Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Factorial validity and invariance of questionnaires measuring social-cognitive determinants of physical activity among adolescent girls

Background There are few theoretically derived questionnaires of physical activity determinants among youth, and the existing questionnaires have not been subjected to tests of factorial validity and invariance, The present study employed confirmatory factor analysis (CFA) to test the factorial validity and invariance of questionnaires designed to be unidimensional measures of attitudes, subjective norms, perceived behavioral control, and self-efficacy about physical activity. Methods Adolescent girls in eighth grade from two cohorts (N = 955 and 1,797) completed the questionnaires at baseline; participants from cohort 1 (N = 845) also completed the questionnaires in ninth grade (i.e., 1-year follow-up). Factorial validity and invariance were tested using CFA with full-information maximum likelihood estimation in AMOS 4.0, Initially, baseline data from cohort 1 were employed to test the fit and, when necessary, to modify the unidimensional models. The models were cross-validated using a multigroup analysis of factorial invariance on baseline data from cohorts 1 and 2, The models then were subjected to a longitudinal analysis of factorial invariance using baseline and follow-up data from cohort i, Results The CFAs supported the fit of unidimensional models to the four questionnaires, and the models were cross-validated, as indicated by evidence of multigroup factorial invariance, The models also possessed evidence of longitudinal factorial invariance. Conclusions Evidence was provided for the factorial validity and the invariance of the questionnaires designed to be unidimensional measures of attitudes, subjective norms, perceived behavioral control, and self-efficacy about physical activity among adolescent girls, (C) 2000 American Health Foundation and academic Press.

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.

The analysis of large scale data taken from the world groundnut (Arachis hypogaea L.) germplasm collection. II. Two-way data with mixed data types

As a sequel to a paper that dealt with the analysis of two-way quantitative data in large germplasm collections, this paper presents analytical methods appropriate for two-way data matrices consisting of mixed data types, namely, ordered multicategory and quantitative data types. While various pattern analysis techniques have been identified as suitable for analysis of the mixed data types which occur in germplasm collections, the clustering and ordination methods used often can not deal explicitly with the computational consequences of large data sets (i.e. greater than 5000 accessions) with incomplete information. However, it is shown that the ordination technique of principal component analysis and the mixture maximum likelihood method of clustering can be employed to achieve such analyses. Germplasm evaluation data for 11436 accessions of groundnut (Arachis hypogaea L.) from the International Research Institute of the Semi-Arid Tropics, Andhra Pradesh, India were examined. Data for nine quantitative descriptors measured in the post-rainy season and five ordered multicategory descriptors were used. Pattern analysis results generally indicated that the accessions could be distinguished into four regions along the continuum of growth habit (or plant erectness). Interpretation of accession membership in these regions was found to be consistent with taxonomic information, such as subspecies. Each growth habit region contained accessions from three of the most common groundnut botanical varieties. This implies that within each of the habit types there is the full range of expression for the other descriptors used in the analysis. Using these types of insights, the patterns of variability in germplasm collections can provide scientists with valuable information for their plant improvement programs.

Are alien fish a reliable indicator of river health?

1. The ability of many introduced fish species to thrive in degraded aquatic habitats and their potential to impact on aquatic ecosystem structure and function suggest that introduced fish may represent both a symptom and a cause of decline in river health and the integrity of native aquatic communities. 2. The varying sensitivities of many commonly introduced fish species to degraded stream conditions, the mechanism and reason for their introduction and the differential susceptibility of local stream habitats to invasion because of the environmental and biological characteristics of the receiving water body, are all confounding factors that may obscure the interpretation of patterns of introduced fish species distribution and abundance and therefore their reliability as indicators of river health. 3. In the present study, we address the question of whether alien fish (i.e. those species introduced from other countries) are a reliable indicator of the health of streams and rivers in south-eastern Queensland, Australia. We examine the relationships of alien fish species distributions and indices of abundance and biomass with the natural environmental features, the biotic characteristics of the local native fish assemblages and indicators of anthropogenic disturbance at a large number of sites subject to varying sources and intensities of human impact. 4. Alien fish species were found to be widespread and often abundant in south-eastern Queensland rivers and streams, and the five species collected were considered to be relatively tolerant to river degradation, making them good candidate indicators of river health. Variation in alien species indices was unrelated to the size of the study sites, the sampling effort expended or natural environmental gradients. The biological resistance of the native fish fauna was not concluded to be an important factor mediating invasion success by alien species. Variation in alien fish indices was, however, strongly related to indicators of disturbance intensity describing local in-stream habitat and riparian degradation, water quality and surrounding land use, particularly the amount of urban development in the catchment. 5. Potential confounding factors that may influence the likelihood of introduction and successful establishment of an alien species and the implications of these factors for river bioassessment are discussed. We conclude that the potentially strong impact that many alien fish species can have on the biological integrity of natural aquatic ecosystems, together with their potential to be used as an initial basis to find out other forms of human disturbance impacts, suggest that some alien species (particularly species from the family Poeciliidae) can represent a reliable 'first cut' indicator of river health.

Three social car visions to improve driver behaviour

The social cost of road injury and fatalities is still unacceptable. The driver is often mainly responsible for road crashes, therefore changing the driver behaviour is one of the most important and most challenging priority in road transport. This paper presents three innovative visions that articulate the potential of using Vehicle to Vehicle (V2V) communication for supporting the exchange of social information amongst drivers. We argue that there could be tremendous benefits in socialising cars to influence human driving behaviours for the better and that this aspect is still relevant in the age of looming autonomous cars. Our visions provide theoretical grounding how V2V infrastructure and emerging human–machine interfaces (HMI) could persuade drivers to: (i) adopt better (e.g. greener) driving practices, (ii) reduce drivers aggressiveness towards pro-social driving behaviours, and (iii) reduce risk-taking behaviour in young, particularly male, adults. The visions present simple but powerful concepts that reveal ‘good’ aspects of the driver behaviour to other drivers and make them contagious. The use of self-efficacy, social norms, gamification theories and social cues could then increase the likelihood of a widespread adoption of such ‘good’ driving behaviours.

Everyone’s watching it : the role of hype in television engagement through social media

Social media is playing an ever-increasing role in both viewers engagement with television and in the television industries evaluation of programming, in Australia – which is the focus of our study - and beyond. Twitter hashtags and viewer comments are increasingly incorporated into broadcasts, while Facebook fan pages provide a means of marketing upcoming shows and television personalities directly into the social media feed of millions of users. Additionally, bespoke applications such as FanGo and ZeeBox, which interact with the mainstream social networks, are increasingly being utilized by broadcasters for interactive elements of programming (c.f. Harrington, Highfield and Bruns, 2012). However, both the academic and industry study of these platforms has focused on the measure of content during the specific broadcast of the show, or a period surrounding it (e.g. 3 hours before until 3 am the next day, in the case of 2013 Nielsen SocialGuide reports). In this paper, we argue that this focus ignores a significant period for both television producers and advertisers; the lead-up to the program. If, as we argue elsewhere (Bruns, Woodford, Highfield & Prowd, forthcoming), users are persuaded to engage with content both by advertising of the Twitter hash-tag or Facebook page and by observing their network connections engaging with such content, the period before and between shows may have a significant impact on a viewers likelihood to watch a show. The significance of this period for broadcasters is clearly highlighted by the efforts they afford to advertising forthcoming shows through several channels, including television and social media, but also more widely. Biltereyst (2004, p.123) has argued that reality television generates controversy to receive media attention, and our previous small-scale work on reality shows during 2013 and 2014 supports the theory that promoting controversial behavior is likely to lead to increased viewing (Woodford & Prowd, 2014a). It remains unclear, however, to what extent this applies to other television genres. Similarly, while networks use of social media has been increasing, best practices remain unclear. Thus, by applying our telemetrics, that is social media metrics for television based on sabermetric approaches (Woodford, Prowd & Bruns, forthcoming; c.f. Woodford & Prowd, 2014b), to the period between shows, we are able to better understand the period when key viewing decisions may be made, to establish the significance of observing discussions within your network during the period between shows, and identify best practice examples of promoting a show using social media.

The educational pipeline for health care professionals : understanding the source of racial differences

The underrepresentation of blacks in the healthcare professions may have direct implications for the health outcomes of minority patients, underscoring the importance of understanding movement through the educational pipeline into professional healthcare careers by race. We jointly model individuals' postsecondary decisions including enrollment, college type, degree completion, and choosing a healthcare occupation requiring an advanced degree. We estimate the parameters of the model with maximum likelihood using data from the NLS-72. Our results emphasize the importance of pre-collegiate factors and of jointly examining the full chain of educational decisions in understanding the sources of racial disparities in professional healthcare occupations.

Survival models of community tenure and length of hospital stay for the seriously mentally ill : a 10-year perspective

Objective: To examine the effects of personal and community characteristics, specifically race and rurality, on lengths of state psychiatric hospital and community stays using maximum likelihood survival analysis with a special emphasis on change over a ten year period of time. Data Sources: We used the administrative data of the Virginia Department of Mental Health, Mental Retardation, and Substance Abuse Services (DMHMRSAS) from 1982-1991 and the Area Resources File (ARF). Given these two sources, we constructed a history file for each individual who entered the state psychiatric system over the ten year period. Histories included demographic, treatment, and community characteristics. Study Design: We used a longitudinal, population-based design with maximum likelihood estimation of survival models. We presented a random effects model with unobserved heterogeneity that was independent of observed covariates. The key dependent variables were lengths of inpatient stay and subsequent length of community stay. Explanatory variables measured personal, diagnostic, and community characteristics, as well as controls for calendar time. Data Collection: This study used secondary, administrative, and health planning data. Principal Findings: African-American clients leave the community more quickly than whites. After controlling for other characteristics, however, race does not affect hospital length of stay. Rurality does not affect length of community stays once other personal and community characteristics are controlled for. However, people from rural areas have longer hospital stays even after controlling for personal and community characteristics. The effects of time are significantly smaller than expected. Diagnostic composition effects and a decrease in the rate of first inpatient admissions explain part of this reduced impact of time. We also find strong evidence for the existence of unobserved heterogeneity in both types of stays and adjust for this in our final models. Conclusions: Our results show that information on client characteristics available from inpatient stay records is useful in predicting not only the length of inpatient stay but also the length of the subsequent community stay. This information can be used to target increased discharge planning for those at risk of more rapid readmission to inpatient care. Correlation across observed and unobserved factors affecting length of stay has significant effects on the measurement of relationships between individual factors and lengths of stay. Thus, it is important to control for both observed and unobserved factors in estimation.

Optimal Bayesian experimental design for models with intractable likelihoods using indirect inference applied to biological process models

This paper addresses the problem of determining optimal designs for biological process models with intractable likelihoods, with the goal of parameter inference. The Bayesian approach is to choose a design that maximises the mean of a utility, and the utility is a function of the posterior distribution. Therefore, its estimation requires likelihood evaluations. However, many problems in experimental design involve models with intractable likelihoods, that is, likelihoods that are neither analytic nor can be computed in a reasonable amount of time. We propose a novel solution using indirect inference (II), a well established method in the literature, and the Markov chain Monte Carlo (MCMC) algorithm of Müller et al. (2004). Indirect inference employs an auxiliary model with a tractable likelihood in conjunction with the generative model, the assumed true model of interest, which has an intractable likelihood. Our approach is to estimate a map between the parameters of the generative and auxiliary models, using simulations from the generative model. An II posterior distribution is formed to expedite utility estimation. We also present a modification to the utility that allows the Müller algorithm to sample from a substantially sharpened utility surface, with little computational effort. Unlike competing methods, the II approach can handle complex design problems for models with intractable likelihoods on a continuous design space, with possible extension to many observations. The methodology is demonstrated using two stochastic models; a simple tractable death process used to validate the approach, and a motivating stochastic model for the population evolution of macroparasites.

Asymptotic minimax robust and misspecified Lorden quickest change detection for dependent stochastic processes

The quick detection of an abrupt unknown change in the conditional distribution of a dependent stochastic process has numerous applications. In this paper, we pose a minimax robust quickest change detection problem for cases where there is uncertainty about the post-change conditional distribution. Our minimax robust formulation is based on the popular Lorden criteria of optimal quickest change detection. Under a condition on the set of possible post-change distributions, we show that the widely known cumulative sum (CUSUM) rule is asymptotically minimax robust under our Lorden minimax robust formulation as a false alarm constraint becomes more strict. We also establish general asymptotic bounds on the detection delay of misspecified CUSUM rules (i.e. CUSUM rules that are designed with post- change distributions that differ from those of the observed sequence). We exploit these bounds to compare the delay performance of asymptotically minimax robust, asymptotically optimal, and other misspecified CUSUM rules. In simulation examples, we illustrate that asymptotically minimax robust CUSUM rules can provide better detection delay performance at greatly reduced computation effort compared to competing generalised likelihood ratio procedures.

Towards a phylogeny of the Tenebrionoidea (Coleoptera)

The phylogenetic relationships of the beetle superfamily Tenebrionoidea are investigated using the most comprehensive genetic data set compiled to date. With ∼34,000 described species in approximately 1250 genera and 28 families, Tenebrionoidea represent one of the most diverse and species-rich superfamilies of beetles. The interfamilial relationships of the Tenebrionoidea are poorly known; previous morphological and molecular phylogenies recovered few well-supported and often conflicting relationships between families. Here we present a molecular phylogeny of Tenebrionoidea based on genes commonly used to resolve family and superfamily-level phylogenies of beetles (18S, 28S, 16S, 12S, tRNA Val and COI). The alignment spanned over 6.5 KB of DNA sequence and over 300 tenebrionoid genera from 24 of the 28 families were sampled. Maximum Likelihood and Bayesian analysis could not resolve deeper level divergences within the superfamily and very few relationships between families were supported. Increasing gene coverage in the alignment by removing taxa with missing data did not improve clade support but when rogue taxa were removed increased resolution was recovered. Investigation of signal strength suggested conflicting phylogenetic signal was present in the standard genes used for beetle phylogenetics, even when rogue taxa were removed. Our study of Tenebrionoidea highlights that even with relatively comprehensive taxon sampling within a lineage, this standard set of genes is unable to resolve relationships within this superfamily.

A non-profit design-led innovation journey

Non-profit organisations in the aged care sector are currently under pressure from more than just a sheer increase of customers. A need to respond to changing legislative requirements, increased expectations from customers and increasing likelihood of shortage in appropriate experienced staff are also contributing to instability within the sector. This paper will present a longitudinal action research study of a non-profit organisation revisiting its core purpose of providing relevant services and attempting to build a customer-centric method for addressing the current and upcoming change drivers in an Australian aged care context. The study found Design- Led Innovation to be an effective methodology for capturing deep customer insights and conceptualising new business models which address the prevalent change drivers. This paper details a design-led approach to innovation, tailored to a non-profit organisation seeking to better understand its stakeholders and redefine its value offering.

Interrupting malaria transmission: quantifying the impact of interventions in regions of low to moderate transmission

Malaria has been eliminated from over 40 countries with an additional 39 currently planning for, or committed to, elimination. Information on the likely impact of available interventions, and the required time, is urgently needed to help plan resource allocation. Mathematical modelling has been used to investigate the impact of various interventions; the strength of the conclusions is boosted when several models with differing formulation produce similar data. Here we predict by using an individual-based stochastic simulation model of seasonal Plasmodium falciparum transmission that transmission can be interrupted and parasite reintroductions controlled in villages of 1,000 individuals where the entomological inoculation rate is <7 infectious bites per person per year using chemotherapy and bed net strategies. Above this transmission intensity bed nets and symptomatic treatment alone were not sufficient to interrupt transmission and control the importation of malaria for at least 150 days. Our model results suggest that 1) stochastic events impact the likelihood of successfully interrupting transmission with large variability in the times required, 2) the relative reduction in morbidity caused by the interventions were age-group specific, changing over time, and 3) the post-intervention changes in morbidity were larger than the corresponding impact on transmission. These results generally agree with the conclusions from previously published models. However the model also predicted changes in parasite population structure as a result of improved treatment of symptomatic individuals; the survival probability of introduced parasites reduced leading to an increase in the prevalence of sub-patent infections in semi-immune individuals. This novel finding requires further investigation in the field because, if confirmed, such a change would have a negative impact on attempts to eliminate the disease from areas of moderate transmission.

Priority threat management of invasive plant species in the Lake Eyre Basin

This project is led by scientists in conservation decision appraisal and brings together a group of experts working across the Lake Eyre Basin (LEB). The LEB covers a sixth of Australia, with an array of globally significant natural values that are threatened by invasive plants, among other things. Managers at various levels are investing in attempts to control, contain and eradicate these invasive plant species, under severe time and resources limitations. To date there has been no basin-wide assessment of which weed management strategies and locations provide the best investments for maximising outcomes for biodiversity per unit cost. Further, there has been no assessment of the extent of ecosystem intactness that may be lost without effective invasive plant species management strategies. Given that there are insufficient resources to manage all invasive plant species everywhere, this information has the potential to improve current investment decisions. Here, we provide a prioritisation of invasive plant management strategies in the LEB. Prioritisation was based on cost-effectiveness for biodiversity benefits. We identify the key invasive plant species to target to protect ecosystem intactness across the bioregions of the LEB, the level of investment required and the likely reduction in invasive species dominance gained per dollar spent on each strategy. Our focus is on strategies that are technically and socially feasible and reduce the likelihood that high impact invasive plant species will dominate native ecosystems, and therefore change their form and function. The outputs of this work are designed to help guide decision-making and further planning and investment in weed management for the Basin. Experts in weed management, policy-making, community engagement, biodiversity and natural values of the Basin, attended a workshop and agreed upon 12 strategies to manage invasive plants. The strategies focused primarily on 10 weeds which were considered to have a high potential for broad, significant impacts on natural ecosystems in the next 50 years and for which feasible management strategies could be defined. Each strategy consisted of one or more supporting actions, many of which were spatially linked to IBRA (Interim Biogeographical Regionalisation of Australia) bioregions. The first strategy was an over-arching recommendation for improved mapping, information sharing, education and extension efforts in order to facilitate the more specific weed management strategies. The 10 more specific weed management strategies targeted the control and/or eradication of the following high-impact exotic plants: mesquite, parkinsonia, rubber vine, bellyache bush, cacti, mother of millions, chinee apple, athel pine and prickly acacia, as well as a separate strategy for eradicating all invasive plants from one key threatened ecological community, the GAB (Great Artesian Basin dependant) mound springs. Experts estimated the expected biodiversity benefit of each strategy as the reduction in area that an invasive plant species is likely to dominate in over a 50-year period, where dominance was defined as more than 30% coverage at a site. Costs were estimated in present day terms over 50 years largely during follow up discussions post workshop. Cost-effectiveness was then calculated for each strategy in each bioregion by dividing the average expected benefit by the average annual costs. Overall, the total cost of managing 12 invasive plant strategies over the next 50 years was estimated at $1.7 billion. It was estimated that implementation of these strategies would result in a reduction of invasive plant dominance by 17 million ha (a potential 32% reduction), roughly 14% of the LEB. If only targeting Weeds of National Significance (WONS), the total cost was estimated to be $113 million over the next 50 years. Over the next 50 years, $2.3 million was estimated to eradicate all invasive plant species from the Great Artesian Basin Mound Springs threatened ecological community. Prevention and awareness programs were another key strategy targeted across the Basin and estimated at $17.5 million in total over 50 years. The cost of controlling, eradicating and containing buffel grass were the most expensive, over $1.5 billion over 50 years; this strategy was estimated to result in a reduction in buffel grass dominance of a million ha in areas where this species is identified as an environmental problem. Buffel grass has been deliberately planted across the Basin for pasture production and is by far the most widely distributed exotic species. Its management is contentious, having economic value to many graziers while posing serious threats to biodiversity and sites of high cultural and conservation interest. The strategy for containing and locally eradicating buffel grass was a challenge to cost based on expert knowledge, possibly because of the dual nature of this species as a valued pastoral grass and environmental weed. Based on our conversations with experts, it appears that control and eradication programs for this species, in conservation areas, are growing rapidly and that information on the most cost-effective strategies for this species will continue to develop over time. The top five most cost-effective strategies for the entire LEB were for the management of: 1) parkinsonia, 2) chinee apple, 3) mesquite, 4) rubber vine and 5) bellyache bush. Chinee apple and mother of millions are not WONS and have comparatively small populations within the semi-arid bioregions of Queensland. Experts felt that there was an opportunity to eradicate these species before they had the chance to develop into high-impact species within the LEB. Prickly acacia was estimated to have one of the highest benefits, but the costs of this strategy were high, therefore it was ranked 7th overall. The buffel grass strategy was ranked the lowest (10th) in terms of cost effectiveness. The top five most cost-effective strategies within and across the bioregions were the management of: 1) parkinsonia in the Channel Country, 2) parkinsonia in the Desert Uplands, 3) mesquite in the Mitchell Grass Downs, 4) parkinsonia in the Mitchell Grass Downs, and 5) mother of millions in the Desert Uplands. Although actions for several invasive plant species like parkinsonia and prickly acacia were concentrated in the Queensland part of the LEB, the actions involved investing in containment zones to prevent the spread of these species into other states. In the NT and SA bioregions of the LEB, the management of athel pine, parkinsonia and cacti were the main strategies. While outside the scientific research goals of study, this work highlighted a number of important incidental findings that led us to make the following recommendations for future research and implementation of weed management in the Basin: • Ongoing stakeholder engagement, extension and participation is required to ensure this prioritisation effort has a positive impact in affecting on-ground decision making and planning. • Short term funding for weed management was identified as a major reason for failure of current efforts, hence future funding needs to be secure and ongoing. • Improved mapping and information sharing is essential to implement effective weed management. • Due to uncertainties in the outcomes and impacts of management options, strategies should be implemented as part of an adaptive management program. The information provided in this report can be used to guide investment for controlling high-impact invasive plant species for the benefits of biodiversity conservation. We do not present a final prioritisation of invasive plant strategies for the LEB, and we have not addressed the cultural, socio-economic or spatial components necessary for an implementation plan. Cost-effectiveness depends on the objectives used; in our case we used the intactness of ecosystems as a surrogate for expected biodiversity benefits, measured by the extent that each invasive plant species is likely to dominate in a bioregion. When other relevant factors for implementation are considered the priorities may change and some actions may not be appropriate in some locations. We present the costs, ecological benefits and cost-effectiveness of preventing, containing, reducing and eradicating the dominance of high impact invasive plants through realistic management actions over the next 50 years. In doing so, we are able to estimate the size of the weed management problem in the LEB and provide expert-based estimates of the likely outcomes and benefits of implementing weed management strategies. The priorities resulting from this work provide a prospectus for guiding further investment in management and in improving information availability.