Time-series regression models to study the short-term effects of environmental factors on health

Time series regression models are especially suitable in epidemiology for evaluating short-term effects of time-varying exposures on health. The problem is that potential for confounding in time series regression is very high. Thus, it is important that trend and seasonality are properly accounted for. Our paper reviews the statistical models commonly used in time-series regression methods, specially allowing for serial correlation, make them potentially useful for selected epidemiological purposes. In particular, we discuss the use of time-series regression for counts using a wide range Generalised Linear Models as well as Generalised Additive Models. In addition, recently critical points in using statistical software for GAM were stressed, and reanalyses of time series data on air pollution and health were performed in order to update already published. Applications are offered through an example on the relationship between asthma emergency admissions and photochemical air pollutants

Metodologías de valoración de empresas

La valoración de una empresa como sistema dinámico es bastante compleja, los diferentes modelos o métodos de valoración son una aproximación teórica y por consiguiente simplificadora de la realidad. Dichos modelos, se aproximan mediante supuestos o premisas estadísticas que nos permiten hacer dicha simplificación, ejemplos de estos, son el comportamiento del inversionista o la eficiencia del mercado. Bajo el marco de un mercado emergente, este proceso presenta de indistinta forma retos paracualquier método de valoración, dado a que el mercado no obedece a los paradigmas tradicionales. Lo anterior hace referencia a que la valoración es aún más compleja, dado que los inversionistas se enfrentan a mayores riesgos y obstáculos. Así mismo, a medida que las economías se globalizan y el capital es más móvil, la valoración tomaráaún más importancia en el contexto citado. Este trabajo de gradopretende recopilar y analizar los diferentes métodos de valoración, además de identificar y aplicar aquellos que se reconocen como “buenas prácticas”. Este proceso se llevó a cabo para una de las empresas más importantes de Colombia, donde fundamentalmente se consideró el contexto de mercado emergente y específicamente el sector petrolero, como criterios para la aplicación del tradicional DCF y el práctico R&V.

Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm

Capturing the pattern of structural change is a relevant task in applied demand analysis, as consumer preferences may vary significantly over time. Filtering and smoothing techniques have recently played an increasingly relevant role. A dynamic Almost Ideal Demand System with random walk parameters is estimated in order to detect modifications in consumer habits and preferences, as well as changes in the behavioural response to prices and income. Systemwise estimation, consistent with the underlying constraints from economic theory, is achieved through the EM algorithm. The proposed model is applied to UK aggregate consumption of alcohol and tobacco, using quarterly data from 1963 to 2003. Increased alcohol consumption is explained by a preference shift, addictive behaviour and a lower price elasticity. The dynamic and time-varying specification is consistent with the theoretical requirements imposed at each sample point. (c) 2005 Elsevier B.V. All rights reserved.

A structural time series approach to modelling multiple and resurgent meat scares in Italy

This paper exploits a structural time series approach to model the time pattern of multiple and resurgent food scares and their direct and cross-product impacts on consumer response. A structural time series Almost Ideal Demand System (STS-AIDS) is embedded in a vector error correction framework to allow for dynamic effects (VEC-STS-AIDS). Italian aggregate household data on meat demand is used to assess the time-varying impact of a resurgent BSE crisis (1996 and 2000) and the 1999 Dioxin crisis. The VEC-STS-AIDS model monitors the short-run impacts and performs satisfactorily in terms of residuals diagnostics, overcoming the major problems encountered by the customary vector error correction approach.

Mutational meltdown in primary endosymbionts: selection limits Muller's ratchet

Background Primary bacterial endosymbionts of insects (p-endosymbionts) are thought to be undergoing the process of Muller's ratchet where they accrue slightly deleterious mutations due to genetic drift in small populations with negligible recombination rates. If this process were to go unchecked over time, theory predicts mutational meltdown and eventual extinction. Although genome degradation is common among p-endosymbionts, we do not observe widespread p-endosymbiont extinction, suggesting that Muller's ratchet may be slowed or even stopped over time. For example, selection may act to slow the effects of Muller's ratchet by removing slightly deleterious mutations before they go to fixation thereby causing a decrease in nucleotide substitutions rates in older p-endosymbiont lineages. Methodology/Principal Findings To determine whether selection is slowing the effects of Muller's ratchet, we determined the age of the Candidatus Riesia/sucking louse assemblage and analyzed the nucleotide substitution rates of several p-endosymbiont lineages that differ in the length of time that they have been associated with their insect hosts. We find that Riesia is the youngest p-endosymbiont known to date, and has been associated with its louse hosts for only 13–25 My. Further, it is the fastest evolving p-endosymbiont with substitution rates of 19–34% per 50 My. When comparing Riesia to other insect p-endosymbionts, we find that nucleotide substitution rates decrease dramatically as the age of endosymbiosis increases. Conclusions/Significance A decrease in nucleotide substitution rates over time suggests that selection may be limiting the effects of Muller's ratchet by removing individuals with the highest mutational loads and decreasing the rate at which new mutations become fixed. This countering effect of selection could slow the overall rate of endosymbiont extinction.

Ratio selection for classification models

This paper is concerned with the selection of inputs for classification models based on ratios of measured quantities. For this purpose, all possible ratios are built from the quantities involved and variable selection techniques are used to choose a convenient subset of ratios. In this context, two selection techniques are proposed: one based on a pre-selection procedure and another based on a genetic algorithm. In an example involving the financial distress prediction of companies, the models obtained from ratios selected by the proposed techniques compare favorably to a model using ratios usually found in the financial distress literature.

Single trial BCI operation via Wackermann parameters

Accurate single trial P300 classification lends itself to fast and accurate control of Brain Computer Interfaces (BCIs). Highly accurate classification of single trial P300 ERPs is achieved by characterizing the EEG via corresponding stationary and time-varying Wackermann parameters. Subsets of maximally discriminating parameters are then selected using the Network Clustering feature selection algorithm and classified with Naive-Bayes and Linear Discriminant Analysis classifiers. Hence the method is assessed on two different data-sets from BCI competitions and is shown to produce accuracies of between approximately 70% and 85%. This is promising for the use of Wackermann parameters as features in the classification of single-trial ERP responses.

Structure adaptation of linear MMSE adaptive filters

The tap-length, or the number of the taps, is an important structural parameter of the linear MMSE adaptive filter. Although the optimum tap-length that balances performance and complexity varies with scenarios, most current adaptive filters fix the tap-length at some compromise value, making them inefficient to implement especially in time-varying scenarios. A novel gradient search based variable tap-length algorithm is proposed, using the concept of the pseudo-fractional tap-length, and it is shown that the new algorithm can converge to the optimum tap-length in the mean. Results of computer simulations are also provided to verify the analysis.

On the utility of input selection and pruning for financial distress prediction models

Analyzes the use of linear and neural network models for financial distress classification, with emphasis on the issues of input variable selection and model pruning. A data-driven method for selecting input variables (financial ratios, in this case) is proposed. A case study involving 60 British firms in the period 1997-2000 is used for illustration. It is shown that the use of the Optimal Brain Damage pruning technique can considerably improve the generalization ability of a neural model. Moreover, the set of financial ratios obtained with the proposed selection procedure is shown to be an appropriate alternative to the ratios usually employed by practitioners.

A three-compartment model of the hemodynamic response and oxygen delivery to brain

We describe a mathematical model linking changes in cerebral blood flow, blood volume and the blood oxygenation state in response to stimulation. The model has three compartments to take into account the fact that the cerebral blood flow and volume as measured concurrently using laser Doppler flowmetry and optical imaging spectroscopy have contributions from the arterial, capillary as well as the venous compartments of the vasculature. It is an extension to previous one-compartment hemodynamic models which assume that the measured blood volume changes are from the venous compartment only. An important assumption of the model is that the tissue oxygen concentration is a time varying state variable of the system and is driven by the changes in metabolic demand resulting from changes in neural activity. The model takes into account the pre-capillary oxygen diffusion by flexibly allowing the saturation of the arterial compartment to be less than unity. Simulations are used to explore the sensitivity of the model and to optimise the parameters for experimental data. We conclude that the three-compartment model was better than the one-compartment model at capturing the hemodynamics of the response to changes in neural activation following stimulation.

Online bayesian inference in some time-frequency representations of non-stationary processes

The use of Bayesian inference in the inference of time-frequency representations has, thus far, been limited to offline analysis of signals, using a smoothing spline based model of the time-frequency plane. In this paper we introduce a new framework that allows the routine use of Bayesian inference for online estimation of the time-varying spectral density of a locally stationary Gaussian process. The core of our approach is the use of a likelihood inspired by a local Whittle approximation. This choice, along with the use of a recursive algorithm for non-parametric estimation of the local spectral density, permits the use of a particle filter for estimating the time-varying spectral density online. We provide demonstrations of the algorithm through tracking chirps and the analysis of musical data.

Três ensaios sobre política monetária e crédito

In the first essay, "Determinants of Credit Expansion in Brazil", analyzes the determinants of credit using an extensive bank level panel dataset. Brazilian economy has experienced a major boost in leverage in the first decade of 2000 as a result of a set factors ranging from macroeconomic stability to the abundant liquidity in international financial markets before 2008 and a set of deliberate decisions taken by President Lula's to expand credit, boost consumption and gain political support from the lower social strata. As relevant conclusions to our investigation we verify that: credit expansion relied on the reduction of the monetary policy rate, international financial markets are an important source of funds, payroll-guaranteed credit and investment grade status affected positively credit supply. We were not able to confirm the importance of financial inclusion efforts. The importance of financial sector sanity indicators of credit conditions cannot be underestimated. These results raise questions over the sustainability of this expansion process and financial stability in the future. The second essay, “Public Credit, Monetary Policy and Financial Stability”, discusses the role of public credit. The supply of public credit in Brazil has successfully served to relaunch the economy after the Lehman-Brothers demise. It was later transformed into a driver for economic growth as well as a regulation device to force private banks to reduce interest rates. We argue that the use of public funds to finance economic growth has three important drawbacks: it generates inflation, induces higher loan rates and may induce financial instability. An additional effect is the prevention of market credit solutions. This study contributes to the understanding of the costs and benefits of credit as a fiscal policy tool. The third essay, “Bayesian Forecasting of Interest Rates: Do Priors Matter?”, discusses the choice of priors when forecasting short-term interest rates. Central Banks that commit to an Inflation Target monetary regime are bound to respond to inflation expectation spikes and product hiatus widening in a clear and transparent way by abiding to a Taylor rule. There are various reports of central banks being more responsive to inflationary than to deflationary shocks rendering the monetary policy response to be indeed non-linear. Besides that there is no guarantee that coefficients remain stable during time. Central Banks may switch to a dual target regime to consider deviations from inflation and the output gap. The estimation of a Taylor rule may therefore have to consider a non-linear model with time varying parameters. This paper uses Bayesian forecasting methods to predict short-term interest rates. We take two different approaches: from a theoretic perspective we focus on an augmented version of the Taylor rule and include the Real Exchange Rate, the Credit-to-GDP and the Net Public Debt-to-GDP ratios. We also take an ”atheoretic” approach based on the Expectations Theory of the Term Structure to model short-term interest. The selection of priors is particularly relevant for predictive accuracy yet, ideally, forecasting models should require as little a priori expert insight as possible. We present recent developments in prior selection, in particular we propose the use of hierarchical hyper-g priors for better forecasting in a framework that can be easily extended to other key macroeconomic indicators.

A comparison of statistical methods for genomic selection in a mice population

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

CRITICAL EXPONENTS and SCALING PROPERTIES FOR THE CHAOTIC DYNAMICS of A PARTICLE IN A TIME-DEPENDENT POTENTIAL BARRIER

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Fermi acceleration and scaling properties of a time dependent oval billiard

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)