A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Mixtures of g-priors in Generalized Linear Models

Mixtures of Zellner's g-priors have been studied extensively in linear models and have been shown to have numerous desirable properties for Bayesian variable selection and model averaging. Several extensions of g-priors to Generalized Linear Models (GLMs) have been proposed in the literature; however, the choice of prior distribution of g and resulting properties for inference have received considerably less attention. In this paper, we extend mixtures of g-priors to GLMs by assigning the truncated Compound Confluent Hypergeometric (tCCH) distribution to 1/(1+g) and illustrate how this prior distribution encompasses several special cases of mixtures of g-priors in the literature, such as the Hyper-g, truncated Gamma, Beta-prime, and the Robust prior. Under an integrated Laplace approximation to the likelihood, the posterior distribution of 1/(1+g) is in turn a tCCH distribution, and approximate marginal likelihoods are thus available analytically. We discuss the local geometric properties of the g-prior in GLMs and show that specific choices of the hyper-parameters satisfy the various desiderata for model selection proposed by Bayarri et al, such as asymptotic model selection consistency, information consistency, intrinsic consistency, and measurement invariance. We also illustrate inference using these priors and contrast them to others in the literature via simulation and real examples.

Generalized sampling using a compound-eye imaging system for multi-dimensional object acquisition.

In this paper, we propose generalized sampling approaches for measuring a multi-dimensional object using a compact compound-eye imaging system called thin observation module by bound optics (TOMBO). This paper shows the proposed system model, physical examples, and simulations to verify TOMBO imaging using generalized sampling. In the system, an object is modulated and multiplied by a weight distribution with physical coding, and the coded optical signal is integrated on to a detector array. A numerical estimation algorithm employing a sparsity constraint is used for object reconstruction.

Comparison of pattern detection methods in microarray time series of the segmentation clock.

While genome-wide gene expression data are generated at an increasing rate, the repertoire of approaches for pattern discovery in these data is still limited. Identifying subtle patterns of interest in large amounts of data (tens of thousands of profiles) associated with a certain level of noise remains a challenge. A microarray time series was recently generated to study the transcriptional program of the mouse segmentation clock, a biological oscillator associated with the periodic formation of the segments of the body axis. A method related to Fourier analysis, the Lomb-Scargle periodogram, was used to detect periodic profiles in the dataset, leading to the identification of a novel set of cyclic genes associated with the segmentation clock. Here, we applied to the same microarray time series dataset four distinct mathematical methods to identify significant patterns in gene expression profiles. These methods are called: Phase consistency, Address reduction, Cyclohedron test and Stable persistence, and are based on different conceptual frameworks that are either hypothesis- or data-driven. Some of the methods, unlike Fourier transforms, are not dependent on the assumption of periodicity of the pattern of interest. Remarkably, these methods identified blindly the expression profiles of known cyclic genes as the most significant patterns in the dataset. Many candidate genes predicted by more than one approach appeared to be true positive cyclic genes and will be of particular interest for future research. In addition, these methods predicted novel candidate cyclic genes that were consistent with previous biological knowledge and experimental validation in mouse embryos. Our results demonstrate the utility of these novel pattern detection strategies, notably for detection of periodic profiles, and suggest that combining several distinct mathematical approaches to analyze microarray datasets is a valuable strategy for identifying genes that exhibit novel, interesting transcriptional patterns.

BioHackathon series in 2011 and 2012: penetration of ontology and linked data in life science domains.

The application of semantic technologies to the integration of biological data and the interoperability of bioinformatics analysis and visualization tools has been the common theme of a series of annual BioHackathons hosted in Japan for the past five years. Here we provide a review of the activities and outcomes from the BioHackathons held in 2011 in Kyoto and 2012 in Toyama. In order to efficiently implement semantic technologies in the life sciences, participants formed various sub-groups and worked on the following topics: Resource Description Framework (RDF) models for specific domains, text mining of the literature, ontology development, essential metadata for biological databases, platforms to enable efficient Semantic Web technology development and interoperability, and the development of applications for Semantic Web data. In this review, we briefly introduce the themes covered by these sub-groups. The observations made, conclusions drawn, and software development projects that emerged from these activities are discussed.

A Dynamic Directional Model for Effective Brain Connectivity using Electrocorticographic (ECoG) Time Series.

We introduce a dynamic directional model (DDM) for studying brain effective connectivity based on intracranial electrocorticographic (ECoG) time series. The DDM consists of two parts: a set of differential equations describing neuronal activity of brain components (state equations), and observation equations linking the underlying neuronal states to observed data. When applied to functional MRI or EEG data, DDMs usually have complex formulations and thus can accommodate only a few regions, due to limitations in spatial resolution and/or temporal resolution of these imaging modalities. In contrast, we formulate our model in the context of ECoG data. The combined high temporal and spatial resolution of ECoG data result in a much simpler DDM, allowing investigation of complex connections between many regions. To identify functionally segregated sub-networks, a form of biologically economical brain networks, we propose the Potts model for the DDM parameters. The neuronal states of brain components are represented by cubic spline bases and the parameters are estimated by minimizing a log-likelihood criterion that combines the state and observation equations. The Potts model is converted to the Potts penalty in the penalized regression approach to achieve sparsity in parameter estimation, for which a fast iterative algorithm is developed. The methods are applied to an auditory ECoG dataset.

Mid-term results and factors affecting outcome of a metal-backed unicompartmental knee design: a case series.

BACKGROUND: Controversies exist regarding the indications for unicompartmental knee arthroplasty. The objective of this study is to report the mid-term results and examine predictors of failure in a metal-backed unicompartmental knee arthroplasty design. METHODS: At a mean follow-up of 60 months, 80 medial unicompartmental knee arthroplasties (68 patients) were evaluated. Implant survivorship was analyzed using Kaplan-Meier method. The Knee Society objective and functional scores and radiographic characteristics were compared before surgery and at final follow-up. A Cox proportional hazard model was used to examine the association of patient's age, gender, obesity (body mass index > 30 kg/m2), diagnosis, Knee Society scores and patella arthrosis with failure. RESULTS: There were 9 failures during the follow up. The mean Knee Society objective and functional scores were respectively 49 and 48 points preoperatively and 95 and 92 points postoperatively. The survival rate was 92% at 5 years and 84% at 10 years. The mean age was younger in the failure group than the non-failure group (p < 0.01). However, none of the factors assessed was independently associated with failure based on the results from the Cox proportional hazard model. CONCLUSION: Gender, pre-operative diagnosis, preoperative objective and functional scores and patellar osteophytes were not independent predictors of failure of unicompartmental knee implants, although high body mass index trended toward significance. The findings suggest that the standard criteria for UKA may be expanded without compromising the outcomes, although caution may be warranted in patients with very high body mass index pending additional data to confirm our results. LEVEL OF EVIDENCE: IV.

Botulinum toxin type A injections for the management of muscle tightness following total hip arthroplasty: a case series.

BACKGROUND: Development of hip adductor, tensor fascia lata, and rectus femoris muscle contractures following total hip arthroplasties are quite common, with some patients failing to improve despite treatment with a variety of non-operative modalities. The purpose of the present study was to describe the use of and patient outcomes of botulinum toxin injections as an adjunctive treatment for muscle tightness following total hip arthroplasty. METHODS: Ten patients (14 hips) who had hip adductor, abductor, and/or flexor muscle contractures following total arthroplasty and had been refractory to physical therapeutic efforts were treated with injection of botulinum toxin A. Eight limbs received injections into the adductor muscle, 8 limbs received injections into the tensor fascia lata muscle, and 2 limbs received injection into the rectus femoris muscle, followed by intensive physical therapy for 6 weeks. RESULTS: At a mean final follow-up of 20 months, all 14 hips had increased range in the affected arc of motion, with a mean improvement of 23 degrees (range, 10 to 45 degrees). Additionally all hips had an improvement in hip scores, with a significant increase in mean score from 74 points (range, 57 to 91 points) prior to injection to a mean of 96 points (range, 93 to 98) at final follow-up. There were no serious treatment-related adverse events. CONCLUSION: Botulinum toxin A injections combined with intensive physical therapy may be considered as a potential treatment modality, especially in difficult cases of muscle tightness that are refractory to standard therapy.

Nasopharyngeal Masses Arising from Embryologic Remnants of the Clivus: A Case Series.

Objectives This study aims to (1) discuss rare nasopharyngeal masses originating from embryologic remnants of the clivus, and (2) discuss the embryology of the clivus and understand its importance in the diagnosis and treatment of these masses. Design and Participants This is a case series of three patients. We discuss the clinical and imaging characteristics of infrasellar craniopharyngioma, intranasal extraosseous chordoma, and canalis basilaris medianus. Results Case 1: A 16-year-old male patient with a history of craniopharyngioma resection, who presented with nasal obstruction. A nasopharyngeal cystic mass was noted to be communicating with a patent craniopharyngeal canal. Histology revealed adamantinomatous craniopharyngioma. Case 2: A 43-year-old male patient who presented with nasal obstruction and headache. Computed tomography (CT) and magnetic resonance imaging revealed an enhancing polypoid mass in the posterior nasal cavity abutting the clivus. Histopathology revealed chondroid chordoma. Case 3: A 4-year-old female patient with a recurrent nasopharyngeal polyp. CT cisternogram showed that this mass may have risen from a bony defect of the middle clivus suggestive of canalis basilaris medianus. Conclusions Understanding the embryology of the clivus is crucial when considering the differential diagnosis of a nasopharyngeal mass. Identification of characteristic findings on imaging is critical in the diagnosis and treatment of these lesions.