Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Determinants of rapid weight gain during infancy: Baseline results from the NOURISH randomised controlled trial.

Background: Rapid weight gain in infancy is an important predictor of obesity in later childhood. Our aim was to determine which modifiable variables are associated with rapid weight gain in early life. Methods: Subjects were healthy infants enrolled in NOURISH, a randomised, controlled trial evaluating an intervention to promote positive early feeding practices. This analysis used the birth and baseline data for NOURISH. Birthweight was collected from hospital records and infants were also weighed at baseline assessment when they were aged 4-7 months and before randomisation. Infant feeding practices and demographic variables were collected from the mother using a self administered questionnaire. Rapid weight gain was defined as an increase in weight-for-age Z-score (using WHO standards) above 0.67 SD from birth to baseline assessment, which is interpreted clinically as crossing centile lines on a growth chart. Variables associated with rapid weight gain were evaluated using a multivariable logistic regression model. Results: Complete data were available for 612 infants (88% of the total sample recruited) with a mean (SD) age of 4.3 (1.0) months at baseline assessment. After adjusting for mother's age, smoking in pregnancy, BMI, and education and infant birthweight, age, gender and introduction of solid foods, the only two modifiable factors associated with rapid weight gain to attain statistical significance were formula feeding [OR=1.72 (95%CI 1.01-2.94), P= 0.047] and feeding on schedule [OR=2.29 (95%CI 1.14-4.61), P=0.020]. Male gender and lower birthweight were non-modifiable factors associated with rapid weight gain. Conclusions: This analysis supports the contention that there is an association between formula feeding, feeding to schedule and weight gain in the first months of life. Mechanisms may include the actual content of formula milk (e.g. higher protein intake) or differences in feeding styles, such as feeding to schedule, which increase the risk of overfeeding. Trial Registration: Australian Clinical Trials Registry ACTRN12608000056392

Psycho-markers of weight loss. The roles of TFEQ Disinhibition and Restraint in exercise-induced weight management

Eating behaviour traits, namely Disinhibition and Restraint, have the potential to exert an effect on food intake and energy balance. The effectiveness of exercise as a method of weight management could be influenced by these traits. Fifty eight overweight and obese participants completed 12-weeks of supervised exercise. Each participant was prescribed supervised exercise based on an expenditure of 500 kcal/session, 5 d/week for 12-weeks. Following 12-weeks of exercise there was a significant reduction in mean body weight (-3.26 ± 3.63 kg), fat mass (FM: -3.26 ± 2.64 kg), BMI (-1.16 ± 1.17 kg/m2)and waist circumference (WC: -5.0 ± 3.23 cm). Regression analyses revealed a higher baseline Disinhibition score was associated with a greater reduction in BMI and WC, while Internal Disinhibition was associated with a larger decrease in weight, %FM and WC. Neither baseline Restraint or Hunger were associated with any of the anthropometric markers at baseline or after 12-weeks. Furthermore, after 12-weeks of exercise, a decrease in Disinhibition and increase in Restraint were associated with a greater reduction in WC, whereas only Restraint was associated with a decrease in weight. Post-hoc analysis of the sub-factors revealed a decrease in External Disinhibition and increase in Flexible Restraint were associated with weight loss. However, an increase in Rigid Restraint was associated with a reduction in %FM and WC. These findings suggest that exercise-induced weight loss is more marked in individuals with a high level of Disinhibition. These data demonstrate the important roles that Disinhibition and Restraint play in the relationship between exercise and energy balance.

Weight management and its role in breast cancer rehabilitation

Overweight and obesity are risk factors for post-menopausal breast cancer, and many women diagnosed with breast cancer, irrespective of menopausal status, gain weight after diagnosis. Weight management plays an important role in rehabilitation and recovery since obesity and/or weight gain may lead to poorer breast cancer prognosis, as well as prevalent co-morbid conditions (e.g. cardiovascular disease and diabetes), poorer surgical outcomes (e.g., increased operating and recovery times, higher infection rates, and poorer healing), lymphedema, fatigue, functional decline, and poorer health and overall quality of life. Health care professionals should encourage weight management at all phases of the cancer care continuum as a means to potentially avoid adverse sequelae and late effects, as well as to improve overall health and possibly survival. Comprehensive approaches that involve dietary and behavior modification, and increased aerobic and strength training exercise have shown promise in either preventing weight gain or promoting weight loss, reducing biomarkers associated with inflammation and co-morbidity, and improving lifestyle behaviors, functional status, and quality of life in this high-risk patient population.

Event-related brain potentials dissociate the developmental time-course of automatic numerical magnitude analysis and cognitive control functions during the first three years of primary school

In this study we set out to dissociate the developmental time course of automatic symbolic number processing and cognitive control functions in grade 1-3 British primary school children. Event-related potential (ERP) and behavioral data were collected in a physical size discrimination numerical Stroop task. Task-irrelevant numerical information was processed automatically already in grade 1. Weakening interference and strengthening facilitation indicated the parallel development of general cognitive control and automatic number processing. Relationships among ERP and behavioral effects suggest that control functions play a larger role in younger children and that automaticity of number processing increases from grade 1 to 3.

Investing in the future : analysis of TxDOT 1547 Over-Axle Weight Tolerance Permits

The trucking industry has played a significant role in the economic growth in Texas by transporting and distributing commodities using commercial motor vehicles. The Texas Department of Transportation (TxDOT), however, has recognized that the large number of overweight trucks operating on the state highway system has resulted in the deterioration of pavement condition. In addition, the permit fee to carry higher loads above legal limits is much lower than the cost to treat the increase in pavement damage. The primary purpose of the research presented in this paper is to investigate current TxDOT overweight permit structures to support pavement management. The research team analyzed the TxDOT “1547” Over-axle Weight Tolerance Permit structure to support an increase in the fee structure, bringing it more in line with the actual pavement damage. The analysis showed that the revised overweight permit structure could provide an additional $9.3 million annually for pavement maintenance needs by increasing current permit fees. These results were supported by the 2030 Committee for recommendation to the Texas Transportation Commission and consideration by the State Legislature [1]. The research team recommends conducting further research to identify methods for working cooperatively with the trucking industry to develop improved methods for assessing weight damage relationships and developing more effective and accurate means for assessing overweight permit fees.

Association between feeding style and weight gain in infants aged 2–7 months

Introduction: Feeding on demand supports an infant’s innate capacity to respond to hunger and satiety cues and may promote later self-regulation of intake. Our aim was to examine whether feeding style (on demand vs to schedule) is associated with weight gain in early life. Methods: Participants were first-time mothers of healthy term infants enrolled NOURISH, an RCT evaluating an intervention to promote positive early feeding practices. Baseline assessment occurred when infants were aged 2-7 months. Infants able to be categorised clearly as feeding on demand or to schedule (mothers self report) were included in the logistic regression analysis. The model was adjusted for gender, breastfeeding and maternal age, education, BMI. Weight gain was defined as a positive difference in baseline minus birthweight z-scores (WHO standards) which indicated tracking above weight percentile. Results: Data from 356 infants with a mean age of 4.4 (SD 1.0) months were available. Of these, 197 (55%) were fed on demand, 42 (12%) were fed on schedule. There was no statistical association between feeding style and weight gain [OR=0.72 (95%CI 0.35-1.46), P=0.36]. Formula fed infants were three times more likely to be fed on schedule and formula feeding was independently associated with increased weight gain [OR=2.02 (95%CI 1.11-3.66), P=0.021]. Conclusion: In this preliminary analysis the association between feeding style and weight gain did not reach statistical significance, however , the effect size may be clinically relevant and future analysis will include the full study sample (N=698).

The association between maternal infant feeding practices and child weight at 11-17 months in first-time Australian mothers

Introduction: Emerging evidence reveals that early feeding practices are associated with child food intake, eating behaviour and weight status. This cross-sectional analysis examined the association between maternal infant feeding practices/beliefs and child weight in Australian infants aged 11-17 months. Methods: Participants were 293 first-time mothers of healthy term infants (144 boys, mean age 14±1 months) enrolled in the NOURISH RCT. Mothers self-reported infant feeding practices and beliefs using the Infant Feeding Questionnaire (Baughcum, 2001). Anthropometric data were also measured at baseline (infants aged 4 months). Multiple regression analysis was used, adjusting for infant age, gender, birth weight, infant feeding mode (breast vs. formula), maternal perceptions of infant weight status, pre-pregnancy weight, weight concern, age and education. Results: The average child weight-for-age z-score (WAZ) was 0.62±0.83 (range:-1.56 to 2.94) and the mean change in WAZ (WAZ change) from 4 to 14 months was 0.62±0.69 (range:-1.50 to 2.76). Feeding practices/beliefs partly explained child WAZ (R2=0.28) and WAZ change (R2=0.13) in the adjusted models. While child weight status at 14 months was inversely associated with responsive feeding (e.g. baby feeds whenever she wants, feeding to stop baby being unsettled) (β=-0.104, p=0.06) and maternal concern about the child becoming underweight (β=-0.224, p<0.001), it was positively associated with mother’s concern about child overweight (β=0.197, p<0.05). Birth weight, infant’s age, maternal weight concern and perceiving her child as overweight were significant covariates. WAZ change was only significantly associated with responsive feeding (β=-0.147, p<0.05). Conclusion: Responsive feeding may be an important strategy to promote healthy child weight.

Structural damage detection using frequency response functions and neural networks

This paper illustrates the damage identification and condition assessment of a three story bookshelf structure using a new frequency response functions (FRFs) based damage index and Artificial Neural Networks (ANNs). A major obstacle of using measured frequency response function data is a large size input variables to ANNs. This problem is overcome by applying a data reduction technique called principal component analysis (PCA). In the proposed procedure, ANNs with their powerful pattern recognition and classification ability were used to extract damage information such as damage locations and severities from measured FRFs. Therefore, simple neural network models are developed, trained by Back Propagation (BP), to associate the FRFs with the damage or undamaged locations and severity of the damage of the structure. Finally, the effectiveness of the proposed method is illustrated and validated by using the real data provided by the Los Alamos National Laboratory, USA. The illustrated results show that the PCA based artificial Neural Network method is suitable and effective for damage identification and condition assessment of building structures. In addition, it is clearly demonstrated that the accuracy of proposed damage detection method can also be improved by increasing number of baseline datasets and number of principal components of the baseline dataset.

Structural damage identification with noise polluted Frequency Response Functions (FRFs)

Damage detection in structures has become increasingly important in recent years. While a number of damage detection and localization methods have been proposed, very few attempts have been made to explore the structure damage with noise polluted data which is unavoidable effect in real world. The measurement data are contaminated by noise because of test environment as well as electronic devices and this noise tend to give error results with structural damage identification methods. Therefore it is important to investigate a method which can perform better with noise polluted data. This paper introduces a new damage index using principal component analysis (PCA) for damage detection of building structures being able to accept noise polluted frequency response functions (FRFs) as input. The FRF data are obtained from the function datagen of MATLAB program which is available on the web site of the IASC-ASCE (International Association for Structural Control– American Society of Civil Engineers) Structural Health Monitoring (SHM) Task Group. The proposed method involves a five-stage process: calculation of FRFs, calculation of damage index values using proposed algorithm, development of the artificial neural networks and introducing damage indices as input parameters and damage detection of the structure. This paper briefly describes the methodology and the results obtained in detecting damage in all six cases of the benchmark study with different noise levels. The proposed method is applied to a benchmark problem sponsored by the IASC-ASCE Task Group on Structural Health Monitoring, which was developed in order to facilitate the comparison of various damage identification methods. The illustrated results show that the PCA-based algorithm is effective for structural health monitoring with noise polluted FRFs which is of common occurrence when dealing with industrial structures.

Socioeconomic inequalities in weight status among mid-aged adults : the contribution of perceptions of weight status and weight-control behaviours

Background Socioeconomically-disadvantaged adults in developed countries experience a higher prevalence of a number of chronic diseases, such as cardiovascular disease, type 2 diabetes, osteoarthritis and some forms of cancer. Overweight and obesity are major risk factors for these diseases. Lower socioeconomic groups have a greater prevalence of overweight and obesity and this may contribute to their higher morbidity and mortality. International studies suggest that socioeconomic groups may differ in their self-perceptions of weight status and their engagement in weightcontrol behaviours (WCBs). Research has shown that lower socioeconomic adults are more likely to underestimate their weight status, and are less likely to engage in WCBs. This may contribute (in part) to the marked inequalities in weight status observed at the population level. There are few, and somewhat limited, Australian studies that have examined the types of weight-control strategies people adopt, the barriers to their weight control, the determinants of their perceived weight status and WCBs. Furthermore, there are no known Australian studies that have examined socioeconomic differences in these factors to better understand the reasons for socioeconomic inequalities in weight status. Hence, the overall aim of this Thesis is to examine why socioeconomically-disadvantaged group experience a greater prevalence of overweight and obesity than their more-advantaged counterparts. Methods This Thesis used data from two sources. Men and women aged 45 to 60 years were examined from both data source. First, the longitudinal Australian Diabetes, Obesity and Lifestyle (AusDiab) Study were used to advance our knowledge and understanding of socioeconomic differences in weight change, perceived weight status and WCBs. A total of 2753 participants with measured weights at both baseline (1999-2000) and follow-up (2004-2005) were included in the analyses. Percent weight change over the five-year interval was calculated and perceived weight status, WCBs and highest attained education were collected at baseline. Second, the Candidate conducted a postal questionnaire from 1013 Brisbane residents (69.8 % response rate) to investigate the relationship between socioeconomic position, determinants of perceived weight status, WCBs, and barriers and reasons to weight control. A test-retest reliability study was conducted to determine the reliability of the new measures used in the questionnaire. Most new measures had substantial to almost perfect reliability when considering either kappa coefficient or crude agreement. Results The findings from the AusDiab Study (accepted for publication in the Australian and New Zealand Journal of Public Health) showed that low-educated men and women were more likely to be obese at baseline compared to their higheducated respondents (O.R. = 1.97, 95 % C.I. = 1.30-2.98 and O.R. = 1.52, 95 % C.I. = 1.03-2.25, respectively). Over the five year follow-up period (1999-2000 to 2004- 05) there were no socioeconomic differences in weight change among men, however socioeconomically-disadvantaged women had greater weight gains. Participants perceiving themselves as overweight gained less weight than those who saw themselves as underweight or normal weight. There was no relationship between engaging in WCBs and five-year weight change. The postal questionnaire data showed that socioeconomically-disadvantaged groups were less likely to engage in WCBs. If they did engage in weight control, they were less likely to adopt exercise strategies, including moderate and vigorous physical activities but were more likely to decrease their sitting time to control their weight. Socioeconomically-disadvantaged adults reported more barriers to weight control; such as perceiving weight loss as expensive, requiring a lot of cooking skills, not being a high priority and eating differently from other people in the household. These results have been accepted for publication in Public Health Nutrition. The third manuscript (under review in Social Science and Medicine) examined socioeconomic differences in determinants of perceived weight status and reasons for weight control. The results showed that lower socioeconomic adults were more likely to specify the following reasons for weight control: they considered themselves to be too heavy, for occupational requirements, on recommendation from their doctor, family members or friends. Conversely, high-income adults were more likely to report weight control to improve their physical condition or to look more attractive compared with those on lower-incomes. There were few socioeconomic differences in the determinants of perceived weight status. Conclusions Education inequalities in overweight/obesity among men and women may be due to mis-perceptions of weight status; overweight or obese individuals in loweducated groups may not perceive their weight as problematic and therefore may not pay attention to their energy-balance behaviours. Socioeconomic groups differ in WCBs, and their reasons and perceived barriers to weight control. Health promotion programs should encourage weight control among lower socioeconomic groups. More specifically, they should encourage the engagement of physical activity or exercise and dietary strategies among disadvantaged groups. Furthermore, such programs should address potential barriers for weight control that disadvantaged groups may encounter. For example, disadvantaged groups perceive that weight control is expensive, requires cooking skills, not a high priority and eating differently from other people in the household. Lastly, health promotion programs and policies aimed at reducing overweight and obesity should be tailored to the different reasons and motivations to weight control experienced by different socioeconomic groups. Weight-control interventions targeted at higher socioeconomic groups should use improving physical condition and attractiveness as motivational goals; while, utilising social support may be more effective for encouraging weight control among lower socioeconomic groups.

Relationships between maternal feeding and child weight in younger Australian children – Findings from the NOURISH obesity prevention trial

Studies show that in 3-11 year-olds, parental feeding style is directly associated with child weight [1] and also moderates the association between feeding practices and weight [2]. This cross-sectional study aimed to examine these relationships in younger children. Data from 331 of 698 first-time mothers of healthy term children (151 boys, mean age 24±1 months) enrolled in the NOURISH RCT included (a) measured child weight, (b) self-reported feeding styles and controlling feeding practices, and (c) maternal and child covariates. ANCOVA compared mean child weight-for-age z-score (cWAZ) across 4 feeding styles. Regression examined the associations between cWAZ and 5 controlling feeding practices. Moderated multiple regression analysis was planned to examine effects of feeding style on relationships between feeding practices and cWAZ. Feeding style (indulgent = 38.6%, authoritarian = 35.8%, authoritative = 13.1%, uninvolved = 12.5%) was not independently associated with cWAZ. However, ’pressure to eat’ was negatively associated with cWAZ (�=-0.131, p<0.05) higher pressure associated with lower cWAZ. Given feeding style was not associated with cWAZ, moderation analysis was not performed. Contrary to findings in older children, cWAZ in 2-year-olds was not associated with maternal feeding style. However, the negative association between child weight and pressure feeding found in 6-11year-olds [2] appears to hold in toddlers. Educating mothers about potentially detrimental long-term effects of pressure feeding in early childhood, may be more practical and effective in promoting healthy weight than targeting the less concrete concept of feeding styles. References: [1] Hughes, Appetite, 2005;44:83-92. [2] Hennessy, Appetite, 2010;54:369-377.