Selecting volatility forecasting models for portfolio allocation purposes

Techniques for evaluating and selecting multivariate volatility forecasts are not yet understood as well as their univariate counterparts. This paper considers the ability of different loss functions to discriminate between a set of competing forecasting models which are subsequently applied in a portfolio allocation context. It is found that a likelihood-based loss function outperforms its competitors, including those based on the given portfolio application. This result indicates that considering the particular application of forecasts is not necessarily the most effective basis on which to select models.

Linking ecological condition and the soundscape in fragmented Australian forests

Natural landscapes are increasingly subjected to anthropogenic pressure and fragmentation resulting in reduced ecological condition. In this study we examined the relationship between ecological condition and the soundscape in fragmented forest remnants of south-east Queensland, Australia. The region is noted for its high biodiversity value and increased pressure associated with habitat fragmentation and urbanisation. Ten sites defined by a distinct open eucalypt forest community dominated by spotted gum (Corymbia citriodora ssp. variegata) were stratified based on patch size and patch connectivity. Each site underwent a series of detailed vegetation condition and landscape assessments, together with bird surveys and acoustic analysis using relative soundscape power. Univariate and multivariate analyses indicated that the measurement of relative soundscape power reflects ecological condition and bird species richness, and is dependent on the extent of landscape fragmentation. We conclude that acoustic monitoring technologies provide a cost effective tool for measuring ecological condition, especially in conjunction with established field observations and recordings.

Do sex and atopy influence cough outcome measurements in children?

Background Despite the commonality of cough and its burden, there are no published data on the relationship between atopy or sex on objectively measured cough frequency or subjective cough scores in children. In 202 children with and without cough, we determined the effect of sex and atopy on validated cough outcome measurements (cough receptor sensitivity [CRS], objective cough counts, and cough scores). We hypothesized that in contrast to adult data, sex does not influence cough outcome measures, and atopy is not a determinant of these cough measurements. Methods We combined data from four previous studies. Atopy (skin prick test), the concentration of capsaicin causing two and five or more coughs (C2 and C5, respectively), objectively measured cough frequency, and cough scores were determined and their relationship explored. The children’s (93 girls, 109 boys) mean age was 10.6 years (SD 2.9), and 56% had atopy. Results In multivariate analysis, CRS was influenced by age (C2 coefficient, 5.9; P = .034; C5 coefficient, 29.1; P = .0001). Atopy and sex did not significantly influence any of the cough outcomes (cough counts, C2, C5, cough score) in control subjects and children with cough. Conclusions Atopy does not influence important cough outcome measures in children with and without chronic cough. However, age, but not sex, influences CRS in children. Unlike adult data, sex does not affect objective counts or cough score in children with and without chronic cough. Studies on cough in children should be age matched, but matching for atopic status and sex is less important.

The impact of viral respiratory infection on the severity and recovery from an asthma exacerbation

Background Viral respiratory illness triggers asthma exacerbations, but the influence of respiratory illness on the acute severity and recovery of childhood asthma is unknown. Our objective was to evaluate the impact of a concurrent acute respiratory illness (based on a clinical definition and PCR detection of a panel of respiratory viruses, Mycoplasma pneumoniae and Chlamydia pneumoniae) on the severity and resolution of symptoms in children with a nonhospitalized exacerbation of asthma. Methods Subjects were children aged 2 to 15 years presenting to an emergency department for an acute asthma exacerbation and not hospitalized. Acute respiratory illness (ARI) was clinically defined. Nasopharyngeal aspirates (NPA) were examined for respiratory viruses, Chlamydia and Mycoplasma using PCR. The primary outcome was quality of life (QOL) on presentation, day 7 and day 14. Secondary outcomes were acute asthma severity score, asthma diary, and cough diary scores on days 5, 7,10, and 14. Results On multivariate regression, presence of ARI was statistically but not clinically significantly associated with QOL score on presentation (B = 0.36, P = 0.025). By day 7 and 14, there was no difference between groups. Asthma diary score was significantly higher in children with ARI (B = 0.41, P = 0.039) on day 5 but not on presentation or subsequent days. Respiratory viruses were detected in 54% of the 78 NPAs obtained. There was no difference in the any of the asthma outcomes of children grouped by positive or negative NPA. Conclusions The presence of a viral respiratory illness has a modest influence on asthma severity, and does not influence recovery from a nonhospitalized asthma exacerbation.

Interaction of psychosocial risk factors explain increased neck problems among female office workers

This study investigated the relationship between psychosocial risk factors and (1) neck symptoms and (2) neck pain and disability as measured by the neck disability index (NDI). Female office workers employed in local private and public organizations were invited to participate, with 333 completing a questionnaire. Data were collected on various risk factors including age, negative affectivity, history of previous neck trauma, physical work environment, and task demands. Sixty-one percent of the sample reported neck symptoms lasting greater than 8 days in the last 12 months. The mean NDI of the sample was 15.5 out of 100, indicating mild neck pain and disability. In a hierarchical multivariate logistic regression, low supervisor support was the only psychosocial risk factor identified with the presence of neck symptoms. Similarly, low supervisor support was the only factor associated with the score on the NDI. These associations remained after adjustment for potential confounders of age, negative affectivity, and physical risk factors. The interaction of job demands, decision authority, and supervisor support was significantly associated with the NDI in the final model and this association increased when those with previous trauma were excluded. Interestingly, and somewhat contrary to initial expectations, as job demands increased, high decision authority had an increasing effect on the NDI when supervisor support was low.

Australia lawyer well-being : workplace demands, resources and the impact of time-billing targets

The purpose of the present study was to examine the types of workplace demands and resources experienced by full-time Australian lawyers, and the prevalence of a range of psychological outcomes. The study further focussed on the impact of time-billing targets on lawyers’ experience of these variables. Participants were 384 full-time Australian lawyers who completed an online questionnaire distributed by their Australian State or Territory Law Society. Analysis revealed that emphasis on profits within the workplace was the highest perceived demand, and the perception of social value in their work was the highest available resource. The results indicated that 37% of participants displayed Moderate to Extremely Severe depressive symptoms, and 35% were a positive screen for hazardous or harmful drinking. A series of three multivariate analyses of variance revealed significant differences between non-billers, low-to-moderate billers and high billers, with high billers experiencing greater demands, fewer resources and poorer psychological outcomes. The practical applications of these results for the legal profession are discussed.

Randomized trial of a clinic-based, community-supported, lifestyle intervention to improve physical activity and diet : The North Carolina enhanced WISEWOMAN project

Objective To determine if a clinic-based behavioral intervention program for low-income mid-life women that emphasizes use of community resources will increase moderate intensity physical activity (PA) and improve dietary intake. Methods Randomized trial conducted from May 2003 to December 2004 at one community health center in Wilmington, NC. A total of 236 women, ages 40–64, were randomized to receive an Enhanced Intervention (EI) or Minimal Intervention (MI). The EI consisted of an intensive phase (6 months) including 2 individual counseling sessions, 3 group sessions, and 3 phone calls from a peer counselor followed by a maintenance phase (6 months) including 1 individual counseling session and 7 monthly peer counselor calls. Both phases included efforts to increase participants' use of community resources that promote positive lifestyle change. The MI consisted of a one-time mailing of pamphlets on diet and PA. Outcomes, measured at 6 and 12 months, included the comparison of moderate intensity PA between study groups as assessed by accelerometer (primary outcome) and questionnaire, and dietary intake assessed by questionnaire and serum carotenoids (6 months only). Results For accelerometer outcomes, follow-up was 75% at 6 months and 73% at 12 months. Though moderate intensity PA increased in the EI and decreased in the MI, the difference between groups was not statistically significant (p = 0.45; multivariate model, p = 0.08); however, moderate intensity PA assessed by questionnaire (92% follow-up at 6 months and 75% at 12 months) was greater in the EI (p = 0.01; multivariate model, p = 0.001). For dietary outcomes, follow-up was 90% for questionnaire and 92% for serum carotenoids at 6 months and 74% for questionnaire at 12 months. Dietary intake improved more in the EI compared to the MI (questionnaire at 6 and 12 months, p < 0.001; serum carotenoid index, p = 0.05; multivariate model, p = 0.03). Conclusion The EI did not improve objectively measured PA, but was associated with improved self-reported and objective measures of dietary intake.

Correlates of physical activity behavior in rural youth

The purpose of this study was to identify correlates of physical activity behavior in a sample of rural, predominantly African American youth. Three hundred sixty-one fifth-grade students from two rural counties in South Carolina (69% African American, median age = II years) completed a questionnaire designed to measure beliefs and social influences regarding physical activity, physical activity self-efficacy, perceived physical activity habits of family members and friends, and access to exercise and fitness equipment at home. After school physical activity and television watching were assessed using the Previous Day Physical Activity Recall (PDPAR). Students were classified as physically active according to a moderate physical activity standard: two or more 30-min blocks at an intensity of 3 METs (metabolic equivalents) or greater, and a vigorous physical activity standard: one or more 30-min blocks at an intensity of 6 METs or greater According to the moderate physical activity standard, 34.9% of students were classified as low-active. Multivariate analysis revealed age, gender television watching, and exercise equipment at home to be significant correlates of low activity status. According to the vigorous physical activity standard, 32.1 % of the students were classified as low-active. Multivariate analysis revealed age, gender television watching, and self-efficacy with respect to seeking support for physical activity to be significant correlates of low activity status. In summary, gender and the amount of television watching were found to be the most important correlates of physical activity in rural, predominantly African American youth.

Label-free SERS for natural product provenance

Introduction Natural product provenance is important in the food, beverage and pharmaceutical industries, for consumer confidence and with health implications. Raman spectroscopy has powerful molecular fingerprint abilities. Surface Enhanced Raman Spectroscopy’s (SERS) sharp peaks allow distinction between minimally different molecules, so it should be suitable for this purpose. Methods Naturally caffeinated beverages with Guarana extract, coffee and Red Bull energy drink as a synthetic caffeinated beverage for comparison (20 µL ea.) were reacted 1:1 with Gold nanoparticles functionalised with anti-caffeine antibody (ab15221) (10 minutes), air dried and analysed in a micro-Raman instrument. The spectral data was processed using Principle Component Analysis (PCA). Results The PCA showed Guarana sourced caffeine varied significantly from synthetic caffeine (Red Bull) on component 1 (containing 76.4% of the variance in the data). See figure 1. The coffee containing beverages, and in particular Robert Timms (instant coffee) were very similar on component 1, but the barista espresso showed minor variance on component 1. Both coffee sourced caffeine samples varied with red Bull on component 2, (20% of variance). ************************************************************ Figure 1 PCA comparing a naturally caffeinated beverage containing Guarana with coffee. ************************************************************ Discussion PCA is an unsupervised multivariate statistical method that determines patterns within data. Figure 1 shows Caffeine in Guarana is notably different to synthetic caffeine. Other researchers have revealed that caffeine in Guarana plants is complexed with tannins. Naturally sourced/ lightly processed caffeine (Monster Energy, Espresso) are more inherently different than synthetic (Red Bull) /highly processed (Robert Timms) caffeine, in figure 1, which is consistent with this finding and demonstrates this technique’s applicability. Guarana provenance is important because it is still largely hand produced and its demand is escalating with recognition of its benefits. This could be a powerful technique for Guarana provenance, and may extend to other industries where provenance / authentication are required, e.g. the wine or natural pharmaceuticals industries.

The use of phospholipid fatty acid analysis to measure impact of acid rock drainage on microbial communities in sediments

The impact of acid rock drainage (ARD) and eutrophication on microbial communities in stream sediments above and below an abandoned mine site in the Adelaide Hills, South Australia, was quantified by PLFA analysis. Multivariate analysis of water quality parameters, including anions, soluble heavy metals, pH, and conductivity, as well as total extractable metal concentrations in sediments, produced clustering of sample sites into three distinct groups. These groups corresponded with levels of nutrient enrichment and/or concentration of pollutants associated with ARD. Total PLFA concentration, which is indicative of microbial biomass, was reduced by >70% at sites along the stream between the mine site and as far as 18 km downstream. Further downstream, however, recovery of the microbial abundance was apparent, possibly reflecting dilution effect by downstream tributaries. Total PLFA was >40% higher at, and immediately below, the mine site (0-0.1 km), compared with sites further downstream (2.5-18 km), even after accounting for differences in specific surface area of different sediment samples. The increased microbial population in the proximity of the mine source may be associated with the presence of a thriving iron-oxidizing bacteria community as a consequence of optimal conditions for these organisms while the lower microbial population further downstream corresponded with greater sediments' metal concentrations. PCA of relative abundance revealed a number of PLFAs which were most influential in discriminating between ARD-polluted sites and the rest of the sites. These PLFA included the hydroxy fatty acids: 2OH12:0, 3OH12:0, 2OH16:0; the fungal marker: 18:2ω6; the sulfate-reducing bacteria marker 10Me16:1ω7; and the saturated fatty acids 12:0, 16:0, 18:0. Partial constrained ordination revealed that the environmental parameters with the greatest bearing on the PLFA profiles included pH, soluble aluminum, total extractable iron, and zinc. The study demonstrated the successful application of PLFA analysis to rapidly assess the toxicity of ARD-affected waters and sediments and to differentiate this response from the effects of other pollutants, such as increased nutrients and salinity.

Catchment-specific element signatures in estuarine crocodiles (Crocodylus porosus) from the Alligator Rivers Region, northern Australia

The concentrations of Na, K, Ca, Mg, Ba, Sr, Fe, Al, Mn, Zn, Pb, Cu, Ni, Cr, Co, Se, U and Ti were determined in the osteoderms and/or flesh of estuarine crocodiles (Crocodylus porosus) captured in three adjacent catchments within the Alligator Rivers Region (ARR) of northern Australia. Results from multivariate analysis of variance showed that when all metals were considered simultaneously, catchment effects were significant (P≤0.05). Despite considerable within-catchment variability, linear discriminant analysis (LDA) showed that differences in elemental signatures in the osteoderms and/or flesh of C. porosus amongst the catchments were sufficient to classify individuals accurately to their catchment of occurrence. Using cross-validation, the accuracy of classifying a crocodile to its catchment of occurrence was 76% for osteoderms and 60% for flesh. These data suggest that osteoderms provide better predictive accuracy than flesh for discriminating crocodiles amongst catchments. There was no advantage in combining the osteoderm and flesh results to increase the accuracy of classification (i.e. 67%). Based on the discriminant function coefficients for the osteoderm data, Ca, Co, Mg and U were the most important elements for discriminating amongst the three catchments. For flesh data, Ca, K, Mg, Na, Ni and Pb were the most important metals for discriminating amongst the catchments. Reasons for differences in the elemental signatures of crocodiles between catchments are generally not interpretable, due to limited data on surface water and sediment chemistry of the catchments or chemical composition of dietary items of C. porosus. From a wildlife management perspective, the provenance or source catchment(s) of 'problem' crocodiles captured at settlements or recreational areas along the ARR coastline may be established using catchment-specific elemental signatures. If the incidence of problem crocodiles can be reduced in settled or recreational areas by effective management at their source, then public safety concerns about these predators may be moderated, as well as the cost of their capture and removal. Copyright © 2002 Elsevier Science B.V.

Non-linear principal components analysis : an alternative method for finding patterns in environmental data

The main purpose of this article is to gain an insight into the relationships between variables describing the environmental conditions of the Far Northern section of the Great Barrier Reef, Australia. Several of the variables describing these conditions had different measurement levels and often they had non-linear relationships. Using non-linear principal component analysis, it was possible to acquire an insight into these relationships. Furthermore, three geographical areas with unique environmental characteristics could be identified.

The analysis of large scale data taken from the world groundnut (Arachis hypogaea L.) germplasm collection I. Two-way quantitative data

Data associated with germplasm collections are typically large and multivariate with a considerable number of descriptors measured on each of many accessions. Pattern analysis methods of clustering and ordination have been identified as techniques for statistically evaluating the available diversity in germplasm data. While used in many studies, the approaches have not dealt explicitly with the computational consequences of large data sets (i.e. greater than 5000 accessions). To consider the application of these techniques to germplasm evaluation data, 11328 accessions of groundnut (Arachis hypogaea L) from the International Research Institute for the Semi-Arid Tropics, Andhra Pradesh, India were examined. Data for nine quantitative descriptors measured in the rainy and post-rainy growing seasons were used. The ordination technique of principal component analysis was used to reduce the dimensionality of the germplasm data. The identification of phenotypically similar groups of accessions within large scale data via the computationally intensive hierarchical clustering techniques was not feasible and non-hierarchical techniques had to be used. Finite mixture models that maximise the likelihood of an accession belonging to a cluster were used to cluster the accessions in this collection. The patterns of response for the different growing seasons were found to be highly correlated. However, in relating the results to passport and other characterisation and evaluation descriptors, the observed patterns did not appear to be related to taxonomy or any other well known characteristics of groundnut.

Development and application of a predictive model of freshwater fish assemblage composition to evaluate river health in eastern Australia

Multivariate predictive models are widely used tools for assessment of aquatic ecosystem health and models have been successfully developed for the prediction and assessment of aquatic macroinvertebrates, diatoms, local stream habitat features and fish. We evaluated the ability of a modelling method based on the River InVertebrate Prediction and Classification System (RIVPACS) to accurately predict freshwater fish assemblage composition and assess aquatic ecosystem health in rivers and streams of south-eastern Queensland, Australia. The predictive model was developed, validated and tested in a region of comparatively high environmental variability due to the unpredictable nature of rainfall and river discharge. The model was concluded to provide sufficiently accurate and precise predictions of species composition and was sensitive enough to distinguish test sites impacted by several common types of human disturbance (particularly impacts associated with catchment land use and associated local riparian, in-stream habitat and water quality degradation). The total number of fish species available for prediction was low in comparison to similar applications of multivariate predictive models based on other indicator groups, yet the accuracy and precision of our model was comparable to outcomes from such studies. In addition, our model developed for sites sampled on one occasion and in one season only (winter), was able to accurately predict fish assemblage composition at sites sampled during other seasons and years, provided that they were not subject to unusually extreme environmental conditions (e.g. extended periods of low flow that restricted fish movement or resulted in habitat desiccation and local fish extinctions).

Mixed data types and the use of pattern analysis on the Australian groundnut germplasm data

Data in germplasm collections contain a mixture of data types; binary, multistate and quantitative. Given the multivariate nature of these data, the pattern analysis methods of classification and ordination have been identified as suitable techniques for statistically evaluating the available diversity. The proximity (or resemblance) measure, which is in part the basis of the complementary nature of classification and ordination techniques, is often specific to particular data types. The use of a combined resemblance matrix has an advantage over data type specific proximity measures. This measure accommodates the different data types without manipulating them to be of a specific type. Descriptors are partitioned into their data types and an appropriate proximity measure is used on each. The separate proximity matrices, after range standardisation, are added as a weighted average and the combined resemblance matrix is then used for classification and ordination. Germplasm evaluation data for 831 accessions of groundnut (Arachis hypogaea L.) from the Australian Tropical Field Crops Genetic Resource Centre, Biloela, Queensland were examined. Data for four binary, five ordered multistate and seven quantitative descriptors have been documented. The interpretative value of different weightings - equal and unequal weighting of data types to obtain a combined resemblance matrix - was investigated by using principal co-ordinate analysis (ordination) and hierarchical cluster analysis. Equal weighting of data types was found to be more valuable for these data as the results provided a greater insight into the patterns of variability available in the Australian groundnut germplasm collection. The complementary nature of pattern analysis techniques enables plant breeders to identify relevant accessions in relation to the descriptors which distinguish amongst them. This additional information may provide plant breeders with a more defined entry point into the germplasm collection for identifying sources of variability for their plant improvement program, thus improving the utilisation of germplasm resources.