Parametric preference functionals under risk in the gain domain: a Bayesian analysis

The performance of rank dependent preference functionals under risk is comprehensively evaluated using Bayesian model averaging. Model comparisons are made at three levels of heterogeneity plus three ways of linking deterministic and stochastic models: the differences in utilities, the differences in certainty equivalents and contextualutility. Overall, the"bestmodel", which is conditional on the form of heterogeneity is a form of Rank Dependent Utility or Prospect Theory that cap tures the majority of behaviour at both the representative agent and individual level. However, the curvature of the probability weighting function for many individuals is S-shaped, or ostensibly concave or convex rather than the inverse S-shape commonly employed. Also contextual utility is broadly supported across all levels of heterogeneity. Finally, the Priority Heuristic model, previously examined within a deterministic setting, is estimated within a stochastic framework, and allowing for endogenous thresholds does improve model performance although it does not compete well with the other specications considered.

Probability of survival in a random exchange economy with dependent agents

In this paper I analyze the general equilibrium in a random Walrasian economy. Dependence among agents is introduced in the form of dependency neighborhoods. Under the uncertainty, an agent may fail to survive due to a meager endowment in a particular state (direct effect), as well as due to unfavorable equilibrium price system at which the value of the endowment falls short of the minimum needed for survival (indirect terms-of-trade effect). To illustrate the main result I compute the stochastic limit of equilibrium price and probability of survival of an agent in a large Cobb-Douglas economy.

Quantification of the probability of containment failure caused by an in-vessel steam explosion for the Sizewell B PWR

AEA Technology has provided an assessment of the probability of α-mode containment failure for the Sizewell B PWR. After a preliminary review of the methodologies available it was decided to use the probabilistic approach described in the paper, based on an extension of the methodology developed by Theofanous et al. (Nucl. Sci. Eng. 97 (1987) 259–325). The input to the assessment is 12 probability distributions; the bases for the quantification of these distributions are discussed. The α-mode assessment performed for the Sizewell B PWR has demonstrated the practicality of the event-tree method with input data represented by probability distributions. The assessment itself has drawn attention to a number of topics, which may be plant and sequence dependent, and has indicated the importance of melt relocation scenarios. The α-mode failure probability following an accident that leads to core melt relocation to the lower head for the Sizewell B PWR has been assessed as a few parts in 10 000, on the basis of current information. This assessment has been the first to consider elevated pressures (6 MPa and 15 MPa) besides atmospheric pressure, but the results suggest only a modest sensitivity to system pressure.

Intergenerational effects of birth weight on glucose tolerance and reproductive performance

Women who were themselves small-for-gestational age (SGA) are at a greater risk of adulthood diseases such as non-insulin-dependent diabetes mellitus (NIDDM), and twice at risk of having an SGA baby themselves. The aim of this study was to examine the intergenerational pig. Low (L) and normal (N) birth weight female piglets were followed throughout their first pregnancy (generation 1 (0)). After they had given birth, the growth and development of the lightest (I) and heaviest (n) female piglet from each litter were monitored until approximately 5 months of age (generation 2 (G2)). A glucose tolerance test (GTT) was conducted on G1 pig at similar to 6 months of age and again during late pregnancy; a GTT was also conducted on G2 pigs at similar to 4 months of age. G1 L offspring exhibited impaired glucose metabolism in later life compared to their G1 N sibling but in the next generation a similar scenario was only observed between I and n offspring born to G1 L mothers. Despite G1 L mothers showing greater glucose intolerance in late pregnancy and a decreased litter size, average piglet birth weight was reduced and there was also a large variation in litter weight; this suggests that they were, to some extent, prioritising their nutrient intake towards themselves rather than promoting their reproductive performance. There were numerous relationships between body shape at birth and glucose curve characteristics in later life, which can, to some extent, be used to predict neonatal outcome. In conclusion, intergenerational effects are partly seen in the pig. It is likely that some of the intergenerational influences may be masked due to the pig being a litter-bearing species.

Downregulation of cyclin-dependent kinase inhibitors p21 and p27 in pressure-overload hypertrophy

We postulated that the cyclin-dependent kinase inhibitors p21 and p27 could regulate the alterations in growth potential of cardiomyocytes during left ventricular hypertrophy (LVH). LVH was induced in adult rat hearts by aortic constriction (AC) and was monitored at days 0, 1, 3, 7, 14, 21, and 42 postoperation. Relative to sham-operated controls (SH), left ventricle (LV) weight-to-body weight ratio in AC increased progressively with time without significant differences in body weight or right ventricle weight-to-body weight ratio. Atrial natriuretic factor mRNA increased significantly in AC to 287% at day 42 compared with SH (P < 0.05), whereas p21 and p27 mRNA expression in AC rats decreased significantly by 58% (P < 0.03) and 40% (P < 0.05) at day 7, respectively. p21 and p27 protein expression decreased significantly from days 3 to 21 in AC versus SH, concomitant with LV adaptive growth. Immunocytochemistry showed p21 and p27 expression in cardiomyocyte nuclei. Thus downregulation of p21 and p27 may modulate the adaptive growth of cardiomyocytes during pressure overload-induced LVH.

Influence of birth weight on gene regulators of lipid metabolism and utilization in subcutaneous adipose tissue and skeletal muscle of neonatal pigs.

Epidemiological studies suggest that low-birth weight infants show poor neonatal growth and increased susceptibility to metabolic syndrome, in particular, obesity and diabetes. Adipose tissue development is regulated by many genes, including members of the peroxisome proliferator-activated receptor (PPAR) and the fatty acid-binding protein (FABP) families. The aim of this study was to determine the influence of birth weight on key adipose and skeletal muscle tissue regulating genes. Piglets from 11 litters were ranked according to birth weight and 3 from each litter assigned to small, normal, or large-birth weight groups. Tissue samples were collected on day 7 or 14. Plasma metabolite concentrations and the expression of PPARG2, PPARA, FABP3, and FABP4 genes were determined in subcutaneous adipose tissue and skeletal muscle. Adipocyte number and area were determined histologically. Expression of FABP3 and 4 was significantly reduced in small and large, compared with normal, piglets in adipose tissue on day 7 and in skeletal muscle on day 14. On day 7, PPARA and PPARG2 were significantly reduced in adipose tissue from small and large piglets. Adipose tissue from small piglets contained more adipocytes than normal or large piglets. Birth weight had no effect on adipose tissue and skeletal muscle lipid content. Low-birth weight is associated with tissue-specific and time-dependent effects on lipid-regulating genes as well as morphological changes in adipose tissue. It remains to be seen whether these developmental changes alter an individual's susceptibility to metabolic syndrome.

Probability density estimation with tunable kernels using orthogonal forward regression

A generalized or tunable-kernel model is proposed for probability density function estimation based on an orthogonal forward regression procedure. Each stage of the density estimation process determines a tunable kernel, namely, its center vector and diagonal covariance matrix, by minimizing a leave-one-out test criterion. The kernel mixing weights of the constructed sparse density estimate are finally updated using the multiplicative nonnegative quadratic programming algorithm to ensure the nonnegative and unity constraints, and this weight-updating process additionally has the desired ability to further reduce the model size. The proposed tunable-kernel model has advantages, in terms of model generalization capability and model sparsity, over the standard fixed-kernel model that restricts kernel centers to the training data points and employs a single common kernel variance for every kernel. On the other hand, it does not optimize all the model parameters together and thus avoids the problems of high-dimensional ill-conditioned nonlinear optimization associated with the conventional finite mixture model. Several examples are included to demonstrate the ability of the proposed novel tunable-kernel model to effectively construct a very compact density estimate accurately.

Summer drought in northern midlatitudes in a time-dependent CO2 climate experiment

A time-dependent climate-change experiment with a coupled ocean–atmosphere general circulation model has been used to study changes in the occurrence of drought in summer in southern Europe and central North America. In both regions, precipitation and soil moisture are reduced in a climate of greater atmospheric carbon dioxide. A detailed investigation of the hydrology of the model shows that the drying of the soil comes about through an increase in evaporation in winter and spring, caused by higher temperatures and reduced snow cover, and a decrease in the net input of water in summer. Evaporation is reduced in summer because of the drier soil, but the reduction in precipitation is larger. Three extreme statistics are used to define drought, namely the frequency of low summer precipitation, the occurrence of long dry spells, and the probability of dry soil. The last of these is arguably of the greatest practical importance, but since it is based on soil moisture, of which there are very few observations, the authors’ simulation of it has the least confidence. Furthermore, long time series for daily observed precipitation are not readily available from a sufficient number of stations to enable a thorough evaluation of the model simulation, especially for the frequency of long dry spells, and this increases the systematic uncertainty of the model predictions. All three drought statistics show marked increases owing to the sensitivity of extreme statistics to changes in their distributions. However, the greater likelihood of long dry spells is caused by a tendency in the character of daily rainfall toward fewer events, rather than by the reduction in mean precipitation. The results should not be taken as firm predictions because extreme statistics for small regions cannot be calculated reliably from the output of the current generation of GCMs, but they point to the possibility of large increases in the severity of drought conditions as a consequence of climate change caused by increased CO2.

A method for merging flow-dependent forecast error statistics from an ensemble with static statistics for use in high resolution variational data assimilation

The background error covariance matrix, B, is often used in variational data assimilation for numerical weather prediction as a static and hence poor approximation to the fully dynamic forecast error covariance matrix, Pf. In this paper the concept of an Ensemble Reduced Rank Kalman Filter (EnRRKF) is outlined. In the EnRRKF the forecast error statistics in a subspace defined by an ensemble of states forecast by the dynamic model are found. These statistics are merged in a formal way with the static statistics, which apply in the remainder of the space. The combined statistics may then be used in a variational data assimilation setting. It is hoped that the nonlinear error growth of small-scale weather systems will be accurately captured by the EnRRKF, to produce accurate analyses and ultimately improved forecasts of extreme events.

Evaluating raw ensembles with the continuous ranked probability score

The continuous ranked probability score (CRPS) is a frequently used scoring rule. In contrast with many other scoring rules, the CRPS evaluates cumulative distribution functions. An ensemble of forecasts can easily be converted into a piecewise constant cumulative distribution function with steps at the ensemble members. This renders the CRPS a convenient scoring rule for the evaluation of ‘raw’ ensembles, obviating the need for sophisticated ensemble model output statistics or dressing methods prior to evaluation. In this article, a relation between the CRPS score and the quantile score is established. The evaluation of ‘raw’ ensembles using the CRPS is discussed in this light. It is shown that latent in this evaluation is an interpretation of the ensemble as quantiles but with non-uniform levels. This needs to be taken into account if the ensemble is evaluated further, for example with rank histograms.

Rank histograms of stratified Monte-Carlo ensembles

The application of forecast ensembles to probabilistic weather prediction has spurred considerable interest in their evaluation. Such ensembles are commonly interpreted as Monte Carlo ensembles meaning that the ensemble members are perceived as random draws from a distribution. Under this interpretation, a reasonable property to ask for is statistical consistency, which demands that the ensemble members and the verification behave like draws from the same distribution. A widely used technique to assess statistical consistency of a historical dataset is the rank histogram, which uses as a criterion the number of times that the verification falls between pairs of members of the ordered ensemble. Ensemble evaluation is rendered more specific by stratification, which means that ensembles that satisfy a certain condition (e.g., a certain meteorological regime) are evaluated separately. Fundamental relationships between Monte Carlo ensembles, their rank histograms, and random sampling from the probability simplex according to the Dirichlet distribution are pointed out. Furthermore, the possible benefits and complications of ensemble stratification are discussed. The main conclusion is that a stratified Monte Carlo ensemble might appear inconsistent with the verification even though the original (unstratified) ensemble is consistent. The apparent inconsistency is merely a result of stratification. Stratified rank histograms are thus not necessarily flat. This result is demonstrated by perfect ensemble simulations and supplemented by mathematical arguments. Possible methods to avoid or remove artifacts that stratification induces in the rank histogram are suggested.

Occurrence probability, width and number of steps of cusp precipitation for fully pulsed reconnection at the dayside magnetopause

We discuss the characteristics of magnetosheath plasma precipitation in the “cusp” ionosphere for when the reconnection at the dayside magnetopause takes place only in a series of pulses. It is shown that even in this special case, the low-altitude cusp precipitation is continuous, unless the intervals between the pulses are longer than observed intervals between magnetopause flux transfer event (FTE) signatures. We use FTE observation statistics to predict, for this case of entirely pulsed reconnection, the occurrence frequency, the distribution of latitudinal widths, and the number of ion dispersion steps of the cusp precipitation for a variety of locations of the reconnection site and a range of values of the local de-Hoffman Teller velocity. It is found that the cusp occurrence frequency is comparable with observed values for virtually all possible locations of the reconnection site. The distribution of cusp width is also comparable with observations and is shown to be largely dependent on the distribution of the mean reconnection rate, but pulsing the reconnection does very slightly increase the width of that distribution compared with the steady state case. We conclude that neither cusp occurrence probability nor width can be used to evaluate the relative occurrence of reconnection behaviors that are entirely pulsed, pulsed but continuous and quasi-steady. We show that the best test of the relative frequency of these three types of reconnection is to survey the distribution of steps in the cusp ion dispersion characteristics.

Incentive effects on risk attitude in small probability prospects

We report between-subject results on the effect of monetary stakes on risk attitudes. While we find the typical risk seeking for small probabilities, risk seeking is reduced under high stakes. This suggests that utility is not consistently concave.

A global empirical system for probabilistic seasonal climate prediction

Preparing for episodes with risks of anomalous weather a month to a year ahead is an important challenge for governments, non-governmental organisations, and private companies and is dependent on the availability of reliable forecasts. The majority of operational seasonal forecasts are made using process-based dynamical models, which are complex, computationally challenging and prone to biases. Empirical forecast approaches built on statistical models to represent physical processes offer an alternative to dynamical systems and can provide either a benchmark for comparison or independent supplementary forecasts. Here, we present a simple empirical system based on multiple linear regression for producing probabilistic forecasts of seasonal surface air temperature and precipitation across the globe. The global CO2-equivalent concentration is taken as the primary predictor; subsequent predictors, including large-scale modes of variability in the climate system and local-scale information, are selected on the basis of their physical relationship with the predictand. The focus given to the climate change signal as a source of skill and the probabilistic nature of the forecasts produced constitute a novel approach to global empirical prediction. Hindcasts for the period 1961–2013 are validated against observations using deterministic (correlation of seasonal means) and probabilistic (continuous rank probability skill scores) metrics. Good skill is found in many regions, particularly for surface air temperature and most notably in much of Europe during the spring and summer seasons. For precipitation, skill is generally limited to regions with known El Niño–Southern Oscillation (ENSO) teleconnections. The system is used in a quasi-operational framework to generate empirical seasonal forecasts on a monthly basis.

A Variance-Minimizing Filter for Large-Scale Applications

A truly variance-minimizing filter is introduced and its per for mance is demonstrated with the Korteweg– DeV ries (KdV) equation and with a multilayer quasigeostrophic model of the ocean area around South Africa. It is recalled that Kalman-like filters are not variance minimizing for nonlinear model dynamics and that four - dimensional variational data assimilation (4DV AR)-like methods relying on per fect model dynamics have dif- ficulty with providing error estimates. The new method does not have these drawbacks. In fact, it combines advantages from both methods in that it does provide error estimates while automatically having balanced states after analysis, without extra computations. It is based on ensemble or Monte Carlo integrations to simulate the probability density of the model evolution. When obser vations are available, the so-called importance resampling algorithm is applied. From Bayes’ s theorem it follows that each ensemble member receives a new weight dependent on its ‘ ‘distance’ ’ t o the obser vations. Because the weights are strongly var ying, a resampling of the ensemble is necessar y. This resampling is done such that members with high weights are duplicated according to their weights, while low-weight members are largely ignored. In passing, it is noted that data assimilation is not an inverse problem by nature, although it can be for mulated that way . Also, it is shown that the posterior variance can be larger than the prior if the usual Gaussian framework is set aside. However , i n the examples presented here, the entropy of the probability densities is decreasing. The application to the ocean area around South Africa, gover ned by strongly nonlinear dynamics, shows that the method is working satisfactorily . The strong and weak points of the method are discussed and possible improvements are proposed.