Bayesian longitudinal data analysis with mixed models and thick-tailed distributions using MCMC

Linear mixed effects models are frequently used to analyse longitudinal data, due to their flexibility in modelling the covariance structure between and within observations. Further, it is easy to deal with unbalanced data, either with respect to the number of observations per subject or per time period, and with varying time intervals between observations. In most applications of mixed models to biological sciences, a normal distribution is assumed both for the random effects and for the residuals. This, however, makes inferences vulnerable to the presence of outliers. Here, linear mixed models employing thick-tailed distributions for robust inferences in longitudinal data analysis are described. Specific distributions discussed include the Student-t, the slash and the contaminated normal. A Bayesian framework is adopted, and the Gibbs sampler and the Metropolis-Hastings algorithms are used to carry out the posterior analyses. An example with data on orthodontic distance growth in children is discussed to illustrate the methodology. Analyses based on either the Student-t distribution or on the usual Gaussian assumption are contrasted. The thick-tailed distributions provide an appealing robust alternative to the Gaussian process for modelling distributions of the random effects and of residuals in linear mixed models, and the MCMC implementation allows the computations to be performed in a flexible manner.

Elicitation of multivariate prior distributions: A nonparametric Bayesian approach

In the context of Bayesian statistical analysis, elicitation is the process of formulating a prior density f(.) about one or more uncertain quantities to represent a person's knowledge and beliefs. Several different methods of eliciting prior distributions for one unknown parameter have been proposed. However, there are relatively few methods for specifying a multivariate prior distribution and most are just applicable to specific classes of problems and/or based on restrictive conditions, such as independence of variables. Besides, many of these procedures require the elicitation of variances and correlations, and sometimes elicitation of hyperparameters which are difficult for experts to specify in practice. Garthwaite et al. (2005) discuss the different methods proposed in the literature and the difficulties of eliciting multivariate prior distributions. We describe a flexible method of eliciting multivariate prior distributions applicable to a wide class of practical problems. Our approach does not assume a parametric form for the unknown prior density f(.), instead we use nonparametric Bayesian inference, modelling f(.) by a Gaussian process prior distribution. The expert is then asked to specify certain summaries of his/her distribution, such as the mean, mode, marginal quantiles and a small number of joint probabilities. The analyst receives that information, treating it as a data set D with which to update his/her prior beliefs to obtain the posterior distribution for f(.). Theoretical properties of joint and marginal priors are derived and numerical illustrations to demonstrate our approach are given. (C) 2010 Elsevier B.V. All rights reserved.

Robust linear mixed models with normal/independent distributions and Bayesian MCMC implementation

Linear mixed effects models have been widely used in analysis of data where responses are clustered around some random effects, so it is not reasonable to assume independence between observations in the same cluster. In most biological applications, it is assumed that the distributions of the random effects and of the residuals are Gaussian. This makes inferences vulnerable to the presence of outliers. Here, linear mixed effects models with normal/independent residual distributions for robust inferences are described. Specific distributions examined include univariate and multivariate versions of the Student-t, the slash and the contaminated normal. A Bayesian framework is adopted and Markov chain Monte Carlo is used to carry out the posterior analysis. The procedures are illustrated using birth weight data on rats in a texicological experiment. Results from the Gaussian and robust models are contrasted, and it is shown how the implementation can be used for outlier detection. The thick-tailed distributions provide an appealing robust alternative to the Gaussian process in linear mixed models, and they are easily implemented using data augmentation and MCMC techniques.

Simulação sequencial na interpolação dos dados de entrada ou saída do modelo de lixiviação do software Araquá

Pós-graduação em Agronomia (Irrigação e Drenagem) - FCA

The generator coordinate Hartree-Fock method as strategy for building Gaussian basis sets to ab initio study of the process of adsorption of sulfur on platinum (200) surface

The scheme named generator coordinate Hartree-Fock method (GCHF) is used to build (22s14p) and (33s22p16d9f) gaussian basis sets to S ((3)P) and Pt ((3)D) atoms, respectively. Theses basis sets are contracted to [13s10p] and [19s13p9d5f] through of Dunning's segmented contraction scheme and are enriched with d and g polarization functions, [13s10p1d] and [19s13p9d5flg]. Finally, the [19s13p9d5f1g] basis Set to Pt ((3)D) was supplemented with s and d diffuse functions, [20s13p10d5flg], and used in combination with [13s10p1d] to study the effects of adsorption of S ((3)D) atom on a pt ((3)D) atom belonged to infinite Pt (200) surface. Atom-atom overlap population, bond order, and infrared spectrum of [pt(_)S](2 -) were calculated properties and were carried out at Hartree-Fock-Roothaan level. The results indicate that the process of adsorption of S ((3)P) on pt ((3)D) in the infinite Pt (200) surface is mainly caused by a strong contribution of sigma between the 3p(z) orbital of S ((3)P) and the 6s orbital of pt ((3)D). (c) 2004 Elsevier B.V. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

The gradually truncated Lévy flight: Stochastic process for complex systems

Power-law distributions, i.e. Levy flights have been observed in various economical, biological, and physical systems in high-frequency regime. These distributions can be successfully explained via gradually truncated Levy flight (GTLF). In general, these systems converge to a Gaussian distribution in the low-frequency regime. In the present work, we develop a model for the physical basis for the cut-off length in GTLF and its variation with respect to the time interval between successive observations. We observe that GTLF automatically approach a Gaussian distribution in the low-frequency regime. We applied the present method to analyze time series in some physical and financial systems. The agreement between the experimental results and theoretical curves is excellent. The present method can be applied to analyze time series in a variety of fields, which in turn provide a basis for the development of further microscopic models for the system. © 2000 Elsevier Science B.V. All rights reserved.

The Canny detector with edge region focusing using an anisotropic diffusion process

This paper proposes a methodology for edge detection in digital images using the Canny detector, but associated with a priori edge structure focusing by a nonlinear anisotropic diffusion via the partial differential equation (PDE). This strategy aims at minimizing the effect of the well-known duality of the Canny detector, under which is not possible to simultaneously enhance the insensitivity to image noise and the localization precision of detected edges. The process of anisotropic diffusion via thePDE is used to a priori focus the edge structure due to its notable characteristic in selectively smoothing the image, leaving the homogeneous regions strongly smoothed and mainly preserving the physical edges, i.e., those that are actually related to objects presented in the image. The solution for the mentioned duality consists in applying the Canny detector to a fine gaussian scale but only along the edge regions focused by the process of anisotropic diffusion via the PDE. The results have shown that the method is appropriate for applications involving automatic feature extraction, since it allowed the high-precision localization of thinned edges, which are usually related to objects present in the image. © Nauka/Interperiodica 2006.