Bayesian adaptive estimation of arbitrary points on a psychometric function

Bayesian adaptive methods have been extensively used in psychophysics to estimate the point at which performance on a task attains arbitrary percentage levels, although the statistical properties of these estimators have never been assessed. We used simulation techniques to determine the small-sample properties of Bayesian estimators of arbitrary performance points, specifically addressing the issues of bias and precision as a function of the target percentage level. The study covered three major types of psychophysical task (yes-no detection, 2AFC discrimination and 2AFC detection) and explored the entire range of target performance levels allowed for by each task. Other factors included in the study were the form and parameters of the actual psychometric function Psi, the form and parameters of the model function M assumed in the Bayesian method, and the location of Psi within the parameter space. Our results indicate that Bayesian adaptive methods render unbiased estimators of any arbitrary point on psi only when M=Psi, and otherwise they yield bias whose magnitude can be considerable as the target level moves away from the midpoint of the range of Psi. The standard error of the estimator also increases as the target level approaches extreme values whether or not M=Psi. Contrary to widespread belief, neither the performance level at which bias is null nor that at which standard error is minimal can be predicted by the sweat factor. A closed-form expression nevertheless gives a reasonable fit to data describing the dependence of standard error on number of trials and target level, which allows determination of the number of trials that must be administered to obtain estimates with prescribed precision.

Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Spatial and Functional Organization of Pig Trade in Different European Production Systems: Implications for Disease Prevention and Control

Understanding the complexity of live pig trade organization is a key factor to predict and control major infectious diseases, such as classical swine fever (CSF) or African swine fever (ASF). Whereas the organization of pig trade has been described in several European countries with indoor commercial production systems, little information is available on this organization in other systems, such as outdoor or small-scale systems. The objective of this study was to describe and compare the spatial and functional organization of live pig trade in different European countries and different production systems. Data on premise characteristics and pig movements between premises were collected during 2011 from Bulgaria, France, Italy, and Spain, which swine industry is representative of most of the production systems in Europe (i.e., commercial vs. small-scale and outdoor vs. indoor). Trade communities were identified in each country using the Walktrap algorithm. Several descriptive and network metrics were generated at country and community levels. Pig trade organization showed heterogeneous spatial and functional organization. Trade communities mostly composed of indoor commercial premises were identified in western France, northern Italy, northern Spain, and north-western Bulgaria. They covered large distances, overlapped in space, demonstrated both scale-free and small-world properties, with a role of trade operators and multipliers as key premises. Trade communities involving outdoor commercial premises were identified in western Spain, south-western and central France. They were more spatially clustered, demonstrated scale-free properties, with multipliers as key premises. Small-scale communities involved the majority of premises in Bulgaria and in central and Southern Italy. They were spatially clustered and had scale-free properties, with key premises usually being commercial production premises. These results indicate that a disease might spread very differently according to the production system and that key premises could be targeted to more cost-effectively control diseases. This study provides useful epidemiological information and parameters that could be used to design risk-based surveillance strategies or to more accurately model the risk of introduction or spread of devastating swine diseases, such as ASF, CSF, or foot-and-mouth disease.