7 resultados para Multivariate volatility models

em University of Queensland eSpace - Australia


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The phenotypic and genetic factor structure of performance on five Multidimensional Aptitude Battery (MAB) subtests and one Wechsler Adult Intelligence Scale-Revised (WAIS-R) subtest was explored in 390 adolescent twin pairs (184 monozygotic [MZ]; 206 dizygotic (DZ)). The temporal stability of these measures was derived from a subsample of 49 twin pairs, with test-retest correlations ranging from .67 to .85. A phenotypic factor model, in which performance and verbal factors were correlated, provided a good fit to the data. Genetic modeling was based on the phenotypic factor structure, but also took into account the additive genetic (A), common environmental (C), and unique environmental (E) parameters derived from a fully saturated ACE model. The best fitting model was characterized by a genetic correlated two-factor structure with specific effects, a general common environmental factor, and overlapping unique environmental effects. Results are compared to multivariate genetic models reported in children and adults, with the most notable difference being the growing importance of common genes influencing diverse abilities in adolescence. (C) 2003 Elsevier Inc. All rights reserved.

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Introduction. Potentially modifiable physiological variables may influence stroke prognosis but their independence from modifiable factors remains unclear. Methods. Admission physiological measures (blood pressure, heart rate, temperature and blood glucose) and other unmodifiable factors were recorded from patients presenting within 48 hours of stroke. These variables were compared with the outcomes of death and death or dependency at 30 days in multivariate statistical models. Results. In the 186 patients included in the study, age, atrial fibrillation and the National Institutes of Health Stroke Score were identified as unmodifiable factors independently associated with death and death or dependency. After adjusting for these factors, none of the physiological variables were independently associated with death, while only diastolic blood pressure (DBP) >= 90 mmHg was associated with death or dependency at 30 days (p = 0.02). Conclusions. Except for elevated DBP, we found no independent associations between admission physiology and outcome at 30 days in an unselected stroke cohort. Future studies should look for associations in subgroups, or by analysing serial changes in physiology during the early post-stroke period.

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Orthotopic liver retransplantation (re-OLT) is highly controversial. The objectives of this study were to determine the validity of a recently developed United Network for Organ Sharing (UNOS) multivariate model using an independent cohort of patients undergoing re-OLT outside the United States, to determine whether incorporation of other variables that were incomplete in the UNOS registry would provide additional prognostic information, to develop new models combining data sets from both cohorts, and to evaluate the validity of the model for end-stage liver disease (MELD) in patients undergoing re-OLT. Two hundred eighty-one adult patients undergoing re-OLT (between 1986 and 1999) at 6 foreign transplant centers comprised the validation cohort. We found good agreement between actual survival and predicted survival in the validation cohort; 1-year patient survival rates in the low-, intermediate-, and high-risk groups (as assigned by the original UNOS model) were 72%, 68%, and 36%, respectively (P < .0001). In the patients for whom the international normalized ratio (INR) of prothrombin time was available, MELD correlated with outcome following re-OLT; the median MELD scores for patients surviving at least 90 days compared with those dying within 90 days were 20.75 versus 25.9, respectively (P = .004). Utilizing both patient cohorts (n = 979), a new model, based on recipient age, total serum bilirubin, creatinine, and interval to re-OLT, was constructed (whole model χ(2) = 105, P < .0001). Using the c-statistic with 30-day, 90-day, 1-year, and 3-year mortality as the end points, the area under the receiver operating characteristic (ROC) curves for 4 different models were compared. In conclusion, prospective validation and use of these models as adjuncts to clinical decision making in the management of patients being considered for re-OLT are warranted.

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In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.

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This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with daily data from Mexico in the context of a modified EGARCH model that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses, suggesting that the futures market in Mexico is a useful price discovery vehicle, although futures trading has also been a source of instability for the spot market. Several managerial implications are derived and discussed. (C) 2004 Elsevier B.V. All rights reserved.

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Single male sexually selected traits have been found to exhibit substantial genetic variance, even though natural and sexual selection are predicted to deplete genetic variance in these traits. We tested whether genetic variance in multiple male display traits of Drosophila serrata was maintained under field conditions. A breeding design involving 300 field-reared males and their laboratory-reared offspring allowed the estimation of the genetic variance-covariance matrix for six male cuticular hydrocarbons (CHCs) under field conditions. Despite individual CHCs displaying substantial genetic variance under field conditions, the vast majority of genetic variance in CHCs was not closely associated with the direction of sexual selection measured on field phenotypes. Relative concentrations of three CHCs correlated positively with body size in the field, but not under laboratory conditions, suggesting condition-dependent expression of CHCs under field conditions. Therefore condition dependence may not maintain genetic variance in preferred combinations of male CHCs under field conditions, suggesting that the large mutational target supplied by the evolution of condition dependence may not provide a solution to the lek paradox in this species. Sustained sexual selection may be adequate to deplete genetic variance in the direction of selection, perhaps as a consequence of the low rate of favorable mutations expected in multiple trait systems.

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Traditional vegetation mapping methods use high cost, labour-intensive aerial photography interpretation. This approach can be subjective and is limited by factors such as the extent of remnant vegetation, and the differing scale and quality of aerial photography over time. An alternative approach is proposed which integrates a data model, a statistical model and an ecological model using sophisticated Geographic Information Systems (GIS) techniques and rule-based systems to support fine-scale vegetation community modelling. This approach is based on a more realistic representation of vegetation patterns with transitional gradients from one vegetation community to another. Arbitrary, though often unrealistic, sharp boundaries can be imposed on the model by the application of statistical methods. This GIS-integrated multivariate approach is applied to the problem of vegetation mapping in the complex vegetation communities of the Innisfail Lowlands in the Wet Tropics bioregion of Northeastern Australia. The paper presents the full cycle of this vegetation modelling approach including sampling sites, variable selection, model selection, model implementation, internal model assessment, model prediction assessments, models integration of discrete vegetation community models to generate a composite pre-clearing vegetation map, independent data set model validation and model prediction's scale assessments. An accurate pre-clearing vegetation map of the Innisfail Lowlands was generated (0.83r(2)) through GIS integration of 28 separate statistical models. This modelling approach has good potential for wider application, including provision of. vital information for conservation planning and management; a scientific basis for rehabilitation of disturbed and cleared areas; a viable method for the production of adequate vegetation maps for conservation and forestry planning of poorly-studied areas. (c) 2006 Elsevier B.V. All rights reserved.