lagged regression models to investigate associations between twenty pairs of drug orders and laboratory measurements. Multivariate lagged regression models exhibited higher sensitivity and specificity than univariate lagged regression in the 20 examples, and incorporating autoregressive terms for labs and drugs produced more robust signals in cases of known associations among the 20 example pairings. Moreover, including inpatient admission terms in the model attenuated the signals for some cases of unlikely associations, demonstrating how multivariate lagged regression models' explicit handling of context-based variables can provide a simple way to probe for health-care processes that confound analyses of EHR data.

Selective sensing of vapors of similar dielectric constants using peptide-capped gold nanoparticles on individual multivariable transducers.

PubMed

Nagraj, Nandini; Slocik, Joseph M; Phillips, David M; Kelley-Loughnane, Nancy; Naik, Rajesh R; Potyrailo, Radislav A

2013-08-07

Peptide-capped AYSSGAPPMPPF gold nanoparticles were demonstrated for highly selective chemical vapor sensing using individual multivariable inductor-capacitor-resistor (LCR) resonators. Their multivariable response was achieved by measuring their resonance impedance spectra followed by multivariate spectral analysis. Detection of model toxic vapors and chemical agent simulants, such as acetonitrile, dichloromethane and methyl salicylate, was performed. Dichloromethane (dielectric constant εr = 9.1) and methyl salicylate (εr = 9.0) were discriminated using a single sensor. These sensing materials coupled to multivariable transducers can provide numerous opportunities for tailoring the vapor response selectivity based on the diversity of the amino acid composition of the peptides, and by the modulation of the nature of peptide-nanoparticle interactions through designed combinations of hydrophobic and hydrophilic amino acids.

A model-based approach to wildland fire reconstruction using sediment charcoal records

USGS Publications Warehouse

Itter, Malcolm S.; Finley, Andrew O.; Hooten, Mevin B.; Higuera, Philip E.; Marlon, Jennifer R.; Kelly, Ryan; McLachlan, Jason S.

2017-01-01

Lake sediment charcoal records are used in paleoecological analyses to reconstruct fire history, including the identification of past wildland fires. One challenge of applying sediment charcoal records to infer fire history is the separation of charcoal associated with local fire occurrence and charcoal originating from regional fire activity. Despite a variety of methods to identify local fires from sediment charcoal records, an integrated statistical framework for fire reconstruction is lacking. We develop a Bayesian point process model to estimate the probability of fire associated with charcoal counts from individual-lake sediments and estimate mean fire return intervals. A multivariate extension of the model combines records from multiple lakes to reduce uncertainty in local fire identification and estimate a regional mean fire return interval. The univariate and multivariate models are applied to 13 lakes in the Yukon Flats region of Alaska. Both models resulted in similar mean fire return intervals (100–350 years) with reduced uncertainty under the multivariate model due to improved estimation of regional charcoal deposition. The point process model offers an integrated statistical framework for paleofire reconstruction and extends existing methods to infer regional fire history from multiple lake records with uncertainty following directly from posterior distributions.

NONPARAMETRIC MANOVA APPROACHES FOR NON-NORMAL MULTIVARIATE OUTCOMES WITH MISSING VALUES

PubMed Central

He, Fanyin; Mazumdar, Sati; Tang, Gong; Bhatia, Triptish; Anderson, Stewart J.; Dew, Mary Amanda; Krafty, Robert; Nimgaonkar, Vishwajit; Deshpande, Smita; Hall, Martica; Reynolds, Charles F.

2017-01-01

Between-group comparisons often entail many correlated response variables. The multivariate linear model, with its assumption of multivariate normality, is the accepted standard tool for these tests. When this assumption is violated, the nonparametric multivariate Kruskal-Wallis (MKW) test is frequently used. However, this test requires complete cases with no missing values in response variables. Deletion of cases with missing values likely leads to inefficient statistical inference. Here we extend the MKW test to retain information from partially-observed cases. Results of simulated studies and analysis of real data show that the proposed method provides adequate coverage and superior power to complete-case analyses. PMID:29416225

Accuracies of univariate and multivariate genomic prediction models in African cassava.

PubMed

Okeke, Uche Godfrey; Akdemir, Deniz; Rabbi, Ismail; Kulakow, Peter; Jannink, Jean-Luc

2017-12-04

Genomic selection (GS) promises to accelerate genetic gain in plant breeding programs especially for crop species such as cassava that have long breeding cycles. Practically, to implement GS in cassava breeding, it is necessary to evaluate different GS models and to develop suitable models for an optimized breeding pipeline. In this paper, we compared (1) prediction accuracies from a single-trait (uT) and a multi-trait (MT) mixed model for a single-environment genetic evaluation (Scenario 1), and (2) accuracies from a compound symmetric multi-environment model (uE) parameterized as a univariate multi-kernel model to a multivariate (ME) multi-environment mixed model that accounts for genotype-by-environment interaction for multi-environment genetic evaluation (Scenario 2). For these analyses, we used 16 years of public cassava breeding data for six target cassava traits and a fivefold cross-validation scheme with 10-repeat cycles to assess model prediction accuracies. In Scenario 1, the MT models had higher prediction accuracies than the uT models for all traits and locations analyzed, which amounted to on average a 40% improved prediction accuracy. For Scenario 2, we observed that the ME model had on average (across all locations and traits) a 12% improved prediction accuracy compared to the uE model. We recommend the use of multivariate mixed models (MT and ME) for cassava genetic evaluation. These models may be useful for other plant species.

Improved estimation of PM2.5 using Lagrangian satellite-measured aerosol optical depth

NASA Astrophysics Data System (ADS)

Olivas Saunders, Rolando

Suspended particulate matter (aerosols) with aerodynamic diameters less than 2.5 mum (PM2.5) has negative effects on human health, plays an important role in climate change and also causes the corrosion of structures by acid deposition. Accurate estimates of PM2.5 concentrations are thus relevant in air quality, epidemiology, cloud microphysics and climate forcing studies. Aerosol optical depth (AOD) retrieved by the Moderate Resolution Imaging Spectroradiometer (MODIS) satellite instrument has been used as an empirical predictor to estimate ground-level concentrations of PM2.5 . These estimates usually have large uncertainties and errors. The main objective of this work is to assess the value of using upwind (Lagrangian) MODIS-AOD as predictors in empirical models of PM2.5. The upwind locations of the Lagrangian AOD were estimated using modeled backward air trajectories. Since the specification of an arrival elevation is somewhat arbitrary, trajectories were calculated to arrive at four different elevations at ten measurement sites within the continental United States. A systematic examination revealed trajectory model calculations to be sensitive to starting elevation. With a 500 m difference in starting elevation, the 48-hr mean horizontal separation of trajectory endpoints was 326 km. When the difference in starting elevation was doubled and tripled to 1000 m and 1500m, the mean horizontal separation of trajectory endpoints approximately doubled and tripled to 627 km and 886 km, respectively. A seasonal dependence of this sensitivity was also found: the smallest mean horizontal separation of trajectory endpoints was exhibited during the summer and the largest separations during the winter. A daily average AOD product was generated and coupled to the trajectory model in order to determine AOD values upwind of the measurement sites during the period 2003-2007. Empirical models that included in situ AOD and upwind AOD as predictors of PM2.5 were generated by multivariate linear regressions using the least squares method. The multivariate models showed improved performance over the single variable regression (PM2.5 and in situ AOD) models. The statistical significance of the improvement of the multivariate models over the single variable regression models was tested using the extra sum of squares principle. In many cases, even when the R-squared was high for the multivariate models, the improvement over the single models was not statistically significant. The R-squared of these multivariate models varied with respect to seasons, with the best performance occurring during the summer months. A set of seasonal categorical variables was included in the regressions to exploit this variability. The multivariate regression models that included these categorical seasonal variables performed better than the models that didn't account for seasonal variability. Furthermore, 71% of these regressions exhibited improvement over the single variable models that was statistically significant at a 95% confidence level.

Pain, pain intensity and pain disability in high school students are differently associated with physical activity, screening hours and sleep.

PubMed

Silva, Anabela G; Sa-Couto, Pedro; Queirós, Alexandra; Neto, Maritza; Rocha, Nelson P

2017-05-16

Studies exploring the association between physical activity, screen time and sleep and pain usually focus on a limited number of painful body sites. Nevertheless, pain at different body sites is likely to be of different nature. Therefore, this study aims to explore and compare the association between time spent in self-reported physical activity, in screen based activities and sleeping and i) pain presence in the last 7-days for 9 different body sites; ii) pain intensity at 9 different body sites and iii) global disability. Nine hundred sixty nine students completed a questionnaire on pain, time spent in moderate and vigorous physical activity, screen based time watching TV/DVD, playing, using mobile phones and computers and sleeping hours. Univariate and multivariate associations between pain presence, pain intensity and disability and physical activity, screen based time and sleeping hours were investigated. Pain presence: sleeping remained in the multivariable model for the neck, mid back, wrists, knees and ankles/feet (OR 1.17 to 2.11); moderate physical activity remained in the multivariate model for the neck, shoulders, wrists, hips and ankles/feet (OR 1.06 to 1.08); vigorous physical activity remained in the multivariate model for mid back, knees and ankles/feet (OR 1.05 to 1.09) and screen time remained in the multivariate model for the low back (OR = 2.34. Pain intensity: screen time and moderate physical activity remained in the multivariable model for pain intensity at the neck, mid back, low back, shoulder, knees and ankles/feet (Rp 2 0.02 to 0.04) and at the wrists (Rp 2  = 0.04), respectively. Disability showed no association with sleeping, screen time or physical activity. This study suggests both similarities and differences in the patterns of association between time spent in physical activity, sleeping and in screen based activities and pain presence at 8 different body sites. In addition, they also suggest that the factors associated with the presence of pain, pain intensity and pain associated disability are different.

Southeast Atlantic Cloud Properties in a Multivariate Statistical Model - How Relevant is Air Mass History for Local Cloud Properties?

NASA Astrophysics Data System (ADS)

Fuchs, Julia; Cermak, Jan; Andersen, Hendrik

2017-04-01

This study aims at untangling the impacts of external dynamics and local conditions on cloud properties in the Southeast Atlantic (SEA) by combining satellite and reanalysis data using multivariate statistics. The understanding of clouds and their determinants at different scales is important for constraining the Earth's radiative budget, and thus prominent in climate-system research. In this study, SEA stratocumulus cloud properties are observed not only as the result of local environmental conditions but also as affected by external dynamics and spatial origins of air masses entering the study area. In order to assess to what extent cloud properties are impacted by aerosol concentration, air mass history, and meteorology, a multivariate approach is conducted using satellite observations of aerosol and cloud properties (MODIS, SEVIRI), information on aerosol species composition (MACC) and meteorological context (ERA-Interim reanalysis). To account for the often-neglected but important role of air mass origin, information on air mass history based on HYSPLIT modeling is included in the statistical model. This multivariate approach is intended to lead to a better understanding of the physical processes behind observed stratocumulus cloud properties in the SEA.

Parameter estimation of multivariate multiple regression model using bayesian with non-informative Jeffreys’ prior distribution

NASA Astrophysics Data System (ADS)

Saputro, D. R. S.; Amalia, F.; Widyaningsih, P.; Affan, R. C.

2018-05-01

Bayesian method is a method that can be used to estimate the parameters of multivariate multiple regression model. Bayesian method has two distributions, there are prior and posterior distributions. Posterior distribution is influenced by the selection of prior distribution. Jeffreys’ prior distribution is a kind of Non-informative prior distribution. This prior is used when the information about parameter not available. Non-informative Jeffreys’ prior distribution is combined with the sample information resulting the posterior distribution. Posterior distribution is used to estimate the parameter. The purposes of this research is to estimate the parameters of multivariate regression model using Bayesian method with Non-informative Jeffreys’ prior distribution. Based on the results and discussion, parameter estimation of β and Σ which were obtained from expected value of random variable of marginal posterior distribution function. The marginal posterior distributions for β and Σ are multivariate normal and inverse Wishart. However, in calculation of the expected value involving integral of a function which difficult to determine the value. Therefore, approach is needed by generating of random samples according to the posterior distribution characteristics of each parameter using Markov chain Monte Carlo (MCMC) Gibbs sampling algorithm.

Some Integrated Squared Error Procedures for Multivariate Normal Data,

DTIC Science & Technology

1986-01-01

a lnear regresmion or experimental design model). Our procedures have &lSO been usned wcelyOn non -linear models but we do not addres nan-lnear...of fit, outliers, influence functions, experimental design , cluster analysis, robustness 24L A =TO ACT (VCefme - pvre alli of magsy MW identif by...structured data such as multivariate experimental designs . Several illustrations are provided. * 0 %41 %-. 4.’. * " , -.--, ,. -,, ., -, ’v ’ , " ,,- ,, . -,-. . ., * . - tAma- t

Analysis of Forest Foliage Using a Multivariate Mixture Model

NASA Technical Reports Server (NTRS)

Hlavka, C. A.; Peterson, David L.; Johnson, L. F.; Ganapol, B.

1997-01-01

Data with wet chemical measurements and near infrared spectra of ground leaf samples were analyzed to test a multivariate regression technique for estimating component spectra which is based on a linear mixture model for absorbance. The resulting unmixed spectra for carbohydrates, lignin, and protein resemble the spectra of extracted plant starches, cellulose, lignin, and protein. The unmixed protein spectrum has prominent absorption spectra at wavelengths which have been associated with nitrogen bonds.

Multivariate temporal dictionary learning for EEG.

PubMed

Barthélemy, Q; Gouy-Pailler, C; Isaac, Y; Souloumiac, A; Larue, A; Mars, J I

2013-04-30

This article addresses the issue of representing electroencephalographic (EEG) signals in an efficient way. While classical approaches use a fixed Gabor dictionary to analyze EEG signals, this article proposes a data-driven method to obtain an adapted dictionary. To reach an efficient dictionary learning, appropriate spatial and temporal modeling is required. Inter-channels links are taken into account in the spatial multivariate model, and shift-invariance is used for the temporal model. Multivariate learned kernels are informative (a few atoms code plentiful energy) and interpretable (the atoms can have a physiological meaning). Using real EEG data, the proposed method is shown to outperform the classical multichannel matching pursuit used with a Gabor dictionary, as measured by the representative power of the learned dictionary and its spatial flexibility. Moreover, dictionary learning can capture interpretable patterns: this ability is illustrated on real data, learning a P300 evoked potential. Copyright © 2013 Elsevier B.V. All rights reserved.

A time domain frequency-selective multivariate Granger causality approach.

PubMed

Leistritz, Lutz; Witte, Herbert

2016-08-01

The investigation of effective connectivity is one of the major topics in computational neuroscience to understand the interaction between spatially distributed neuronal units of the brain. Thus, a wide variety of methods has been developed during the last decades to investigate functional and effective connectivity in multivariate systems. Their spectrum ranges from model-based to model-free approaches with a clear separation into time and frequency range methods. We present in this simulation study a novel time domain approach based on Granger's principle of predictability, which allows frequency-selective considerations of directed interactions. It is based on a comparison of prediction errors of multivariate autoregressive models fitted to systematically modified time series. These modifications are based on signal decompositions, which enable a targeted cancellation of specific signal components with specific spectral properties. Depending on the embedded signal decomposition method, a frequency-selective or data-driven signal-adaptive Granger Causality Index may be derived.

DasPy 1.0 - the Open Source Multivariate Land Data Assimilation Framework in combination with the Community Land Model 4.5

NASA Astrophysics Data System (ADS)

Han, X.; Li, X.; He, G.; Kumbhar, P.; Montzka, C.; Kollet, S.; Miyoshi, T.; Rosolem, R.; Zhang, Y.; Vereecken, H.; Franssen, H.-J. H.

2015-08-01

Data assimilation has become a popular method to integrate observations from multiple sources with land surface models to improve predictions of the water and energy cycles of the soil-vegetation-atmosphere continuum. Multivariate data assimilation refers to the simultaneous assimilation of observation data from multiple model state variables into a simulation model. In recent years, several land data assimilation systems have been developed in different research agencies. Because of the software availability or adaptability, these systems are not easy to apply for the purpose of multivariate land data assimilation research. We developed an open source multivariate land data assimilation framework (DasPy) which is implemented using the Python script language mixed with the C++ and Fortran programming languages. LETKF (Local Ensemble Transform Kalman Filter) is implemented as the main data assimilation algorithm, and uncertainties in the data assimilation can be introduced by perturbed atmospheric forcing data, and represented by perturbed soil and vegetation parameters and model initial conditions. The Community Land Model (CLM) was integrated as the model operator. The implementation allows also parameter estimation (soil properties and/or leaf area index) on the basis of the joint state and parameter estimation approach. The Community Microwave Emission Modelling platform (CMEM), COsmic-ray Soil Moisture Interaction Code (COSMIC) and the Two-Source Formulation (TSF) were integrated as observation operators for the assimilation of L-band passive microwave, cosmic-ray soil moisture probe and land surface temperature measurements, respectively. DasPy has been evaluated in several assimilation studies of neutron count intensity (soil moisture), L-band brightness temperature and land surface temperature. DasPy is parallelized using the hybrid Message Passing Interface and Open Multi-Processing techniques. All the input and output data flows are organized efficiently using the commonly used NetCDF file format. Online 1-D and 2-D visualization of data assimilation results is also implemented to facilitate the post simulation analysis. In summary, DasPy is a ready to use open source parallel multivariate land data assimilation framework.

Forecasting of municipal solid waste quantity in a developing country using multivariate grey models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Intharathirat, Rotchana, E-mail: rotchana.in@gmail.com; Abdul Salam, P., E-mail: salam@ait.ac.th; Kumar, S., E-mail: kumar@ait.ac.th

Highlights: • Grey model can be used to forecast MSW quantity accurately with the limited data. • Prediction interval overcomes the uncertainty of MSW forecast effectively. • A multivariate model gives accuracy associated with factors affecting MSW quantity. • Population, urbanization, employment and household size play role for MSW quantity. - Abstract: In order to plan, manage and use municipal solid waste (MSW) in a sustainable way, accurate forecasting of MSW generation and composition plays a key role. It is difficult to carry out the reliable estimates using the existing models due to the limited data available in the developingmore » countries. This study aims to forecast MSW collected in Thailand with prediction interval in long term period by using the optimized multivariate grey model which is the mathematical approach. For multivariate models, the representative factors of residential and commercial sectors affecting waste collected are identified, classified and quantified based on statistics and mathematics of grey system theory. Results show that GMC (1, 5), the grey model with convolution integral, is the most accurate with the least error of 1.16% MAPE. MSW collected would increase 1.40% per year from 43,435–44,994 tonnes per day in 2013 to 55,177–56,735 tonnes per day in 2030. This model also illustrates that population density is the most important factor affecting MSW collected, followed by urbanization, proportion employment and household size, respectively. These mean that the representative factors of commercial sector may affect more MSW collected than that of residential sector. Results can help decision makers to develop the measures and policies of waste management in long term period.« less

Measurement bias detection with Kronecker product restricted models for multivariate longitudinal data: an illustration with health-related quality of life data from thirteen measurement occasions

PubMed Central

Verdam, Mathilde G. E.; Oort, Frans J.

2014-01-01

Highlights Application of Kronecker product to construct parsimonious structural equation models for multivariate longitudinal data. A method for the investigation of measurement bias with Kronecker product restricted models. Application of these methods to health-related quality of life data from bone metastasis patients, collected at 13 consecutive measurement occasions. The use of curves to facilitate substantive interpretation of apparent measurement bias. Assessment of change in common factor means, after accounting for apparent measurement bias. Longitudinal measurement invariance is usually investigated with a longitudinal factor model (LFM). However, with multiple measurement occasions, the number of parameters to be estimated increases with a multiple of the number of measurement occasions. To guard against too low ratios of numbers of subjects and numbers of parameters, we can use Kronecker product restrictions to model the multivariate longitudinal structure of the data. These restrictions can be imposed on all parameter matrices, including measurement invariance restrictions on factor loadings and intercepts. The resulting models are parsimonious and have attractive interpretation, but require different methods for the investigation of measurement bias. Specifically, additional parameter matrices are introduced to accommodate possible violations of measurement invariance. These additional matrices consist of measurement bias parameters that are either fixed at zero or free to be estimated. In cases of measurement bias, it is also possible to model the bias over time, e.g., with linear or non-linear curves. Measurement bias detection with Kronecker product restricted models will be illustrated with multivariate longitudinal data from 682 bone metastasis patients whose health-related quality of life (HRQL) was measured at 13 consecutive weeks. PMID:25295016

Measurement bias detection with Kronecker product restricted models for multivariate longitudinal data: an illustration with health-related quality of life data from thirteen measurement occasions.

PubMed

Verdam, Mathilde G E; Oort, Frans J

2014-01-01

Application of Kronecker product to construct parsimonious structural equation models for multivariate longitudinal data.A method for the investigation of measurement bias with Kronecker product restricted models.Application of these methods to health-related quality of life data from bone metastasis patients, collected at 13 consecutive measurement occasions.The use of curves to facilitate substantive interpretation of apparent measurement bias.Assessment of change in common factor means, after accounting for apparent measurement bias.Longitudinal measurement invariance is usually investigated with a longitudinal factor model (LFM). However, with multiple measurement occasions, the number of parameters to be estimated increases with a multiple of the number of measurement occasions. To guard against too low ratios of numbers of subjects and numbers of parameters, we can use Kronecker product restrictions to model the multivariate longitudinal structure of the data. These restrictions can be imposed on all parameter matrices, including measurement invariance restrictions on factor loadings and intercepts. The resulting models are parsimonious and have attractive interpretation, but require different methods for the investigation of measurement bias. Specifically, additional parameter matrices are introduced to accommodate possible violations of measurement invariance. These additional matrices consist of measurement bias parameters that are either fixed at zero or free to be estimated. In cases of measurement bias, it is also possible to model the bias over time, e.g., with linear or non-linear curves. Measurement bias detection with Kronecker product restricted models will be illustrated with multivariate longitudinal data from 682 bone metastasis patients whose health-related quality of life (HRQL) was measured at 13 consecutive weeks.

A multivariate model for predicting segmental body composition.

PubMed

Tian, Simiao; Mioche, Laurence; Denis, Jean-Baptiste; Morio, Béatrice

2013-12-01

The aims of the present study were to propose a multivariate model for predicting simultaneously body, trunk and appendicular fat and lean masses from easily measured variables and to compare its predictive capacity with that of the available univariate models that predict body fat percentage (BF%). The dual-energy X-ray absorptiometry (DXA) dataset (52% men and 48% women) with White, Black and Hispanic ethnicities (1999-2004, National Health and Nutrition Examination Survey) was randomly divided into three sub-datasets: a training dataset (TRD), a test dataset (TED); a validation dataset (VAD), comprising 3835, 1917 and 1917 subjects. For each sex, several multivariate prediction models were fitted from the TRD using age, weight, height and possibly waist circumference. The most accurate model was selected from the TED and then applied to the VAD and a French DXA dataset (French DB) (526 men and 529 women) to assess the prediction accuracy in comparison with that of five published univariate models, for which adjusted formulas were re-estimated using the TRD. Waist circumference was found to improve the prediction accuracy, especially in men. For BF%, the standard error of prediction (SEP) values were 3.26 (3.75) % for men and 3.47 (3.95)% for women in the VAD (French DB), as good as those of the adjusted univariate models. Moreover, the SEP values for the prediction of body and appendicular lean masses ranged from 1.39 to 2.75 kg for both the sexes. The prediction accuracy was best for age < 65 years, BMI < 30 kg/m2 and the Hispanic ethnicity. The application of our multivariate model to large populations could be useful to address various public health issues.

A multivariate multilevel Gaussian model with a mixed effects structure in the mean and covariance part.

PubMed

Li, Baoyue; Bruyneel, Luk; Lesaffre, Emmanuel

2014-05-20

A traditional Gaussian hierarchical model assumes a nested multilevel structure for the mean and a constant variance at each level. We propose a Bayesian multivariate multilevel factor model that assumes a multilevel structure for both the mean and the covariance matrix. That is, in addition to a multilevel structure for the mean we also assume that the covariance matrix depends on covariates and random effects. This allows to explore whether the covariance structure depends on the values of the higher levels and as such models heterogeneity in the variances and correlation structure of the multivariate outcome across the higher level values. The approach is applied to the three-dimensional vector of burnout measurements collected on nurses in a large European study to answer the research question whether the covariance matrix of the outcomes depends on recorded system-level features in the organization of nursing care, but also on not-recorded factors that vary with countries, hospitals, and nursing units. Simulations illustrate the performance of our modeling approach. Copyright © 2013 John Wiley & Sons, Ltd.

Association of educational status with cardiovascular disease: Teheran Lipid and Glucose Study.

PubMed

Hajsheikholeslami, Farhad; Hatami, Masumeh; Hadaegh, Farzad; Ghanbarian, Arash; Azizi, Fereidoun

2011-06-01

The aim of this study was to evaluate the associations between educational level and cardiovascular disease (CVD) in an older Iranian population. To estimate the odds ratio (OR) of educational level in a cross-sectional study, logistic regression analysis was used on 1,788 men and 2,204 women (222 men and 204 women positive based on their CVD status) aged ≥ 45 years. In men, educational levels of college degree and literacy level below diploma were inversely associated with CVD in the multivariate model [0.52 (0.28-0.94), 0.61 (0.40-0.92), respectively], but diploma level did not show any significant association with CVD, neither in the crude model nor in the multivariate model. In women, increase in educational level was inversely associated with risk of CVD in the crude model, but in the multivariate adjusted model, literacy level below diploma decreased risk of CVD by 39%, compared with illiteracy. Our findings support those of developed countries that, along with other CVD risk factors, educational status has an inverse association with CVD among a representative Iranian population of older men and women.

Calibrated Multivariate Regression with Application to Neural Semantic Basis Discovery.

PubMed

Liu, Han; Wang, Lie; Zhao, Tuo

2015-08-01

We propose a calibrated multivariate regression method named CMR for fitting high dimensional multivariate regression models. Compared with existing methods, CMR calibrates regularization for each regression task with respect to its noise level so that it simultaneously attains improved finite-sample performance and tuning insensitiveness. Theoretically, we provide sufficient conditions under which CMR achieves the optimal rate of convergence in parameter estimation. Computationally, we propose an efficient smoothed proximal gradient algorithm with a worst-case numerical rate of convergence O (1/ ϵ ), where ϵ is a pre-specified accuracy of the objective function value. We conduct thorough numerical simulations to illustrate that CMR consistently outperforms other high dimensional multivariate regression methods. We also apply CMR to solve a brain activity prediction problem and find that it is as competitive as a handcrafted model created by human experts. The R package camel implementing the proposed method is available on the Comprehensive R Archive Network http://cran.r-project.org/web/packages/camel/.

Multivariate meta-analysis for non-linear and other multi-parameter associations

PubMed Central

Gasparrini, A; Armstrong, B; Kenward, M G

2012-01-01

In this paper, we formalize the application of multivariate meta-analysis and meta-regression to synthesize estimates of multi-parameter associations obtained from different studies. This modelling approach extends the standard two-stage analysis used to combine results across different sub-groups or populations. The most straightforward application is for the meta-analysis of non-linear relationships, described for example by regression coefficients of splines or other functions, but the methodology easily generalizes to any setting where complex associations are described by multiple correlated parameters. The modelling framework of multivariate meta-analysis is implemented in the package mvmeta within the statistical environment R. As an illustrative example, we propose a two-stage analysis for investigating the non-linear exposure–response relationship between temperature and non-accidental mortality using time-series data from multiple cities. Multivariate meta-analysis represents a useful analytical tool for studying complex associations through a two-stage procedure. Copyright © 2012 John Wiley & Sons, Ltd. PMID:22807043

Self-tuning multivariable pole placement control of a multizone crystal growth furnace

NASA Technical Reports Server (NTRS)

Batur, C.; Sharpless, R. B.; Duval, W. M. B.; Rosenthal, B. N.

1992-01-01

This paper presents the design and implementation of a multivariable self-tuning temperature controller for the control of lead bromide crystal growth. The crystal grows inside a multizone transparent furnace. There are eight interacting heating zones shaping the axial temperature distribution inside the furnace. A multi-input, multi-output furnace model is identified on-line by a recursive least squares estimation algorithm. A multivariable pole placement controller based on this model is derived and implemented. Comparison between single-input, single-output and multi-input, multi-output self-tuning controllers demonstrates that the zone-to-zone interactions can be minimized better by a multi-input, multi-output controller design. This directly affects the quality of crystal grown.

Non-parametric identification of multivariable systems: A local rational modeling approach with application to a vibration isolation benchmark

NASA Astrophysics Data System (ADS)

Voorhoeve, Robbert; van der Maas, Annemiek; Oomen, Tom

2018-05-01

Frequency response function (FRF) identification is often used as a basis for control systems design and as a starting point for subsequent parametric system identification. The aim of this paper is to develop a multiple-input multiple-output (MIMO) local parametric modeling approach for FRF identification of lightly damped mechanical systems with improved speed and accuracy. The proposed method is based on local rational models, which can efficiently handle the lightly-damped resonant dynamics. A key aspect herein is the freedom in the multivariable rational model parametrizations. Several choices for such multivariable rational model parametrizations are proposed and investigated. For systems with many inputs and outputs the required number of model parameters can rapidly increase, adversely affecting the performance of the local modeling approach. Therefore, low-order model structures are investigated. The structure of these low-order parametrizations leads to an undesired directionality in the identification problem. To address this, an iterative local rational modeling algorithm is proposed. As a special case recently developed SISO algorithms are recovered. The proposed approach is successfully demonstrated on simulations and on an active vibration isolation system benchmark, confirming good performance of the method using significantly less parameters compared with alternative approaches.

Multivariate analysis in thoracic research.

PubMed

Mengual-Macenlle, Noemí; Marcos, Pedro J; Golpe, Rafael; González-Rivas, Diego

2015-03-01

Multivariate analysis is based in observation and analysis of more than one statistical outcome variable at a time. In design and analysis, the technique is used to perform trade studies across multiple dimensions while taking into account the effects of all variables on the responses of interest. The development of multivariate methods emerged to analyze large databases and increasingly complex data. Since the best way to represent the knowledge of reality is the modeling, we should use multivariate statistical methods. Multivariate methods are designed to simultaneously analyze data sets, i.e., the analysis of different variables for each person or object studied. Keep in mind at all times that all variables must be treated accurately reflect the reality of the problem addressed. There are different types of multivariate analysis and each one should be employed according to the type of variables to analyze: dependent, interdependence and structural methods. In conclusion, multivariate methods are ideal for the analysis of large data sets and to find the cause and effect relationships between variables; there is a wide range of analysis types that we can use.

Simultaneous calibration of ensemble river flow predictions over an entire range of lead times

NASA Astrophysics Data System (ADS)

Hemri, S.; Fundel, F.; Zappa, M.

2013-10-01

Probabilistic estimates of future water levels and river discharge are usually simulated with hydrologic models using ensemble weather forecasts as main inputs. As hydrologic models are imperfect and the meteorological ensembles tend to be biased and underdispersed, the ensemble forecasts for river runoff typically are biased and underdispersed, too. Thus, in order to achieve both reliable and sharp predictions statistical postprocessing is required. In this work Bayesian model averaging (BMA) is applied to statistically postprocess ensemble runoff raw forecasts for a catchment in Switzerland, at lead times ranging from 1 to 240 h. The raw forecasts have been obtained using deterministic and ensemble forcing meteorological models with different forecast lead time ranges. First, BMA is applied based on mixtures of univariate normal distributions, subject to the assumption of independence between distinct lead times. Then, the independence assumption is relaxed in order to estimate multivariate runoff forecasts over the entire range of lead times simultaneously, based on a BMA version that uses multivariate normal distributions. Since river runoff is a highly skewed variable, Box-Cox transformations are applied in order to achieve approximate normality. Both univariate and multivariate BMA approaches are able to generate well calibrated probabilistic forecasts that are considerably sharper than climatological forecasts. Additionally, multivariate BMA provides a promising approach for incorporating temporal dependencies into the postprocessed forecasts. Its major advantage against univariate BMA is an increase in reliability when the forecast system is changing due to model availability.

Bayesian Methods for Scalable Multivariate Value-Added Assessment

ERIC Educational Resources Information Center

Lockwood, J. R.; McCaffrey, Daniel F.; Mariano, Louis T.; Setodji, Claude

2007-01-01

There is increased interest in value-added models relying on longitudinal student-level test score data to isolate teachers' contributions to student achievement. The complex linkage of students to teachers as students progress through grades poses both substantive and computational challenges. This article introduces a multivariate Bayesian…

Combining Frequency Doubling Technology Perimetry and Scanning Laser Polarimetry for Glaucoma Detection

PubMed Central

Mwanza, Jean-Claude; Warren, Joshua L.; Hochberg, Jessica T.; Budenz, Donald L.; Chang, Robert T.; Ramulu, Pradeep Y.

2014-01-01

Purpose To determine the ability of frequency doubling technology (FDT) and scanning laser polarimetry with variable corneal compensation (GDx-VCC) to detect glaucoma when used individually and in combination. Methods One hundred and ten normal and 114 glaucomatous subjects were tested with FDT C-20-5 screening protocol and the GDx-VCC. The discriminating ability was tested for each device individually and for both devices combined using GDx-NFI, GDx-TSNIT, number of missed points of FDT, and normal or abnormal FDT. Measures of discrimination included sensitivity, specificity, area under the curve (AUC), Akaike’s information criterion (AIC), and prediction confidence interval lengths (PIL). Results For detecting glaucoma regardless of severity, the multivariable model resulting from the combination of GDX-TSNIT, number of abnormal points on FDT (NAP-FDT), and the interaction GDx-TSNIT * NAP-FDT (AIC: 88.28, AUC: 0.959, sensitivity: 94.6%, specificity: 89.5%) outperformed the best single variable model provided by GDx-NFI (AIC: 120.88, AUC: 0.914, sensitivity: 87.8%, specificity: 84.2%). The multivariable model combining GDx-TSNIT, NAPFDT, and interaction GDx-TSNIT*NAP-FDT consistently provided better discriminating abilities for detecting early, moderate and severe glaucoma than the best single variable models. Conclusions The multivariable model including GDx-TSNIT, NAP-FDT, and the interaction GDX-TSNIT * NAP-FDT provides the best glaucoma prediction compared to all other multivariable and univariable models. Combining the FDT C-20-5 screening protocol and GDx-VCC improves glaucoma detection compared to using GDx or FDT alone. PMID:24777046

Quality Reporting of Multivariable Regression Models in Observational Studies: Review of a Representative Sample of Articles Published in Biomedical Journals.

PubMed

Real, Jordi; Forné, Carles; Roso-Llorach, Albert; Martínez-Sánchez, Jose M

2016-05-01

Controlling for confounders is a crucial step in analytical observational studies, and multivariable models are widely used as statistical adjustment techniques. However, the validation of the assumptions of the multivariable regression models (MRMs) should be made clear in scientific reporting. The objective of this study is to review the quality of statistical reporting of the most commonly used MRMs (logistic, linear, and Cox regression) that were applied in analytical observational studies published between 2003 and 2014 by journals indexed in MEDLINE.Review of a representative sample of articles indexed in MEDLINE (n = 428) with observational design and use of MRMs (logistic, linear, and Cox regression). We assessed the quality of reporting about: model assumptions and goodness-of-fit, interactions, sensitivity analysis, crude and adjusted effect estimate, and specification of more than 1 adjusted model.The tests of underlying assumptions or goodness-of-fit of the MRMs used were described in 26.2% (95% CI: 22.0-30.3) of the articles and 18.5% (95% CI: 14.8-22.1) reported the interaction analysis. Reporting of all items assessed was higher in articles published in journals with a higher impact factor.A low percentage of articles indexed in MEDLINE that used multivariable techniques provided information demonstrating rigorous application of the model selected as an adjustment method. Given the importance of these methods to the final results and conclusions of observational studies, greater rigor is required in reporting the use of MRMs in the scientific literature.

Multivariate Statistical Modelling of Drought and Heat Wave Events

NASA Astrophysics Data System (ADS)

Manning, Colin; Widmann, Martin; Vrac, Mathieu; Maraun, Douglas; Bevaqua, Emanuele

2016-04-01

Multivariate Statistical Modelling of Drought and Heat Wave Events C. Manning1,2, M. Widmann1, M. Vrac2, D. Maraun3, E. Bevaqua2,3 1. School of Geography, Earth and Environmental Sciences, University of Birmingham, Edgbaston, Birmingham, UK 2. Laboratoire des Sciences du Climat et de l'Environnement, (LSCE-IPSL), Centre d'Etudes de Saclay, Gif-sur-Yvette, France 3. Wegener Center for Climate and Global Change, University of Graz, Brandhofgasse 5, 8010 Graz, Austria Compound extreme events are a combination of two or more contributing events which in themselves may not be extreme but through their joint occurrence produce an extreme impact. Compound events are noted in the latest IPCC report as an important type of extreme event that have been given little attention so far. As part of the CE:LLO project (Compound Events: muLtivariate statisticaL mOdelling) we are developing a multivariate statistical model to gain an understanding of the dependence structure of certain compound events. One focus of this project is on the interaction between drought and heat wave events. Soil moisture has both a local and non-local effect on the occurrence of heat waves where it strongly controls the latent heat flux affecting the transfer of sensible heat to the atmosphere. These processes can create a feedback whereby a heat wave maybe amplified or suppressed by the soil moisture preconditioning, and vice versa, the heat wave may in turn have an effect on soil conditions. An aim of this project is to capture this dependence in order to correctly describe the joint probabilities of these conditions and the resulting probability of their compound impact. We will show an application of Pair Copula Constructions (PCCs) to study the aforementioned compound event. PCCs allow in theory for the formulation of multivariate dependence structures in any dimension where the PCC is a decomposition of a multivariate distribution into a product of bivariate components modelled using copulas. A copula is a multivariate distribution function which allows one to model the dependence structure of given variables separately from the marginal behaviour. We firstly look at the structure of soil moisture drought over the entire of France using the SAFRAN dataset between 1959 and 2009. Soil moisture is represented using the Standardised Precipitation Evapotranspiration Index (SPEI). Drought characteristics are computed at grid point scale where drought conditions are identified as those with an SPEI value below -1.0. We model the multivariate dependence structure of drought events defined by certain characteristics and compute return levels of these events. We initially find that drought characteristics such as duration, mean SPEI and the maximum contiguous area to a grid point all have positive correlations, though the degree to which they are correlated can vary considerably spatially. A spatial representation of return levels then may provide insight into the areas most prone to drought conditions. As a next step, we analyse the dependence structure between soil moisture conditions preceding the onset of a heat wave and the heat wave itself.

The use of copulas to practical estimation of multivariate stochastic differential equation mixed effects models

DOE Office of Scientific and Technical Information (OSTI.GOV)

Rupšys, P.

A system of stochastic differential equations (SDE) with mixed-effects parameters and multivariate normal copula density function were used to develop tree height model for Scots pine trees in Lithuania. A two-step maximum likelihood parameter estimation method is used and computational guidelines are given. After fitting the conditional probability density functions to outside bark diameter at breast height, and total tree height, a bivariate normal copula distribution model was constructed. Predictions from the mixed-effects parameters SDE tree height model calculated during this research were compared to the regression tree height equations. The results are implemented in the symbolic computational language MAPLE.

On the Bayesian Treed Multivariate Gaussian Process with Linear Model of Coregionalization

DOE Office of Scientific and Technical Information (OSTI.GOV)

Konomi, Bledar A.; Karagiannis, Georgios; Lin, Guang

2015-02-01

The Bayesian treed Gaussian process (BTGP) has gained popularity in recent years because it provides a straightforward mechanism for modeling non-stationary data and can alleviate computational demands by fitting models to less data. The extension of BTGP to the multivariate setting requires us to model the cross-covariance and to propose efficient algorithms that can deal with trans-dimensional MCMC moves. In this paper we extend the cross-covariance of the Bayesian treed multivariate Gaussian process (BTMGP) to that of linear model of Coregionalization (LMC) cross-covariances. Different strategies have been developed to improve the MCMC mixing and invert smaller matrices in the Bayesianmore » inference. Moreover, we compare the proposed BTMGP with existing multiple BTGP and BTMGP in test cases and multiphase flow computer experiment in a full scale regenerator of a carbon capture unit. The use of the BTMGP with LMC cross-covariance helped to predict the computer experiments relatively better than existing competitors. The proposed model has a wide variety of applications, such as computer experiments and environmental data. In the case of computer experiments we also develop an adaptive sampling strategy for the BTMGP with LMC cross-covariance function.« less

qFeature

DOE Office of Scientific and Technical Information (OSTI.GOV)

2015-09-14

This package contains statistical routines for extracting features from multivariate time-series data which can then be used for subsequent multivariate statistical analysis to identify patterns and anomalous behavior. It calculates local linear or quadratic regression model fits to moving windows for each series and then summarizes the model coefficients across user-defined time intervals for each series. These methods are domain agnostic-but they have been successfully applied to a variety of domains, including commercial aviation and electric power grid data.

Multivariate class modeling techniques applied to multielement analysis for the verification of the geographical origin of chili pepper.

PubMed

Naccarato, Attilio; Furia, Emilia; Sindona, Giovanni; Tagarelli, Antonio

2016-09-01

Four class-modeling techniques (soft independent modeling of class analogy (SIMCA), unequal dispersed classes (UNEQ), potential functions (PF), and multivariate range modeling (MRM)) were applied to multielement distribution to build chemometric models able to authenticate chili pepper samples grown in Calabria respect to those grown outside of Calabria. The multivariate techniques were applied by considering both all the variables (32 elements, Al, As, Ba, Ca, Cd, Ce, Co, Cr, Cs, Cu, Dy, Fe, Ga, La, Li, Mg, Mn, Na, Nd, Ni, Pb, Pr, Rb, Sc, Se, Sr, Tl, Tm, V, Y, Yb, Zn) and variables selected by means of stepwise linear discriminant analysis (S-LDA). In the first case, satisfactory and comparable results in terms of CV efficiency are obtained with the use of SIMCA and MRM (82.3 and 83.2% respectively), whereas MRM performs better than SIMCA in terms of forced model efficiency (96.5%). The selection of variables by S-LDA permitted to build models characterized, in general, by a higher efficiency. MRM provided again the best results for CV efficiency (87.7% with an effective balance of sensitivity and specificity) as well as forced model efficiency (96.5%). Copyright © 2016 Elsevier Ltd. All rights reserved.

Multivariate Non-Symmetric Stochastic Models for Spatial Dependence Models

NASA Astrophysics Data System (ADS)

Haslauer, C. P.; Bárdossy, A.

2017-12-01

A copula based multivariate framework allows more flexibility to describe different kind of dependences than what is possible using models relying on the confining assumption of symmetric Gaussian models: different quantiles can be modelled with a different degree of dependence; it will be demonstrated how this can be expected given process understanding. maximum likelihood based multivariate quantitative parameter estimation yields stable and reliable results; not only improved results in cross-validation based measures of uncertainty are obtained but also a more realistic spatial structure of uncertainty compared to second order models of dependence; as much information as is available is included in the parameter estimation: incorporation of censored measurements (e.g., below detection limit, or ones that are above the sensitive range of the measurement device) yield to more realistic spatial models; the proportion of true zeros can be jointly estimated with and distinguished from censored measurements which allow estimates about the age of a contaminant in the system; secondary information (categorical and on the rational scale) has been used to improve the estimation of the primary variable; These copula based multivariate statistical techniques are demonstrated based on hydraulic conductivity observations at the Borden (Canada) site, the MADE site (USA), and a large regional groundwater quality data-set in south-west Germany. Fields of spatially distributed K were simulated with identical marginal simulation, identical second order spatial moments, yet substantially differing solute transport characteristics when numerical tracer tests were performed. A statistical methodology is shown that allows the delineation of a boundary layer separating homogenous parts of a spatial data-set. The effects of this boundary layer (macro structure) and the spatial dependence of K (micro structure) on solute transport behaviour is shown.

Multivariate Markov chain modeling for stock markets

NASA Astrophysics Data System (ADS)

Maskawa, Jun-ichi

2003-06-01

We study a multivariate Markov chain model as a stochastic model of the price changes of portfolios in the framework of the mean field approximation. The time series of price changes are coded into the sequences of up and down spins according to their signs. We start with the discussion for small portfolios consisting of two stock issues. The generalization of our model to arbitrary size of portfolio is constructed by a recurrence relation. The resultant form of the joint probability of the stationary state coincides with Gibbs measure assigned to each configuration of spin glass model. Through the analysis of actual portfolios, it has been shown that the synchronization of the direction of the price changes is well described by the model.

Multivariate Analysis of Seismic Field Data

DOE Office of Scientific and Technical Information (OSTI.GOV)

Alam, M. Kathleen

1999-06-01

This report includes the details of the model building procedure and prediction of seismic field data. Principal Components Regression, a multivariate analysis technique, was used to model seismic data collected as two pieces of equipment were cycled on and off. Models built that included only the two pieces of equipment of interest had trouble predicting data containing signals not included in the model. Evidence for poor predictions came from the prediction curves as well as spectral F-ratio plots. Once the extraneous signals were included in the model, predictions improved dramatically. While Principal Components Regression performed well for the present datamore » sets, the present data analysis suggests further work will be needed to develop more robust modeling methods as the data become more complex.« less

Multivariate estimation of the limit of detection by orthogonal partial least squares in temperature-modulated MOX sensors.

PubMed

Burgués, Javier; Marco, Santiago

2018-08-17

Metal oxide semiconductor (MOX) sensors are usually temperature-modulated and calibrated with multivariate models such as partial least squares (PLS) to increase the inherent low selectivity of this technology. The multivariate sensor response patterns exhibit heteroscedastic and correlated noise, which suggests that maximum likelihood methods should outperform PLS. One contribution of this paper is the comparison between PLS and maximum likelihood principal components regression (MLPCR) in MOX sensors. PLS is often criticized by the lack of interpretability when the model complexity increases beyond the chemical rank of the problem. This happens in MOX sensors due to cross-sensitivities to interferences, such as temperature or humidity and non-linearity. Additionally, the estimation of fundamental figures of merit, such as the limit of detection (LOD), is still not standardized in multivariate models. Orthogonalization methods, such as orthogonal projection to latent structures (O-PLS), have been successfully applied in other fields to reduce the complexity of PLS models. In this work, we propose a LOD estimation method based on applying the well-accepted univariate LOD formulas to the scores of the first component of an orthogonal PLS model. The resulting LOD is compared to the multivariate LOD range derived from error-propagation. The methodology is applied to data extracted from temperature-modulated MOX sensors (FIS SB-500-12 and Figaro TGS 3870-A04), aiming at the detection of low concentrations of carbon monoxide in the presence of uncontrolled humidity (chemical noise). We found that PLS models were simpler and more accurate than MLPCR models. Average LOD values of 0.79 ppm (FIS) and 1.06 ppm (Figaro) were found using the approach described in this paper. These values were contained within the LOD ranges obtained with the error-propagation approach. The mean LOD increased to 1.13 ppm (FIS) and 1.59 ppm (Figaro) when considering validation samples collected two weeks after calibration, which represents a 43% and 46% degradation, respectively. The orthogonal score-plot was a very convenient tool to visualize MOX sensor data and to validate the LOD estimates. Copyright © 2018 Elsevier B.V. All rights reserved.

Item Response Modeling of Multivariate Count Data with Zero Inflation, Maximum Inflation, and Heaping

ERIC Educational Resources Information Center

Magnus, Brooke E.; Thissen, David

2017-01-01

Questionnaires that include items eliciting count responses are becoming increasingly common in psychology. This study proposes methodological techniques to overcome some of the challenges associated with analyzing multivariate item response data that exhibit zero inflation, maximum inflation, and heaping at preferred digits. The modeling…

Exploring Pattern of Socialisation Conditions and Human Development by Nonlinear Multivariate Analysis.

ERIC Educational Resources Information Center

Grundmann, Matthias

Following the assumptions of ecological socialization research, adequate analysis of socialization conditions must take into account the multilevel and multivariate structure of social factors that impact on human development. This statement implies that complex models of family configurations or of socialization factors are needed to explain the…

Part 2. Development of Enhanced Statistical Methods for Assessing Health Effects Associated with an Unknown Number of Major Sources of Multiple Air Pollutants.

PubMed

Park, Eun Sug; Symanski, Elaine; Han, Daikwon; Spiegelman, Clifford

2015-06-01

A major difficulty with assessing source-specific health effects is that source-specific exposures cannot be measured directly; rather, they need to be estimated by a source-apportionment method such as multivariate receptor modeling. The uncertainty in source apportionment (uncertainty in source-specific exposure estimates and model uncertainty due to the unknown number of sources and identifiability conditions) has been largely ignored in previous studies. Also, spatial dependence of multipollutant data collected from multiple monitoring sites has not yet been incorporated into multivariate receptor modeling. The objectives of this project are (1) to develop a multipollutant approach that incorporates both sources of uncertainty in source-apportionment into the assessment of source-specific health effects and (2) to develop enhanced multivariate receptor models that can account for spatial correlations in the multipollutant data collected from multiple sites. We employed a Bayesian hierarchical modeling framework consisting of multivariate receptor models, health-effects models, and a hierarchical model on latent source contributions. For the health model, we focused on the time-series design in this project. Each combination of number of sources and identifiability conditions (additional constraints on model parameters) defines a different model. We built a set of plausible models with extensive exploratory data analyses and with information from previous studies, and then computed posterior model probability to estimate model uncertainty. Parameter estimation and model uncertainty estimation were implemented simultaneously by Markov chain Monte Carlo (MCMC*) methods. We validated the methods using simulated data. We illustrated the methods using PM2.5 (particulate matter ≤ 2.5 μm in aerodynamic diameter) speciation data and mortality data from Phoenix, Arizona, and Houston, Texas. The Phoenix data included counts of cardiovascular deaths and daily PM2.5 speciation data from 1995-1997. The Houston data included respiratory mortality data and 24-hour PM2.5 speciation data sampled every six days from a region near the Houston Ship Channel in years 2002-2005. We also developed a Bayesian spatial multivariate receptor modeling approach that, while simultaneously dealing with the unknown number of sources and identifiability conditions, incorporated spatial correlations in the multipollutant data collected from multiple sites into the estimation of source profiles and contributions based on the discrete process convolution model for multivariate spatial processes. This new modeling approach was applied to 24-hour ambient air concentrations of 17 volatile organic compounds (VOCs) measured at nine monitoring sites in Harris County, Texas, during years 2000 to 2005. Simulation results indicated that our methods were accurate in identifying the true model and estimated parameters were close to the true values. The results from our methods agreed in general with previous studies on the source apportionment of the Phoenix data in terms of estimated source profiles and contributions. However, we had a greater number of statistically insignificant findings, which was likely a natural consequence of incorporating uncertainty in the estimated source contributions into the health-effects parameter estimation. For the Houston data, a model with five sources (that seemed to be Sulfate-Rich Secondary Aerosol, Motor Vehicles, Industrial Combustion, Soil/Crustal Matter, and Sea Salt) showed the highest posterior model probability among the candidate models considered when fitted simultaneously to the PM2.5 and mortality data. There was a statistically significant positive association between respiratory mortality and same-day PM2.5 concentrations attributed to one of the sources (probably industrial combustion). The Bayesian spatial multivariate receptor modeling approach applied to the VOC data led to a highest posterior model probability for a model with five sources (that seemed to be refinery, petrochemical production, gasoline evaporation, natural gas, and vehicular exhaust) among several candidate models, with the number of sources varying between three and seven and with different identifiability conditions. Our multipollutant approach assessing source-specific health effects is more advantageous than a single-pollutant approach in that it can estimate total health effects from multiple pollutants and can also identify emission sources that are responsible for adverse health effects. Our Bayesian approach can incorporate not only uncertainty in the estimated source contributions, but also model uncertainty that has not been addressed in previous studies on assessing source-specific health effects. The new Bayesian spatial multivariate receptor modeling approach enables predictions of source contributions at unmonitored sites, minimizing exposure misclassification and providing improved exposure estimates along with their uncertainty estimates, as well as accounting for uncertainty in the number of sources and identifiability conditions.

Flexible mixture modeling via the multivariate t distribution with the Box-Cox transformation: an alternative to the skew-t distribution

PubMed Central

Lo, Kenneth

2011-01-01

Cluster analysis is the automated search for groups of homogeneous observations in a data set. A popular modeling approach for clustering is based on finite normal mixture models, which assume that each cluster is modeled as a multivariate normal distribution. However, the normality assumption that each component is symmetric is often unrealistic. Furthermore, normal mixture models are not robust against outliers; they often require extra components for modeling outliers and/or give a poor representation of the data. To address these issues, we propose a new class of distributions, multivariate t distributions with the Box-Cox transformation, for mixture modeling. This class of distributions generalizes the normal distribution with the more heavy-tailed t distribution, and introduces skewness via the Box-Cox transformation. As a result, this provides a unified framework to simultaneously handle outlier identification and data transformation, two interrelated issues. We describe an Expectation-Maximization algorithm for parameter estimation along with transformation selection. We demonstrate the proposed methodology with three real data sets and simulation studies. Compared with a wealth of approaches including the skew-t mixture model, the proposed t mixture model with the Box-Cox transformation performs favorably in terms of accuracy in the assignment of observations, robustness against model misspecification, and selection of the number of components. PMID:22125375

Flexible mixture modeling via the multivariate t distribution with the Box-Cox transformation: an alternative to the skew-t distribution.

PubMed

Lo, Kenneth; Gottardo, Raphael

2012-01-01

Cluster analysis is the automated search for groups of homogeneous observations in a data set. A popular modeling approach for clustering is based on finite normal mixture models, which assume that each cluster is modeled as a multivariate normal distribution. However, the normality assumption that each component is symmetric is often unrealistic. Furthermore, normal mixture models are not robust against outliers; they often require extra components for modeling outliers and/or give a poor representation of the data. To address these issues, we propose a new class of distributions, multivariate t distributions with the Box-Cox transformation, for mixture modeling. This class of distributions generalizes the normal distribution with the more heavy-tailed t distribution, and introduces skewness via the Box-Cox transformation. As a result, this provides a unified framework to simultaneously handle outlier identification and data transformation, two interrelated issues. We describe an Expectation-Maximization algorithm for parameter estimation along with transformation selection. We demonstrate the proposed methodology with three real data sets and simulation studies. Compared with a wealth of approaches including the skew-t mixture model, the proposed t mixture model with the Box-Cox transformation performs favorably in terms of accuracy in the assignment of observations, robustness against model misspecification, and selection of the number of components.

Enhancing e-waste estimates: Improving data quality by multivariate Input–Output Analysis

DOE Office of Scientific and Technical Information (OSTI.GOV)

Wang, Feng, E-mail: fwang@unu.edu; Design for Sustainability Lab, Faculty of Industrial Design Engineering, Delft University of Technology, Landbergstraat 15, 2628CE Delft; Huisman, Jaco

2013-11-15

Highlights: • A multivariate Input–Output Analysis method for e-waste estimates is proposed. • Applying multivariate analysis to consolidate data can enhance e-waste estimates. • We examine the influence of model selection and data quality on e-waste estimates. • Datasets of all e-waste related variables in a Dutch case study have been provided. • Accurate modeling of time-variant lifespan distributions is critical for estimate. - Abstract: Waste electrical and electronic equipment (or e-waste) is one of the fastest growing waste streams, which encompasses a wide and increasing spectrum of products. Accurate estimation of e-waste generation is difficult, mainly due to lackmore » of high quality data referred to market and socio-economic dynamics. This paper addresses how to enhance e-waste estimates by providing techniques to increase data quality. An advanced, flexible and multivariate Input–Output Analysis (IOA) method is proposed. It links all three pillars in IOA (product sales, stock and lifespan profiles) to construct mathematical relationships between various data points. By applying this method, the data consolidation steps can generate more accurate time-series datasets from available data pool. This can consequently increase the reliability of e-waste estimates compared to the approach without data processing. A case study in the Netherlands is used to apply the advanced IOA model. As a result, for the first time ever, complete datasets of all three variables for estimating all types of e-waste have been obtained. The result of this study also demonstrates significant disparity between various estimation models, arising from the use of data under different conditions. It shows the importance of applying multivariate approach and multiple sources to improve data quality for modelling, specifically using appropriate time-varying lifespan parameters. Following the case study, a roadmap with a procedural guideline is provided to enhance e-waste estimation studies.« less

A Cyber-Attack Detection Model Based on Multivariate Analyses

NASA Astrophysics Data System (ADS)

Sakai, Yuto; Rinsaka, Koichiro; Dohi, Tadashi

In the present paper, we propose a novel cyber-attack detection model based on two multivariate-analysis methods to the audit data observed on a host machine. The statistical techniques used here are the well-known Hayashi's quantification method IV and cluster analysis method. We quantify the observed qualitative audit event sequence via the quantification method IV, and collect similar audit event sequence in the same groups based on the cluster analysis. It is shown in simulation experiments that our model can improve the cyber-attack detection accuracy in some realistic cases where both normal and attack activities are intermingled.

Multivariate adaptive regression splines analysis to predict biomarkers of spontaneous preterm birth.

PubMed

Menon, Ramkumar; Bhat, Geeta; Saade, George R; Spratt, Heidi

2014-04-01

To develop classification models of demographic/clinical factors and biomarker data from spontaneous preterm birth in African Americans and Caucasians. Secondary analysis of biomarker data using multivariate adaptive regression splines (MARS), a supervised machine learning algorithm method. Analysis of data on 36 biomarkers from 191 women was reduced by MARS to develop predictive models for preterm birth in African Americans and Caucasians. Maternal plasma, cord plasma collected at admission for preterm or term labor and amniotic fluid at delivery. Data were partitioned into training and testing sets. Variable importance, a relative indicator (0-100%) and area under the receiver operating characteristic curve (AUC) characterized results. Multivariate adaptive regression splines generated models for combined and racially stratified biomarker data. Clinical and demographic data did not contribute to the model. Racial stratification of data produced distinct models in all three compartments. In African Americans maternal plasma samples IL-1RA, TNF-α, angiopoietin 2, TNFRI, IL-5, MIP1α, IL-1β and TGF-α modeled preterm birth (AUC train: 0.98, AUC test: 0.86). In Caucasians TNFR1, ICAM-1 and IL-1RA contributed to the model (AUC train: 0.84, AUC test: 0.68). African Americans cord plasma samples produced IL-12P70, IL-8 (AUC train: 0.82, AUC test: 0.66). Cord plasma in Caucasians modeled IGFII, PDGFBB, TGF-β1 , IL-12P70, and TIMP1 (AUC train: 0.99, AUC test: 0.82). Amniotic fluid in African Americans modeled FasL, TNFRII, RANTES, KGF, IGFI (AUC train: 0.95, AUC test: 0.89) and in Caucasians, TNF-α, MCP3, TGF-β3 , TNFR1 and angiopoietin 2 (AUC train: 0.94 AUC test: 0.79). Multivariate adaptive regression splines models multiple biomarkers associated with preterm birth and demonstrated racial disparity. © 2014 Nordic Federation of Societies of Obstetrics and Gynecology.

Gain-scheduling multivariable LPV control of an irrigation canal system.

PubMed

Bolea, Yolanda; Puig, Vicenç

2016-07-01

The purpose of this paper is to present a multivariable linear parameter varying (LPV) controller with a gain scheduling Smith Predictor (SP) scheme applicable to open-flow canal systems. This LPV controller based on SP is designed taking into account the uncertainty in the estimation of delay and the variation of plant parameters according to the operating point. This new methodology can be applied to a class of delay systems that can be represented by a set of models that can be factorized into a rational multivariable model in series with left/right diagonal (multiple) delays, such as, the case of irrigation canals. A multiple pool canal system is used to test and validate the proposed control approach. Copyright © 2016 ISA. Published by Elsevier Ltd. All rights reserved.

Predicting crash frequency for multi-vehicle collision types using multivariate Poisson-lognormal spatial model: A comparative analysis.

PubMed

Hosseinpour, Mehdi; Sahebi, Sina; Zamzuri, Zamira Hasanah; Yahaya, Ahmad Shukri; Ismail, Noriszura

2018-06-01

According to crash configuration and pre-crash conditions, traffic crashes are classified into different collision types. Based on the literature, multi-vehicle crashes, such as head-on, rear-end, and angle crashes, are more frequent than single-vehicle crashes, and most often result in serious consequences. From a methodological point of view, the majority of prior studies focused on multivehicle collisions have employed univariate count models to estimate crash counts separately by collision type. However, univariate models fail to account for correlations which may exist between different collision types. Among others, multivariate Poisson lognormal (MVPLN) model with spatial correlation is a promising multivariate specification because it not only allows for unobserved heterogeneity (extra-Poisson variation) and dependencies between collision types, but also spatial correlation between adjacent sites. However, the MVPLN spatial model has rarely been applied in previous research for simultaneously modelling crash counts by collision type. Therefore, this study aims at utilizing a MVPLN spatial model to estimate crash counts for four different multi-vehicle collision types, including head-on, rear-end, angle, and sideswipe collisions. To investigate the performance of the MVPLN spatial model, a two-stage model and a univariate Poisson lognormal model (UNPLN) spatial model were also developed in this study. Detailed information on roadway characteristics, traffic volume, and crash history were collected on 407 homogeneous segments from Malaysian federal roads. The results indicate that the MVPLN spatial model outperforms the other comparing models in terms of goodness-of-fit measures. The results also show that the inclusion of spatial heterogeneity in the multivariate model significantly improves the model fit, as indicated by the Deviance Information Criterion (DIC). The correlation between crash types is high and positive, implying that the occurrence of a specific collision type is highly associated with the occurrence of other crash types on the same road segment. These results support the utilization of the MVPLN spatial model when predicting crash counts by collision manner. In terms of contributing factors, the results show that distinct crash types are attributed to different subsets of explanatory variables. Copyright © 2018 Elsevier Ltd. All rights reserved.

TATES: Efficient Multivariate Genotype-Phenotype Analysis for Genome-Wide Association Studies

PubMed Central

van der Sluis, Sophie; Posthuma, Danielle; Dolan, Conor V.

2013-01-01

To date, the genome-wide association study (GWAS) is the primary tool to identify genetic variants that cause phenotypic variation. As GWAS analyses are generally univariate in nature, multivariate phenotypic information is usually reduced to a single composite score. This practice often results in loss of statistical power to detect causal variants. Multivariate genotype–phenotype methods do exist but attain maximal power only in special circumstances. Here, we present a new multivariate method that we refer to as TATES (Trait-based Association Test that uses Extended Simes procedure), inspired by the GATES procedure proposed by Li et al (2011). For each component of a multivariate trait, TATES combines p-values obtained in standard univariate GWAS to acquire one trait-based p-value, while correcting for correlations between components. Extensive simulations, probing a wide variety of genotype–phenotype models, show that TATES's false positive rate is correct, and that TATES's statistical power to detect causal variants explaining 0.5% of the variance can be 2.5–9 times higher than the power of univariate tests based on composite scores and 1.5–2 times higher than the power of the standard MANOVA. Unlike other multivariate methods, TATES detects both genetic variants that are common to multiple phenotypes and genetic variants that are specific to a single phenotype, i.e. TATES provides a more complete view of the genetic architecture of complex traits. As the actual causal genotype–phenotype model is usually unknown and probably phenotypically and genetically complex, TATES, available as an open source program, constitutes a powerful new multivariate strategy that allows researchers to identify novel causal variants, while the complexity of traits is no longer a limiting factor. PMID:23359524

Multivariate Error Covariance Estimates by Monte-Carlo Simulation for Assimilation Studies in the Pacific Ocean

NASA Technical Reports Server (NTRS)

Borovikov, Anna; Rienecker, Michele M.; Keppenne, Christian; Johnson, Gregory C.

2004-01-01

One of the most difficult aspects of ocean state estimation is the prescription of the model forecast error covariances. The paucity of ocean observations limits our ability to estimate the covariance structures from model-observation differences. In most practical applications, simple covariances are usually prescribed. Rarely are cross-covariances between different model variables used. Here a comparison is made between a univariate Optimal Interpolation (UOI) scheme and a multivariate OI algorithm (MvOI) in the assimilation of ocean temperature. In the UOI case only temperature is updated using a Gaussian covariance function and in the MvOI salinity, zonal and meridional velocities as well as temperature, are updated using an empirically estimated multivariate covariance matrix. Earlier studies have shown that a univariate OI has a detrimental effect on the salinity and velocity fields of the model. Apparently, in a sequential framework it is important to analyze temperature and salinity together. For the MvOI an estimation of the model error statistics is made by Monte-Carlo techniques from an ensemble of model integrations. An important advantage of using an ensemble of ocean states is that it provides a natural way to estimate cross-covariances between the fields of different physical variables constituting the model state vector, at the same time incorporating the model's dynamical and thermodynamical constraints as well as the effects of physical boundaries. Only temperature observations from the Tropical Atmosphere-Ocean array have been assimilated in this study. In order to investigate the efficacy of the multivariate scheme two data assimilation experiments are validated with a large independent set of recently published subsurface observations of salinity, zonal velocity and temperature. For reference, a third control run with no data assimilation is used to check how the data assimilation affects systematic model errors. While the performance of the UOI and MvOI is similar with respect to the temperature field, the salinity and velocity fields are greatly improved when multivariate correction is used, as evident from the analyses of the rms differences of these fields and independent observations. The MvOI assimilation is found to improve upon the control run in generating the water masses with properties close to the observed, while the UOI failed to maintain the temperature and salinity structure.

LASSO NTCP predictors for the incidence of xerostomia in patients with head and neck squamous cell carcinoma and nasopharyngeal carcinoma

PubMed Central

Lee, Tsair-Fwu; Liou, Ming-Hsiang; Huang, Yu-Jie; Chao, Pei-Ju; Ting, Hui-Min; Lee, Hsiao-Yi

2014-01-01

To predict the incidence of moderate-to-severe patient-reported xerostomia among head and neck squamous cell carcinoma (HNSCC) and nasopharyngeal carcinoma (NPC) patients treated with intensity-modulated radiotherapy (IMRT). Multivariable normal tissue complication probability (NTCP) models were developed by using quality of life questionnaire datasets from 152 patients with HNSCC and 84 patients with NPC. The primary endpoint was defined as moderate-to-severe xerostomia after IMRT. The numbers of predictive factors for a multivariable logistic regression model were determined using the least absolute shrinkage and selection operator (LASSO) with bootstrapping technique. Four predictive models were achieved by LASSO with the smallest number of factors while preserving predictive value with higher AUC performance. For all models, the dosimetric factors for the mean dose given to the contralateral and ipsilateral parotid gland were selected as the most significant predictors. Followed by the different clinical and socio-economic factors being selected, namely age, financial status, T stage, and education for different models were chosen. The predicted incidence of xerostomia for HNSCC and NPC patients can be improved by using multivariable logistic regression models with LASSO technique. The predictive model developed in HNSCC cannot be generalized to NPC cohort treated with IMRT without validation and vice versa. PMID:25163814

An assessment on the use of bivariate, multivariate and soft computing techniques for collapse susceptibility in GIS environ

NASA Astrophysics Data System (ADS)

Yilmaz, Işik; Marschalko, Marian; Bednarik, Martin

2013-04-01

The paper presented herein compares and discusses the use of bivariate, multivariate and soft computing techniques for collapse susceptibility modelling. Conditional probability (CP), logistic regression (LR) and artificial neural networks (ANN) models representing the bivariate, multivariate and soft computing techniques were used in GIS based collapse susceptibility mapping in an area from Sivas basin (Turkey). Collapse-related factors, directly or indirectly related to the causes of collapse occurrence, such as distance from faults, slope angle and aspect, topographical elevation, distance from drainage, topographic wetness index (TWI), stream power index (SPI), Normalized Difference Vegetation Index (NDVI) by means of vegetation cover, distance from roads and settlements were used in the collapse susceptibility analyses. In the last stage of the analyses, collapse susceptibility maps were produced from the models, and they were then compared by means of their validations. However, Area Under Curve (AUC) values obtained from all three models showed that the map obtained from soft computing (ANN) model looks like more accurate than the other models, accuracies of all three models can be evaluated relatively similar. The results also showed that the conditional probability is an essential method in preparation of collapse susceptibility map and highly compatible with GIS operating features.

Robustness of reduced-order multivariable state-space self-tuning controller

NASA Technical Reports Server (NTRS)

Yuan, Zhuzhi; Chen, Zengqiang

1994-01-01

In this paper, we present a quantitative analysis of the robustness of a reduced-order pole-assignment state-space self-tuning controller for a multivariable adaptive control system whose order of the real process is higher than that of the model used in the controller design. The result of stability analysis shows that, under a specific bounded modelling error, the adaptively controlled closed-loop real system via the reduced-order state-space self-tuner is BIBO stable in the presence of unmodelled dynamics.

Evaluating the Relationship between Team Performance and Joint Attention with Longitudinal Multivariate Mixed Models

DTIC Science & Technology

2016-09-23

Lauren Menke3 5d. PROJECT NUMBER 5e. TASK NUMBER 5f. WORK UNIT NUMBER H0HJ (53290813) 7. PERFORMING ORGANIZATION NAME(S) AND ADDRESS...as prior work has demonstrated that friendship can facilitate performance in decision-making and motor tasks (e.g., Shah & Jehn, 1993). However, a...Relationship between Team Performance and Joint Attention with Longitudinal Multivariate Mixed Models 5a. CONTRACT NUMBER FA8650-14-D-6501-0009 5b

Linkage Analysis of a Model Quantitative Trait in Humans: Finger Ridge Count Shows Significant Multivariate Linkage to 5q14.1

PubMed Central

Medland, Sarah E; Loesch, Danuta Z; Mdzewski, Bogdan; Zhu, Gu; Montgomery, Grant W; Martin, Nicholas G

2007-01-01

The finger ridge count (a measure of pattern size) is one of the most heritable complex traits studied in humans and has been considered a model human polygenic trait in quantitative genetic analysis. Here, we report the results of the first genome-wide linkage scan for finger ridge count in a sample of 2,114 offspring from 922 nuclear families. Both univariate linkage to the absolute ridge count (a sum of all the ridge counts on all ten fingers), and multivariate linkage analyses of the counts on individual fingers, were conducted. The multivariate analyses yielded significant linkage to 5q14.1 (Logarithm of odds [LOD] = 3.34, pointwise-empirical p-value = 0.00025) that was predominantly driven by linkage to the ring, index, and middle fingers. The strongest univariate linkage was to 1q42.2 (LOD = 2.04, point-wise p-value = 0.002, genome-wide p-value = 0.29). In summary, the combination of univariate and multivariate results was more informative than simple univariate analyses alone. Patterns of quantitative trait loci factor loadings consistent with developmental fields were observed, and the simple pleiotropic model underlying the absolute ridge count was not sufficient to characterize the interrelationships between the ridge counts of individual fingers. PMID:17907812

From point process observations to collective neural dynamics: Nonlinear Hawkes process GLMs, low-dimensional dynamics and coarse graining

PubMed Central

Truccolo, Wilson

2017-01-01

This review presents a perspective on capturing collective dynamics in recorded neuronal ensembles based on multivariate point process models, inference of low-dimensional dynamics and coarse graining of spatiotemporal measurements. A general probabilistic framework for continuous time point processes reviewed, with an emphasis on multivariate nonlinear Hawkes processes with exogenous inputs. A point process generalized linear model (PP-GLM) framework for the estimation of discrete time multivariate nonlinear Hawkes processes is described. The approach is illustrated with the modeling of collective dynamics in neocortical neuronal ensembles recorded in human and non-human primates, and prediction of single-neuron spiking. A complementary approach to capture collective dynamics based on low-dimensional dynamics (“order parameters”) inferred via latent state-space models with point process observations is presented. The approach is illustrated by inferring and decoding low-dimensional dynamics in primate motor cortex during naturalistic reach and grasp movements. Finally, we briefly review hypothesis tests based on conditional inference and spatiotemporal coarse graining for assessing collective dynamics in recorded neuronal ensembles. PMID:28336305

From point process observations to collective neural dynamics: Nonlinear Hawkes process GLMs, low-dimensional dynamics and coarse graining.

PubMed

Truccolo, Wilson

2016-11-01

This review presents a perspective on capturing collective dynamics in recorded neuronal ensembles based on multivariate point process models, inference of low-dimensional dynamics and coarse graining of spatiotemporal measurements. A general probabilistic framework for continuous time point processes reviewed, with an emphasis on multivariate nonlinear Hawkes processes with exogenous inputs. A point process generalized linear model (PP-GLM) framework for the estimation of discrete time multivariate nonlinear Hawkes processes is described. The approach is illustrated with the modeling of collective dynamics in neocortical neuronal ensembles recorded in human and non-human primates, and prediction of single-neuron spiking. A complementary approach to capture collective dynamics based on low-dimensional dynamics ("order parameters") inferred via latent state-space models with point process observations is presented. The approach is illustrated by inferring and decoding low-dimensional dynamics in primate motor cortex during naturalistic reach and grasp movements. Finally, we briefly review hypothesis tests based on conditional inference and spatiotemporal coarse graining for assessing collective dynamics in recorded neuronal ensembles. Published by Elsevier Ltd.

Functional MRI and Multivariate Autoregressive Models

PubMed Central

Rogers, Baxter P.; Katwal, Santosh B.; Morgan, Victoria L.; Asplund, Christopher L.; Gore, John C.

2010-01-01

Connectivity refers to the relationships that exist between different regions of the brain. In the context of functional magnetic resonance imaging (fMRI), it implies a quantifiable relationship between hemodynamic signals from different regions. One aspect of this relationship is the existence of small timing differences in the signals in different regions. Delays of 100 ms or less may be measured with fMRI, and these may reflect important aspects of the manner in which brain circuits respond as well as the overall functional organization of the brain. The multivariate autoregressive time series model has features to recommend it for measuring these delays, and is straightforward to apply to hemodynamic data. In this review, we describe the current usage of the multivariate autoregressive model for fMRI, discuss the issues that arise when it is applied to hemodynamic time series, and consider several extensions. Connectivity measures like Granger causality that are based on the autoregressive model do not always reflect true neuronal connectivity; however, we conclude that careful experimental design could make this methodology quite useful in extending the information obtainable using fMRI. PMID:20444566

Identification of multivariable nonlinear systems in the presence of colored noises using iterative hierarchical least squares algorithm.

PubMed

Jafari, Masoumeh; Salimifard, Maryam; Dehghani, Maryam

2014-07-01

This paper presents an efficient method for identification of nonlinear Multi-Input Multi-Output (MIMO) systems in the presence of colored noises. The method studies the multivariable nonlinear Hammerstein and Wiener models, in which, the nonlinear memory-less block is approximated based on arbitrary vector-based basis functions. The linear time-invariant (LTI) block is modeled by an autoregressive moving average with exogenous (ARMAX) model which can effectively describe the moving average noises as well as the autoregressive and the exogenous dynamics. According to the multivariable nature of the system, a pseudo-linear-in-the-parameter model is obtained which includes two different kinds of unknown parameters, a vector and a matrix. Therefore, the standard least squares algorithm cannot be applied directly. To overcome this problem, a Hierarchical Least Squares Iterative (HLSI) algorithm is used to simultaneously estimate the vector and the matrix of unknown parameters as well as the noises. The efficiency of the proposed identification approaches are investigated through three nonlinear MIMO case studies. Copyright © 2014 ISA. Published by Elsevier Ltd. All rights reserved.

Laser ablation molecular isotopic spectroscopy (LAMIS) towards the determination of multivariate LODs via PLS calibration model of 10B and 11B Boric acid mixtures

NASA Astrophysics Data System (ADS)

Harris, C. D.; Profeta, Luisa T. M.; Akpovo, Codjo A.; Johnson, Lewis; Stowe, Ashley C.

2017-05-01

A calibration model was created to illustrate the detection capabilities of laser ablation molecular isotopic spectroscopy (LAMIS) discrimination in isotopic analysis. The sample set contained boric acid pellets that varied in isotopic concentrations of 10B and 11B. Each sample set was interrogated with a Q-switched Nd:YAG ablation laser operating at 532 nm. A minimum of four band heads of the β system B2∑ -> Χ2∑transitions were identified and verified with previous literature on BO molecular emission lines. Isotopic shifts were observed in the spectra for each transition and used as the predictors in the calibration model. The spectra along with their respective 10/11B isotopic ratios were analyzed using Partial Least Squares Regression (PLSR). An IUPAC novel approach for determining a multivariate Limit of Detection (LOD) interval was used to predict the detection of the desired isotopic ratios. The predicted multivariate LOD is dependent on the variation of the instrumental signal and other composites in the calibration model space.

Estimating multivariate response surface model with data outliers, case study in enhancing surface layer properties of an aircraft aluminium alloy

NASA Astrophysics Data System (ADS)

Widodo, Edy; Kariyam

2017-03-01

To determine the input variable settings that create the optimal compromise in response variable used Response Surface Methodology (RSM). There are three primary steps in the RSM problem, namely data collection, modelling, and optimization. In this study focused on the establishment of response surface models, using the assumption that the data produced is correct. Usually the response surface model parameters are estimated by OLS. However, this method is highly sensitive to outliers. Outliers can generate substantial residual and often affect the estimator models. Estimator models produced can be biased and could lead to errors in the determination of the optimal point of fact, that the main purpose of RSM is not reached. Meanwhile, in real life, the collected data often contain some response variable and a set of independent variables. Treat each response separately and apply a single response procedures can result in the wrong interpretation. So we need a development model for the multi-response case. Therefore, it takes a multivariate model of the response surface that is resistant to outliers. As an alternative, in this study discussed on M-estimation as a parameter estimator in multivariate response surface models containing outliers. As an illustration presented a case study on the experimental results to the enhancement of the surface layer of aluminium alloy air by shot peening.

Early experiences building a software quality prediction model

NASA Technical Reports Server (NTRS)

Agresti, W. W.; Evanco, W. M.; Smith, M. C.

1990-01-01

Early experiences building a software quality prediction model are discussed. The overall research objective is to establish a capability to project a software system's quality from an analysis of its design. The technical approach is to build multivariate models for estimating reliability and maintainability. Data from 21 Ada subsystems were analyzed to test hypotheses about various design structures leading to failure-prone or unmaintainable systems. Current design variables highlight the interconnectivity and visibility of compilation units. Other model variables provide for the effects of reusability and software changes. Reported results are preliminary because additional project data is being obtained and new hypotheses are being developed and tested. Current multivariate regression models are encouraging, explaining 60 to 80 percent of the variation in error density of the subsystems.

Probabilistic, meso-scale flood loss modelling

NASA Astrophysics Data System (ADS)

Kreibich, Heidi; Botto, Anna; Schröter, Kai; Merz, Bruno

2016-04-01

Flood risk analyses are an important basis for decisions on flood risk management and adaptation. However, such analyses are associated with significant uncertainty, even more if changes in risk due to global change are expected. Although uncertainty analysis and probabilistic approaches have received increased attention during the last years, they are still not standard practice for flood risk assessments and even more for flood loss modelling. State of the art in flood loss modelling is still the use of simple, deterministic approaches like stage-damage functions. Novel probabilistic, multi-variate flood loss models have been developed and validated on the micro-scale using a data-mining approach, namely bagging decision trees (Merz et al. 2013). In this presentation we demonstrate and evaluate the upscaling of the approach to the meso-scale, namely on the basis of land-use units. The model is applied in 19 municipalities which were affected during the 2002 flood by the River Mulde in Saxony, Germany (Botto et al. submitted). The application of bagging decision tree based loss models provide a probability distribution of estimated loss per municipality. Validation is undertaken on the one hand via a comparison with eight deterministic loss models including stage-damage functions as well as multi-variate models. On the other hand the results are compared with official loss data provided by the Saxon Relief Bank (SAB). The results show, that uncertainties of loss estimation remain high. Thus, the significant advantage of this probabilistic flood loss estimation approach is that it inherently provides quantitative information about the uncertainty of the prediction. References: Merz, B.; Kreibich, H.; Lall, U. (2013): Multi-variate flood damage assessment: a tree-based data-mining approach. NHESS, 13(1), 53-64. Botto A, Kreibich H, Merz B, Schröter K (submitted) Probabilistic, multi-variable flood loss modelling on the meso-scale with BT-FLEMO. Risk Analysis.

An alternative derivation of the stationary distribution of the multivariate neutral Wright-Fisher model for low mutation rates with a view to mutation rate estimation from site frequency data.

PubMed

Schrempf, Dominik; Hobolth, Asger

2017-04-01

Recently, Burden and Tang (2016) provided an analytical expression for the stationary distribution of the multivariate neutral Wright-Fisher model with low mutation rates. In this paper we present a simple, alternative derivation that illustrates the approximation. Our proof is based on the discrete multivariate boundary mutation model which has three key ingredients. First, the decoupled Moran model is used to describe genetic drift. Second, low mutation rates are assumed by limiting mutations to monomorphic states. Third, the mutation rate matrix is separated into a time-reversible part and a flux part, as suggested by Burden and Tang (2016). An application of our result to data from several great apes reveals that the assumption of stationarity may be inadequate or that other evolutionary forces like selection or biased gene conversion are acting. Furthermore we find that the model with a reversible mutation rate matrix provides a reasonably good fit to the data compared to the one with a non-reversible mutation rate matrix. Copyright © 2016 The Author(s). Published by Elsevier Inc. All rights reserved.

Multivariable Time Series Prediction for the Icing Process on Overhead Power Transmission Line

PubMed Central

Li, Peng; Zhao, Na; Zhou, Donghua; Cao, Min; Li, Jingjie; Shi, Xinling

2014-01-01

The design of monitoring and predictive alarm systems is necessary for successful overhead power transmission line icing. Given the characteristics of complexity, nonlinearity, and fitfulness in the line icing process, a model based on a multivariable time series is presented here to predict the icing load of a transmission line. In this model, the time effects of micrometeorology parameters for the icing process have been analyzed. The phase-space reconstruction theory and machine learning method were then applied to establish the prediction model, which fully utilized the history of multivariable time series data in local monitoring systems to represent the mapping relationship between icing load and micrometeorology factors. Relevant to the characteristic of fitfulness in line icing, the simulations were carried out during the same icing process or different process to test the model's prediction precision and robustness. According to the simulation results for the Tao-Luo-Xiong Transmission Line, this model demonstrates a good accuracy of prediction in different process, if the prediction length is less than two hours, and would be helpful for power grid departments when deciding to take action in advance to address potential icing disasters. PMID:25136653

Multivariate optical computing using a digital micromirror device for fluorescence and Raman spectroscopy.

PubMed

Smith, Zachary J; Strombom, Sven; Wachsmann-Hogiu, Sebastian

2011-08-29

A multivariate optical computer has been constructed consisting of a spectrograph, digital micromirror device, and photomultiplier tube that is capable of determining absolute concentrations of individual components of a multivariate spectral model. We present experimental results on ternary mixtures, showing accurate quantification of chemical concentrations based on integrated intensities of fluorescence and Raman spectra measured with a single point detector. We additionally show in simulation that point measurements based on principal component spectra retain the ability to classify cancerous from noncancerous T cells.

Direct observation of magnetic domains by Kerr microscopy in a Ni-Mn-Ga magnetic shape-memory alloy

NASA Astrophysics Data System (ADS)

Perevertov, O.; Heczko, O.; Schäfer, R.

2017-04-01

The magnetic domains in a magnetic shape-memory Ni-Mn-Ga alloy were observed by magneto-optical Kerr microscopy using monochromatic blue LED light. The domains were observed for both single- and multivariant ferroelastic states of modulated martensite. The multivariant state with very fine twins was spontaneously formed after transformation from high-temperature austenite. For both cases, bar domains separated by 180∘ domain walls were found and their dynamics was studied. A quasidomain model was applied to explain the domains in the multivariant state.

Anxiety after completion of treatment for early-stage breast cancer: a systematic review to identify candidate predictors and evaluate multivariable model development.

PubMed

Harris, Jenny; Cornelius, Victoria; Ream, Emma; Cheevers, Katy; Armes, Jo

2017-07-01

The purpose of this review was to identify potential candidate predictors of anxiety in women with early-stage breast cancer (BC) after adjuvant treatments and evaluate methodological development of existing multivariable models to inform the future development of a predictive risk stratification model (PRSM). Databases (MEDLINE, Web of Science, CINAHL, CENTRAL and PsycINFO) were searched from inception to November 2015. Eligible studies were prospective, recruited women with stage 0-3 BC, used a validated anxiety outcome ≥3 months post-treatment completion and used multivariable prediction models. Internationally accepted quality standards were used to assess predictive risk of bias and strength of evidence. Seven studies were identified: five were observational cohorts and two secondary analyses of RCTs. Variability of measurement and selective reporting precluded meta-analysis. Twenty-one candidate predictors were identified in total. Younger age and previous mental health problems were identified as risk factors in ≥3 studies. Clinical variables (e.g. treatment, tumour grade) were not identified as predictors in any studies. No studies adhered to all quality standards. Pre-existing vulnerability to mental health problems and younger age increased the risk of anxiety after completion of treatment for BC survivors, but there was no evidence that chemotherapy was a predictor. Multiple predictors were identified but many lacked reproducibility or were not measured across studies, and inadequate reporting did not allow full evaluation of the multivariable models. The use of quality standards in the development of PRSM within supportive cancer care would improve model quality and performance, thereby allowing professionals to better target support for patients.

Quantitative analysis of essential oils in perfume using multivariate curve resolution combined with comprehensive two-dimensional gas chromatography.

PubMed

de Godoy, Luiz Antonio Fonseca; Hantao, Leandro Wang; Pedroso, Marcio Pozzobon; Poppi, Ronei Jesus; Augusto, Fabio

2011-08-05

The use of multivariate curve resolution (MCR) to build multivariate quantitative models using data obtained from comprehensive two-dimensional gas chromatography with flame ionization detection (GC×GC-FID) is presented and evaluated. The MCR algorithm presents some important features, such as second order advantage and the recovery of the instrumental response for each pure component after optimization by an alternating least squares (ALS) procedure. A model to quantify the essential oil of rosemary was built using a calibration set containing only known concentrations of the essential oil and cereal alcohol as solvent. A calibration curve correlating the concentration of the essential oil of rosemary and the instrumental response obtained from the MCR-ALS algorithm was obtained, and this calibration model was applied to predict the concentration of the oil in complex samples (mixtures of the essential oil, pineapple essence and commercial perfume). The values of the root mean square error of prediction (RMSEP) and of the root mean square error of the percentage deviation (RMSPD) obtained were 0.4% (v/v) and 7.2%, respectively. Additionally, a second model was built and used to evaluate the accuracy of the method. A model to quantify the essential oil of lemon grass was built and its concentration was predicted in the validation set and real perfume samples. The RMSEP and RMSPD obtained were 0.5% (v/v) and 6.9%, respectively, and the concentration of the essential oil of lemon grass in perfume agreed to the value informed by the manufacturer. The result indicates that the MCR algorithm is adequate to resolve the target chromatogram from the complex sample and to build multivariate models of GC×GC-FID data. Copyright © 2011 Elsevier B.V. All rights reserved.

Inferring Instantaneous, Multivariate and Nonlinear Sensitivities for the Analysis of Feedback Processes in a Dynamical System: Lorenz Model Case Study

NASA Technical Reports Server (NTRS)

Aires, Filipe; Rossow, William B.; Hansen, James E. (Technical Monitor)

2001-01-01

A new approach is presented for the analysis of feedback processes in a nonlinear dynamical system by observing its variations. The new methodology consists of statistical estimates of the sensitivities between all pairs of variables in the system based on a neural network modeling of the dynamical system. The model can then be used to estimate the instantaneous, multivariate and nonlinear sensitivities, which are shown to be essential for the analysis of the feedbacks processes involved in the dynamical system. The method is described and tested on synthetic data from the low-order Lorenz circulation model where the correct sensitivities can be evaluated analytically.

General Multivariate Linear Modeling of Surface Shapes Using SurfStat

PubMed Central

Chung, Moo K.; Worsley, Keith J.; Nacewicz, Brendon, M.; Dalton, Kim M.; Davidson, Richard J.

2010-01-01

Although there are many imaging studies on traditional ROI-based amygdala volumetry, there are very few studies on modeling amygdala shape variations. This paper present a unified computational and statistical framework for modeling amygdala shape variations in a clinical population. The weighted spherical harmonic representation is used as to parameterize, to smooth out, and to normalize amygdala surfaces. The representation is subsequently used as an input for multivariate linear models accounting for nuisance covariates such as age and brain size difference using SurfStat package that completely avoids the complexity of specifying design matrices. The methodology has been applied for quantifying abnormal local amygdala shape variations in 22 high functioning autistic subjects. PMID:20620211

Structural equation models based on multivariate diversity assessment of diploid and tetraploid hulled wheat species

USDA-ARS?s Scientific Manuscript database

Hulled wheats are largely untapped genetic resources with >10,000 years of genetic memory and diversity that can be used for wheat quality improvement, development of healthy products, and adaptation to climate change. Multivariate diversity was assessed in the diploid Triticum monococcum L. var mon...

A Multivariate Generalizability Analysis of the Multistate Bar Examination

ERIC Educational Resources Information Center

Yin, Ping

2005-01-01

The main purpose of this study is to examine the content structure of the Multistate Bar Examination (MBE) using the "table of specifications" model from the perspective of multivariate generalizability theory. Specifically, using MBE data collected over different years (six administrations: three from the February test and three from July test),…

Multivariate geomorphic analysis of forest streams: Implications for assessment of land use impacts on channel condition

Treesearch

Richard. D. Wood-Smith; John M. Buffington

1996-01-01

Multivariate statistical analyses of geomorphic variables from 23 forest stream reaches in southeast Alaska result in successful discrimination between pristine streams and those disturbed by land management, specifically timber harvesting and associated road building. Results of discriminant function analysis indicate that a three-variable model discriminates 10...

Generating Nonnormal Multivariate Data Using Copulas: Applications to SEM

ERIC Educational Resources Information Center

Mair, Patrick; Satorra, Albert; Bentler, Peter M.

2012-01-01

This article develops a procedure based on copulas to simulate multivariate nonnormal data that satisfy a prespecified variance-covariance matrix. The covariance matrix used can comply with a specific moment structure form (e.g., a factor analysis or a general structural equation model). Thus, the method is particularly useful for Monte Carlo…

Sensory imbalance as mechanism of orientation disruption in the leafminer, Phyllocnistis citrella: Elucidation by multivariate geometric designs and response surface models

USDA-ARS?s Scientific Manuscript database

Experimental designs developed to address mixtures are ideally suited for many areas of experimental biology including pheromone blend studies because they address the confounding of proportionality and concentration intrinsic to factorial and one-factor-at-a-time designs. Geometric multivariate des...

An Artificial Intelligence Approach to the Symbolic Factorization of Multivariable Polynomials. Technical Report No. CS74019-R.

ERIC Educational Resources Information Center

Claybrook, Billy G.

A new heuristic factorization scheme uses learning to improve the efficiency of determining the symbolic factorization of multivariable polynomials with interger coefficients and an arbitrary number of variables and terms. The factorization scheme makes extensive use of artificial intelligence techniques (e.g., model-building, learning, and…

Controlled Multivariate Evaluation of Open Education: Application of a Critical Model.

ERIC Educational Resources Information Center

Sewell, Alan F.; And Others

This paper continues previous reports of a controlled multivariate evaluation of a junior high school open-education program. A new method of estimating program objectives and implementation is presented, together with the nature and degree of obtained student outcomes. Open-program students were found to approve more highly of their learning…

Model transformations for state-space self-tuning control of multivariable stochastic systems

NASA Technical Reports Server (NTRS)

Shieh, Leang S.; Bao, Yuan L.; Coleman, Norman P.

1988-01-01

The design of self-tuning controllers for multivariable stochastic systems is considered analytically. A long-division technique for finding the similarity transformation matrix and transforming the estimated left MFD to the right MFD is developed; the derivation is given in detail, and the procedures involved are briefly characterized.

Root Cause Analysis of Quality Defects Using HPLC-MS Fingerprint Knowledgebase for Batch-to-batch Quality Control of Herbal Drugs.

PubMed

Yan, Binjun; Fang, Zhonghua; Shen, Lijuan; Qu, Haibin

2015-01-01

The batch-to-batch quality consistency of herbal drugs has always been an important issue. To propose a methodology for batch-to-batch quality control based on HPLC-MS fingerprints and process knowledgebase. The extraction process of Compound E-jiao Oral Liquid was taken as a case study. After establishing the HPLC-MS fingerprint analysis method, the fingerprints of the extract solutions produced under normal and abnormal operation conditions were obtained. Multivariate statistical models were built for fault detection and a discriminant analysis model was built using the probabilistic discriminant partial-least-squares method for fault diagnosis. Based on multivariate statistical analysis, process knowledge was acquired and the cause-effect relationship between process deviations and quality defects was revealed. The quality defects were detected successfully by multivariate statistical control charts and the type of process deviations were diagnosed correctly by discriminant analysis. This work has demonstrated the benefits of combining HPLC-MS fingerprints, process knowledge and multivariate analysis for the quality control of herbal drugs. Copyright © 2015 John Wiley & Sons, Ltd.

[Monitoring method of extraction process for Schisandrae Chinensis Fructus based on near infrared spectroscopy and multivariate statistical process control].

PubMed

Xu, Min; Zhang, Lei; Yue, Hong-Shui; Pang, Hong-Wei; Ye, Zheng-Liang; Ding, Li

2017-10-01

To establish an on-line monitoring method for extraction process of Schisandrae Chinensis Fructus, the formula medicinal material of Yiqi Fumai lyophilized injection by combining near infrared spectroscopy with multi-variable data analysis technology. The multivariate statistical process control (MSPC) model was established based on 5 normal batches in production and 2 test batches were monitored by PC scores, DModX and Hotelling T2 control charts. The results showed that MSPC model had a good monitoring ability for the extraction process. The application of the MSPC model to actual production process could effectively achieve on-line monitoring for extraction process of Schisandrae Chinensis Fructus, and can reflect the change of material properties in the production process in real time. This established process monitoring method could provide reference for the application of process analysis technology in the process quality control of traditional Chinese medicine injections. Copyright© by the Chinese Pharmaceutical Association.

Forecasting electric vehicles sales with univariate and multivariate time series models: The case of China.

PubMed

Zhang, Yong; Zhong, Miner; Geng, Nana; Jiang, Yunjian

2017-01-01

The market demand for electric vehicles (EVs) has increased in recent years. Suitable models are necessary to understand and forecast EV sales. This study presents a singular spectrum analysis (SSA) as a univariate time-series model and vector autoregressive model (VAR) as a multivariate model. Empirical results suggest that SSA satisfactorily indicates the evolving trend and provides reasonable results. The VAR model, which comprised exogenous parameters related to the market on a monthly basis, can significantly improve the prediction accuracy. The EV sales in China, which are categorized into battery and plug-in EVs, are predicted in both short term (up to December 2017) and long term (up to 2020), as statistical proofs of the growth of the Chinese EV industry.

Forecasting electric vehicles sales with univariate and multivariate time series models: The case of China

PubMed Central

Zhang, Yong; Zhong, Miner; Geng, Nana; Jiang, Yunjian

2017-01-01

The market demand for electric vehicles (EVs) has increased in recent years. Suitable models are necessary to understand and forecast EV sales. This study presents a singular spectrum analysis (SSA) as a univariate time-series model and vector autoregressive model (VAR) as a multivariate model. Empirical results suggest that SSA satisfactorily indicates the evolving trend and provides reasonable results. The VAR model, which comprised exogenous parameters related to the market on a monthly basis, can significantly improve the prediction accuracy. The EV sales in China, which are categorized into battery and plug-in EVs, are predicted in both short term (up to December 2017) and long term (up to 2020), as statistical proofs of the growth of the Chinese EV industry. PMID:28459872

Multivariate dynamic Tobit models with lagged observed dependent variables: An effectiveness analysis of highway safety laws.

PubMed

Dong, Chunjiao; Xie, Kun; Zeng, Jin; Li, Xia

2018-04-01

Highway safety laws aim to influence driver behaviors so as to reduce the frequency and severity of crashes, and their outcomes. For one specific highway safety law, it would have different effects on the crashes across severities. Understanding such effects can help policy makers upgrade current laws and hence improve traffic safety. To investigate the effects of highway safety laws on crashes across severities, multivariate models are needed to account for the interdependency issues in crash counts across severities. Based on the characteristics of the dependent variables, multivariate dynamic Tobit (MVDT) models are proposed to analyze crash counts that are aggregated at the state level. Lagged observed dependent variables are incorporated into the MVDT models to account for potential temporal correlation issues in crash data. The state highway safety law related factors are used as the explanatory variables and socio-demographic and traffic factors are used as the control variables. Three models, a MVDT model with lagged observed dependent variables, a MVDT model with unobserved random variables, and a multivariate static Tobit (MVST) model are developed and compared. The results show that among the investigated models, the MVDT models with lagged observed dependent variables have the best goodness-of-fit. The findings indicate that, compared to the MVST, the MVDT models have better explanatory power and prediction accuracy. The MVDT model with lagged observed variables can better handle the stochasticity and dependency in the temporal evolution of the crash counts and the estimated values from the model are closer to the observed values. The results show that more lives could be saved if law enforcement agencies can make a sustained effort to educate the public about the importance of motorcyclists wearing helmets. Motor vehicle crash-related deaths, injuries, and property damages could be reduced if states enact laws for stricter text messaging rules, higher speeding fines, older licensing age, and stronger graduated licensing provisions. Injury and PDO crashes would be significantly reduced with stricter laws prohibiting the use of hand-held communication devices and higher fines for drunk driving. Copyright © 2018 Elsevier Ltd. All rights reserved.

Neuroanatomical morphometric characterization of sex differences in youth using statistical learning.

PubMed

Sepehrband, Farshid; Lynch, Kirsten M; Cabeen, Ryan P; Gonzalez-Zacarias, Clio; Zhao, Lu; D'Arcy, Mike; Kesselman, Carl; Herting, Megan M; Dinov, Ivo D; Toga, Arthur W; Clark, Kristi A

2018-05-15

Exploring neuroanatomical sex differences using a multivariate statistical learning approach can yield insights that cannot be derived with univariate analysis. While gross differences in total brain volume are well-established, uncovering the more subtle, regional sex-related differences in neuroanatomy requires a multivariate approach that can accurately model spatial complexity as well as the interactions between neuroanatomical features. Here, we developed a multivariate statistical learning model using a support vector machine (SVM) classifier to predict sex from MRI-derived regional neuroanatomical features from a single-site study of 967 healthy youth from the Philadelphia Neurodevelopmental Cohort (PNC). Then, we validated the multivariate model on an independent dataset of 682 healthy youth from the multi-site Pediatric Imaging, Neurocognition and Genetics (PING) cohort study. The trained model exhibited an 83% cross-validated prediction accuracy, and correctly predicted the sex of 77% of the subjects from the independent multi-site dataset. Results showed that cortical thickness of the middle occipital lobes and the angular gyri are major predictors of sex. Results also demonstrated the inferential benefits of going beyond classical regression approaches to capture the interactions among brain features in order to better characterize sex differences in male and female youths. We also identified specific cortical morphological measures and parcellation techniques, such as cortical thickness as derived from the Destrieux atlas, that are better able to discriminate between males and females in comparison to other brain atlases (Desikan-Killiany, Brodmann and subcortical atlases). Copyright © 2018 Elsevier Inc. All rights reserved.

A revision of chiggers of the minuta species-group (Acari: Trombiculidae: Neotrombicula Hirst, 1925) using multivariate morphometrics.

PubMed

Stekolnikov, Alexandr A; Klimov, Pavel B

2010-09-01

We revise chiggers belonging to the minuta-species group (genus Neotrombicula Hirst, 1925) from the Palaearctic using size-free multivariate morphometrics. This approach allowed us to resolve several diagnostic problems. We show that the widely distributed Neotrombicula scrupulosa Kudryashova, 1993 forms three spatially and ecologically isolated groups different from each other in size or shape (morphometric property) only: specimens from the Caucasus are distinct from those from Asia in shape, whereas the Asian specimens from plains and mountains are different from each other in size. We developed a multivariate classification model to separate three closely related species: N. scrupulosa, N. lubrica Kudryashova, 1993 and N. minuta Schluger, 1966. This model is based on five shape variables selected from an initial 17 variables by a best subset analysis using a custom size-correction subroutine. The variable selection procedure slightly improved the predictive power of the model, suggesting that it not only removed redundancy but also reduced 'noise' in the dataset. The overall classification accuracy of this model is 96.2, 96.2 and 95.5%, as estimated by internal validation, external validation and jackknife statistics, respectively. Our analyses resulted in one new synonymy: N. dimidiata Stekolnikov, 1995 is considered to be a synonym of N. lubrica. Both N. scrupulosa and N. lubrica are recorded from new localities. A key to species of the minuta-group incorporating results from our multivariate analyses is presented.

Differences in passenger car and large truck involved crash frequencies at urban signalized intersections: an exploratory analysis.

PubMed

Dong, Chunjiao; Clarke, David B; Richards, Stephen H; Huang, Baoshan

2014-01-01

The influence of intersection features on safety has been examined extensively because intersections experience a relatively large proportion of motor vehicle conflicts and crashes. Although there are distinct differences between passenger cars and large trucks-size, operating characteristics, dimensions, and weight-modeling crash counts across vehicle types is rarely addressed. This paper develops and presents a multivariate regression model of crash frequencies by collision vehicle type using crash data for urban signalized intersections in Tennessee. In addition, the performance of univariate Poisson-lognormal (UVPLN), multivariate Poisson (MVP), and multivariate Poisson-lognormal (MVPLN) regression models in establishing the relationship between crashes, traffic factors, and geometric design of roadway intersections is investigated. Bayesian methods are used to estimate the unknown parameters of these models. The evaluation results suggest that the MVPLN model possesses most of the desirable statistical properties in developing the relationships. Compared to the UVPLN and MVP models, the MVPLN model better identifies significant factors and predicts crash frequencies. The findings suggest that traffic volume, truck percentage, lighting condition, and intersection angle significantly affect intersection safety. Important differences in car, car-truck, and truck crash frequencies with respect to various risk factors were found to exist between models. The paper provides some new or more comprehensive observations that have not been covered in previous studies. Copyright © 2013 Elsevier Ltd. All rights reserved.

mfpa: Extension of mfp using the ACD covariate transformation for enhanced parametric multivariable modeling.

PubMed

Royston, Patrick; Sauerbrei, Willi

2016-01-01

In a recent article, Royston (2015, Stata Journal 15: 275-291) introduced the approximate cumulative distribution (acd) transformation of a continuous covariate x as a route toward modeling a sigmoid relationship between x and an outcome variable. In this article, we extend the approach to multivariable modeling by modifying the standard Stata program mfp. The result is a new program, mfpa, that has all the features of mfp plus the ability to fit a new model for user-selected covariates that we call fp1( p 1 , p 2 ). The fp1( p 1 , p 2 ) model comprises the best-fitting combination of a dimension-one fractional polynomial (fp1) function of x and an fp1 function of acd ( x ). We describe a new model-selection algorithm called function-selection procedure with acd transformation, which uses significance testing to attempt to simplify an fp1( p 1 , p 2 ) model to a submodel, an fp1 or linear model in x or in acd ( x ). The function-selection procedure with acd transformation is related in concept to the fsp (fp function-selection procedure), which is an integral part of mfp and which is used to simplify a dimension-two (fp2) function. We describe the mfpa command and give univariable and multivariable examples with real data to demonstrate its use.

Augmented classical least squares multivariate spectral analysis

DOEpatents

Haaland, David M.; Melgaard, David K.

2004-02-03

A method of multivariate spectral analysis, termed augmented classical least squares (ACLS), provides an improved CLS calibration model when unmodeled sources of spectral variation are contained in a calibration sample set. The ACLS methods use information derived from component or spectral residuals during the CLS calibration to provide an improved calibration-augmented CLS model. The ACLS methods are based on CLS so that they retain the qualitative benefits of CLS, yet they have the flexibility of PLS and other hybrid techniques in that they can define a prediction model even with unmodeled sources of spectral variation that are not explicitly included in the calibration model. The unmodeled sources of spectral variation may be unknown constituents, constituents with unknown concentrations, nonlinear responses, non-uniform and correlated errors, or other sources of spectral variation that are present in the calibration sample spectra. Also, since the various ACLS methods are based on CLS, they can incorporate the new prediction-augmented CLS (PACLS) method of updating the prediction model for new sources of spectral variation contained in the prediction sample set without having to return to the calibration process. The ACLS methods can also be applied to alternating least squares models. The ACLS methods can be applied to all types of multivariate data.

Augmented Classical Least Squares Multivariate Spectral Analysis

DOEpatents

Haaland, David M.; Melgaard, David K.

2005-07-26

A method of multivariate spectral analysis, termed augmented classical least squares (ACLS), provides an improved CLS calibration model when unmodeled sources of spectral variation are contained in a calibration sample set. The ACLS methods use information derived from component or spectral residuals during the CLS calibration to provide an improved calibration-augmented CLS model. The ACLS methods are based on CLS so that they retain the qualitative benefits of CLS, yet they have the flexibility of PLS and other hybrid techniques in that they can define a prediction model even with unmodeled sources of spectral variation that are not explicitly included in the calibration model. The unmodeled sources of spectral variation may be unknown constituents, constituents with unknown concentrations, nonlinear responses, non-uniform and correlated errors, or other sources of spectral variation that are present in the calibration sample spectra. Also, since the various ACLS methods are based on CLS, they can incorporate the new prediction-augmented CLS (PACLS) method of updating the prediction model for new sources of spectral variation contained in the prediction sample set without having to return to the calibration process. The ACLS methods can also be applied to alternating least squares models. The ACLS methods can be applied to all types of multivariate data.

Augmented Classical Least Squares Multivariate Spectral Analysis

DOEpatents

Haaland, David M.; Melgaard, David K.

2005-01-11

A method of multivariate spectral analysis, termed augmented classical least squares (ACLS), provides an improved CLS calibration model when unmodeled sources of spectral variation are contained in a calibration sample set. The ACLS methods use information derived from component or spectral residuals during the CLS calibration to provide an improved calibration-augmented CLS model. The ACLS methods are based on CLS so that they retain the qualitative benefits of CLS, yet they have the flexibility of PLS and other hybrid techniques in that they can define a prediction model even with unmodeled sources of spectral variation that are not explicitly included in the calibration model. The unmodeled sources of spectral variation may be unknown constituents, constituents with unknown concentrations, nonlinear responses, non-uniform and correlated errors, or other sources of spectral variation that are present in the calibration sample spectra. Also, since the various ACLS methods are based on CLS, they can incorporate the new prediction-augmented CLS (PACLS) method of updating the prediction model for new sources of spectral variation contained in the prediction sample set without having to return to the calibration process. The ACLS methods can also be applied to alternating least squares models. The ACLS methods can be applied to all types of multivariate data.

Spatiotemporal multivariate mixture models for Bayesian model selection in disease mapping.

PubMed

Lawson, A B; Carroll, R; Faes, C; Kirby, R S; Aregay, M; Watjou, K

2017-12-01

It is often the case that researchers wish to simultaneously explore the behavior of and estimate overall risk for multiple, related diseases with varying rarity while accounting for potential spatial and/or temporal correlation. In this paper, we propose a flexible class of multivariate spatio-temporal mixture models to fill this role. Further, these models offer flexibility with the potential for model selection as well as the ability to accommodate lifestyle, socio-economic, and physical environmental variables with spatial, temporal, or both structures. Here, we explore the capability of this approach via a large scale simulation study and examine a motivating data example involving three cancers in South Carolina. The results which are focused on four model variants suggest that all models possess the ability to recover simulation ground truth and display improved model fit over two baseline Knorr-Held spatio-temporal interaction model variants in a real data application.

DigOut: viewing differential expression genes as outliers.

PubMed

Yu, Hui; Tu, Kang; Xie, Lu; Li, Yuan-Yuan

2010-12-01

With regards to well-replicated two-conditional microarray datasets, the selection of differentially expressed (DE) genes is a well-studied computational topic, but for multi-conditional microarray datasets with limited or no replication, the same task is not properly addressed by previous studies. This paper adopts multivariate outlier analysis to analyze replication-lacking multi-conditional microarray datasets, finding that it performs significantly better than the widely used limit fold change (LFC) model in a simulated comparative experiment. Compared with the LFC model, the multivariate outlier analysis also demonstrates improved stability against sample variations in a series of manipulated real expression datasets. The reanalysis of a real non-replicated multi-conditional expression dataset series leads to satisfactory results. In conclusion, a multivariate outlier analysis algorithm, like DigOut, is particularly useful for selecting DE genes from non-replicated multi-conditional gene expression dataset.

Breakthrough seizures—Further analysis of the Standard versus New Antiepileptic Drugs (SANAD) study

PubMed Central

Powell, Graham A.; Tudur Smith, Catrin; Marson, Anthony G.

2017-01-01

Objectives To develop prognostic models for risk of a breakthrough seizure, risk of seizure recurrence after a breakthrough seizure, and likelihood of achieving 12-month remission following a breakthrough seizure. A breakthrough seizure is one that occurs following at least 12 months remission whilst on treatment. Methods We analysed data from the SANAD study. This long-term randomised trial compared treatments for participants with newly diagnosed epilepsy. Multivariable Cox models investigated how clinical factors affect the probability of each outcome. Best fitting multivariable models were produced with variable reduction by Akaike’s Information Criterion. Risks associated with combinations of risk factors were calculated from each multivariable model. Results Significant factors in the multivariable model for risk of a breakthrough seizure following 12-month remission were number of tonic-clonic seizures by achievement of 12-month remission, time taken to achieve 12-month remission, and neurological insult. Significant factors in the model for risk of seizure recurrence following a breakthrough seizure were total number of drugs attempted to achieve 12-month remission, time to achieve 12-month remission prior to breakthrough seizure, and breakthrough seizure treatment decision. Significant factors in the model for likelihood of achieving 12-month remission after a breakthrough seizure were gender, age at breakthrough seizure, time to achieve 12-month remission prior to breakthrough, and breakthrough seizure treatment decision. Conclusions This is the first analysis to consider risk of a breakthrough seizure and subsequent outcomes. The described models can be used to identify people most likely to have a breakthrough seizure, a seizure recurrence following a breakthrough seizure, and to achieve 12-month remission following a breakthrough seizure. The results suggest that focussing on achieving 12-month remission swiftly represents the best therapeutic aim to reduce the risk of a breakthrough seizure and subsequent negative outcomes. This will aid individual patient risk stratification and the design of future epilepsy trials. PMID:29267375

Panic disorder and agoraphobia: A direct comparison of their multivariate comorbidity patterns.

PubMed

Greene, Ashley L; Eaton, Nicholas R

2016-01-15

Scientific debate has long surrounded whether agoraphobia is a severe consequence of panic disorder or a frequently comorbid diagnosis. Multivariate comorbidity investigations typically treat these diagnoses as fungible in structural models, assuming both are manifestations of the fear-subfactor in the internalizing-externalizing model. No studies have directly compared these disorders' multivariate associations, which could clarify their conceptualization in classification and comorbidity research. In a nationally representative sample (N=43,093), we examined the multivariate comorbidity of panic disorder (1) without agoraphobia, (2) with agoraphobia, and (3) regardless of agoraphobia; and (4) agoraphobia without panic. We conducted exploratory and confirmatory factor analyses of these and 10 other lifetime DSM-IV diagnoses in a nationally representative sample (N=43,093). Differing bivariate and multivariate relations were found. Panic disorder without agoraphobia was largely a distress disorder, related to emotional disorders. Agoraphobia without panic was largely a fear disorder, related to phobias. When considered jointly, concomitant agoraphobia and panic was a fear disorder, and when panic was assessed without regard to agoraphobia (some individuals had agoraphobia while others did not) it was a mixed distress and fear disorder. Diagnoses were obtained from comprehensively trained lay interviewers, not clinicians and analyses used DSM-IV diagnoses (rather than DSM-5). These findings support the conceptualization of agoraphobia as a distinct diagnostic entity and the independent classification of both disorders in DSM-5, suggesting future multivariate comorbidity studies should not assume various panic/agoraphobia diagnoses are invariably fear disorders. Copyright © 2015 Elsevier B.V. All rights reserved.

MGAS: a powerful tool for multivariate gene-based genome-wide association analysis.

PubMed

Van der Sluis, Sophie; Dolan, Conor V; Li, Jiang; Song, Youqiang; Sham, Pak; Posthuma, Danielle; Li, Miao-Xin

2015-04-01

Standard genome-wide association studies, testing the association between one phenotype and a large number of single nucleotide polymorphisms (SNPs), are limited in two ways: (i) traits are often multivariate, and analysis of composite scores entails loss in statistical power and (ii) gene-based analyses may be preferred, e.g. to decrease the multiple testing problem. Here we present a new method, multivariate gene-based association test by extended Simes procedure (MGAS), that allows gene-based testing of multivariate phenotypes in unrelated individuals. Through extensive simulation, we show that under most trait-generating genotype-phenotype models MGAS has superior statistical power to detect associated genes compared with gene-based analyses of univariate phenotypic composite scores (i.e. GATES, multiple regression), and multivariate analysis of variance (MANOVA). Re-analysis of metabolic data revealed 32 False Discovery Rate controlled genome-wide significant genes, and 12 regions harboring multiple genes; of these 44 regions, 30 were not reported in the original analysis. MGAS allows researchers to conduct their multivariate gene-based analyses efficiently, and without the loss of power that is often associated with an incorrectly specified genotype-phenotype models. MGAS is freely available in KGG v3.0 (http://statgenpro.psychiatry.hku.hk/limx/kgg/download.php). Access to the metabolic dataset can be requested at dbGaP (https://dbgap.ncbi.nlm.nih.gov/). The R-simulation code is available from http://ctglab.nl/people/sophie_van_der_sluis. Supplementary data are available at Bioinformatics online. © The Author 2014. Published by Oxford University Press.

Modeling and Simulation of Upset-Inducing Disturbances for Digital Systems in an Electromagnetic Reverberation Chamber

NASA Technical Reports Server (NTRS)

Torres-Pomales, Wilfredo

2014-01-01

This report describes a modeling and simulation approach for disturbance patterns representative of the environment experienced by a digital system in an electromagnetic reverberation chamber. The disturbance is modeled by a multi-variate statistical distribution based on empirical observations. Extended versions of the Rejection Samping and Inverse Transform Sampling techniques are developed to generate multi-variate random samples of the disturbance. The results show that Inverse Transform Sampling returns samples with higher fidelity relative to the empirical distribution. This work is part of an ongoing effort to develop a resilience assessment methodology for complex safety-critical distributed systems.

Visual Environment for Rich Data Interpretation (VERDI) program for environmental modeling systems

EPA Pesticide Factsheets

VERDI is a flexible, modular, Java-based program used for visualizing multivariate gridded meteorology, emissions and air quality modeling data created by environmental modeling systems such as the CMAQ model and WRF.

A trust region approach with multivariate Padé model for optimal circuit design

NASA Astrophysics Data System (ADS)

Abdel-Malek, Hany L.; Ebid, Shaimaa E. K.; Mohamed, Ahmed S. A.

2017-11-01

Since the optimization process requires a significant number of consecutive function evaluations, it is recommended to replace the function by an easily evaluated approximation model during the optimization process. The model suggested in this article is based on a multivariate Padé approximation. This model is constructed using data points of ?, where ? is the number of parameters. The model is updated over a sequence of trust regions. This model avoids the slow convergence of linear models of ? and has features of quadratic models that need interpolation data points of ?. The proposed approach is tested by applying it to several benchmark problems. Yield optimization using such a direct method is applied to some practical circuit examples. Minimax solution leads to a suitable initial point to carry out the yield optimization process. The yield is optimized by the proposed derivative-free method for active and passive filter examples.

A multivariate decision tree analysis of biophysical factors in tropical forest fire occurrence

Treesearch

Rey S. Ofren; Edward Harvey

2000-01-01

A multivariate decision tree model was used to quantify the relative importance of complex hierarchical relationships between biophysical variables and the occurrence of tropical forest fires. The study site is the Huai Kha Kbaeng wildlife sanctuary, a World Heritage Site in northwestern Thailand where annual fires are common and particularly destructive. Thematic...