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.

Pattern-based phylogenetic distance estimation and tree reconstruction

We have developed an alignment-free method that calculates phylogenetic distances using a maximum-likelihood approach for a model of sequence change on patterns that are discovered in unaligned sequences. To evaluate the phylogenetic accuracy of our method, and to conduct a comprehensive comparison of existing alignment-free methods (freely available as Python package decaf+py at http://www.bioinformatics.org.au), we have created a data set of reference trees covering a wide range of phylogenetic distances. Amino acid sequences were evolved along the trees and input to the tested methods; from their calculated distances we infered trees whose topologies we compared to the reference trees. We find our pattern-based method statistically superior to all other tested alignment-free methods. We also demonstrate the general advantage of alignment-free methods over an approach based on automated alignments when sequences violate the assumption of collinearity. Similarly, we compare methods on empirical data from an existing alignment benchmark set that we used to derive reference distances and trees. Our pattern-based approach yields distances that show a linear relationship to reference distances over a substantially longer range than other alignment-free methods. The pattern-based approach outperforms alignment-free methods and its phylogenetic accuracy is statistically indistinguishable from alignment-based distances.

Estimation and mapping of foliar chemical levels in a coastal eucalypt forest using CASI data

Proceedings of the 11th Australasian Remote Sensing and Photogrammetry Conference

The relationship between diurnal type and time duration estimation at morning and evening times of day

This study investigates whether different diurnal types (morning versus evening) differ in their estimation of time duration at different times of the day. Given that the performance of morning and evening types is typically best at their preferred times of day, and assuming different diurnal trends in subjective alertness (arousal?) for morning and evening types, and adopting the attentional gate model of time duration estimation, it was predicted that morning types would tend to underestimate and be more accurate in the morning compared to evening types where the opposite pattern was expected. Nineteen morning types, 18 evening types and 18 intermediate types were drawn from a large sample (N=1175) of undergraduates administered the Early/Late Preference Scale. Groups performed a time duration estimation task using the production method for estimating 20-s unfilled intervals at two times of day: 0800/1830. The median absolute error, median directional error and frequency of under- and overestimation were analysed using repeated-measures ANOVA. While all differences were statistically non-significant, the following trends were observed: morning types performed better than evening types; participants overestimated in the morning and underestimated in the evening; and participants were more accurate later in the day. It was concluded that the trends are inconsistent with a relationship between subjective alertness and time duration estimation but consistent with a possible relationship between time duration estimation and diurnal body temperature fluctuations. (C) 2002 Elsevier Ltd. All rights reserved.

Challenges to environmental toxicology and epidemiology: where do we stand and which way do we go?

Modern toxicology investigates a wide array of both old and new health hazards. Priority setting is needed to select agents for research from the plethora of exposure circumstances. The changing societies and a growing fraction of the aged have to be taken into consideration. A precise exposure assessment is of importance for risk estimation and regulation. Toxicology contributes to the exploration of pathomechanisms to specify the exposure metrics for risk estimation. Combined effects of co-existing agents are not yet sufficiently understood. Animal experiments allow a separate administration of agents which can not be disentangled by epidemiological means, but their value is limited for low exposure levels in many of today's settings. As an experimental science, toxicology has to keep pace with the rapidly growing knowledge about the language of the genome and the changing paradigms in cancer development. During the pioneer era of assembling a working draft of the human genome, toxicogenomics has been developed. Gene and pathway complexity have to be considered when investigating gene-environment interactions. For a best conduct of studies, modem toxicology needs a close liaison with many other disciplines like epidemiology and bioinformatics. (C) 2004 Elsevier Ireland Ltd. All rights reserved.

Process, performance, and pollution potential: A review of septic tank-soil absorption systems

On-site wastewater treatment and dispersal systems (OWTS) are used in non-sewered populated areas in Australia to treat and dispose of household wastewater. The most common OWTS in Australia is the septic tank-soil absorption system (SAS) - which relies on the soil to treat and disperse effluent. The mechanisms governing purification and hydraulic performance of a SAS are complex and have been shown to be highly influenced by the biological zone (biomat) which develops on the soil surface within the trench or bed. Studies suggest that removal mechanisms in the biomat zone, primarily adsorption and filtering, are important processes in the overall purification abilities of a SAS. There is growing concern that poorly functioning OWTS are impacting upon the environment, although to date, only a few investigations have been able to demonstrate pollution of waterways by on-site systems. In this paper we review some key hydrological and biogeochemical mechanisms in SAS, and the processes leading to hydraulic failure. The nutrient and pathogen removal efficiencies in soil absorption systems are also reviewed, and a critical discussion of the evidence of failure and environmental and public health impacts arising from SAS operation is presented. Future research areas identified from the review include the interactions between hydraulic and treatment mechanisms, and the biomat and sub-biomat zone gas composition and its role in effluent treatment.

Cardiovascular risk estimation by professionally active cardiovascular nurses: Results from the Basel 2005 Nurses Cohort

Background Nurses play a key role in the prevention of cardiovascular disease (CVD) and one would, therefore, expect them to have a heightened awareness of the need for systematic screening and their own CVD risk profile. The aim of this study was to examine personal awareness of CVD risk among a cohort of cardiovascular nurses attending a European conference. Methods Of the 340 delegates attending the 5th annual Spring Meeting on Cardiovascular Nursing (Basel, Switzerland, 2005), 287 (83%) completed a self-report questionnaire to assess their own risk factors for CVD. Delegates were also asked to give an estimation of their absolute total risk of experiencing a fatal CVD event in the next 10 years. Level of agreement between self-reported CVD risk estimation and their actual risk according to the SCORE risk assessment system was compared by calculating weighted Kappa (κw). Results Overall, 109 responders (38%) self-reported having either pre-existing CVD (only 2%), one or more markedly raised CVD risk factors, a high total risk of fatal CVD (≥ 5% in 10 years) or a strong family history of CVD. About half of this cohort (53%) did not know their own total cholesterol level. Less than half (45%) reported having a 10-year risk of fatal CVD of < 1%, while 13% reported having a risk ≥ 5%. Based on the SCORE risk function, the estimated 10-year risk of a fatal CVD event was < 1% for 96% of responders: only 2% had a ≥ 5% risk of such an event. Overall, less than half (46%) of this cohort's self-reported CVD risk corresponded with that calculated using the SCORE risk function (κw = 0.27). Conclusion Most cardiovascular nurses attending a European conference in 2005 poorly understood their own CVD risk profile, and the agreement between their self-reported 10-year risk of a fatal CVD and their CVD risk using SCORE was only fair. Given the specialist nature of this conference, our findings clearly demonstrate a need to improve overall nursing awareness of the role and importance of systematic CVD risk assessment.

Optimal cloning for finite distributions of coherent states

We derive optimal cloning limits for finite Gaussian distributions of coherent states and describe techniques for achieving them. We discuss the relation of these limits to state estimation and the no-cloning limit in teleportation. A qualitatively different cloning limit is derived for a single-quadrature Gaussian quantum cloner.

The aldosterone-renin ratio in screening for primary aldosteronism

Recognition that primary aldosteronism (PAL) is a common specifically treatable form of hypertension and that most patients are normokalemic has led to a marked increase in demand for aldosterone/renin ratio (ARR) testing as a means of screening for this disorder. The value of this screening test depends on an appreciation of many factors (such as diet, posture, time of day, presence of hypokalemia, medications, age, and renal function), which can affect the results, on the care with which these factors are either controlled or their effects taken into account, and on access to reliable and reproducible assays for renin and aldosterone. Even then, physiological day-to-day variability reduces the value of a single estimation, and repeated testing is necessary before a decision that PAL is highly likely (warranting further testing) or highly unlikely can be made. Provided that testing of aldosterone suppressibility is always carried out to confirm or exclude the diagnosis, and the subtype is determined by hybrid gene testing and adrenal venous sampling, wide application of the ARR can have a major beneficial clinical impact with improved therapeutic outcomes, including possible cure in those with unilateral disease.

Quantum trajectories for the realistic measurement of a solid-state charge qubit

We present a new model for the continuous measurement of a coupled quantum dot charge qubit. We model the effects of a realistic measurement, namely adding noise to, and filtering, the current through the detector. This is achieved by embedding the detector in an equivalent circuit for measurement. Our aim is to describe the evolution of the qubit state conditioned on the macroscopic output of the external circuit. We achieve this by generalizing a recently developed quantum trajectory theory for realistic photodetectors [P. Warszawski, H. M. Wiseman, and H. Mabuchi, Phys. Rev. A 65, 023802 (2002)] to treat solid-state detectors. This yields stochastic equations whose (numerical) solutions are the realistic quantum trajectories of the conditioned qubit state. We derive our general theory in the context of a low transparency quantum point contact. Areas of application for our theory and its relation to previous work are discussed.

Some considerations on the design of population pharmacokinetic studies

The goal of this manuscript is to introduce a framework for consideration of designs for population pharmacokinetic orpharmacokinetic-pharmacodynamic studies. A standard one compartment pharmacokinetic model with first-order input and elimination is considered. A series of theoretical designs are considered that explore the influence of optimizing the allocation of sampling times, allocating patients to elementary designs, consideration of sparse sampling and unbalanced designs and also the influence of single vs. multiple dose designs. It was found that what appears to be relatively sparse sampling (less blood samples per patient than the number of fixed effects parameters to estimate) can also be highly informative. Overall, it is evident that exploring the population design space can yield many parsimonious designs that are efficient for parameter estimation and that may not otherwise have been considered without the aid of optimal design theory.

Machine learning for matching astronomy catalogues

An emerging issue in the field of astronomy is the integration, management and utilization of databases from around the world to facilitate scientific discovery. In this paper, we investigate application of the machine learning techniques of support vector machines and neural networks to the problem of amalgamating catalogues of galaxies as objects from two disparate data sources: radio and optical. Formulating this as a classification problem presents several challenges, including dealing with a highly unbalanced data set. Unlike the conventional approach to the problem (which is based on a likelihood ratio) machine learning does not require density estimation and is shown here to provide a significant improvement in performance. We also report some experiments that explore the importance of the radio and optical data features for the matching problem.

Tyre-force estimation by Kalman inverse filtering: applications to off-highway mining trucks

Kalman inverse filtering is used to develop a methodology for real-time estimation of forces acting at the interface between tyre and road on large off-highway mining trucks. The system model formulated is capable of estimating the three components of tyre-force at each wheel of the truck using a practical set of measurements and inputs. Good tracking is obtained by the estimated tyre-forces when compared with those simulated by an ADAMS virtual-truck model. A sensitivity analysis determines the susceptibility of the tyre-force estimates to uncertainties in the truck's parameters.