314 resultados para modeling implied volatility


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The method of generalized estimating equations (GEE) is a popular tool for analysing longitudinal (panel) data. Often, the covariates collected are time-dependent in nature, for example, age, relapse status, monthly income. When using GEE to analyse longitudinal data with time-dependent covariates, crucial assumptions about the covariates are necessary for valid inferences to be drawn. When those assumptions do not hold or cannot be verified, Pepe and Anderson (1994, Communications in Statistics, Simulations and Computation 23, 939–951) advocated using an independence working correlation assumption in the GEE model as a robust approach. However, using GEE with the independence correlation assumption may lead to significant efficiency loss (Fitzmaurice, 1995, Biometrics 51, 309–317). In this article, we propose a method that extracts additional information from the estimating equations that are excluded by the independence assumption. The method always includes the estimating equations under the independence assumption and the contribution from the remaining estimating equations is weighted according to the likelihood of each equation being a consistent estimating equation and the information it carries. We apply the method to a longitudinal study of the health of a group of Filipino children.

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Previous studies have shown that users’ cognitive styles play an important role during Web searching. However, only limited studies have showed the relationship between cognitive styles and Web search behavior. Most importantly, it is not clear which components of Web search behavior are influenced by cognitive styles. This paper examines the relationships between users’ cognitive styles and their Web searching and develops a model that portrays the relationship. The study uses qualitative and quantitative analyses to inform the study results based on data gathered from 50 participants. A questionnaire was utilised to collect participants’ demographic information, and Riding’s (1991) Cognitive Style Analysis (CSA) test to assess their cognitive styles. Results show that users’ cognitive styles influenced their information searching strategies, query reformulation behaviour, Web navigational styles and information processing approaches. The user model developed in this study depicts the fundamental relationships between users’ Web search behavior and their cognitive styles. Modeling Web search behavior with a greater understanding of user’s cognitive styles can help information science researchers and information systems designers to bridge the semantic gap between the user and the systems. Implications of the research for theory and practice, and future work are discussed.

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Carbonatites are known to contain the highest concentrations of rare-earth elements (REE) among all igneous rocks. The REE distribution of carbonatites is commonly believed to be controlled by that of the rock forming Ca minerals (i.e., calcite, dolomite, and ankerite) and apatite because of their high modal content and tolerance for the substitution of Ca by light REE (LREE). Contrary to this conjecture, calcite from the Miaoya carbonatite (China), analyzed in situ by laser-ablation inductively-coupled-plasma mass-spectrometry, is characterized by low REE contents (100–260 ppm) and relatively !at chondrite-normalized REE distribution patterns [average (La/Yb)CN=1.6]. The carbonatite contains abundant REE-rich minerals, including monazite and !uorapatite, both precipitated earlier than the REE-poor calcite, and REE-fluorocarbonates that postdated the calcite. Hydrothermal REE-bearing !uorite and barite veins are not observed at Miaoya. The textural and analytical evidence indicates that the initially high concentrations of REE and P in the carbonatitic magma facilitated early precipitation of REE-rich phosphates. Subsequent crystallization of REE-poor calcite led to enrichment of the residual liquid in REE, particularly LREE. This implies that REE are generally incompatible with respect to calcite and the calcite/melt partition coefficients for heavy REE (HREE) are significantly greater than those for LREE. Precipitation of REE-fluorocarbonates late in the evolutionary history resulted in depletion of the residual liquid in LREE, as manifested by the development of HREE-enriched late-stage calcite [(La/Yb)CN=0.7] in syenites associated with the carbonatite. The observed variations of REE distribution between calcite and whole rocks are interpreted to arise from multistage fractional crystallization (phosphates!calcite!REE-!uorocarbonates) from an initially REE-rich carbonatitic liquid.

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Background The application of theoretical frameworks for modeling predictors of drug risk among male street laborers remains limited. The objective of this study was to test a modified version of the IMB (Information-Motivation-Behavioral Skills Model), which includes psychosocial stress, and compare this modified version with the original IMB model in terms of goodness-of-fit to predict risky drug use behavior among this population. Methods In a cross-sectional study, social mapping technique was conducted to recruit 450 male street laborers from 135 street venues across 13 districts of Hanoi city, Vietnam, for face-to-face interviews. Structural equation modeling (SEM) was used to analyze data from interviews. Results Overall measures of fit via SEM indicated that the original IMB model provided a better fit to the data than the modified version. Although the former model was able to predict a lesser variance than the latter (55% vs. 62%), it was of better fit. The findings suggest that men who are better informed and motivated for HIV prevention are more likely to report higher behavioral skills, which, in turn, are less likely to be engaged in risky drug use behavior. Conclusions This was the first application of the modified IMB model for drug use in men who were unskilled, unregistered laborers in urban settings. An AIDS prevention program for these men should not only distribute information and enhance motivations for HIV prevention, but consider interventions that could improve self-efficacy for preventing HIV infection. Future public health research and action may also consider broader factors such as structural social capital and social policy to alter the conditions that drive risky drug use among these men.

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This paper presents mathematical models for BRT station operation, calibrated using microscopic simulation modelling. Models are presented for station capacity and bus queue length. No reliable model presently exists to estimate bus queue length. The proposed bus queue model is analogous to an unsignalized intersection queuing model.

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Stations on Bus Rapid Transit (BRT) lines ordinarily control line capacity because they act as bottlenecks. At stations with passing lanes, congestion may occur when buses maneuvering into and out of the platform stopping lane interfere with bus flow, or when a queue of buses forms upstream of the station blocking inflow. We contend that, as bus inflow to the station area approaches capacity, queuing will become excessive in a manner similar to operation of a minor movement on an unsignalized intersection. This analogy is used to treat BRT station operation and to analyze the relationship between station queuing and capacity. In the first of three stages, we conducted microscopic simulation modeling to study and analyze operating characteristics of the station under near steady state conditions through output variables of capacity, degree of saturation and queuing. A mathematical model was then developed to estimate the relationship between average queue and degree of saturation and calibrated for a specified range of controlled scenarios of mean and coefficient of variation of dwell time. Finally, simulation results were calibrated and validated.

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Public transport travel time variability (PTTV) is essential for understanding deteriorations in the reliability of travel time, optimizing transit schedules and route choices. This paper establishes key definitions of PTTV in which firstly include all buses, and secondly include only a single service from a bus route. The paper then analyses the day-to-day distribution of public transport travel time by using Transit Signal Priority data. A comprehensive approach using both parametric bootstrapping Kolmogorov-Smirnov test and Bayesian Information Creation technique is developed, recommends Lognormal distribution as the best descriptor of bus travel time on urban corridors. The probability density function of Lognormal distribution is finally used for calculating probability indicators of PTTV. The findings of this study are useful for both traffic managers and statisticians for planning and researching the transit systems.

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As all-atom molecular dynamics method is limited by its enormous computational cost, various coarse-grained strategies have been developed to extend the length scale of soft matters in the modeling of mechanical behaviors. However, the classical thermostat algorithm in highly coarse-grained molecular dynamics method would underestimate the thermodynamic behaviors of soft matters (e.g. microfilaments in cells), which can weaken the ability of materials to overcome local energy traps in granular modeling. Based on all-atom molecular dynamics modeling of microfilament fragments (G-actin clusters), a new stochastic thermostat algorithm is developed to retain the representation of thermodynamic properties of microfilaments at extra coarse-grained level. The accuracy of this stochastic thermostat algorithm is validated by all-atom MD simulation. This new stochastic thermostat algorithm provides an efficient way to investigate the thermomechanical properties of large-scale soft matters.

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Hot spot identification (HSID) aims to identify potential sites—roadway segments, intersections, crosswalks, interchanges, ramps, etc.—with disproportionately high crash risk relative to similar sites. An inefficient HSID methodology might result in either identifying a safe site as high risk (false positive) or a high risk site as safe (false negative), and consequently lead to the misuse the available public funds, to poor investment decisions, and to inefficient risk management practice. Current HSID methods suffer from issues like underreporting of minor injury and property damage only (PDO) crashes, challenges of accounting for crash severity into the methodology, and selection of a proper safety performance function to model crash data that is often heavily skewed by a preponderance of zeros. Addressing these challenges, this paper proposes a combination of a PDO equivalency calculation and quantile regression technique to identify hot spots in a transportation network. In particular, issues related to underreporting and crash severity are tackled by incorporating equivalent PDO crashes, whilst the concerns related to the non-count nature of equivalent PDO crashes and the skewness of crash data are addressed by the non-parametric quantile regression technique. The proposed method identifies covariate effects on various quantiles of a population, rather than the population mean like most methods in practice, which more closely corresponds with how black spots are identified in practice. The proposed methodology is illustrated using rural road segment data from Korea and compared against the traditional EB method with negative binomial regression. Application of a quantile regression model on equivalent PDO crashes enables identification of a set of high-risk sites that reflect the true safety costs to the society, simultaneously reduces the influence of under-reported PDO and minor injury crashes, and overcomes the limitation of traditional NB model in dealing with preponderance of zeros problem or right skewed dataset.

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Reliable robotic perception and planning are critical to performing autonomous actions in uncertain, unstructured environments. In field robotic systems, automation is achieved by interpreting exteroceptive sensor information to infer something about the world. This is then mapped to provide a consistent spatial context, so that actions can be planned around the predicted future interaction of the robot and the world. The whole system is as reliable as the weakest link in this chain. In this paper, the term mapping is used broadly to describe the transformation of range-based exteroceptive sensor data (such as LIDAR or stereo vision) to a fixed navigation frame, so that it can be used to form an internal representation of the environment. The coordinate transformation from the sensor frame to the navigation frame is analyzed to produce a spatial error model that captures the dominant geometric and temporal sources of mapping error. This allows the mapping accuracy to be calculated at run time. A generic extrinsic calibration method for exteroceptive range-based sensors is then presented to determine the sensor location and orientation. This allows systematic errors in individual sensors to be minimized, and when multiple sensors are used, it minimizes the systematic contradiction between them to enable reliable multisensor data fusion. The mathematical derivations at the core of this model are not particularly novel or complicated, but the rigorous analysis and application to field robotics seems to be largely absent from the literature to date. The techniques in this paper are simple to implement, and they offer a significant improvement to the accuracy, precision, and integrity of mapped information. Consequently, they should be employed whenever maps are formed from range-based exteroceptive sensor data. © 2009 Wiley Periodicals, Inc.

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The purpose of this explorative study is to contribute to the understanding of current music industry dynamics. The situation is undeniably quite dramatic: Since the turn of the millennium, the global music industry has declined by $ US 6.2 billion in value—a fall of 16.3% in constant dollar terms. IFPI, the trade organization representing the international recording industry, identifies a number of exogenous factors as the main drivers of the downturn. This article suggests that other factors, in addition to those identified by IFPI, may have contributed to the current difficulties. A model is presented which indicates that business strategies which were designed to cope with the challenging business environment have reduced product diversity, damaged profitability, and contributed to the problem they were intended to solve.

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Surveying 1,700 journalists from seventeen countries, this study investigates perceived influences on news work. Analysis reveals a dimensional structure of six distinct domains—political, economic, organizational, professional, and procedural influences, as well as reference groups. Across countries, these six dimensions build up a hierarchical structure where organizational, professional, and procedural influences are perceived as more powerful limits to journalists' work than political and economic influences.

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Objective This article explores patterns of terrorist activity over the period from 2000 through 2010 across three target countries: Indonesia, the Philippines and Thailand. Methods We use self-exciting point process models to create interpretable and replicable metrics for three key terrorism concepts: risk, resilience and volatility, as defined in the context of terrorist activity. Results Analysis of the data shows significant and important differences in the risk, volatility and resilience metrics over time across the three countries. For the three countries analysed, we show that risk varied on a scale from 0.005 to 1.61 “expected terrorist attacks per day”, volatility ranged from 0.820 to 0.994 “additional attacks caused by each attack”, and resilience, as measured by the number of days until risk subsides to a pre-attack level, ranged from 19 to 39 days. We find that of the three countries, Indonesia had the lowest average risk and volatility, and the highest level of resilience, indicative of the relatively sporadic nature of terrorist activity in Indonesia. The high terrorism risk and low resilience in the Philippines was a function of the more intense, less clustered pattern of terrorism than what was evident in Indonesia. Conclusions Mathematical models hold great promise for creating replicable, reliable and interpretable “metrics” to key terrorism concepts such as risk, resilience and volatility.

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After the terrorist attacks in the United States on 11 September 2001, terrorism and counter-terrorism efforts moved to the front of popular consciousness and became the focus of national security for governments worldwide. With this increased attention came an urgent interest in understanding and identifying what works in fighting terrorism (Belasco 2010). For Australia, understanding the relative effectiveness of counter-terrorism efforts in nearby neighbours of Indonesia, Thailand and the Philippines is highly relevant for our country's national security. Indonesia, Thailand and the Philippines are all countries that are important to Australia not just because of geographic proximity, but also because of a history of economic ties and the role these countries play as Australia’s regional partners...

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Experience gained from numerous projects conducted by the U.S. Environmental Protection Agency's (EPA) Environmental Monitoring Systems Laboratory in Las Vegas, Nevada has provided insight to functional issues of mapping, monitoring, and modeling of wetland habitats. Three case studies in poster form describe these issues pertinent to managing wetland resources as mandated under Federal laws. A multiphase project was initiated by the EPA Alaska operations office to provide detailed wetland mapping of arctic plant communities in an area under petroleum development pressure. Existing classification systems did not meet EPA needs. Therefore a Habitat Classification System (HCS) derived from aerial photography was compiled. In conjunction with this photointerpretive keys were developed. These products enable EPA personnel to map large inaccessible areas of the arctic coastal plain and evaluate the sensitivity of various wetland habitats relative to petroleum development needs.