Prediction in dynamic models with time-dependent conditional variances

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Component Neural Systems for the Creation of Emotional Memories during Free Viewing of a Complex, Real-World Event.

To investigate the neural systems that contribute to the formation of complex, self-relevant emotional memories, dedicated fans of rival college basketball teams watched a competitive game while undergoing functional magnetic resonance imaging (fMRI). During a subsequent recognition memory task, participants were shown video clips depicting plays of the game, stemming either from previously-viewed game segments (targets) or from non-viewed portions of the same game (foils). After an old-new judgment, participants provided emotional valence and intensity ratings of the clips. A data driven approach was first used to decompose the fMRI signal acquired during free viewing of the game into spatially independent components. Correlations were then calculated between the identified components and post-scanning emotion ratings for successfully encoded targets. Two components were correlated with intensity ratings, including temporal lobe regions implicated in memory and emotional functions, such as the hippocampus and amygdala, as well as a midline fronto-cingulo-parietal network implicated in social cognition and self-relevant processing. These data were supported by a general linear model analysis, which revealed additional valence effects in fronto-striatal-insular regions when plays were divided into positive and negative events according to the fan's perspective. Overall, these findings contribute to our understanding of how emotional factors impact distributed neural systems to successfully encode dynamic, personally-relevant event sequences.

Modeling economy-wide vs sectoral climate policies using combined aggregate-sectoral models

Economic analyses of climate change policies frequently focus on reductions of energy-related carbon dioxide emissions via market-based, economy-wide policies. The current course of environment and energy policy debate in the United States, however, suggests an alternative outcome: sector-based and/or inefficiently designed policies. This paper uses a collection of specialized, sector-based models in conjunction with a computable general equilibrium model of the economy to examine and compare these policies at an aggregate level. We examine the relative cost of different policies designed to achieve the same quantity of emission reductions. We find that excluding a limited number of sectors from an economy-wide policy does not significantly raise costs. Focusing policy solely on the electricity and transportation sectors doubles costs, however, and using non-market policies can raise cost by a factor of ten. These results are driven in part by, and are sensitive to, our modeling of pre-existing tax distortions. Copyright © 2006 by the IAEE. All rights reserved.

New Advancements of Scalable Statistical Methods for Learning Latent Structures in Big Data

Constant technology advances have caused data explosion in recent years. Accord- ingly modern statistical and machine learning methods must be adapted to deal with complex and heterogeneous data types. This phenomenon is particularly true for an- alyzing biological data. For example DNA sequence data can be viewed as categorical variables with each nucleotide taking four different categories. The gene expression data, depending on the quantitative technology, could be continuous numbers or counts. With the advancement of high-throughput technology, the abundance of such data becomes unprecedentedly rich. Therefore efficient statistical approaches are crucial in this big data era.

Previous statistical methods for big data often aim to find low dimensional struc- tures in the observed data. For example in a factor analysis model a latent Gaussian distributed multivariate vector is assumed. With this assumption a factor model produces a low rank estimation of the covariance of the observed variables. Another example is the latent Dirichlet allocation model for documents. The mixture pro- portions of topics, represented by a Dirichlet distributed variable, is assumed. This dissertation proposes several novel extensions to the previous statistical methods that are developed to address challenges in big data. Those novel methods are applied in multiple real world applications including construction of condition specific gene co-expression networks, estimating shared topics among newsgroups, analysis of pro- moter sequences, analysis of political-economics risk data and estimating population structure from genotype data.