On parameter estimation in population models

We describe methods for estimating the parameters of Markovian population processes in continuous time, thus increasing their utility in modelling real biological systems. A general approach, applicable to any finite-state continuous-time Markovian model, is presented, and this is specialised to a computationally more efficient method applicable to a class of models called density-dependent Markov population processes. We illustrate the versatility of both approaches by estimating the parameters of the stochastic SIS logistic model from simulated data. This model is also fitted to data from a population of Bay checkerspot butterfly (Euphydryas editha bayensis), allowing us to assess the viability of this population. (c) 2006 Elsevier Inc. All rights reserved.

On the estimation and comparison of short-rate models using the generalised method of moments

Subsequent to the influential paper of [Chan, K.C., Karolyi, G.A., Longstaff, F.A., Sanders, A.B., 1992. An empirical comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short-term interest rate. GMM has been widely employed to estimate model parameters and to assess the goodness-of-fit of competing short-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of short-rate parameters, as well as the size and power of [Hansen, L.P., 1982. Large sample properties of generalised method of moments estimators. Econometrica 50, 1029-1054], J-test of over-identifying restrictions. While the J-test appears to have appropriate size and good power in sample sizes commonly encountered in the short-rate literature, GMM estimates of the speed of mean reversion are shown to be severely biased. Consequently, it is dangerous to draw strong conclusions about the strength of mean reversion using GMM. In contrast, the parameter capturing the levels effect, which is important in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All rights reserved.

Optimal design for model discrimination and parameter estimation for itraconazole population pharmacokinetics in cystic fibrosis patients

Optimal sampling times are found for a study in which one of the primary purposes is to develop a model of the pharmacokinetics of itraconazole in patients with cystic fibrosis for both capsule and solution doses. The optimal design is expected to produce reliable estimates of population parameters for two different structural PK models. Data collected at these sampling times are also expected to provide the researchers with sufficient information to reasonably discriminate between the two competing structural models.

Predictor-corrector methods of Runge-Kutta type for stochastic differential equations

In this paper we construct predictor-corrector (PC) methods based on the trivial predictor and stochastic implicit Runge-Kutta (RK) correctors for solving stochastic differential equations. Using the colored rooted tree theory and stochastic B-series, the order condition theorem is derived for constructing stochastic RK methods based on PC implementations. We also present detailed order conditions of the PC methods using stochastic implicit RK correctors with strong global order 1.0 and 1.5. A two-stage implicit RK method with strong global order 1.0 and a four-stage implicit RK method with strong global order 1.5 used as the correctors are constructed in this paper. The mean-square stability properties and numerical results of the PC methods based on these two implicit RK correctors are reported.

A comparison of different choices for the regularization parameter in inverse electrocardiography models

Calculating the potentials on the heart’s epicardial surface from the body surface potentials constitutes one form of inverse problems in electrocardiography (ECG). Since these problems are ill-posed, one approach is to use zero-order Tikhonov regularization, where the squared norms of both the residual and the solution are minimized, with a relative weight determined by the regularization parameter. In this paper, we used three different methods to choose the regularization parameter in the inverse solutions of ECG. The three methods include the L-curve, the generalized cross validation (GCV) and the discrepancy principle (DP). Among them, the GCV method has received less attention in solutions to ECG inverse problems than the other methods. Since the DP approach needs knowledge of norm of noises, we used a model function to estimate the noise. The performance of various methods was compared using a concentric sphere model and a real geometry heart-torso model with a distribution of current dipoles placed inside the heart model as the source. Gaussian measurement noises were added to the body surface potentials. The results show that the three methods all produce good inverse solutions with little noise; but, as the noise increases, the DP approach produces better results than the L-curve and GCV methods, particularly in the real geometry model. Both the GCV and L-curve methods perform well in low to medium noise situations.

Solution techniques for transport problems involving steep concentration gradients: application to noncatalytic fluid solid reactions

Some efficient solution techniques for solving models of noncatalytic gas-solid and fluid-solid reactions are presented. These models include those with non-constant diffusivities for which the formulation reduces to that of a convection-diffusion problem. A singular perturbation problem results for such models in the presence of a large Thiele modulus, for which the classical numerical methods can present difficulties. For the convection-diffusion like case, the time-dependent partial differential equations are transformed by a semi-discrete Petrov-Galerkin finite element method into a system of ordinary differential equations of the initial-value type that can be readily solved. In the presence of a constant diffusivity, in slab geometry the convection-like terms are absent, and the combination of a fitted mesh finite difference method with a predictor-corrector method is used to solve the problem. Both the methods are found to converge, and general reaction rate forms can be treated. These methods are simple and highly efficient for arbitrary particle geometry and parameters, including a large Thiele modulus. (C) 2001 Elsevier Science Ltd. All rights reserved.

Finite mixture regression model with random effects: application to neonatal hospital length of stay

A two-component mixture regression model that allows simultaneously for heterogeneity and dependency among observations is proposed. By specifying random effects explicitly in the linear predictor of the mixture probability and the mixture components, parameter estimation is achieved by maximising the corresponding best linear unbiased prediction type log-likelihood. Approximate residual maximum likelihood estimates are obtained via an EM algorithm in the manner of generalised linear mixed model (GLMM). The method can be extended to a g-component mixture regression model with the component density from the exponential family, leading to the development of the class of finite mixture GLMM. For illustration, the method is applied to analyse neonatal length of stay (LOS). It is shown that identification of pertinent factors that influence hospital LOS can provide important information for health care planning and resource allocation. (C) 2002 Elsevier Science B.V. All rights reserved.

A genetic estimation algorithm for parameters of stochastic ordinary differential equations

A generic method for the estimation of parameters for Stochastic Ordinary Differential Equations (SODEs) is introduced and developed. This algorithm, called the GePERs method, utilises a genetic optimisation algorithm to minimise a stochastic objective function based on the Kolmogorov-Smirnov statistic. Numerical simulations are utilised to form the KS statistic. Further, the examination of some of the factors that improve the precision of the estimates is conducted. This method is used to estimate parameters of diffusion equations and jump-diffusion equations. It is also applied to the problem of model selection for the Queensland electricity market. (C) 2003 Elsevier B.V. All rights reserved.

One-dimensional interacting anyon gas: Low-energy properties and haldane exclusion statistics

The low-energy properties of the one-dimensional anyon gas with a delta-function interaction are discussed in the context of its Bethe ansatz solution. It is found that the anyonic statistical parameter and the dynamical coupling constant induce Haldane exclusion statistics interpolating between bosons and fermions. Moreover, the anyonic parameter may trigger statistics beyond Fermi statistics for which the exclusion parameter alpha is greater than one. The Tonks-Girardeau and the weak coupling limits are discussed in detail. The results support the universal role of alpha in the dispersion relations.

Applying linear time-varying constraints to econometric models: With an application to demand systems

When linear equality constraints are invariant through time they can be incorporated into estimation by restricted least squares. If, however, the constraints are time-varying, this standard methodology cannot be applied. In this paper we show how to incorporate linear time-varying constraints into the estimation of econometric models. The method involves the augmentation of the observation equation of a state-space model prior to estimation by the Kalman filter. Numerical optimisation routines are used for the estimation. A simple example drawn from demand analysis is used to illustrate the method and its application.

Long-range automaton models of earthquakes: Power-law accelerations, correlation evolution, and mode-switching

We introduce a conceptual model for the in-plane physics of an earthquake fault. The model employs cellular automaton techniques to simulate tectonic loading, earthquake rupture, and strain redistribution. The impact of a hypothetical crustal elastodynamic Green's function is approximated by a long-range strain redistribution law with a r(-p) dependance. We investigate the influence of the effective elastodynamic interaction range upon the dynamical behaviour of the model by conducting experiments with different values of the exponent (p). The results indicate that this model has two distinct, stable modes of behaviour. The first mode produces a characteristic earthquake distribution with moderate to large events preceeded by an interval of time in which the rate of energy release accelerates. A correlation function analysis reveals that accelerating sequences are associated with a systematic, global evolution of strain energy correlations within the system. The second stable mode produces Gutenberg-Richter statistics, with near-linear energy release and no significant global correlation evolution. A model with effectively short-range interactions preferentially displays Gutenberg-Richter behaviour. However, models with long-range interactions appear to switch between the characteristic and GR modes. As the range of elastodynamic interactions is increased, characteristic behaviour begins to dominate GR behaviour. These models demonstrate that evolution of strain energy correlations may occur within systems with a fixed elastodynamic interaction range. Supposing that similar mode-switching dynamical behaviour occurs within earthquake faults then intermediate-term forecasting of large earthquakes may be feasible for some earthquakes but not for others, in alignment with certain empirical seismological observations. Further numerical investigation of dynamical models of this type may lead to advances in earthquake forecasting research and theoretical seismology.

A modified Weibull distribution

A new lifetime distribution capable of modeling a bathtub-shaped hazard-rate function is proposed. The proposed model is derived as a limiting case of the Beta Integrated Model and has both the Weibull distribution and Type I extreme value distribution as special cases. The model can be considered as another useful 3-parameter generalization of the Weibull distribution. An advantage of the model is that the model parameters can be estimated easily based on a Weibull probability paper (WPP) plot that serves as a tool for model identification. Model characterization based on the WPP plot is studied. A numerical example is provided and comparison with another Weibull extension, the exponentiated Weibull, is also discussed. The proposed model compares well with other competing models to fit data that exhibits a bathtub-shaped hazard-rate function.