Parametric accelerated failure time models with random effects and an application to kidney transplant survival

Accelerated failure time models with a shared random component are described, and are used to evaluate the effect of explanatory factors and different transplant centres on survival times following kidney transplantation. Different combinations of the distribution of the random effects and baseline hazard function are considered and the fit of such models to the transplant data is critically assessed. A mixture model that combines short- and long-term components of a hazard function is then developed, which provides a more flexible model for the hazard function. The model can incorporate different explanatory variables and random effects in each component. The model is straightforward to fit using standard statistical software, and is shown to be a good fit to the transplant data. Copyright (C) 2004 John Wiley Sons, Ltd.

Discrete time representation of continuous time ARMA processes

This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.

Sequential designs for phase III clinical trials incorporating treatment selection

Most statistical methodology for phase III clinical trials focuses on the comparison of a single experimental treatment with a control. An increasing desire to reduce the time before regulatory approval of a new drug is sought has led to development of two-stage or sequential designs for trials that combine the definitive analysis associated with phase III with the treatment selection element of a phase II study. In this paper we consider a trial in which the most promising of a number of experimental treatments is selected at the first interim analysis. This considerably reduces the computational load associated with the construction of stopping boundaries compared to the approach proposed by Follman, Proschan and Geller (Biometrics 1994; 50: 325-336). The computational requirement does not exceed that for the sequential comparison of a single experimental treatment with a control. Existing methods are extended in two ways. First, the use of the efficient score as a test statistic makes the analysis of binary, normal or failure-time data, as well as adjustment for covariates or stratification straightforward. Second, the question of trial power is also considered, enabling the determination of sample size required to give specified power. Copyright © 2003 John Wiley & Sons, Ltd.

An adaptive group sequential design for phase II/III clinical trials that select a single treatment from several

There is increasing interest in combining Phases II and III of clinical development into a single trial in which one of a small number of competing experimental treatments is ultimately selected and where a valid comparison is made between this treatment and the control treatment. Such a trial usually proceeds in stages, with the least promising experimental treatments dropped as soon as possible. In this paper we present a highly flexible design that uses adaptive group sequential methodology to monitor an order statistic. By using this approach, it is possible to design a trial which can have any number of stages, begins with any number of experimental treatments, and permits any number of these to continue at any stage. The test statistic used is based upon efficient scores, so the method can be easily applied to binary, ordinal, failure time, or normally distributed outcomes. The method is illustrated with an example, and simulations are conducted to investigate its type I error rate and power under a range of scenarios.

Modeling cumulative evidence for freedom from disease with applications to BSE surveillance trials

This investigation deals with the question of when a particular population can be considered to be disease-free. The motivation is the case of BSE where specific birth cohorts may present distinct disease-free subpopulations. The specific objective is to develop a statistical approach suitable for documenting freedom of disease, in particular, freedom from BSE in birth cohorts. The approach is based upon a geometric waiting time distribution for the occurrence of positive surveillance results and formalizes the relationship between design prevalence, cumulative sample size and statistical power. The simple geometric waiting time model is further modified to account for the diagnostic sensitivity and specificity associated with the detection of disease. This is exemplified for BSE using two different models for the diagnostic sensitivity. The model is furthermore modified in such a way that a set of different values for the design prevalence in the surveillance streams can be accommodated (prevalence heterogeneity) and a general expression for the power function is developed. For illustration, numerical results for BSE suggest that currently (data status September 2004) a birth cohort of Danish cattle born after March 1999 is free from BSE with probability (power) of 0.8746 or 0.8509, depending on the choice of a model for the diagnostic sensitivity.

Microcontroller-based peak current mode control using digital slope compensation

Microcontroller-based peak current mode control of a buck converter is investigated. The new solution uses a discrete time controller with digital slope compensation. This is implemented using only a single-chip microcontroller to achieve desirable cycle-by-cycle peak current limiting. The digital controller is implemented as a two-pole, two-zero linear difference equation designed using a continuous time model of the buck converter and a discrete time transform. Subharmonic oscillations are removed with digital slope compensation using a discrete staircase ramp. A 16 W hardware implementation directly compares analog and digital control. Frequency response measurements are taken and it is shown that the crossover frequency and expected phase margin of the digital control system match that of its analog counterpart.

An Ensemble Kalman Smoother for Nonlinear Dynamics

It is for mally proved that the general smoother for nonlinear dynamics can be for mulated as a sequential method, that is, obser vations can be assimilated sequentially during a for ward integration. The general filter can be derived from the smoother and it is shown that the general smoother and filter solutions at the final time become identical, as is expected from linear theor y. Then, a new smoother algorithm based on ensemble statistics is presented and examined in an example with the Lorenz equations. The new smoother can be computed as a sequential algorithm using only for ward-in-time model integrations. It bears a strong resemblance with the ensemble Kalman filter . The difference is that ever y time a new dataset is available during the for ward integration, an analysis is computed for all previous times up to this time. Thus, the first guess for the smoother is the ensemble Kalman filter solution, and the smoother estimate provides an improvement of this, as one would expect a smoother to do. The method is demonstrated in this paper in an intercomparison with the ensemble Kalman filter and the ensemble smoother introduced by van Leeuwen and Evensen, and it is shown to be superior in an application with the Lorenz equations. Finally , a discussion is given regarding the properties of the analysis schemes when strongly non-Gaussian distributions are used. It is shown that in these cases more sophisticated analysis schemes based on Bayesian statistics must be used.

Advances in sequential data assimilation and numerical weather forecasting: an Ensemble Transform Kalman-Bucy Filter, a study on clustering in deterministic Ensemble Square Root Filters, and a test of a new time stepping scheme in an atmospheric model

This dissertation deals with aspects of sequential data assimilation (in particular ensemble Kalman filtering) and numerical weather forecasting. In the first part, the recently formulated Ensemble Kalman-Bucy (EnKBF) filter is revisited. It is shown that the previously used numerical integration scheme fails when the magnitude of the background error covariance grows beyond that of the observational error covariance in the forecast window. Therefore, we present a suitable integration scheme that handles the stiffening of the differential equations involved and doesn’t represent further computational expense. Moreover, a transform-based alternative to the EnKBF is developed: under this scheme, the operations are performed in the ensemble space instead of in the state space. Advantages of this formulation are explained. For the first time, the EnKBF is implemented in an atmospheric model. The second part of this work deals with ensemble clustering, a phenomenon that arises when performing data assimilation using of deterministic ensemble square root filters in highly nonlinear forecast models. Namely, an M-member ensemble detaches into an outlier and a cluster of M-1 members. Previous works may suggest that this issue represents a failure of EnSRFs; this work dispels that notion. It is shown that ensemble clustering can be reverted also due to nonlinear processes, in particular the alternation between nonlinear expansion and compression of the ensemble for different regions of the attractor. Some EnSRFs that use random rotations have been developed to overcome this issue; these formulations are analyzed and their advantages and disadvantages with respect to common EnSRFs are discussed. The third and last part contains the implementation of the Robert-Asselin-Williams (RAW) filter in an atmospheric model. The RAW filter is an improvement to the widely popular Robert-Asselin filter that successfully suppresses spurious computational waves while avoiding any distortion in the mean value of the function. Using statistical significance tests both at the local and field level, it is shown that the climatology of the SPEEDY model is not modified by the changed time stepping scheme; hence, no retuning of the parameterizations is required. It is found the accuracy of the medium-term forecasts is increased by using the RAW filter.

Bayesian model averaging and identification of structural breaks in time series

Bayesian Model Averaging (BMA) is used for testing for multiple break points in univariate series using conjugate normal-gamma priors. This approach can test for the number of structural breaks and produce posterior probabilities for a break at each point in time. Results are averaged over specifications including: stationary; stationary around trend and unit root models, each containing different types and number of breaks and different lag lengths. The procedures are used to test for structural breaks on 14 annual macroeconomic series and 11 natural resource price series. The results indicate that there are structural breaks in all of the natural resource series and most of the macroeconomic series. Many of the series had multiple breaks. Our findings regarding the existence of unit roots, having allowed for structural breaks in the data, are largely consistent with previous work.

The value premium and time-varying volatility

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the difference in returns between value and growth stocks. This paper examines the post-1963 value premium by employing a model that captures the time-varying total risk of the value-minus-growth portfolios. Our results show that the time-series of value premia is strongly and positively correlated with its volatility. This conclusion is robust to the criterion used to sort stocks into value and growth portfolios and to the country under review (the US and the UK). Our paper is consistent with evidence on the possible role of idiosyncratic risk in explaining equity returns, and also with a separate strand of literature concerning the relative lack of reversibility of value firms' investment decisions.

Model-based groupware solution for distributed real-time collaborative 4D planning via teamwork

Construction planning plays a fundamental role in construction project management that requires team working among planners from a diverse range of disciplines and in geographically dispersed working situations. Model-based four-dimensional (4D) computer-aided design (CAD) groupware, though considered a possible approach to supporting collaborative planning, is still short of effective collaborative mechanisms for teamwork due to methodological, technological and social challenges. Targeting this problem, this paper proposes a model-based groupware solution to enable a group of multidisciplinary planners to perform real-time collaborative 4D planning across the Internet. In the light of the interactive definition method, and its computer-supported collaborative work (CSCW) design analysis, the paper discusses the realization of interactive collaborative mechanisms from software architecture, application mode, and data exchange protocol. These mechanisms have been integrated into a groupware solution, which was validated by a planning team in a truly geographically dispersed condition. Analysis of the validation results revealed that the proposed solution is feasible for real-time collaborative 4D planning to gain a robust construction plan through collaborative teamwork. The realization of this solution triggers further considerations about its enhancement for wider groupware applications.

Real-time multi-model decadal climate predictions

We present the first climate prediction of the coming decade made with multiple models, initialized with prior observations. This prediction accrues from an international activity to exchange decadal predictions in near real-time, in order to assess differences and similarities, provide a consensus view to prevent over-confidence in forecasts from any single model, and establish current collective capability. We stress that the forecast is experimental, since the skill of the multi-model system is as yet unknown. Nevertheless, the forecast systems used here are based on models that have undergone rigorous evaluation and individually have been evaluated for forecast skill. Moreover, it is important to publish forecasts to enable open evaluation, and to provide a focus on climate change in the coming decade. Initialized forecasts of the year 2011 agree well with observations, with a pattern correlation of 0.62 compared to 0.31 for uninitialized projections. In particular, the forecast correctly predicted La Niña in the Pacific, and warm conditions in the north Atlantic and USA. A similar pattern is predicted for 2012 but with a weaker La Niña. Indices of Atlantic multi-decadal variability and Pacific decadal variability show no signal beyond climatology after 2015, while temperature in the Niño3 region is predicted to warm slightly by about 0.5 °C over the coming decade. However, uncertainties are large for individual years and initialization has little impact beyond the first 4 years in most regions. Relative to uninitialized forecasts, initialized forecasts are significantly warmer in the north Atlantic sub-polar gyre and cooler in the north Pacific throughout the decade. They are also significantly cooler in the global average and over most land and ocean regions out to several years ahead. However, in the absence of volcanic eruptions, global temperature is predicted to continue to rise, with each year from 2013 onwards having a 50 % chance of exceeding the current observed record. Verification of these forecasts will provide an important opportunity to test the performance of models and our understanding and knowledge of the drivers of climate change.

A time-invariant visco-elastic windkessel model relating blood flow and blood volume

The difference between the rate of change of cerebral blood volume (CBV) and cerebral blood flow (CBF) following stimulation is thought to be due to circumferential stress relaxation in veins (Mandeville, J.B., Marota, J.J.A., Ayata, C., Zaharchuk, G., Moskowitz, M.A., Rosen, B.R., Weisskoff, R.M., 1999. Evidence of a cerebrovascular postarteriole windkessel with delayed compliance. J. Cereb. Blood Flow Metab. 19, 679–689). In this paper we explore the visco-elastic properties of blood vessels, and present a dynamic model relating changes in CBF to changes in CBV. We refer to this model as the visco-elastic windkessel (VW) model. A novel feature of this model is that the parameter characterising the pressure–volume relationship of blood vessels is treated as a state variable dependent on the rate of change of CBV, producing hysteresis in the pressure–volume space during vessel dilation and contraction. The VW model is nonlinear time-invariant, and is able to predict the observed differences between the time series of CBV and that of CBF measurements following changes in neural activity. Like the windkessel model derived by Mandeville, J.B., Marota, J.J.A., Ayata, C., Zaharchuk, G., Moskowitz, M.A., Rosen, B.R., Weisskoff, R.M., 1999. Evidence of a cerebrovascular postarteriole windkessel with delayed compliance. J. Cereb. Blood Flow Metab. 19, 679–689, the VW model is primarily a model of haemodynamic changes in the venous compartment. The VW model is demonstrated to have the following characteristics typical of visco-elastic materials: (1) hysteresis, (2) creep, and (3) stress relaxation, hence it provides a unified model of the visco-elastic properties of the vasculature. The model will not only contribute to the interpretation of the Blood Oxygen Level Dependent (BOLD) signals from functional Magnetic Resonance Imaging (fMRI) experiments, but also find applications in the study and modelling of the brain vasculature and the haemodynamics of circulatory and cardiovascular systems.

A 27 day persistence model of near-Earth solar wind conditions: a long lead-time forecast and a benchmark for dynamical models

Geomagnetic activity has long been known to exhibit approximately 27 day periodicity, resulting from solar wind structures repeating each solar rotation. Thus a very simple near-Earth solar wind forecast is 27 day persistence, wherein the near-Earth solar wind conditions today are assumed to be identical to those 27 days previously. Effective use of such a persistence model as a forecast tool, however, requires the performance and uncertainty to be fully characterized. The first half of this study determines which solar wind parameters can be reliably forecast by persistence and how the forecast skill varies with the solar cycle. The second half of the study shows how persistence can provide a useful benchmark for more sophisticated forecast schemes, namely physics-based numerical models. Point-by-point assessment methods, such as correlation and mean-square error, find persistence skill comparable to numerical models during solar minimum, despite the 27 day lead time of persistence forecasts, versus 2–5 days for numerical schemes. At solar maximum, however, the dynamic nature of the corona means 27 day persistence is no longer a good approximation and skill scores suggest persistence is out-performed by numerical models for almost all solar wind parameters. But point-by-point assessment techniques are not always a reliable indicator of usefulness as a forecast tool. An event-based assessment method, which focusses key solar wind structures, finds persistence to be the most valuable forecast throughout the solar cycle. This reiterates the fact that the means of assessing the “best” forecast model must be specifically tailored to its intended use.

The significance of occupancy steadiness in residential consumer response to Time of Use pricing: Evidence from a stochastic adjustment model

The recent roll-out of smart metering technologies in several developed countries has intensified research on the impacts of Time-of-Use (TOU) pricing on consumption. This paper analyses a TOU dataset from the Province of Trento in Northern Italy using a stochastic adjustment model. Findings highlight the non-steadiness of the relationship between consumption and TOU price. Weather and active occupancy can partly explain future consumption in relation to price.