34 resultados para Idiosyncratic skewness

em CentAUR: Central Archive University of Reading - UK


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LIght Detection And Ranging (LIDAR) data for terrain and land surveying has contributed to many environmental, engineering and civil applications. However, the analysis of Digital Surface Models (DSMs) from complex LIDAR data is still challenging. Commonly, the first task to investigate LIDAR data point clouds is to separate ground and object points as a preparatory step for further object classification. In this paper, the authors present a novel unsupervised segmentation algorithm-skewness balancing to separate object and ground points efficiently from high resolution LIDAR point clouds by exploiting statistical moments. The results presented in this paper have shown its robustness and its potential for commercial applications.

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In this paper, observations by a ground-based vertically pointing Doppler lidar and sonic anemometer are used to investigate the diurnal evolution of boundary-layer turbulence in cloudless, cumulus and stratocumulus conditions. When turbulence is driven primarily by surface heating, such as in cloudless and cumulus-topped boundary layers, both the vertical velocity variance and skewness follow similar profiles, on average, to previous observational studies of turbulence in convective conditions, with a peak skewness of around 0.8 in the upper third of the mixed layer. When the turbulence is driven primarily by cloud-top radiative cooling, such as in the presence of nocturnal stratocumulus, it is found that the skewness is inverted in both sign and height: its minimum value of around −0.9 occurs in the lower third of the mixed layer. The profile of variance is consistent with a cloud-top cooling rate of around 30Wm−2. This is also consistent with the evolution of the thermodynamic profile and the rate of growth of the mixed layer into the stable nocturnal boundary layer from above. In conditions where surface heating occurs simultaneously with cloud-top cooling, the skewness is found to be useful for diagnosing the source of the turbulence, suggesting that long-term Doppler lidar observations would be valuable for evaluating boundary-layer parametrization schemes. Copyright c 2009 Royal Meteorological Society

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This paper considers how trading volume impacts upon the first three moments of REIT returns. Consistent with previous studies of the broader stock market, we find that volume is a significant factor with respect to both returns and volatility. We also find evidence supportive of the Hong & Stein’s (2003) Investor Heterogeneity Theory with respect to the finding that skewness in REIT index returns is significantly related to volume. Furthermore, we also report findings that show the influence of the variability of volume with skewness.

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This article examines the role of idiosyncratic volatility in explaining the cross-sectional variation of size- and value-sorted portfolio returns. We show that the premium for bearing idiosyncratic volatility varies inversely with the number of stocks included in the portfolios. This conclusion is robust within various multifactor models based on size, value, past performance, liquidity and total volatility and also holds within an ICAPM specification of the risk–return relationship. Our findings thus indicate that investors demand an additional return for bearing the idiosyncratic volatility of poorly-diversified portfolios.

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Matheron's usual variogram estimator can result in unreliable variograms when data are strongly asymmetric or skewed. Asymmetry in a distribution can arise from a long tail of values in the underlying process or from outliers that belong to another population that contaminate the primary process. This paper examines the effects of underlying asymmetry on the variogram and on the accuracy of prediction, and the second one examines the effects arising from outliers. Standard geostatistical texts suggest ways of dealing with underlying asymmetry; however, this is based on informed intuition rather than detailed investigation. To determine whether the methods generally used to deal with underlying asymmetry are appropriate, the effects of different coefficients of skewness on the shape of the experimental variogram and on the model parameters were investigated. Simulated annealing was used to create normally distributed random fields of different size from variograms with different nugget:sill ratios. These data were then modified to give different degrees of asymmetry and the experimental variogram was computed in each case. The effects of standard data transformations on the form of the variogram were also investigated. Cross-validation was used to assess quantitatively the performance of the different variogram models for kriging. The results showed that the shape of the variogram was affected by the degree of asymmetry, and that the effect increased as the size of data set decreased. Transformations of the data were more effective in reducing the skewness coefficient in the larger sets of data. Cross-validation confirmed that variogram models from transformed data were more suitable for kriging than were those from the raw asymmetric data. The results of this study have implications for the 'standard best practice' in dealing with asymmetry in data for geostatistical analyses. (C) 2007 Elsevier Ltd. All rights reserved.

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Asymmetry in a distribution can arise from a long tail of values in the underlying process or from outliers that belong to another population that contaminate the primary process. The first paper of this series examined the effects of the former on the variogram and this paper examines the effects of asymmetry arising from outliers. Simulated annealing was used to create normally distributed random fields of different size that are realizations of known processes described by variograms with different nugget:sill ratios. These primary data sets were then contaminated with randomly located and spatially aggregated outliers from a secondary process to produce different degrees of asymmetry. Experimental variograms were computed from these data by Matheron's estimator and by three robust estimators. The effects of standard data transformations on the coefficient of skewness and on the variogram were also investigated. Cross-validation was used to assess the performance of models fitted to experimental variograms computed from a range of data contaminated by outliers for kriging. The results showed that where skewness was caused by outliers the variograms retained their general shape, but showed an increase in the nugget and sill variances and nugget:sill ratios. This effect was only slightly more for the smallest data set than for the two larger data sets and there was little difference between the results for the latter. Overall, the effect of size of data set was small for all analyses. The nugget:sill ratio showed a consistent decrease after transformation to both square roots and logarithms; the decrease was generally larger for the latter, however. Aggregated outliers had different effects on the variogram shape from those that were randomly located, and this also depended on whether they were aggregated near to the edge or the centre of the field. The results of cross-validation showed that the robust estimators and the removal of outliers were the most effective ways of dealing with outliers for variogram estimation and kriging. (C) 2007 Elsevier Ltd. All rights reserved.

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The PhD process is uncertain, idiosyncratic and vague. Research into the management of PhDs has proved very useful for supervisors and students. It is important for everyone involved in the process to be aware of what can be done to improve the likelihood of success for PhD studies. There are many ways of tackling a PhD and it is not possible to describe construction management as a generic type of study. Rather, construction management is a source of problems and data, whereas solutions and approaches need to be based within established academic disciplines. The clear definition of a research project is an essential prerequisite for success. Although PhDs are difficult, there are many things that can be done by departments, supervisors and students to ease the difficulties. In the long run, the development of an active and dynamic research community is dependent upon a steady flow of high quality PhDs. No-one benefits from an uncompleted or failed PhD.

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The distribution of the daily wintertime North Atlantic Oscillation (NAO) index in the 40-yr ECMWF Re-Analysis (ERA-40) is significantly negatively skewed. Dynamical and statistical analyses both suggest that this skewness reflects the presence of two distinct regimes—referred to as “Greenland blocking” and “subpolar jet.” Changes in both the relative occurrence and in the structure of the regimes are shown to contribute to the long-term NAO trend over the ERA-40 period. This is contrasted with the simulation of the NAO in 100-yr control and doubled CO2 integrations of the third climate configuration of the Met Office Unified Model (HadCM3). The model has clear deficiencies in its simulation of the NAO in the control run, so its predictions of future behavior must be treated with caution. However, the subpolar jet regime does become more dominant under anthropogenic forcing and, while this change is small it is clearly statistically significant and does represent a real change in the nature of NAO variability in the model.

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Reanalysis data provide an excellent test bed for impacts prediction systems. because they represent an upper limit on the skill of climate models. Indian groundnut (Arachis hypogaea L.) yields have been simulated using the General Large-Area Model (GLAM) for annual crops and the European Centre for Medium-Range Weather Forecasts (ECMWF) 40-yr reanalysis (ERA-40). The ability of ERA-40 to represent the Indian summer monsoon has been examined. The ability of GLAM. when driven with daily ERA-40 data, to model both observed yields and observed relationships between subseasonal weather and yield has been assessed. Mean yields "were simulated well across much of India. Correlations between observed and modeled yields, where these are significant. are comparable to correlations between observed yields and ERA-40 rainfall. Uncertainties due to the input planting window, crop duration, and weather data have been examined. A reduction in the root-mean-square error of simulated yields was achieved by applying bias correction techniques to the precipitation. The stability of the relationship between weather and yield over time has been examined. Weather-yield correlations vary on decadal time scales. and this has direct implications for the accuracy of yield simulations. Analysis of the skewness of both detrended yields and precipitation suggest that nonclimatic factors are partly responsible for this nonstationarity. Evidence from other studies, including data on cereal and pulse yields, indicates that this result is not particular to groundnut yield. The detection and modeling of nonstationary weather-yield relationships emerges from this study as an important part of the process of understanding and predicting the impacts of climate variability and change on crop yields.

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The farm-level success of Bt-cotton in developing countries is well documented. However, the literature has only recently begun to recognise the importance of accounting for the effects of the technology on production risk, in addition to the mean effect estimated by previous studies. The risk effects of the technology are likely very important to smallholder farmers in the developing world due to their risk-aversion. We advance the emergent literature on Bt-cotton and production risk by using panel data methods to control for possible endogeneity of Bt-adoption. We estimate two models, the first a fixed-effects version of the Just and Pope model with additive individual and time effects, and the second a variation of the model in which inputs and variety choice are allowed to affect the variance of the time effect and its correlation with the idiosyncratic error. The models are applied to panel data on smallholder cotton production in India and South Africa. Our results suggest a risk-reducing effect of Bt-cotton in India, but an inconclusive picture in South Africa.

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The overall immunopathogenesis relevant to a large series of disorders caused by a drug or its associated hyperimmune condition is discussed based upon examining the genetics of severe drug-induced bullous skin problems (sporadic idiosyncratic adverse events including Stevens-Johnson syndrome and Toxic epidermal necrolysis). New results from an exemplar study on shared precipitating and perpetuating inner causes with other related disease phenotypes including aphtous stomatitis, Behcets, erythema multiforme, Hashimoto's thyroiditis, pemphigus, periodic fevers, Sweet's syndrome and drug-induced multisystem hypersensitivity are presented. A call for a collaborative, wider demographic profiling and deeper immunotyping in suggested future work is made.

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The overall immunopathogenesis relevant to a large series of disorders caused by a drug or its associated hyperimmune condition is discussed based upon the examination of the genetics of severe drug-induced bullous skin problems (sporadic idiosyncratic adverse events, including Stevens-Johnson syndrome and toxic epidermal necrolysis). An overarching pharmacogenetic schema is proposed. Immune cognition and early-effector processes are focused upon and a challenging synthesis around systems evolution is explained by a variety of projective analogies. Etiology, human leukocyte antigen-B, immune stability, clysiregulation, pharmacomimicry, viruses and an aggressive ethnically differentiated 'karmic' response are discussed.

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This paper proposes a novel method of authentication of users in secure buildings. The main objective is to investigate whether user actions in the built environment can produce consistent behavioural signatures upon which a building intrusion detection system could be based. In the process three behavioural expressions were discovered: time-invariant, co-dependent and idiosyncratic.

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In the past decade, airborne based LIght Detection And Ranging (LIDAR) has been recognised by both the commercial and public sectors as a reliable and accurate source for land surveying in environmental, engineering and civil applications. Commonly, the first task to investigate LIDAR point clouds is to separate ground and object points. Skewness Balancing has been proven to be an efficient non-parametric unsupervised classification algorithm to address this challenge. Initially developed for moderate terrain, this algorithm needs to be adapted to handle sloped terrain. This paper addresses the difficulty of object and ground point separation in LIDAR data in hilly terrain. A case study on a diverse LIDAR data set in terms of data provider, resolution and LIDAR echo has been carried out. Several sites in urban and rural areas with man-made structure and vegetation in moderate and hilly terrain have been investigated and three categories have been identified. A deeper investigation on an urban scene with a river bank has been selected to extend the existing algorithm. The results show that an iterative use of Skewness Balancing is suitable for sloped terrain.