617 resultados para Multivariate volatility models


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A longitudinal study of grieving in family caregivers of people with dementia Recent research into dementia has identified the long term impact that the role of care giving for a relative with dementia has on family members This is largely due to the cognitive decline that characterises dementia and the losses that can be directly attributed to this. These losses include loss of memories, relationships and intimacy, and are often ambiguous so that the grief that accompanies them is commonly not recognised or acknowledged. The role and impact of pre-death or anticipatory grief has not previously been widely considered as a factor influencing health and well-being of family caregivers. Studies of grief in caregivers of a relative with dementia have concluded that grief is one of the greatest barriers to care giving and is a primary determinant of caregiver well-being. The accumulation of losses, in conjunction with experiences unique to dementia care giving, place family caregivers at risk of complicated grief. This occurs when integration of the death does not take place following bereavement and has been associated with a range of negative health outcomes. The aim of this research was to determine the influence of grief, in addition to other factors representing both positive and negative aspects of the role, on the health related quality of life of family caregivers of people with dementia, prior to and following the death of their relative with dementia. An exploratory research project underpinned by a conceptual framework of caregivers’ adaptation in the context of subjective appraisal of the strains and gains in their role was undertaken. The research comprised three studies. Study 1 was a scoping study that involved a series of semi-structured interviews with thirteen participants who were family caregivers of people with severe dementia or whose relative with dementia had died in the previous twelve months. The results of this study in conjunction with factors identified in the literature informed data collection for the further studies. Study 2 was a cross sectional survey of fifty caregivers recruited when their relative was in the moderate to severe stage of dementia. This study provided the baseline data for Study 3, a prospective cohort follow up study. Study 3 consisted of seventeen participants followed up at two time points after the death of their relative with dementia: six weeks and then six months following the death of the relative with dementia. The scoping study indicated that differences in appraisal of the care giving role and encounters with health professionals were related to levels of grief of caregivers prior to and following the death of the relative with dementia. This was supported in the baseline and follow up studies. In the baseline study, after adjusting for all variables in multivariate regression models, subjective appraisal of burden was found to make a significant contribution (p<.05) to mental health related quality of life. The two dependent variables, anticipatory grief and mental health related quality of life, were significantly (p<.01) correlated at a bivariate level. In the follow up study, linear mixed modelling and multiple regression analysis of data found that subjective appraisal of burden and resilience were significantly associated (p<.05 and p<.01, respectively) with mental health related quality of life over time. In addition, bereavement and complicated grief were significantly associated (p<.05) with mental health following the death of the relative. In this study social support and satisfaction with end of life care were found to be statistically associated (p<.05) with physical health related quality of life over time. The strong relationship between grief of caregivers and their health related quality of life over the entire care giving trajectory and period following the death of their relative highlights the urgent need for further research and interventions in this area. Overall results indicate that addressing the risk and protective factors including subjective appraisal of their care giving role, resilience, social support and satisfaction with end of life care of their relative, has the potential to both ameliorate negative health outcomes and to promote improved health for these caregivers. This research provides important information for development of targeted and appropriate interventions that aim to promote resilience and reduce the personal burden on caregivers of people with dementia.

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Objectives: Malignant mesothelioma (MM) is a fatal tumor of increasing incidence related to asbestos exposure. Microscopic tumor necrosis (TN) is a poor prognostic factor in solid tumors, but it has not been characterized in MM. We wished to evaluate the incidence of TN in MM and its correlations with clinicopathologic factors, angiogenesis, and survival. Methods: TN was graded in 171 routine formalin-fixed, paraffin-embedded hematoxylin-eosinstained tumor sections by two independent observers. Angiogenesis was assessed by the microvessel count (MVC) of CD34 immunostained sections. TN was correlated with survival by Kaplan-Meier and log-rank analysis, and stepwise, multivariate Cox models were used to compare TN with angiogenesis and established prognostic factors and prognostic scoring systems. Results: TN was identified in 39 cases (22.8%) and correlated with low hemoglobin (p = 0.01), thrombocytosis (p = 0.04), and high MVC (p = 0.02). TN was a poor prognostic factor in univariate analysis (p = 0.008). Patients with TN had a median survival of 5.3 months vs 8.3 months in negative cases. Independent indicators of poor prognosis in multivariate analysis were nonepithelioid cell type (p = 0.0001), performance status > 0 (p = 0.007), and increasing MVC (p = 0.004) but not TN. TN contributed independently to the European Organisation for Research and Treatment of Cancer (EORTC) [p = 0.03] and to the Cancer and Leukemia Group B (CALGB) [p = 0.03] prognostic groups in respective multivariate Cox analyses. Conclusions: TN correlates with angiogenesis and is a poor prognostic factor in MM. TN contributes to the EORTC and CALGB prognostic scoring systems.

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Near-infrared spectroscopy (NIRS) calibrations were developed for the discrimination of Chinese hawthorn (Crataegus pinnatifida Bge. var. major) fruit from three geographical regions as well as for the estimation of the total sugar, total acid, total phenolic content, and total antioxidant activity. Principal component analysis (PCA) was used for the discrimination of the fruit on the basis of their geographical origin. Three pattern recognition methods, linear discriminant analysis, partial least-squares-discriminant analysis, and back-propagation artificial neural networks, were applied to classify and compare these samples. Furthermore, three multivariate calibration models based on the first derivative NIR spectroscopy, partial least-squares regression, back-propagation artificial neural networks, and least-squares-support vector machines, were constructed for quantitative analysis of the four analytes, total sugar, total acid, total phenolic content, and total antioxidant activity, and validated by prediction data sets.

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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).

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Purpose – The purpose of this paper is to examine the effect of superstars (and other factors) on football fans’ attraction to competition (i.e. disloyal behavior). Design/methodology/approach – A proprietary data set including archival data on professional German football players and clubs as well as survey data of more than 900 football fans is used. The hypotheses are tested with two-sample mean-comparison t-tests and multivariate probit models. Findings – This study provides evidence that superstars both attract new fans and contribute to the retention of existing fans. While the presence of superstars, team loyalty and team identification prevent football fans from being attracted to competition, the team's recent performance seems to have no effect. Fans who select their favorite player from a competing team rather choose superstars, young players, players who are known for exemplary behavior and defenders. Originality/value – This paper contributes to existing research by expanding the list of antecedents of disloyalty and by being the first to employ independent, quantitative data for the assessment of superstar characteristics in the context of team loyalty.

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Methicillin-resistant Staphylococcus Aureus (MRSA) is a pathogen that continues to be of major concern in hospitals. We develop models and computational schemes based on observed weekly incidence data to estimate MRSA transmission parameters. We extend the deterministic model of McBryde, Pettitt, and McElwain (2007, Journal of Theoretical Biology 245, 470–481) involving an underlying population of MRSA colonized patients and health-care workers that describes, among other processes, transmission between uncolonized patients and colonized health-care workers and vice versa. We develop new bivariate and trivariate Markov models to include incidence so that estimated transmission rates can be based directly on new colonizations rather than indirectly on prevalence. Imperfect sensitivity of pathogen detection is modeled using a hidden Markov process. The advantages of our approach include (i) a discrete valued assumption for the number of colonized health-care workers, (ii) two transmission parameters can be incorporated into the likelihood, (iii) the likelihood depends on the number of new cases to improve precision of inference, (iv) individual patient records are not required, and (v) the possibility of imperfect detection of colonization is incorporated. We compare our approach with that used by McBryde et al. (2007) based on an approximation that eliminates the health-care workers from the model, uses Markov chain Monte Carlo and individual patient data. We apply these models to MRSA colonization data collected in a small intensive care unit at the Princess Alexandra Hospital, Brisbane, Australia.

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Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.

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In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.

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Early models of bankruptcy prediction employed financial ratios drawn from pre-bankruptcy financial statements and performed well both in-sample and out-of-sample. Since then there has been an ongoing effort in the literature to develop models with even greater predictive performance. A significant innovation in the literature was the introduction into bankruptcy prediction models of capital market data such as excess stock returns and stock return volatility, along with the application of the Black–Scholes–Merton option-pricing model. In this note, we test five key bankruptcy models from the literature using an upto- date data set and find that they each contain unique information regarding the probability of bankruptcy but that their performance varies over time. We build a new model comprising key variables from each of the five models and add a new variable that proxies for the degree of diversification within the firm. The degree of diversification is shown to be negatively associated with the risk of bankruptcy. This more general model outperforms the existing models in a variety of in-sample and out-of-sample tests.

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In this paper, spatially offset Raman spectroscopy (SORS) is demonstrated for non-invasively investigating the composition of drug mixtures inside an opaque plastic container. The mixtures consisted of three components including a target drug (acetaminophen or phenylephrine hydrochloride) and two diluents (glucose and caffeine). The target drug concentrations ranged from 5% to 100%. After conducting SORS analysis to ascertain the Raman spectra of the concealed mixtures, principal component analysis (PCA) was performed on the SORS spectra to reveal trends within the data. Partial least squares (PLS) regression was used to construct models that predicted the concentration of each target drug, in the presence of the other two diluents. The PLS models were able to predict the concentration of acetaminophen in the validation samples with a root-mean-square error of prediction (RMSEP) of 3.8% and the concentration of phenylephrine hydrochloride with an RMSEP of 4.6%. This work demonstrates the potential of SORS, used in conjunction with multivariate statistical techniques, to perform non-invasive, quantitative analysis on mixtures inside opaque containers. This has applications for pharmaceutical analysis, such as monitoring the degradation of pharmaceutical products on the shelf, in forensic investigations of counterfeit drugs, and for the analysis of illicit drug mixtures which may contain multiple components.

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Objective The aim of this study was to demonstrate the potential of near-infrared (NIR) spectroscopy for categorizing cartilage degeneration induced in animal models. Method Three models of osteoarthritic degeneration were induced in laboratory rats via one of the following methods: (i) menisectomy (MSX); (ii) anterior cruciate ligament transaction (ACLT); and (iii) intra-articular injection of mono-ido-acetete (1 mg) (MIA), in the right knee joint, with 12 rats per model group. After 8 weeks, the animals were sacrificed and tibial knee joints were collected. A custom-made nearinfrared (NIR) probe of diameter 5 mm was placed on the cartilage surface and spectral data were acquired from each specimen in the wavenumber range 4 000 – 12 500 cm−1. Following spectral data acquisition, the specimens were fixed and Safranin–O staining was performed to assess disease severity based on the Mankin scoring system. Using multivariate statistical analysis based on principal component analysis and partial least squares regression, the spectral data were then related to the Mankinscores of the samples tested. Results Mild to severe degenerative cartilage changes were observed in the subject animals. The ACLT models showed mild cartilage degeneration, MSX models moderate, and MIA severe cartilage degenerative changes both morphologically and histologically. Our result demonstrate that NIR spectroscopic information is capable of separating the cartilage samples into different groups relative to the severity of degeneration, with NIR correlating significantly with their Mankinscore (R2 = 88.85%). Conclusion We conclude that NIR is a viable tool for evaluating articularcartilage health and physical properties such as change in thickness with degeneration.

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Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

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Quality oriented management systems and methods have become the dominant business and governance paradigm. From this perspective, satisfying customers’ expectations by supplying reliable, good quality products and services is the key factor for an organization and even government. During recent decades, Statistical Quality Control (SQC) methods have been developed as the technical core of quality management and continuous improvement philosophy and now are being applied widely to improve the quality of products and services in industrial and business sectors. Recently SQC tools, in particular quality control charts, have been used in healthcare surveillance. In some cases, these tools have been modified and developed to better suit the health sector characteristics and needs. It seems that some of the work in the healthcare area has evolved independently of the development of industrial statistical process control methods. Therefore analysing and comparing paradigms and the characteristics of quality control charts and techniques across the different sectors presents some opportunities for transferring knowledge and future development in each sectors. Meanwhile considering capabilities of Bayesian approach particularly Bayesian hierarchical models and computational techniques in which all uncertainty are expressed as a structure of probability, facilitates decision making and cost-effectiveness analyses. Therefore, this research investigates the use of quality improvement cycle in a health vii setting using clinical data from a hospital. The need of clinical data for monitoring purposes is investigated in two aspects. A framework and appropriate tools from the industrial context are proposed and applied to evaluate and improve data quality in available datasets and data flow; then a data capturing algorithm using Bayesian decision making methods is developed to determine economical sample size for statistical analyses within the quality improvement cycle. Following ensuring clinical data quality, some characteristics of control charts in the health context including the necessity of monitoring attribute data and correlated quality characteristics are considered. To this end, multivariate control charts from an industrial context are adapted to monitor radiation delivered to patients undergoing diagnostic coronary angiogram and various risk-adjusted control charts are constructed and investigated in monitoring binary outcomes of clinical interventions as well as postintervention survival time. Meanwhile, adoption of a Bayesian approach is proposed as a new framework in estimation of change point following control chart’s signal. This estimate aims to facilitate root causes efforts in quality improvement cycle since it cuts the search for the potential causes of detected changes to a tighter time-frame prior to the signal. This approach enables us to obtain highly informative estimates for change point parameters since probability distribution based results are obtained. Using Bayesian hierarchical models and Markov chain Monte Carlo computational methods, Bayesian estimators of the time and the magnitude of various change scenarios including step change, linear trend and multiple change in a Poisson process are developed and investigated. The benefits of change point investigation is revisited and promoted in monitoring hospital outcomes where the developed Bayesian estimator reports the true time of the shifts, compared to priori known causes, detected by control charts in monitoring rate of excess usage of blood products and major adverse events during and after cardiac surgery in a local hospital. The development of the Bayesian change point estimators are then followed in a healthcare surveillances for processes in which pre-intervention characteristics of patients are viii affecting the outcomes. In this setting, at first, the Bayesian estimator is extended to capture the patient mix, covariates, through risk models underlying risk-adjusted control charts. Variations of the estimator are developed to estimate the true time of step changes and linear trends in odds ratio of intensive care unit outcomes in a local hospital. Secondly, the Bayesian estimator is extended to identify the time of a shift in mean survival time after a clinical intervention which is being monitored by riskadjusted survival time control charts. In this context, the survival time after a clinical intervention is also affected by patient mix and the survival function is constructed using survival prediction model. The simulation study undertaken in each research component and obtained results highly recommend the developed Bayesian estimators as a strong alternative in change point estimation within quality improvement cycle in healthcare surveillances as well as industrial and business contexts. The superiority of the proposed Bayesian framework and estimators are enhanced when probability quantification, flexibility and generalizability of the developed model are also considered. The empirical results and simulations indicate that the Bayesian estimators are a strong alternative in change point estimation within quality improvement cycle in healthcare surveillances. The superiority of the proposed Bayesian framework and estimators are enhanced when probability quantification, flexibility and generalizability of the developed model are also considered. The advantages of the Bayesian approach seen in general context of quality control may also be extended in the industrial and business domains where quality monitoring was initially developed.