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.

Integrin-linked kinase as a target for ERG-mediated invasive properties in prostate cancer models

Approximately half of prostate cancers (PCa) carry TMPRSS2-ERG translocations; however, the clinical impact of this genomic alteration remains enigmatic. Expression of v-ets erythroblastosis virus E26 oncogene like (avian) gene (ERG) promotes prostatic epithelial dysplasia in transgenic mice and acquisition of epithelial-to-mesenchymal transition (EMT) characteristics in human prostatic epithelial cells (PrECs). To explore whether ERG-induced EMT in PrECs was associated with therapeutically targetable transformation characteristics, we established stable populations of BPH-1, PNT1B and RWPE-1 immortalized human PrEC lines that constitutively express flag-tagged ERG3 (fERG). All fERG-expressing populations exhibited characteristics of in vitro and in vivo transformation. Microarray analysis revealed >2000 commonly dysregulated genes in the fERG-PrEC lines. Functional analysis revealed evidence that fERG cells underwent EMT and acquired invasive characteristics. The fERG-induced EMT transcript signature was exemplified by suppressed expression of E-cadherin and keratins 5, 8, 14 and 18; elevated expression of N-cadherin, N-cadherin 2 and vimentin, and of the EMT transcriptional regulators Snail, Zeb1 and Zeb2, and lymphoid enhancer-binding factor-1 (LEF-1). In BPH-1 and RWPE-1-fERG cells, fERG expression is correlated with increased expression of integrin-linked kinase (ILK) and its downstream effectors Snail and LEF-1. Interfering RNA suppression of ERG decreased expression of ILK, Snail and LEF-1, whereas small interfering RNA suppression of ILK did not alter fERG expression. Interfering RNA suppression of ERG or ILK impaired fERG-PrEC Matrigel invasion. Treating fERG-BPH-1 cells with the small molecule ILK inhibitor, QLT-0267, resulted in dose-dependent suppression of Snail and LEF-1 expression, Matrigel invasion and reversion of anchorage-independent growth. These results suggest that ILK is a therapeutically targetable mediator of ERG-induced EMT and transformation in PCa.

Multilevel competing risk models to evaluate the risk of nosocomial infection

Introduction Risk factor analyses for nosocomial infections (NIs) are complex. First, due to competing events for NI, the association between risk factors of NI as measured using hazard rates may not coincide with the association using cumulative probability (risk). Second, patients from the same intensive care unit (ICU) who share the same environmental exposure are likely to be more similar with regard to risk factors predisposing to a NI than patients from different ICUs. We aimed to develop an analytical approach to account for both features and to use it to evaluate associations between patient- and ICU-level characteristics with both rates of NI and competing risks and with the cumulative probability of infection. Methods We considered a multicenter database of 159 intensive care units containing 109,216 admissions (813,739 admission-days) from the Spanish HELICS-ENVIN ICU network. We analyzed the data using two models: an etiologic model (rate based) and a predictive model (risk based). In both models, random effects (shared frailties) were introduced to assess heterogeneity. Death and discharge without NI are treated as competing events for NI. Results There was a large heterogeneity across ICUs in NI hazard rates, which remained after accounting for multilevel risk factors, meaning that there are remaining unobserved ICU-specific factors that influence NI occurrence. Heterogeneity across ICUs in terms of cumulative probability of NI was even more pronounced. Several risk factors had markedly different associations in the rate-based and risk-based models. For some, the associations differed in magnitude. For example, high Acute Physiology and Chronic Health Evaluation II (APACHE II) scores were associated with modest increases in the rate of nosocomial bacteremia, but large increases in the risk. Others differed in sign, for example respiratory vs cardiovascular diagnostic categories were associated with a reduced rate of nosocomial bacteremia, but an increased risk. Conclusions A combination of competing risks and multilevel models is required to understand direct and indirect risk factors for NI and distinguish patient-level from ICU-level factors.

N-ethyl-N-nitrosourea (ENU) induced mutations within the Klotho gene lead to ectopic calcification and reduced lifespan in mouse models

Ectopic calcification (EC), which is the pathological deposition of calcium and phosphate in extra-skeletal tissues, may be associated with hypercalcaemic and hyperphosphataemic disorders, or it may occur in the absence of metabolic abnormalities. In addition, EC may be inherited as part of several monogenic disorders and studies of these have provided valuable insights into the metabolic pathways regulating mineral metabolism. For example, studies of tumoural calcinosis, a disorder characterised by hyperphosphataemia and progressive EC, have revealed mutations of fibroblast growth factor 23 (FGF23), polypeptide N-acetyl galactosaminyltransferase 3 (GALNT3) and klotho (KL), which are all part of a phosphate-regulating pathway. However, such studies in humans are limited by the lack of available large families with EC, and to facilitate such studies we assessed the progeny of mice treated with the chemical mutagen N-ethyl-N-nitrosourea (ENU) for EC. This identified two mutants with autosomal recessive forms of EC, and reduced lifespan, designated Ecalc1 and Ecalc2. Genetic mapping localized the Ecalc1 and Ecalc2 loci to a 11.0 Mb region on chromosome 5 that contained the klotho gene (Kl), and DNA sequence analysis identified nonsense (Gln203Stop) and missense (Ile604Asn) Kl mutations in Ecalc1 and Ecalc2 mice, respectively. The Gln203Stop mutation, located in KL1 domain, was severely hypomorphic and led to a 17-fold reduction of renal Kl expression. The Ile604Asn mutation, located in KL2 domain, was predicted to impair klotho protein stability and in vitro expression studies in COS-7 cells revealed endoplasmic reticulum retention of the Ile604Asn mutant. Further phenotype studies undertaken in Ecalc1 (kl203X/203X) mice demonstrated elevations in plasma concentrations of phosphate, FGF23 and 1,25-dihydroxyvitamin D. Thus, two allelic variants of Kl that develop EC and represent mouse models for tumoural calcinosis have been established. © 2015 Esapa et al.

Revisiting the Task-Capability interface model for incorporating human factors into car-following models

Human factors such as distraction, fatigue, alcohol and drug use are generally ignored in car-following (CF) models. Such ignorance overestimates driver capability and leads to most CF models’ inability in realistically explaining human driving behaviors. This paper proposes a novel car-following modeling framework by introducing the difficulty of driving task measured as the dynamic interaction between driving task demand and driver capability. Task difficulty is formulated based on the famous Task Capability Interface (TCI) model, which explains the motivations behind driver’s decision making. The proposed method is applied to enhance two popular CF models: Gipps’ model and IDM, and named as TDGipps and TDIDM respectively. The behavioral soundness of TDGipps and TDIDM are discussed and their stabilities are analyzed. Moreover, the enhanced models are calibrated with the vehicle trajectory data, and validated to explain both regular and human factor influenced CF behavior (which is distraction caused by hand-held mobile phone conversation in this paper). Both the models show better performance than their predecessors, especially in presence of human factors.

Polymorphisms in the vascular endothelial growth factor gene and the risk of familial endometriosis

Vascular endothelial growth factor (VEGF) is an endothelial cell-specific angiogenic protein suspected to be involved in the pathogenesis of endometriosis by establishing a new blood supply to the human exfoliated endometrium. Several transcription factor-binding sites are found in the VEGF 5'-untranslated region and variation within the region increases the transcriptional activity. Six previous studies which tested between one and three single nucleotide polymorphisms (SNPs) in samples comprising 105-215 cases and 100-219 controls have produced conflicting evidence for association between the SNPs in the VEGF region and endometriosis. To further investigate the reported association between VEGF variants and endometriosis, we tested the four VEGF polymorphisms (-2578 A/C, rs699947; -460 T/C, rs833061; +405 G/C, rs2010963 and +936 C/T, rs3025039) in a large Australian sample of 958 familial endometriosis cases and 959 controls. We also conducted a literature-based review of all relevant association studies of these VEGF SNPs in endometriosis and performed a meta-analysis. There was no evidence for association between endometriosis and the VEGF polymorphisms genotyped in our study. Combined association results from a meta-analysis did not provide any evidence for either genotypic or allelic association with endometriosis. Our detailed review and meta-analysis of the VEGF polymorphisms suggests that genotyping assay problems may underlie the previously reported associations between VEGF variants and endometriosis.