Measuring and testing for the systemically important financial institutions

This paper analyzes the measure of systemic importance ∆CoV aR proposed by Adrian and Brunnermeier (2009, 2010) within the context of a similar class of risk measures used in the risk management literature. In addition, we develop a series of testing procedures, based on ∆CoV aR, to identify and rank the systemically important institutions. We stress the importance of statistical testing in interpreting the measure of systemic importance. An empirical application illustrates the testing procedures, using equity data for three European banks.

Linking Canadian Harvested Juvenile American Black Ducks to Their Natal Areas Using Stable Isotope (δD, δ13C, and δ15N) Methods

Understanding source-sink dynamics of game birds is essential to harvest and habitat management but acquiring this information is often logistically and financially challenging using traditional methods of population surveys and banding studies. This is especially true for species such as the American Black Duck (Anas rubripes), which have low breeding densities and extensive breeding ranges that necessitate extensive surveys and banding programs across eastern North America. Despite this effort, the contribution of birds fledged from various landscapes and habitat types within specific breeding ranges to regional harvest is largely unknown but remains an important consideration in adaptive harvest management and targeted habitat conservation strategies. We investigated if stable isotope (δD, δ13C, δ15N) could augment our present understanding of connectivity between breeding and harvest areas and so provide information relevant to the two main management strategies for black ducks, harvest and habitat management. We obtained specimens from 200 hatch-year Black Duck wings submitted to the Canadian Wildlife Service Species Composition Survey. Samples were obtained from birds harvested in Western, Central, and Eastern breeding/harvest subregions to provide a sample representative of the range and harvest rate of birds harvested in Canada. We sampled only hatch-year birds to provide an unambiguous and direct link between production and harvest areas. Marine origins were assigned to 12%, 7%, and 5% of birds harvested in the Eastern, Central, and Western subregions, respectively. In contrast, 32%, 9%, and 5% of birds were assigned, respectively, to agricultural origins. All remaining birds were assigned to nonagricultural origins. We portrayed probability of origin using a combination of Bayesian statistical and GIS methods. Placement of most eastern birds was western Nova Scotia, eastern New Brunswick, Prince Edward Island, and southern Newfoundland. Agricultural birds from the Central region were consistent with the Saguenay region of Québec and the eastern claybelt with nonagricultural birds originating in the boreal. Western nonagricultural birds were associated with broad boreal origins from southern James Bay to Lake of the Woods and east to Cochrane, Ontario. Our work shows that the geographic origins, landscape, and habitat associations of hatch-year Black Ducks can be inferred using this technique and we recommend that a broad-scale isotopic study using a large sample of Canadian and US harvested birds be implemented to provide a continental perspective of source-sink population dynamics.

Tropospheric planetary wave dynamics and mixture modeling: Two preferred regimes and a regime shift

Investigation of preferred structures of planetary wave dynamics is addressed using multivariate Gaussian mixture models. The number of components in the mixture is obtained using order statistics of the mixing proportions, hence avoiding previous difficulties related to sample sizes and independence issues. The method is first applied to a few low-order stochastic dynamical systems and data from a general circulation model. The method is next applied to winter daily 500-hPa heights from 1949 to 2003 over the Northern Hemisphere. A spatial clustering algorithm is first applied to the leading two principal components (PCs) and shows significant clustering. The clustering is particularly robust for the first half of the record and less for the second half. The mixture model is then used to identify the clusters. Two highly significant extratropical planetary-scale preferred structures are obtained within the first two to four EOF state space. The first pattern shows a Pacific-North American (PNA) pattern and a negative North Atlantic Oscillation (NAO), and the second pattern is nearly opposite to the first one. It is also observed that some subspaces show multivariate Gaussianity, compatible with linearity, whereas others show multivariate non-Gaussianity. The same analysis is also applied to two subperiods, before and after 1978, and shows a similar regime behavior, with a slight stronger support for the first subperiod. In addition a significant regime shift is also observed between the two periods as well as a change in the shape of the distribution. The patterns associated with the regime shifts reflect essentially a PNA pattern and an NAO pattern consistent with the observed global warming effect on climate and the observed shift in sea surface temperature around the mid-1970s.

Evidence for long-term regional changes in precipitation on the East Coast Mountains in Mauritius

Global climate change and its impacts are being increasingly studied and precipitation trends are one of the measures of quantifying climate change especially in the tropics. This study uses daily rainfall data to determine if there are changes in the long-term trends in rainfall variability in the East Coast Mountains of Mauritius during the last few decades, and to investigate the factors influencing the trends in the inter-annual to inter-decadal rainfall variability. Statistical modelling has been used to investigate the trends in total seasonal rainfall, the number of rain days and the mean amount of rain per rainy days and the local, regional and large-scale factors that affect them on inter-annual to inter-decadal time scales. The strongest inter-decadal trend was found in the number of rain days for both rainfall seasons, and the other variables were found to have weak or insignificant trends. Both local factors, such as the surrounding sea surface temperatures and large-scale phenomena such as Indian Monsoon and the El Niño Southern Oscillation were found to influence rainfall patterns.

The effects of different knowledge-dissemination interventions on the mastitis knowledge of Tanzanian smallholder dairy farmers

We developed three different knowledge-dissemination methods for educating Tanzanian smallholder farmers about mastitis in their dairy cattle. The effectiveness of these methods (and their combinations) was evaluated and quantified using a randomised controlled trial and multilevel statistical modelling. To our knowledge, this is the first study that has used such techniques to evaluate the effectiveness of different knowledge-dissemination interventions for adult learning in developing countries. Five different combinations of knowledge-dissemination method were compared: 'diagrammatic handout' ('HO'), 'village meeting' ('VM'), 'village meeting and video' ('VM + V), 'village meeting and diagrammatic handout' ('VM + HO') and 'village meeting, video and diagrammatic handout' ('VM + V + HO'). Smallholder dairy farmers were exposed to only one of these interventions, and the effectiveness of each was compared to a control ('C') group, who received no intervention. The mastitis knowledge of each farmer (n = 256) was evaluated by questionnaire both pre- and post-dissemination. Generalised linear mixed models were used to evaluate the effectiveness of the different interventions. The outcome variable considered was the probability of volunteering correct responses to mastitis questions post-dissemination, with 'village' and 'farmer' considered as random effects in the model. Results showed that all five interventions, 'HO' (odds ratio (OR) = 3.50, 95% confidence intervals (CI) = 3.10, 3.96), 'VM + V + HO' (OR = 3.34, 95% CI = 2.94, 3.78), 'VM + HO, (OR=3.28, 95% CI=2.90, 3.71), WM+V (OR=3.22, 95% CI=2.84, 3.64) and 'VM' (OR = 2.61, 95% CI = 2.31, 2.95), were significantly (p < 0.0001) more effective at disseminating mastitis knowledge than no intervention. In addition, the 'VM' method was less effective at disseminating mastitis knowledge than other interventions. Combinations of methods showed no advantage over the diagrammatic handout alone. Other explanatory variables with significant positive associations on mastitis knowledge included education to secondary school level or higher, and having previously learned about mastitis by reading pamphlets or attendance at an animal-health course. (c) 2005 Elsevier B.V. All rights reserved.

In vitro microbial inoculum: A review of its function and properties

This review considers microbial inocula used in in vitro systems from the perspective of their ability to degrade or ferment a particular substrate, rather than the microbial species that it contains. By necessity, this required an examination of bacterial, protozoal and fungal populations of the rumen and hindgut with respect to factors influencing their activity. The potential to manipulate these populations through diet or sampling time are examined, as is inoculum preparation and level. The main alternatives to fresh rumen fluid (i.e., caecal digesta or faeces) are discussed with respect to end-point degradabilities and fermentation dynamics. Although the potential to use rumen contents obtained from donor animals at slaughter offers possibilities, the requirement to store it and its subsequent loss of activity are limitations. Statistical modelling of data, although still requiring a deal of developmental work, may offer an alternative approach. Finally, with respect to the range of in vitro methodologies and equipment employed, it is suggested that a degree of uniformity could be obtained through generation of a set of guidelines relating to the host animal, sampling technique and inoculum preparation. It was considered unlikely that any particular system would be accepted as the 'standard' procedure. However, before any protocol can be adopted, additional data are required (e.g., a method to assess inoculum 'quality' with respect to its fermentative and/or degradative activity), preparation/inoculation techniques need to be refined and a methodology to store inocula without loss of efficacy developed. (c) 2005 Elsevier B.V. All rights reserved.

Opportunities for reduction in acute toxicity testing via improved design

The conventional method for assessing acute oral toxicity (OECD Test Guideline 401) was designed to identify the median lethal dose (LD50), using the death of animals as an endpoint. Introduced as an alternative method (OECD Test Guideline 420), the Fixed Dose Procedure (FDP) relies on the observation of clear signs of toxicity, uses fewer animals and causes less suffering. More recently, the Acute Toxic Class method and the Up-and-Down Procedure have also been adopted as OECD test guidelines. Both of these methods also use fewer animals than the conventional method, although they still use death as an endpoint. Each of the three new methods incorporates a sequential dosing procedure, which results in increased efficiency. In 1999, with a view to replacing OECD Test Guideline 401, the OECD requested that the three new test guidelines be updated. This was to bring them in line with the regulatory needs of all OECD Member Countries, provide further reductions in the number of animals used, and introduce refinements to reduce the pain and distress experienced by the animals. This paper describes a statistical modelling approach for the evaluation of acute oral toxicity tests, by using the revised FDP for illustration. Opportunities for further design improvements are discussed.

Methodological rigour in assessing participatory development

There have been few rigorous assessments of the effectiveness of participatory processes for natural resource management. In Bangladesh an approach known as Participatory Action Plan Development (PAPD) has been developed and applied. By combining problem identification and solution analysis by separate stakeholder groups with plenary sessions it is claimed to result in consensus and more effective community based management. Methodological issues in assessing the effectiveness of such development are discussed and good practice illustrated. Under the same project there were sites where PAPD had been used and others without its use so a comparative assessment could be made. However, for an appropriate assessment it is important to identify clear testable hypotheses regarding the expected benefits, appropriate measures, and other factors which may affect or confound the outcome. The paper illustrates how participatory assessment involving both individual opinions and focus groups can be systematically recorded, quantified and used with other data in statistical analysis. By using statistical modelling methods at an appropriate level of aggregation and controlling for other factors, benefits from PAPD were found to be significant. The systematic approaches and practices recommended from this example can be applied in similar situations to test the effectiveness of participatory processes using participatory assessments.

Identification of stimulatory and inhibitory inputs to the hypothalamic-pituitary-adrenal axis during hypoglycaemia or transport in ewes

This study used the novel approach of statistical modelling to investigate the control of hypothalamic-pituitary-adrenal (HPA) axis and quantify temporal relationships between hormones. Two experimental paradigms were chosen, insulin-induced hypoglycaemia and 2 h transport, to assess differences in control between noncognitive and cognitive stimuli. Vasopressin and corticotropin-releasing hormone (CRH) were measured in hypophysial portal plasma, and adrenocorticotropin hormone (ACTH) and cortisol in jugular plasma of conscious sheep, and deconvolution analysis was used to calculate secretory rates, before modelling. During hypoglycaemia, the relationship between plasma glucose and vasopressin or CRH was best described by log(10) transforming variables (i.e. a positive power-curve relationship). A negative-feedback relationship with log(10) cortisol concentration 2 h previously was detected. Analysis of the 'transport' stimulus suggested that the strength of the perceived stimulus decreased over time after accounting for cortisol facilitation and negative-feedback. The time course of vasopressin and CRH responses to each stimulus were different However, at the pituitary level, the data suggested that log(10) ACTH secretion rate was related to log(10) vasopressin and CRH concentrations with very similar regression coefficients and an identical ratio of actions (2.3 : 1) for both stimuli. Similar magnitude negative-feedback effects of log(10) cortisol at -110 min (hypoglycaemia) or -40 min (transport) were detected, and both models contained a stimulatory relationship with cortisol at 0 min (facilitation). At adrenal gland level, cortisol secretory rates were related to simultaneously measured untransformed ACTH concentration but the regression coefficient for the hypoglycaemia model was 2.5-fold greater than for transport. No individual sustained maximum cortisol secretion for longer than 20 min during hypoglycaemia and 40 min during transport. These unique models demonstrate that corticosteroid negative-feedback is a significant control mechanism at both the pituitary and hypothalamus. The amplitude of HPA response may be related to stimulus intensity and corticosteroid negative-feedback, while duration depended on feedback alone.

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.

The experimetrics of public goods: inferring motivations from contributions

In public goods experiments, stochastic choice, censoring and motivational heterogeneity give scope for disagreement over the extent of unselfishness, and whether it is reciprocal or altruistic. We show that these problems can be addressed econometrically, by estimating a finite mixture model to isolate types, incorporating double censoring and a tremble term. Most subjects act selfishly, but a substantial proportion are reciprocal with altruism playing only a marginal role. Isolating reciprocators enables a test of Sugden’s model of voluntary contributions. We estimate that reciprocators display a self-serving bias relative to the model.

Equipped to deal with uncertainty in climate and impacts predictions: lessons from internal peer review

The quantification of uncertainty is an increasingly popular topic, with clear importance for climate change policy. However, uncertainty assessments are open to a range of interpretations, each of which may lead to a different policy recommendation. In the EQUIP project researchers from the UK climate modelling, statistical modelling, and impacts communities worked together on ‘end-to-end’ uncertainty assessments of climate change and its impacts. Here, we use an experiment in peer review amongst project members to assess variation in the assessment of uncertainties between EQUIP researchers. We find overall agreement on key sources of uncertainty but a large variation in the assessment of the methods used for uncertainty assessment. Results show that communication aimed at specialists makes the methods used harder to assess. There is also evidence of individual bias, which is partially attributable to disciplinary backgrounds. However, varying views on the methods used to quantify uncertainty did not preclude consensus on the consequential results produced using those methods. Based on our analysis, we make recommendations for developing and presenting statements on climate and its impacts. These include the use of a common uncertainty reporting format in order to make assumptions clear; presentation of results in terms of processes and trade-offs rather than only numerical ranges; and reporting multiple assessments of uncertainty in order to elucidate a more complete picture of impacts and their uncertainties. This in turn implies research should be done by teams of people with a range of backgrounds and time for interaction and discussion, with fewer but more comprehensive outputs in which the range of opinions is recorded.

Sparse density estimation on the multinomial manifold

A new sparse kernel density estimator is introduced based on the minimum integrated square error criterion for the finite mixture model. Since the constraint on the mixing coefficients of the finite mixture model is on the multinomial manifold, we use the well-known Riemannian trust-region (RTR) algorithm for solving this problem. The first- and second-order Riemannian geometry of the multinomial manifold are derived and utilized in the RTR algorithm. Numerical examples are employed to demonstrate that the proposed approach is effective in constructing sparse kernel density estimators with an accuracy competitive with those of existing kernel density estimators.

A survey of data mining techniques for social media analysis

Social network has gained remarkable attention in the last decade. Accessing social network sites such as Twitter, Facebook LinkedIn and Google+ through the internet and the web 2.0 technologies has become more affordable. People are becoming more interested in and relying on social network for information, news and opinion of other users on diverse subject matters. The heavy reliance on social network sites causes them to generate massive data characterised by three computational issues namely; size, noise and dynamism. These issues often make social network data very complex to analyse manually, resulting in the pertinent use of computational means of analysing them. Data mining provides a wide range of techniques for detecting useful knowledge from massive datasets like trends, patterns and rules [44]. Data mining techniques are used for information retrieval, statistical modelling and machine learning. These techniques employ data pre-processing, data analysis, and data interpretation processes in the course of data analysis. This survey discusses different data mining techniques used in mining diverse aspects of the social network over decades going from the historical techniques to the up-to-date models, including our novel technique named TRCM. All the techniques covered in this survey are listed in the Table.1 including the tools employed as well as names of their authors.

Forecasting elections

In this paper we assess opinion polls, prediction markets, expert opinion and statistical modelling over a large number of US elections in order to determine which perform better in terms of forecasting outcomes. In line with existing literature, we bias-correct opinion polls. We consider accuracy, bias and precision over different time horizons before an election, and we conclude that prediction markets appear to provide the most precise forecasts and are similar in terms of bias to opinion polls. We find that our statistical model struggles to provide competitive forecasts, while expert opinion appears to be of value. Finally we note that the forecast horizon matters; whereas prediction market forecasts tend to improve the nearer an election is, opinion polls appear to perform worse, while expert opinion performs consistently throughout. We thus contribute to the growing literature comparing election forecasts of polls and prediction markets.