Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

On the Assumption of Bivariate Normality in Selection Models: A Copula Approach Applied to Estimating HIV Prevalence

Background: Heckman-type selection models have been used to control HIV prevalence estimates for selection bias when participation in HIV testing and HIV status are associated after controlling for observed variables. These models typically rely on the strong assumption that the error terms in the participation and the outcome equations that comprise the model are distributed as bivariate normal.
Methods: We introduce a novel approach for relaxing the bivariate normality assumption in selection models using copula functions. We apply this method to estimating HIV prevalence and new confidence intervals (CI) in the 2007 Zambia Demographic and Health Survey (DHS) by using interviewer identity as the selection variable that predicts participation (consent to test) but not the outcome (HIV status).
Results: We show in a simulation study that selection models can generate biased results when the bivariate normality assumption is violated. In the 2007 Zambia DHS, HIV prevalence estimates are similar irrespective of the structure of the association assumed between participation and outcome. For men, we estimate a population HIV prevalence of 21% (95% CI = 16%–25%) compared with 12% (11%–13%) among those who consented to be tested; for women, the corresponding figures are 19% (13%–24%) and 16% (15%–17%).
Conclusions: Copula approaches to Heckman-type selection models are a useful addition to the methodological toolkit of HIV epidemiology and of epidemiology in general. We develop the use of this approach to systematically evaluate the robustness of HIV prevalence estimates based on selection models, both empirically and in a simulation study.

Testing the possible negative association of type 1 diabetes and atopic disease by analysis of the interleukin 4 receptor gene

Variations in the interleukin 4 receptor A (IL4RA) gene have been reported to be associated with atopy, asthma, and allergy, which may occur less frequently in subjects with type 1 diabetes (T1D). Since atopy shows a humoral immune reactivity pattern, and T1D results from a cellular (T lymphocyte) response, we hypothesised that alleles predisposing to atopy could be protective for T1D and transmitted less often than the expected 50% from heterozygous parents to offspring with T1D. We genotyped seven exonic single nucleotide polymorphisms (SNPs) and the -3223 C>T SNP in the putative promoter region of IL4RA in up to 3475 T1D families, including 1244 Finnish T1D families. Only the -3223 C>T SNP showed evidence of negative association (P=0.014). There was some evidence for an interaction between -3233 C>T and the T1D locus IDDM2 in the insulin gene region (P=0.001 in the combined and P=0.02 in the Finnish data set). We, therefore, cannot rule out a genetic effect of IL4RA in T1D, but it is not a major one.

Microscopical evaluation of neural connectivity between paired stages of Eudiplozoon nipponicum (Monogenea : Diplozoidae)

Diplozoidae monogeneans are fish-gill ectoparasites comprising 2 individuals fused in so-called permanent copula. This unique situation occurs when 2 larvae (diporpae) make contact on the host gill, such that their union triggers maturation into an individual adult worm. The present study examined paired stages of Eudiplozoon nipponicum microscopically to ascertain whether somatic fusion involves neural connectivity between these 2 heterogenic larvae. Neuronal pathways were demonstrated in whole-mount preparations of the worm, using indirect immunocytochemical techniques interfaced with confocal scanning laser microscopy for peptidergic and serotoninergic innervations and enzyme cytochemical methodology and light microscopy for cholinergic components. Elements of the central nervous systems of paired worms are connected by commissures the region of fusion so that the 2 systems are in structural continuity. Interindividual connections were most apparent between corresponding ventral nerve cords. All 3 classes of neuronal mediators were identified throughout both central and peripheral connections of the 2 nervous systems. The anatomical complexity and apparent plasticity of the diplozoon nervous system suggest that it has a pivotal role not only in motility, feeding, and reproductive behaviors but also in the events of larval pairing and somatic fusion.

The MATISSE study: a randomised trial of group art therapy for people with schizophrenia

Background: Art Therapy has been promoted as a means of helping people who may find it difficult to express themselves verbally engage in psychological treatment. Group Art Therapy has been widely used as an adjunctive treatment for people with schizophrenia but there have been few attempts to examine its effects and cost effectiveness has not been examined. The MATISSE study aims to evaluate the clinical and cost effectiveness of group Art Therapy for people with schizophrenia.

Group art therapy as an adjunctive treatment for people with schizophrenia: multicentre pragmatic randomised trial

Objectives To evaluate the clinical effectiveness of group art therapy for people with schizophrenia and to test whether any benefits exceed those of an active control treatment.

Seven new loci associated with age-related macular degeneration

Age-related macular degeneration (AMD) is a common cause of blindness in older individuals. To accelerate the understanding of AMD biology and help design new therapies, we executed a collaborative genome-wide association study, including >17,100 advanced AMD cases and >60,000 controls of European and Asian ancestry. We identified 19 loci associated at P <5 × 10(-8). These loci show enrichment for genes involved in the regulation of complement activity, lipid metabolism, extracellular matrix remodeling and angiogenesis. Our results include seven loci with associations reaching P <5 × 10(-8) for the first time, near the genes COL8A1-FILIP1L, IER3-DDR1, SLC16A8, TGFBR1, RAD51B, ADAMTS9 and B3GALTL. A genetic risk score combining SNP genotypes from all loci showed similar ability to distinguish cases and controls in all samples examined. Our findings provide new directions for biological, genetic and therapeutic studies of AMD.

Using geostatistical Bayesian Updating to integrate airborne radiometrics and soil geochemistry to improve mapping for mineral exploration

Mineral exploration programmes around the world use data from remote sensing, geophysics and direct sampling. On a regional scale, the combination of airborne geophysics and ground-based geochemical sampling can aid geological mapping and economic minerals exploration. The fact that airborne geophysical and traditional soil-sampling data are generated at different spatial resolutions means that they are not immediately comparable due to their different sampling density. Several geostatistical techniques, including indicator cokriging and collocated cokriging, can be used to integrate different types of data into a geostatistical model. With increasing numbers of variables the inference of the cross-covariance model required for cokriging can be demanding in terms of effort and computational time. In this paper a Gaussian-based Bayesian updating approach is applied to integrate airborne radiometric data and ground-sampled geochemical soil data to maximise information generated from the soil survey, to enable more accurate geological interpretation for the exploration and development of natural resources. The Bayesian updating technique decomposes the collocated estimate into a production of two models: prior and likelihood models. The prior model is built from primary information and the likelihood model is built from secondary information. The prior model is then updated with the likelihood model to build the final model. The approach allows multiple secondary variables to be simultaneously integrated into the mapping of the primary variable. The Bayesian updating approach is demonstrated using a case study from Northern Ireland where the history of mineral prospecting for precious and base metals dates from the 18th century. Vein-hosted, strata-bound and volcanogenic occurrences of mineralisation are found. The geostatistical technique was used to improve the resolution of soil geochemistry, collected one sample per 2 km2, by integrating more closely measured airborne geophysical data from the GSNI Tellus Survey, measured over a footprint of 65 x 200 m. The directly measured geochemistry data were considered as primary data in the Bayesian approach and the airborne radiometric data were used as secondary data. The approach produced more detailed updated maps and in particular maximized information on mapped estimates of zinc, copper and lead. Greater delineation of an elongated northwest/southeast trending zone in the updated maps strengthened the potential to investigate stratabound base metal deposits.

The Enemy of My Enemy is My Friend... The Dynamics of Self-Defense Forces in Irregular War: The Case of the Sons of Iraq

This article assesses the effect that leveraging civilian defense force militias has on the dynamics of violence in civil war. We argue that the delegation of security and combat roles to local civilians shifts the primary targets of insurgent violence toward civilians, in an attempt to deter future defections, and re-establish control over the local population. This argument is assessed through an analysis of the Sunni Awakening and ancillary Sons of Iraq paramilitary program. The results suggest that at least in the Al-Anbar province of Iraq, the utilization of the civilian population in counterinsurgent roles had significant implications for the targets of insurgent violence.

A Stubbornly Large Mass of Cold Dust in the Ejecta of Supernova 1987A

We present new Herschel photometric and spectroscopic observations of Supernova 1987A, carried out in 2012. Our dedicated photometric measurements provide new 70 mu m data and improved imaging quality at 100 and 160 mu m compared to previous observations in 2010. Our Herschel spectra show only weak CO line emission, and provide an upper limit for the 63 mu m [O-I] line flux, eliminating the possibility that line contaminations distort the previously estimated dustmass. The far-infrared spectral energy distribution (SED) is well fitted by thermal emission from cold dust. The newly measured 70 mu m flux constrains the dust temperature, limiting it to nearly a single temperature. The far-infrared emission can be fitted by 0.5 +/- 0.1M(circle dot) of amorphous carbon, about a factor of two larger than the current nucleosynthetic mass prediction for carbon. The observation of SiO molecules at early and late phases suggests that silicates may also have formed and we could fit the SED with a combination of 0.3M(circle dot) of amorphous carbon and 0.5M(circle dot) of silicates, totalling 0.8M(circle dot) of dust. Our analysis thus supports the presence of a large dust reservoir in the ejecta of SN 1987A. The inferred dust mass suggests that supernovae can be an important source of dust in the interstellar medium, from local to high-redshift galaxies.

Civilianizing Civil Conflict: Civilian Defense Militias and the Logic of Violence in Intra-State Conflict

This article examines how civilian defense militias shape violence during civil war. We define civilian defense forces as a sedentary and defensive form of pro-government militia that incumbents often use to harness the participation of civilians during a counterinsurgency campaign. We argue that civilian defense forces reduce the problem of insurgent identification. This leads to a reduction in state violence against civilians. However, we also claim that these actors undermine civilian support for insurgents, which leads to an increase in rebel violence against civilians and overall intensification of conflict. A statistical analysis of government and rebel violence against civilians from 1981 to 2005, and a qualitative assessment of a civilian defense force operating in Iraq from 2005 to 2009, offer strong support for our theoretical claims. These findings provide further insight into pro-government militias and their effects on violence. They also have wider ethical implications for the use of civilian collaborators during civil war.

Adjusting HIV Prevalence Estimates for Non-participation: an Application to Demographic Surveillance

Introduction: HIV testing is a cornerstone of efforts to combat the HIV epidemic, and testing conducted as part of surveillance provides invaluable data on the spread of infection and the effectiveness of campaigns to reduce the transmission of HIV. However, participation in HIV testing can be low, and if respondents systematically select not to be tested because they know or suspect they are HIV positive (and fear disclosure), standard approaches to deal with missing data will fail to remove selection bias. We implemented Heckman-type selection models, which can be used to adjust for missing data that are not missing at random, and established the extent of selection bias in a population-based HIV survey in an HIV hyperendemic community in rural South Africa.

Methods: We used data from a population-based HIV survey carried out in 2009 in rural KwaZulu-Natal, South Africa. In this survey, 5565 women (35%) and 2567 men (27%) provided blood for an HIV test. We accounted for missing data using interviewer identity as a selection variable which predicted consent to HIV testing but was unlikely to be independently associated with HIV status. Our approach involved using this selection variable to examine the HIV status of residents who would ordinarily refuse to test, except that they were allocated a persuasive interviewer. Our copula model allows for flexibility when modelling the dependence structure between HIV survey participation and HIV status.

Results: For women, our selection model generated an HIV prevalence estimate of 33% (95% CI 27–40) for all people eligible to consent to HIV testing in the survey. This estimate is higher than the estimate of 24% generated when only information from respondents who participated in testing is used in the analysis, and the estimate of 27% when imputation analysis is used to predict missing data on HIV status. For men, we found an HIV prevalence of 25% (95% CI 15–35) using the selection model, compared to 16% among those who participated in testing, and 18% estimated with imputation. We provide new confidence intervals that correct for the fact that the relationship between testing and HIV status is unknown and requires estimation.

Conclusions: We confirm the feasibility and value of adopting selection models to account for missing data in population-based HIV surveys and surveillance systems. Elements of survey design, such as interviewer identity, present the opportunity to adopt this approach in routine applications. Where non-participation is high, true confidence intervals are much wider than those generated by standard approaches to dealing with missing data suggest.

Episodic Future Thinking in 4-Year-Olds, Poster Symposium: The who, what, where and when of episodic foresight development

The ability to project oneself into the future to pre-experience an event is referred to as episodic future thinking (Atance & O’Neill, 2001). Only a relatively small number of studies have attempted to measure this ability in pre-school aged children (Atance & Meltzoff, 2005; Busby & Suddendorf, 2005ab, 2010; Russell, Alexis, & Clayton, 2010).Perhaps the most successful method is that used by Russell et al (2010). In this task, 3- to 5-year-olds played a game of blow football on one end of a table. After this children were asked to select tools that would enable them to play the same game tomorrow from the opposite, unreachable, side of the table. Results indicated that only 5-year-olds were capable of selecting the right objects for future use more often than would be expected by chance. Above-chance performance was observed in this older group even though most children failed the task because there was a low probability of selecting the correct 2 objects from a choice of 6 by chance.This study aimed to identify the age at which children begin to consistently pass this type of task. Three different tasks were designed in which children played a game on one side of a table, and then were asked to choose a tool to play a similar game on the other side of the table the next day. For example, children used a toy fishing rod to catch magnetic fish on one side of the table; playing the same game from the other side of the table required a different type of fishing rod. At test, children chose between just 2 objects: the tool they had already used, which would not work on the other side, and a different tool that they had not used before but which was suitable for the other side of the table. Experiment 1: Forty-eight 4-year-olds (M = 53.6 months, SD = 2.9) took part. These children were assigned to one of two conditions: a control condition (present-self) where the key test questions were asked in the present tense and an experimental condition (future-self) where the questions were in the future tense. Surprisingly, the results showed that both groups of 4-year-olds selected the correct tool at above chance levels (Table 1 shows the mean number of correct answers out of three). However, the children could see the apparatus when they answered the test questions and so perhaps answered them correctly without imagining the future. Experiment 2: Twenty-four 4-year-olds (M = 53.7, SD = 3.1) participated. Pre-schoolers in this study experienced one condition: future-self looking-away. In this condition children were asked to turn their backs to the games when answering the test questions, which were in the future tense. Children again performed above chance levels on all three games.Contrary to the findings of Russell et al. (2010), our results suggest that episodic future thinking skills could be present in 4-year-olds, assuming that this is what is measured by the tasks. Table 1. Mean number of correct answers across the three games in Experiments 1 and 2Experimental Conditions (N=24 in each condition)Mean CorrectStandardDeviationStatistical SignificanceExp. 1 (present-self, look) – 2 items2.750.68p < 0.001Exp. 1 (future-self, look) – 2 items 2.790.42p < 0.001Exp. 2 (future-self, away) – 2 items 2.330.64p < 0.001Exp. 3 (future-self away) – 3 items1.210.98p = 0.157