A hybrid approach to combining CART and logistic regression for stock ranking

The benefits of applying tree-based methods to the purpose of modelling financial assets as opposed to linear factor analysis are increasingly being understood by market practitioners. Tree-based models such as CART (classification and regression trees) are particularly well suited to analysing stock market data which is noisy and often contains non-linear relationships and high-order interactions. CART was originally developed in the 1980s by medical researchers disheartened by the stringent assumptions applied by traditional regression analysis (Brieman et al. [1984]). In the intervening years, CART has been successfully applied to many areas of finance such as the classification of financial distress of firms (see Frydman, Altman and Kao [1985]), asset allocation (see Sorensen, Mezrich and Miller [1996]), equity style timing (see Kao and Shumaker [1999]) and stock selection (see Sorensen, Miller and Ooi [2000])...

Quantile regression without the curse of unsmoothness

We consider quantile regression models and investigate the induced smoothing method for obtaining the covariance matrix of the regression parameter estimates. We show that the difference between the smoothed and unsmoothed estimating functions in quantile regression is negligible. The detailed and simple computational algorithms for calculating the asymptotic covariance are provided. Intensive simulation studies indicate that the proposed method performs very well. We also illustrate the algorithm by analyzing the rainfall–runoff data from Murray Upland, Australia.

Therapeutic immunisation of rabbits with cottontail rabbit papillomavirus (CRPV) virus-like particles (VLP) induces regression of established papillomas

There is overwhelming evidence that persistent infection with high-risk human papillomaviruses (HR-HPV) is the main risk factor for invasive cancer of the cervix. Due to this global public health burden, two prophylactic HPV L1 virus-like particles (VLP) vaccines have been developed. While these vaccines have demonstrated excellent type-specific prevention of infection by the homologous vaccine types (high and low risk HPV types), no data have been reported on the therapeutic effects in people already infected with the low-risk HPV type. In this study we explored whether regression of CRPV-induced papillomas could be achieved following immunisation of out-bred New Zealand White rabbits with CRPV VLPs. Rabbits immunised with CRPV VLPs had papillomas that were significantly smaller compared to the negative control rabbit group (P ≤ 0.05). This data demonstrates the therapeutic potential of PV VLPs in a well-understood animal model with potential important implications for human therapeutic vaccination for low-risk HPVs. © 2008 Govan et al; licensee BioMed Central Ltd.

Efficient solution of two-sided nonlinear space-fractional diffusion equations using fast Poisson preconditioners

We develop a fast Poisson preconditioner for the efficient numerical solution of a class of two-sided nonlinear space fractional diffusion equations in one and two dimensions using the method of lines. Using the shifted Gr¨unwald finite difference formulas to approximate the two-sided(i.e. the left and right Riemann-Liouville) fractional derivatives, the resulting semi-discrete nonlinear systems have dense Jacobian matrices owing to the non-local property of fractional derivatives. We employ a modern initial value problem solver utilising backward differentiation formulas and Jacobian-free Newton-Krylov methods to solve these systems. For efficient performance of the Jacobianfree Newton-Krylov method it is essential to apply an effective preconditioner to accelerate the convergence of the linear iterative solver. The key contribution of our work is to generalise the fast Poisson preconditioner, widely used for integer-order diffusion equations, so that it applies to the two-sided space fractional diffusion equation. A number of numerical experiments are presented to demonstrate the effectiveness of the preconditioner and the overall solution strategy.

Regression and hypothesis tests for multivariate GNSS state time series

A satellite based observation system can continuously or repeatedly generate a user state vector time series that may contain useful information. One typical example is the collection of International GNSS Services (IGS) station daily and weekly combined solutions. Another example is the epoch-by-epoch kinematic position time series of a receiver derived by a GPS real time kinematic (RTK) technique. Although some multivariate analysis techniques have been adopted to assess the noise characteristics of multivariate state time series, statistic testings are limited to univariate time series. After review of frequently used hypotheses test statistics in univariate analysis of GNSS state time series, the paper presents a number of T-squared multivariate analysis statistics for use in the analysis of multivariate GNSS state time series. These T-squared test statistics have taken the correlation between coordinate components into account, which is neglected in univariate analysis. Numerical analysis was conducted with the multi-year time series of an IGS station to schematically demonstrate the results from the multivariate hypothesis testing in comparison with the univariate hypothesis testing results. The results have demonstrated that, in general, the testing for multivariate mean shifts and outliers tends to reject less data samples than the testing for univariate mean shifts and outliers under the same confidence level. It is noted that neither univariate nor multivariate data analysis methods are intended to replace physical analysis. Instead, these should be treated as complementary statistical methods for a prior or posteriori investigations. Physical analysis is necessary subsequently to refine and interpret the results.

Gradual training of cascaded shape regression for facial landmark localization and pose estimation

Facial landmarks play an important role in face recognition. They serve different steps of the recognition such as pose estimation, face alignment, and local feature extraction. Recently, cascaded shape regression has been proposed to accurately locate facial landmarks. A large number of weak regressors are cascaded in a sequence to fit face shapes to the correct landmark locations. In this paper, we propose to improve the method by applying gradual training. With this training, the regressors are not directly aimed to the true locations. The sequence instead is divided into successive parts each of which is aimed to intermediate targets between the initial and the true locations. We also investigate the incorporation of pose information in the cascaded model. The aim is to find out whether the model can be directly used to estimate head pose. Experiments on the Annotated Facial Landmarks in the Wild database have shown that the proposed method is able to improve the localization and give accurate estimates of pose.

Extreme temperatures and emergency department admissions for childhood asthma in Brisbane, Australia

Objectives To examine the effect of extreme temperatures on emergency department admissions (EDAs) for childhood asthma. Methods An ecological design was used in this study. A Poisson linear regression model combined with a distributed lag non-linear model was used to quantify the effect of temperature on EDAs for asthma among children aged 0–14 years in Brisbane, Australia, during January 2003–December 2009, while controlling for air pollution, relative humidity, day of the week, season and long-term trends. The model residuals were checked to identify whether there was an added effect due to heat waves or cold spells. Results There were 13 324 EDAs for childhood asthma during the study period. Both hot and cold temperatures were associated with increases in EDAs for childhood asthma, and their effects both appeared to be acute. An added effect of heat waves on EDAs for childhood asthma was observed, but no added effect of cold spells was found. Male children and children aged 0–4 years were most vulnerable to heat effects, while children aged 10–14 years were most vulnerable to cold effects. Conclusions Both hot and cold temperatures seemed to affect EDAs for childhood asthma. As climate change continues, children aged 0–4 years are at particular risk for asthma.

Technical efficiency of mainstream airlines and low-cost carriers : New evidence using bootstrap data envelopment analysis truncated regression

Between 2001 and 2005, the US airline industry faced financial turmoil while the European airline industry entered a period of substantive deregulation. Consequently, this opened up opportunities for low-cost carriers to become more competitive in the market. To assess airline performance and identify the sources of efficiency in the immediate aftermath of these events, we employ a bootstrap data envelopment analysis truncated regression approach. The results suggest that at the time the mainstream airlines needed to significantly reorganize and rescale their operations to remain competitive. In the second-stage analysis, the results indicate that private ownership, status as a low-cost carrier, and improvements in weight load contributed to better organizational efficiency.

An analysis of regression models for predicting the speed of a wave glider autonomous surface vehicle

An important aspect of robotic path planning for is ensuring that the vehicle is in the best location to collect the data necessary for the problem at hand. Given that features of interest are dynamic and move with oceanic currents, vehicle speed is an important factor in any planning exercises to ensure vehicles are at the right place at the right time. Here, we examine different Gaussian process models to find a suitable predictive kinematic model that enable the speed of an underactuated, autonomous surface vehicle to be accurately predicted given a set of input environmental parameters.

Air pollution, temperature and pediatric influenza in Brisbane, Australia

Previous studies have demonstrated the importance of weather variables in influencing the incidence of influenza. However, the role of air pollution is often ignored in identifying the environmental drivers of influenza. This research aims to examine the impacts of air pollutants and temperature on the incidence of pediatric influenza in Brisbane, Australia. Lab-confirmed daily data on influenza counts among children aged 0-14years in Brisbane from 2001 January 1st to 2008 December 31st were retrieved from Queensland Health. Daily data on maximum and minimum temperatures for the same period were supplied by the Australian Bureau of Meteorology. Winter was chosen as the main study season due to it having the highest pediatric influenza incidence. Four Poisson log-linear regression models, with daily pediatric seasonal influenza counts as the outcome, were used to examine the impacts of air pollutants (i.e., ozone (O3), particulate matter≤10μm (PM10) and nitrogen dioxide (NO2)) and temperature (using a moving average of ten days for these variables) on pediatric influenza. The results show that mean temperature (Relative risk (RR): 0.86; 95% Confidence Interval (CI): 0.82-0.89) was negatively associated with pediatric seasonal influenza in Brisbane, and high concentrations of O3 (RR: 1.28; 95% CI: 1.25-1.31) and PM10 (RR: 1.11; 95% CI: 1.10-1.13) were associated with more pediatric influenza cases. There was a significant interaction effect (RR: 0.94; 95% CI: 0.93-0.95) between PM10 and mean temperature on pediatric influenza. Adding the interaction term between mean temperature and PM10 substantially improved the model fit. This study provides evidence that PM10 needs to be taken into account when evaluating the temperature-influenza relationship. O3 was also an important predictor, independent of temperature.

Spatial Patterns of Malaria Reported Deaths in Yunnan Province, China

Malaria has been a heavy social and health burden in the remote and poor areas in southern China. Analyses of malaria epidemic patterns can uncover important features of malaria transmission. This study identified spatial clusters, seasonal patterns, and geographic variations of malaria deaths at a county level in Yunnan, China, during 1991–2010. A discrete Poisson model was used to identify purely spatial clusters of malaria deaths. Logistic regression analysis was performed to detect changes in geographic patterns. The results show that malaria mortality had declined in Yunnan over the study period and the most likely spatial clusters (relative risk [RR] = 23.03–32.06, P < 0.001) of malaria deaths were identified in western Yunnan along the China–Myanmar border. The highest risk of malaria deaths occurred in autumn (RR = 58.91, P < 0.001) and summer (RR = 31.91, P < 0.001). The results suggested that the geographic distribution of malaria deaths was significantly changed with longitude, which indicated there was decreased mortality of malaria in eastern areas over the last two decades, although there was no significant change in latitude during the same period. Public health interventions should target populations in western Yunnan along border areas, especially focusing on floating populations crossing international borders.