Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

Modeling dynamic demand response using Monte Carlo simulation and interval mathematics for boundary estimation

With the rapid development of various technologies and applications in smart grid implementation, demand response has attracted growing research interests because of its potentials in enhancing power grid reliability with reduced system operation costs. This paper presents a new demand response model with elastic economic dispatch in a locational marginal pricing market. It models system economic dispatch as a feedback control process, and introduces a flexible and adjustable load cost as a controlled signal to adjust demand response. Compared with the conventional “one time use” static load dispatch model, this dynamic feedback demand response model may adjust the load to a desired level in a finite number of time steps and a proof of convergence is provided. In addition, Monte Carlo simulation and boundary calculation using interval mathematics are applied for describing uncertainty of end-user's response to an independent system operator's expected dispatch. A numerical analysis based on the modified Pennsylvania-Jersey-Maryland power pool five-bus system is introduced for simulation and the results verify the effectiveness of the proposed model. System operators may use the proposed model to obtain insights in demand response processes for their decision-making regarding system load levels and operation conditions.

Deeper and wider fully convolutional network coupled with conditional random fields for scene labeling

Deep convolutional neural networks (DCNNs) have been employed in many computer vision tasks with great success due to their robustness in feature learning. One of the advantages of DCNNs is their representation robustness to object locations, which is useful for object recognition tasks. However, this also discards spatial information, which is useful when dealing with topological information of the image (e.g. scene labeling, face recognition). In this paper, we propose a deeper and wider network architecture to tackle the scene labeling task. The depth is achieved by incorporating predictions from multiple early layers of the DCNN. The width is achieved by combining multiple outputs of the network. We then further refine the parsing task by adopting graphical models (GMs) as a post-processing step to incorporate spatial and contextual information into the network. The new strategy for a deeper, wider convolutional network coupled with graphical models has shown promising results on the PASCAL-Context dataset.

No evidence for association of ataxia-telangiectasia mutated gene T2119C and C3161G amino acid substitution variants with risk of breast cancer

Background There is evidence that certain mutations in the double-strand break repair pathway ataxia-telangiectasia mutated gene act in a dominant-negative manner to increase the risk of breast cancer. There are also some reports to suggest that the amino acid substitution variants T2119C Ser707Pro and C3161G Pro1054Arg may be associated with breast cancer risk. We investigate the breast cancer risk associated with these two nonconservative amino acid substitution variants using a large Australian population-based case–control study. Methods The polymorphisms were genotyped in more than 1300 cases and 600 controls using 5' exonuclease assays. Case–control analyses and genotype distributions were compared by logistic regression. Results The 2119C variant was rare, occurring at frequencies of 1.4 and 1.3% in cases and controls, respectively (P = 0.8). There was no difference in genotype distribution between cases and controls (P = 0.8), and the TC genotype was not associated with increased risk of breast cancer (adjusted odds ratio = 1.08, 95% confidence interval = 0.59–1.97, P = 0.8). Similarly, the 3161G variant was no more common in cases than in controls (2.9% versus 2.2%, P = 0.2), there was no difference in genotype distribution between cases and controls (P = 0.1), and the CG genotype was not associated with an increased risk of breast cancer (adjusted odds ratio = 1.30, 95% confidence interval = 0.85–1.98, P = 0.2). This lack of evidence for an association persisted within groups defined by the family history of breast cancer or by age. Conclusion The 2119C and 3161G amino acid substitution variants are not associated with moderate or high risks of breast cancer in Australian women.

Aging, retirement, and changes in physical activity : prospective cohort findings from the globe study

There is increased recognition that determinants of health should be investigated in a life-course perspective. Retirement is a major transition in the life course and offers opportunities for changes in physical activity that may improve health in the aging population. The authors examined the effect of retirement on changes in physical activity in the GLOBE Study, a prospective cohort study known by the Dutch acronym for "Health and Living Conditions of the Population of Eindhoven and surroundings," 1991–2004. They followed respondents (n = 971) by postal questionnaire who were employed and aged 40–65 years in 1991 for 13 years, after which they were still employed (n = 287) or had retired (n = 684). Physical activity included 1) work-related transportation, 2) sports participation, and 3) nonsports leisure-time physical activity. Multinomial logistic regression analyses indicated that retirement was associated with a significantly higher odds for a decline in physical activity from work-related transportation (odds ratio (OR) = 3.03, 95% confidence interval (CI): 1.97, 4.65), adjusted for sex, age, marital status, chronic diseases, and education, compared with remaining employed. Retirement was not associated with an increase in sports participation (OR = 1.12, 95% CI: 0.71, 1.75) or nonsports leisure-time physical activity (OR = 0.80, 95% CI: 0.54, 1.19). In conclusion, retirement introduces a reduction in physical activity from work-related transportation that is not compensated for by an increase in sports participation or an increase in nonsports leisure-time physical activity.

Low-complexity estimation of CFO and frequency independent I/Q mismatch for OFDM systems

CFO and I/Q mismatch could cause significant performance degradation to OFDM systems. Their estimation and compensation are generally difficult as they are entangled in the received signal. In this paper, we propose some low-complexity estimation and compensation schemes in the receiver, which are robust to various CFO and I/Q mismatch values although the performance is slightly degraded for very small CFO. These schemes consist of three steps: forming a cosine estimator free of I/Q mismatch interference, estimating I/Q mismatch using the estimated cosine value, and forming a sine estimator using samples after I/Q mismatch compensation. These estimators are based on the perception that an estimate of cosine serves much better as the basis for I/Q mismatch estimation than the estimate of CFO derived from the cosine function. Simulation results show that the proposed schemes can improve system performance significantly, and they are robust to CFO and I/Q mismatch.

Aging in China and its impact on vehicle design

This study contributes to the growth of design knowledge in China, where vehicle design for the local, older user is in its initial developmental stages. Therefore, this research has explored the travel needs of older Chinese vehicle users in order to assist designers to better understand users’ current and future needs. A triangulation method consisting of interviews, logbook and co-discovery was used to collect multiple forms of data and so explore the research question. Grounded theory has been employed to analyze the research data. This study found that users’ needs are reflected through various ‘meanings’ that they attach to vehicles – meanings that give a tangible expression to their experiences. This study identified six older-user need categories: (i) safety, (ii) utility, (iii) comfort, (iv) identity, (v) emotion and (vi) spirituality. The interrelationships among these six categories are seen as an interactive structure, rather than as a linear or hierarchical arrangement. Chinese cultural values, which are generated from particular local context and users’ social practice, will play a dynamic role in linking and shaping the travel needs of older vehicle users in the future. Moreover, this study structures the older-user needs model into three levels of meaning, to give guidance to vehicle design direction: (i) the practical meaning level, (ii) the social meaning level and (ii) the cultural meaning level. This study suggests that a more comprehensive explanation exists if designers can identify the vehicle’s meaning and property associated with the fulfilled older users’ needs. However, these needs will vary, and must be related to particular technological, social, and cultural contexts. The significance of this study lies in its contributions to the body of knowledge in three areas: research methodology, theory and design. These theoretical contributions provide a series of methodological tools, models and approaches from a vehicle design perspective. These include a conditional/consequential matrix, a travel needs identification model, an older users’ travel-related needs framework, a user information structure model, and an Older-User-Need-Based vehicle design approach. These models suggest a basic framework for the new design process which might assist in the design of new vehicles to fulfil the needs of future, aging Chinese generations. The models have the potential to be transferred to other design domains and different cultural contexts.

Development of the benefit finding in multiple sclerosis (MS) caregiving scale: A longitudinal study of relations between benefit finding and adjustment

Benefit finding is a meaning making construct that has been shown to be related to adjustment in people with MS and their carers. This study investigated the dimensions, stability and potency of benefit finding in predicting adjustment over a 12 month interval using a newly developed Benefit Finding in Multiple Sclerosis Scale (BFiMSS). Usable data from 388 persons with MS and 232 carers was obtained from questionnaires completed at Time 1 and 12 months later (Time 2). Factor analysis of the BFiMSS revealed seven psychometrically sound factors: Compassion/Empathy, Spiritual Growth, Mindfulness, Family Relations Growth, Life Style Gains, Personal Growth, New Opportunities. BFiMSS total and factors showed satisfactory internal and retest reliability coefficients, and convergent, criterion and external validity. Results of regression analyses indicated that the Time 1 BFiMSS factors accounted for significant amounts of variance in each of the Time 2 adjustment outcomes (positive states of mind, positive affect, anxiety, depression) after controlling for Time 1 adjustment, and relevant demographic and illness variables. Findings delineate the dimensional structure of benefit finding in MS, the differential links between benefit finding dimensions and adjustment and the temporal unfolding of benefit finding in chronic illness.

Urban network travel time estimation from stop-line loop detector data and signal controller data

This paper presents a model to estimate travel time using cumulative plots. Three different cases considered are i) case-Det, for only detector data; ii) case-DetSig, for detector data and signal controller data and iii) case-DetSigSFR: for detector data, signal controller data and saturation flow rate. The performance of the model for different detection intervals is evaluated. It is observed that detection interval is not critical if signal timings are available. Comparable accuracy can be obtained from larger detection interval with signal timings or from shorter detection interval without signal timings. The performance for case-DetSig and for case-DetSigSFR is consistent with accuracy generally more than 95% whereas, case-Det is highly sensitive to the signal phases in the detection interval and its performance is uncertain if detection interval is integral multiple of signal cycles.