89 resultados para multivariate stochastic volatility
Stochastic Analysis of Seepage under Hydraulic Structures Resting on Anisotropic Heterogeneous Soils
Resumo:
OBJECTIVES: The aim of this study was to examine the co-occurrence of obesity and sleep problems among employees and workplaces. METHODS: We obtained data from 39 873 men and women working in 3040 workplaces in 2000-2002 (the Finnish Public Sector Study). Individual- and workplace-level characteristics were considered as correlates of obesity and sleep problems, which were modelled simultaneously using a multivariate, multilevel approach. RESULTS: Of the participants, 11% were obese and 23% reported sleep problems. We found a correlation between obesity and sleep problems at both the individual [correlation coefficient 0.048, covariance 0.047, standard error (SE) 0.005) and workplace (correlation coefficient 0.619, covariance 0.068, SE 0.011) level. The latter, but not the former, correlation remained after adjustment for individual- and workplace-level confounders, such as age, sex, socioeconomic status, shift work, alcohol consumption, job strain, and proportion of temporary employees and manual workers at the workplace. CONCLUSIONS: Obese employees and those with sleep problems tend to cluster in the same workplaces, suggesting that, in addition to targeting individuals at risk, interventions to reduce obesity and sleep problems might benefit from identifying "risky" workplaces.
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Extreme arid regions in the worlds' major deserts are typified by quartz pavement terrain. Cryptic hypolithic communities colonize the ventral surface of quartz rocks and this habitat is characterized by a relative lack of environmental and trophic complexity. Combined with readily identifiable major environmental stressors this provides a tractable model system for determining the relative role of stochastic and deterministic drivers in community assembly. Through analyzing an original, worldwide data set of 16S rRNA-gene defined bacterial communities from the most extreme deserts on the Earth, we show that functional assemblages within the communities were subject to different assembly influences. Null models applied to the photosynthetic assemblage revealed that stochastic processes exerted most effect on the assemblage, although the level of community dissimilarity varied between continents in a manner not always consistent with neutral models. The heterotrophic assemblages displayed signatures of niche processes across four continents, whereas in other cases they conformed to neutral predictions. Importantly, for continents where neutrality was either rejected or accepted, assembly drivers differed between the two functional groups. This study demonstrates that multi-trophic microbial systems may not be fully described by a single set of niche or neutral assembly rules and that stochasticity is likely a major determinant of such systems, with significant variation in the influence of these determinants on a global scale.
The size and shape of shells used by hermit crabs: A multivariate analysis of Clibanarius erythropus
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Shell attributes Such as weight and shape affect the reproduction, growth, predator avoidance and behaviour of several hermit crab species. Although the importance of these attributes has been extensively investigated, it is still difficult to assess the relative role of size and shape. Multivariate techniques allow concise and efficient quantitative analysis of these multidimensional properties, and this paper aims to understand their role in determining patterns of hermit crab shell use. To this end, a multivariate approach based on a combination of size-unconstrained (shape) PCA and RDA ordination was used to model the biometrics of southern Mediterranean Clibanarius erythropus Populations and their shells. Patterns of shell utilization and morphological gradients demonstrate that size is more important than shape, probably due to the limited availability of empty shells in the environment. The shape (e.g. the degree of shell elongation) and weight of inhabited shells vary considerably in both female and male crabs. However, these variations are clearly accounted for by crab biometrics in males only. Oil the basis of statistical evidence and findings from past studies. it is hypothesized that larger males of adequate size and strength have access to the larger, heavier and relatively more available shells of the globose Osilinus turbinatus, which cannot be used by average-sized males or by females investing energy in egg production. This greater availability allows larger males to select more Suitable Shapes. (C) 2009 Elsevier Masson SAS. All rights reserved.
Resumo:
Animal communities are sensitive to environmental disturbance, and several multivariate methods have recently been developed to detect changes in community structure. The complex taxonomy of soil invertebrates constrains the use of the community level in monitoring environmental changes, since species identification requires expertise and time. However, recent literature data on marine communities indicate that little multivariate information is lost in the taxonomic aggregation of species data to high rank taxa. In the present paper, this hypothesis was tested on two oribatid mite (oribatida, Acari) assemblages under two different kinds of disturbance: metal pollution and fires. Results indicate that data sets built at the genus and family systematic rank can detect the effects of disturbance with little loss of information. This is an encouraging result in view of the use of the community level as a preliminary tool for describing patterns of human-disturbed soil ecosystems. (c) 2006 Elsevier SAS. All rights reserved.
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This research aims to use the multivariate geochemical dataset, generated by the Tellus project, to investigate the appropriate use of transformation methods to maintain the integrity of geochemical data and inherent constrained behaviour in multivariate relationships. The widely used normal score transform is compared with the use of a stepwise conditional transform technique. The Tellus Project, managed by GSNI and funded by the Department of Enterprise Trade and Development and the EU’s Building Sustainable Prosperity Fund, involves the most comprehensive geological mapping project ever undertaken in Northern Ireland. Previous study has demonstrated spatial variability in the Tellus data but geostatistical analysis and interpretation of the datasets requires use of an appropriate methodology that reproduces the inherently complex multivariate relations. Previous investigation of the Tellus geochemical data has included use of Gaussian-based techniques. However, earth science variables are rarely Gaussian, hence transformation of data is integral to the approach. The multivariate geochemical dataset generated by the Tellus project provides an opportunity to investigate the appropriate use of transformation methods, as required for Gaussian-based geostatistical analysis. In particular, the stepwise conditional transform is investigated and developed for the geochemical datasets obtained as part of the Tellus project. The transform is applied to four variables in a bivariate nested fashion due to the limited availability of data. Simulation of these transformed variables is then carried out, along with a corresponding back transformation to original units. Results show that the stepwise transform is successful in reproducing both univariate statistics and the complex bivariate relations exhibited by the data. Greater fidelity to multivariate relationships will improve uncertainty models, which are required for consequent geological, environmental and economic inferences.
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We investigate the acceleration of particles by Alfven waves via the second-order Fermi process in the lobes of giant radio galaxies. Such sites are candidates for the accelerators of ultra-high-energy cosmic rays (UHECR). We focus on the nearby Fanaroff-Riley type I radio galaxy Centaurus A. This is motivated by the coincidence of its position with the arrival direction of several of the highest energy Auger events. The conditions necessary for consistency with the acceleration time-scales predicted by quasi-linear theory are reviewed. Test particle calculations are performed in fields which guarantee electric fields with no component parallel to the local magnetic field. The results of quasi-linear theory are, to an order of magnitude, found to be accurate at low turbulence levels for non-relativistic Alfven waves and at both low and high turbulence levels in the mildly relativistic case. We conclude that for pure stochastic acceleration via Alfven waves to be plausible as the generator of UHECR in Cen A, the baryon number density would need to be several orders of magnitude below currently held upper limits.
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Blind steganalysis of JPEG images is addressed by modeling the correlations among the DCT coefficients using K -variate (K = 2) p.d.f. estimates (p.d.f.s) constructed by means of Markov random field (MRF) cliques. The reasoning of using high variate p.d.f.s together with MRF cliques for image steganalysis is explained via a classical detection problem. Although our approach has many improvements over the current state-of-the-art, it suffers from the high dimensionality and the sparseness of the high variate p.d.f.s. The dimensionality problem as well as the sparseness problem are solved heuristically by means of dimensionality reduction and feature selection algorithms. The detection accuracy of the proposed method(s) is evaluated over Memon's (30.000 images) and Goljan's (1912 images) image sets. It is shown that practically applicable steganalysis systems are possible with a suitable dimensionality reduction technique and these systems can provide, in general, improved detection accuracy over the current state-of-the-art. Experimental results also justify this assertion.
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The techniques of principal component analysis (PCA) and partial least squares (PLS) are introduced from the point of view of providing a multivariate statistical method for modelling process plants. The advantages and limitations of PCA and PLS are discussed from the perspective of the type of data and problems that might be encountered in this application area. These concepts are exemplified by two case studies dealing first with data from a continuous stirred tank reactor (CSTR) simulation and second a literature source describing a low-density polyethylene (LDPE) reactor simulation.
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Motivation: To date, Gene Set Analysis (GSA) approaches primarily focus on identifying differentially expressed gene sets (pathways). Methods for identifying differentially coexpressed pathways also exist but are mostly based on aggregated pairwise correlations, or other pairwise measures of coexpression. Instead, we propose Gene Sets Net Correlations Analysis (GSNCA), a multivariate differential coexpression test that accounts for the complete correlation structure between genes.
Results: In GSNCA, weight factors are assigned to genes in proportion to the genes' cross-correlations (intergene correlations). The problem of finding the weight vectors is formulated as an eigenvector problem with a unique solution. GSNCA tests the null hypothesis that for a gene set there is no difference in the weight vectors of the genes between two conditions. In simulation studies and the analyses of experimental data, we demonstrate that GSNCA, indeed, captures changes in the structure of genes' cross-correlations rather than differences in the averaged pairwise correlations. Thus, GSNCA infers differences in coexpression networks, however, bypassing method-dependent steps of network inference. As an additional result from GSNCA, we define hub genes as genes with the largest weights and show that these genes correspond frequently to major and specific pathway regulators, as well as to genes that are most affected by the biological difference between two conditions. In summary, GSNCA is a new approach for the analysis of differentially coexpressed pathways that also evaluates the importance of the genes in the pathways, thus providing unique information that may result in the generation of novel biological hypotheses.
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We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.
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In recent years, the issue of life expectancy has become of utmost importance to pension providers, insurance companies, and government bodies in the developed world. Significant and consistent improvements in mortality rates and hence life expectancy have led to unprecedented increases in the cost of providing for older ages. This has resulted in an explosion of stochastic mortality models forecasting trends in mortality data to anticipate future life expectancy and hence quantify the costs of providing for future aging populations. Many stochastic models of mortality rates identify linear trends in mortality rates by time, age, and cohort and forecast these trends into the future by using standard statistical methods. These approaches rely on the assumption that structural breaks in the trend do not exist or do not have a significant impact on the mortality forecasts. Recent literature has started to question this assumption. In this paper, we carry out a comprehensive investigation of the presence or of structural breaks in a selection of leading mortality models. We find that structural breaks are present in the majority of cases. In particular, we find that allowing for structural break, where present, improves the forecast result significantly.