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.

The long-term impacts of fisheries on epifaunal assemblage function and structure, in a special area of conservation

Fisheries can have profound effects on epifaunal community function and structure. We analysed the results from five dive surveys (1975–1976, 1980, 1983, 2003 and 2007), taken in a Special Area of Conservation, Strangford Lough, Northern Ireland before and after a ten year period of increased trawling activity between 1985 and 1995. There were no detectable differences in the species richness or taxonomic distinctiveness before (1975–1983) and after (2003–2007) this period. However, there was a shift in the epifaunal assemblage between the surveys in 1975–1983 and 2003–2007. In general, the slow-moving, or sessile, erect, filterfeeders were replaced by highly mobile, swimming, scavengers and predators. There were declines in the frequency of the fished bivalve Aequipecten opercularis and the non-fished bivalves Modiolus modiolus and Chlamys varia and some erect sessile invertebrates between the surveys in 1975–1983 and 2003–2007. In contrast, there were increases in the frequency of the fished and reseeded bivalves Pecten maximus and Ostrea edulis, the fished crabs Cancer pagurus and Necora puber and the non-fished sea stars Asterias rubens, Crossaster papposus and Henricia oculata between the surveys in 1975–1983 and 2003–2007. We suggest that these shifts could be directly and indirectly attributed to the long-termimpacts of trawl fishing gear, although increases in the supply of discarded bait and influxes of sediment may also have contributed to changes in the frequency of some taxa. These results suggest that despite their limitations, historical surveys and repeat sampling over long periods can help to elucidate the inferred patterns in the epifaunal community. The use of commercial fishing gear was banned from two areas in Strangford Lough in 2011, making it a model ecosystem for assessing the long-term recovery of the epifaunal community from the impacts of mobile and pot fishing gear.

The internal structure of asteroid (25143) Itokawa as revealed by detection of YORP spin-up *’**

Context. Near-Earth asteroid (25143) Itokawa was visited by the Hayabusa spacecraft in 2005, resulting in a highly detailed shape and surface topography model. This model has led to several predictions for the expected radiative torques on this asteroid, suggesting that its spin rate should be decelerating. Aims. To detect changes in rotation rate that may be due to YORP-induced radiative torques, which in turn may be used to investigate the interior structure of the asteroid. Methods. Through an observational survey spanning 2001 to 2013 we obtained rotational lightcurve data at various times over the last five close Earth-approaches of the asteroid. We applied a polyhedron-shape-modelling technique to assess the spin-state of the asteroid and its long term evolution. We also applied a detailed thermophysical analysis to the shape model determined from the Hayabusa spacecraft. Results. We have successfully measured an acceleration in Itokawa's spin rate of dω/dt = (3.54 ± 0.38) × 10 rad day, equivalent to a decrease of its rotation period of ~45 ms year. From the thermophysical analysis we find that the centre-of-mass for Itokawa must be shifted by ~21 m along the long-axis of the asteroid to reconcile the observed YORP strength with theory. Conclusions. This can be explained if Itokawa is composed of two separate bodies with very different bulk densities of 1750 ± 110 kg m and 2850 ± 500 kg m, and was formed from the merger of two separate bodies, either in the aftermath of a catastrophic disruption of a larger differentiated body, or from the collapse of a binary system. We therefore demonstrate that an observational measurement of radiative torques, when combined with a detailed shape model, can provide insight into the interior structure of an asteroid. Futhermore, this is the first measurement of density inhomogeneity within an asteroidal body, that reveals significant internal structure variation. A specialised spacecraft is normally required for this.

Modeled structure of the whole regulator G-protein signaling-2

There is an increasing interest towards the mechanism by which regulators of G-protein signaling regulate signals of G-protein-coupled receptors. RGS2 is a regulator of Gq protein signaling (RGS), the N-terminal region of which is known to contain determinants for G protein-coupled receptor recognition, but its structure is still unknown. To understand the molecular basis for this recognition, the three-dimensional model of RGS2, including N-terminal region and RGS box, was modeled. For this, RGS4 box structure and data from circular dichroism study of RGS2 N-terminal region were used. Then, membrane-targeting activity of the RGS2 amphipathic helix contained in the N-terminal region was investigated. Furthermore, in cellulo study provided first evidence that an internal sequence within the N-terminal region of RGS2 is involved in RGS2 regulation of cholecystokinin receptor-2 signal. RGS2 modeled structure can now serve to study molecular recognition of RGS2 by signaling molecules. © 2006 Elsevier Inc. All rights reserved.

Evidence That Interspecies Polymorphism in the Human and Rat Cholecystokinin Receptor-2 Affects Structure of the Binding Site for the Endogenous Agonist Cholecystokinin

The cholecystokinin (CCK) receptor-2 exerts very important central and peripheral functions by binding the neuropeptides cholecystokinin or gastrin. Because this receptor is a potential therapeutic target, great interest has been devoted to the identification of efficient antagonists. However, interspecies genetic polymorphism that does not alter cholecystokinin-induced signaling was shown to markedly affect activity of synthetic ligands. In this context, precise structural study of the agonist binding site on the human cholecystokinin receptor-2 is a prerequisite to elucidating the molecular basis for its activation and to optimizing properties of synthetic ligands. In this study, using site-directed mutagenesis and molecular modeling, we delineated the binding site for CCK on the human cholecystokinin receptor-2 by mutating amino acids corresponding to that of the rat homolog. By doing so, we demonstrated that, although resembling that of rat homolog, the human cholecystokinin receptor-2 binding site also displays important distinct structural features that were demonstrated by susceptibility to several point mutations (F120A, Y189A, H207A). Furthermore, docking of CCK in the human and rat cholecystokinin receptor-2, followed by dynamic simulations, allowed us to propose a plausible structural explanation of the experimentally observed difference between rat and human cholecystokinin-2 receptors.

Micro-environmental change as a trigger for granite decay in offshore Irish lighthouses: implications for the long-term preservation of operational historic buildings.

Following automation of lighthouses around the coastline of Ireland, reports of accelerated deterioration of interior granite stonework have increased significantly with an associated deterioration in the historic structure and rise in related maintenance costs. Decay of granite stone- work primarily occurs through granular disintegration with the effective grusification of granite surfaces. A decay gradient exists within the towers whereby the condition of granite in the lower levels is much worse than elsewhere. The lower tower levels are also regions with highest rela- tive humidity values and greatest salt concentrations. Data indicate that post-automation decay may have been trig- gered by a change in micro-environmental conditions within the towers associated with increased episodes of condensation on stone surfaces. This in turn appears to have facilitated deposition and accumulation of hygro- scopic salts (e.g. NaCl) giving rise to widespread evidence of deliquescence in the lower tower levels. Evidence indicates that the main factors contributing to accelerated deterioration of interior granite stonework are changes in micro-environmental conditions, salt weathering, chemical weathering through the corrosive effect of strongly alkaline conditions on alumino-silicate minerals within the granite and finally, the mica-rich characteristics of the granite itself which increases its structural and chemical susceptibility to subaerial weathering processes by creating points of weakness within the granite. This case study demonstrates how seemingly minor changes in micro-environmental conditions can unintentionally trigger the rapid and extensive deterioration of a previously stable rock type and threaten the long-term future of nationally iconic opera- tional historic structures.

The first structural characterization of a [2.2]PHANEPHOS - Transition-metal complex: Structure of rac-[Pd(4,12-bis(diphenylphosphino)[2.2]paracyclophane)Cl-2]

The solid-state structure of the [2.2]PHANEPHOS-transition-metal complex rac-[Pd(4,12-bis(diphenylphosphino)[2.2]paracyclophane)Cl-2] has been established by single-crystal X-ray diffraction. The P-Pd-P bite angle is ideally suited to catalytic processes such as carbon-carbon cross-coupling reactions, which involve reductive elimination as the rate-determining step.

Simultaneous, long-term monitoring of valve and cardiac activity in the blue mussel Mytilus edulis exposed to copper

Valve and cardiac activity were simultaneously measured in the blue mussel (Mytilus edulis) in response to 10 d copper exposure. Valve movements, heart rates and heart-rate variability were obtained non-invasively using a Musselmonitor(R) (valve activity) and a modified version of the Computer-Aided Physiological Monitoring system (CAPMON; cardiac activity). After 2 d exposure of mussels (4 individuals per treatment group) to a range of dissolved copper concentrations (0 to 12.5 mu M as CuCl2) median valve positions (% open) and median heart rates (beats per minute) declined as a function of copper concentration. Heart-rate variability (coefficient of variation for interpulse durations) rose in a concentration-dependent manner. The 48 h EC50 values (concentrations of copper causing 50% change) for valve positions, heart rates and heart-rate variability were 2.1, 0.8, and 0.06 mu M, respectively. Valve activity was weakly correlated with both heart rate (r = 0.48 +/- 0.02) and heart-rate variability (r = 0.32 +/- 0.06) for control individuals (0 mu M Cu2+). This resulted from a number of short enclosure events that did not coincide with a change in cardiac activity. Exposure of mussels to increasing copper concentrations (greater than or equal to 0.8 mu M) progressively reduced the correlation between valve activity and heart rates (r = 0 for individuals dosed with greater than or equal to 6.3 mu M Cu2+), while correlations between valve activity and heart-rate variability were unaffected. The poor correlations resulted from periods of valve flapping that were not mimicked by similar fluctuations in heart rate or heart-rate variability. The data suggest that the copper-induced bradycardia observed in mussels is not a consequence of prolonged valve closure.

ISOLATION AND PRIMARY STRUCTURE OF A NOVEL AVIAN PANCREATIC-POLYPEPTIDE FROM 5 SPECIES OF EURASIAN CROW

Chicken pancreatic polypeptide is the prototype of the neuropeptide Y (NPY)/PP superfamily of regulatory peptides. This polypeptide was appended the descriptive term avian, despite the presence of some 8600 extant species of bird. Additional primary structures from other avian species, including turkey, goose and ostrich, would suggest that the primary structure of this polypeptide has been highly-conserved during avian evolution. Avian pancreatic polypeptides structurally-characterised to date have distinctive primary structural features unique to this vertebrate group including an N-terminal glycyl residue and a histidyl residue at position 34. The crow family, Corvidae, is representative of the order Passeriformes, generally regarded as the most evolutionarily recent and diverse avian taxon. Pancreatic polypeptide has been isolated from pancreatic tissues from five representative Eurasian species (the magpie, Pica pica; the jay, Garrulus glandarius; the hooded crow, Corvus corone; the rook, Corvus frugilegus; the jackdaw, Corvus monedula) and subjected to structural analyses. Mass spectroscopy estimated the molecular mass of each peptide as 4166 +/- 2 Da. The entire primary structures of 36 amino acid residue peptides were established in single gas-phase sequencing runs. The primary structures of pancreatic polypeptides from all species investigated were identical: APAQPAYPGDDAPVEDLLR-FYNDLQQYLNVVTRPRY. The peptides were deemed to be amidated due to their full molar cross-reactivity with the amide-requiring PP antiserum employed. The molecular mass (4165.6 Da), calculated from the sequences, was in close agreement with mass spectroscopy estimates. The presence of an N-terminal alanyl residue and a prolyl residue at position 34 differentiates crow PP from counterparts in other avian species. These residues are analogous to those found in most mammalian analogues. These data suggest that the term avian, appended to the chicken peptide, is no longer tenable due to the presence of an Ala1, Pro34 peptide in five species from the largest avian order. These data might also suggest that, in keeping with the known structure/activity requirements of this peptide family, crow PP should interact identically to mammalian analogues on mammalian receptors.

Calculated and observed long term performance of Leneghans embankment

This paper presents the finite element (FE) analysis of the consolidation of the foundation of an embankment constructed over soft clay deposit which shows significant time dependent behaviour and was improved with prefabricated vertical drains. To assess the capability of a simple elastic viscoplastic (EVP) model to predict the long term performance of a geotechnical structure constructed on soft soils, a well documented (Leneghans) embankment was analyzed to predict its long term behaviour characteristics. Two fully coupled two dimensional (2D) plane strain FE analyses have been carried out. In one of these, the foundation of the embankment was modelled with a relatively simpler time dependent EVP model and in the other one, for comparison purposes, the foundation soil was modelled with elasto-plastic Modified Cam-clay (MCC) model. Details of the analyses and the results are discussed in comparison with the field performance. Predictions from the creep (EVP) model were found to be better than those from Elasto-plastic (MCC) analysis. However, the creep analysis requires an additional parameter and additional computational time and resources. © 2011 Taylor & Francis.

Effect of geosynthetic reinforcement creep on the long term performance of an embankment

Geo-synthetic reinforcements are often used to enhance the stability of geotechnical structures such as embankments. These geosynthetic polymers often show significant creep deformational behaviour. In the short-term performance of a geotechnical structure, it may not play a significant role. However, while dealing with the long term behaviour, it is necessary to investigate its effect. In this paper two plane strain fully coupled finite element analysis have been conducted; one with and the other without taking into account of the creep behaviour of geosynthetics. A well documented field case of Leneghans embankment (Geogrid improved wide embankment constructed near Sydney, Australia in 1990s) have been used for this purpose. It is evident from the analyses that though the geosynthetic reinforcements may play a vital role in the performance/stability of an embankment in the early days (during and after construction), its contribution may become insignificant with time and the creep of geo-synthetic may not play a significant role in the long term stability. © 2012 American Society of Civil Engineers.

A quality-scalable and energy-efficient approach for spectral analysis of heart rate variability

Today there is a growing interest in the integration of health monitoring applications in portable devices necessitating the development of methods that improve the energy efficiency of such systems. In this paper, we present a systematic approach that enables energy-quality trade-offs in spectral analysis systems for bio-signals, which are useful in monitoring various health conditions as those associated with the heart-rate. To enable such trade-offs, the processed signals are expressed initially in a basis in which significant components that carry most of the relevant information can be easily distinguished from the parts that influence the output to a lesser extent. Such a classification allows the pruning of operations associated with the less significant signal components leading to power savings with minor quality loss since only less useful parts are pruned under the given requirements. To exploit the attributes of the modified spectral analysis system, thresholding rules are determined and adopted at design- and run-time, allowing the static or dynamic pruning of less-useful operations based on the accuracy and energy requirements. The proposed algorithm is implemented on a typical sensor node simulator and results show up-to 82% energy savings when static pruning is combined with voltage and frequency scaling, compared to the conventional algorithm in which such trade-offs were not available. In addition, experiments with numerous cardiac samples of various patients show that such energy savings come with a 4.9% average accuracy loss, which does not affect the system detection capability of sinus-arrhythmia which was used as a test case. 

Efficacy and Long-Term Outcomes of Palivizumab Prophylaxis to Prevent Respiratory Syncytial Virus Infection in Infants with Cystic Fibrosis in Northern Ireland

BACKGROUND: RSV causes considerable morbidity and mortality in children. In cystic fibrosis (CF) viral infections are associated with worsening respiratory symptoms and bacterial colonization. Palivizumab is effective in reducing RSV hospitalization in high risk patient groups. Evidence regarding its effectiveness and safety in CF is inconclusive. CF screening in N. Ireland enabled timely palivizumab prophylaxis, becoming routine in 2002.

OBJECTIVES: To determine the effect of palivizumab on RSV-related hospitalization and compare lung function and bacterial colonization at age 6 years for those born pre- and post-introduction of palivizumab prophylaxis.

METHODS: A retrospective audit was conducted for all patients diagnosed with CF during the period from 1997 to 2007 inclusive. RSV-related hospitalization, time to Pseudomonas aeruginosa (PA) 1st isolate, lung function and growth parameters were recorded. Comparisons were made for outcomes pre- and post-introduction of routine palivizumab administration in 2002. A cost evaluation was also performed.

RESULTS: Ninety-two children were included; 47 pre- and 45 post-palivizumab introduction. The overall RSV-positive hospitalization rate was 13%. The relative risk of RSV infection in palivizumab non-recipients versus recipients was 4.78 (95%CI: 1.1-20.7), P = 0.027. Notably, PA 1st isolate was significantly earlier in the palivizumab recipient cohort versus non-recipient cohort (median 57 vs. 96 months, P < 0.025) with a relative risk of 2.5. Chronic PA infection at 6 years remained low in both groups, with similar lung function and growth parameters. Total costs were calculated at £96,127 ($151,880) for the non-recipient cohort versus £137,954 ($217,967) for the recipient cohort.

CONCLUSION: Palivizumab was effective in reducing RSV-related hospitalization infection in CF patients. Surprisingly, we found a significantly earlier time to 1st isolate of PA in palivizumab recipients which we could not explain by altered or improved diagnostic tests. 

Climate change and the long-term viability of the World’s busiest heavy haul ice road

Climate models project that the northern high latitudes will warm at a rate in excess of the global mean. This will pose severe problems for Arctic and sub-Arctic infrastructure dependent on maintaining low temperatures for structural integrity. This is the case for the economically important Tibbitt to Contwoyto Winter Road (TCWR)—the world’s busiest heavy haul ice road, spanning 400 km across mostly frozen lakes within the Northwest Territories of Canada. In this study, future climate scenarios are developed for the region using statistical downscaling methods. In addition, changes in lake ice thickness are projected based on historical relationships between measured ice thickness and air temperatures. These projections are used to infer the theoretical operational dates of the TCWR based on weight limits for trucks on the ice. Results across three climate models driven by four RCPs reveal a considerable warming trend over the coming decades. Projected changes in ice thickness reveal a trend towards thinner lake ice and a reduced time window when lake ice is at sufficient thickness to support trucks on the ice road, driven by increasing future temperatures. Given the uncertainties inherent in climate modelling and the resultant projections, caution should be exercised in interpreting the magnitude of these scenarios. More certain is the direction of change, with a clear trend towards winter warming that will reduce the operation time window of the TCWR. This illustrates the need for planners and policymakers to consider future changes in climate when planning annual haulage along the TCWR.