Essays on numerically efficient inference in nonlinear and non-Gaussian state space models, and commodity market analysis.

The first two articles build procedures to simulate vector of univariate states and estimate parameters in nonlinear and non Gaussian state space models. We propose state space speci fications that offer more flexibility in modeling dynamic relationship with latent variables. Our procedures are extension of the HESSIAN method of McCausland[2012]. Thus, they use approximation of the posterior density of the vector of states that allow to : simulate directly from the state vector posterior distribution, to simulate the states vector in one bloc and jointly with the vector of parameters, and to not allow data augmentation. These properties allow to build posterior simulators with very high relative numerical efficiency. Generic, they open a new path in nonlinear and non Gaussian state space analysis with limited contribution of the modeler. The third article is an essay in commodity market analysis. Private firms coexist with farmers' cooperatives in commodity markets in subsaharan african countries. The private firms have the biggest market share while some theoretical models predict they disappearance once confronted to farmers cooperatives. Elsewhere, some empirical studies and observations link cooperative incidence in a region with interpersonal trust, and thus to farmers trust toward cooperatives. We propose a model that sustain these empirical facts. A model where the cooperative reputation is a leading factor determining the market equilibrium of a price competition between a cooperative and a private firm

A Diagnostic and Modeling Study on the Onset of Summer Monsoon over South Asia

This study focuses on the onset of southwest monsoon over Kerala. India Meteorological Department (IMD) has been using a semi-objective method to define monsoon onset. The main objectives of the study are to understand the monsoon onset processes, to simulate monsoon onset in a GCM using as input the atmospheric conditions and Sea Surface Temperature, 10 days earlier to the onset, to develop a method for medium range prediction of the date of onset of southwest monsoon over Kerala and to examine the possibility of objectively defining the date of Monsoon Onset over Kerala (MOK). It gives a broad description of regional monsoon systems and monsoon onsets over Asia and Australia. Asian monsoon includes two separate subsystems, Indain monsoon and East Asian monsoon. It is seen from this study that the duration of the different phases of the onset process are dependent on the period of ISO. Based on the study of the monsoon onset process, modeling studies can be done for better understanding of the ocean-atmosphere interaction especially those associated with the warm pool in the Bay of Bengal and the Arabian Sea.

Income modeling using Quantile Functions

Department of Statistics, Cochin University of Science and Technology

Valor en riesgo del portafolio de TES de los bancos colombianos

En este trabajo se realiza la medición del riesgo de mercado para el portafolio de TES de un banco colombiano determinado, abordando el pronóstico de valor en riesgo (VaR) mediante diferentes modelos multivariados de volatilidad: EWMA, GARCH ortogonal, GARCH robusto, así como distintos modelos de VaR con distribución normal y distribución t-student, evaluando su eficiencia con las metodologías de backtesting propuestas por Candelon et al. (2011) con base en el método generalizado de momentos, junto con los test de independencia y de cobertura condicional planteados por Christoffersen y Pelletier (2004) y por Berkowitz, Christoffersen y Pelletier (2010). Los resultados obtenidos demuestran que la mejor especificación del VaR para la medición del riesgo de mercado del portafolio de TES de los bancos colombianos, es el construido a partir de volatilidades EWMA y basado en la distribución normal, ya que satisface las hipótesis de cobertura no condicional, independencia y cobertura condicional, al igual que los requerimientos estipulados en Basilea II y en la normativa vigente en Colombia.

Optimal hedging with higher moments

This study proposes a utility-based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, power, and exponential utility functions. We find that for both moderate and large spot (commodity) exposures, the performance of out-of-sample hedges constructed allowing for nonzero higher moments is better than the performance of the simpler OLS hedge ratio. The picture is, however, not uniform throughout our seven spot commodities as there is one instance (cotton) for which the modeling of higher moments decreases welfare out-of-sample relative to the simpler OLS. We support our empirical findings by a theoretical analysis of optimal hedging decisions and we uncover a novel link between OHRs and the minimax hedge ratio, that is the ratio which minimizes the largest loss of the hedged position. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark

Flow-aligned jets in the magnetospheric cusp: Results from the Geospace Environment Modeling Pilot Program

The extended flight of the Airborne Ionospheric Observatory during the Geospace Environment Modeling (GEM) Pilot program on January 16, 1990, allowed continuous all-sky monitoring of the two-dimensional ionospheric footprint of the northward interplanetary magnetic field (IMF) cusp in several wavelengths. Especially important in determining the locus of magnetosheath electron precipitation was the 630.0-nm red line emission. The most striking morphological change in the images was the transient appearance of zonally elongated regions of enhanced 630.0-nm emission which resembled “rays” emanating from the centroid of the precipitation. The appearance of these rays was strongly correlated with the Y component of the IMF: when the magnitude of By was large compared to Bz, the rays appeared; otherwise, the distribution was relatively unstructured. Late in the flight the field of view of the imager included the field of view of flow measurements from the European incoherent scatter radar (EISCAT). The rays visible in 630.0-nm emission exactly aligned with the position of strong flow jets observed by EISCAT. We attribute this correspondence to the requirement of quasi-neutrality; namely, the soft electrons have their largest precipitating fluxes where the bulk of the ions precipitate. The ions, in regions of strong convective flow, are spread out farther along the flow path than in regions of weaker flow. The occurrence and direction of these flow bursts are controlled by the IMF in a manner consistent with newly opened flux tubes; i.e., when |By| > |Bz|, tension in the reconnected field lines produce east-west flow regions downstream of the ionospheric projection of the x line. We interpret the optical rays (flow bursts), which typically last between 5 and 15 min, as evidence of periods of enhanced dayside (or lobe) reconnection when |By| > |Bz|. The length of the reconnection pulse is difficult to determine, however, since strong zonal flows would be expected to persist until the tension force in the field line has decayed, even if the duration of the enhanced reconnection was relatively short.

The complementary exponential geometric distribution: Model, properties, and a comparison with its counterpart

In this paper, we proposed a new two-parameter lifetime distribution with increasing failure rate, the complementary exponential geometric distribution, which is complementary to the exponential geometric model proposed by Adamidis and Loukas (1998). The new distribution arises on a latent complementary risks scenario, in which the lifetime associated with a particular risk is not observable; rather, we observe only the maximum lifetime value among all risks. The properties of the proposed distribution are discussed, including a formal proof of its probability density function and explicit algebraic formulas for its reliability and failure rate functions, moments, including the mean and variance, variation coefficient, and modal value. The parameter estimation is based on the usual maximum likelihood approach. We report the results of a misspecification simulation study performed in order to assess the extent of misspecification errors when testing the exponential geometric distribution against our complementary one in the presence of different sample size and censoring percentage. The methodology is illustrated on four real datasets; we also make a comparison between both modeling approaches. (C) 2011 Elsevier B.V. All rights reserved.

Quantitative structure-activity relationships for a series of inhibitors of cruzain from Trypanosoma cruzi: Molecular modeling, CoMFA and CoMSIA studies

Human parasitic diseases are the foremost threat to human health and welfare around the world. Trypanosomiasis is a very serious infectious disease against which the currently available drugs are limited and not effective. Therefore, there is an urgent need for new chemotherapeutic agents. One attractive drug target is the major cysteine protease from Trypanosoma cruzi, cruzain. In the present work, comparative molecular field analysis (CoMFA) and comparative molecular similarity indices analysis (CoMSIA) studies were conducted on a series of thiosemicarbazone and semicarbazone derivatives as inhibitors of cruzain. Molecular modeling studies were performed in order to identify the preferred binding mode of the inhibitors into the enzyme active site, and to generate structural alignments for the three-dimensional quantitative structure-activity relationship (3D QSAR) investigations. Statistically significant models were obtained (CoMFA. r(2) = 0.96 and q(2) = 0.78; CoMSIA, r(2) = 0.91 and q(2) = 0.73), indicating their predictive ability for untested compounds. The models were externally validated employing a test set, and the predicted values were in good agreement with the experimental results. The final QSAR models and the information gathered from the 3D CoMFA and CoMSIA contour maps provided important insights into the chemical and structural basis involved in the molecular recognition process of this family of cruzain inhibitors, and should be useful for the design of new structurally related analogs with improved potency. (C) 2009 Elsevier Inc. All rights reserved.

Semiparametric Bayesian measurement error modeling

This work presents a Bayesian semiparametric approach for dealing with regression models where the covariate is measured with error. Given that (1) the error normality assumption is very restrictive, and (2) assuming a specific elliptical distribution for errors (Student-t for example), may be somewhat presumptuous; there is need for more flexible methods, in terms of assuming only symmetry of errors (admitting unknown kurtosis). In this sense, the main advantage of this extended Bayesian approach is the possibility of considering generalizations of the elliptical family of models by using Dirichlet process priors in dependent and independent situations. Conditional posterior distributions are implemented, allowing the use of Markov Chain Monte Carlo (MCMC), to generate the posterior distributions. An interesting result shown is that the Dirichlet process prior is not updated in the case of the dependent elliptical model. Furthermore, an analysis of a real data set is reported to illustrate the usefulness of our approach, in dealing with outliers. Finally, semiparametric proposed models and parametric normal model are compared, graphically with the posterior distribution density of the coefficients. (C) 2009 Elsevier Inc. All rights reserved.

Properties and Inference on the Skew-Curved-Symmetric Family of Distributions

In this article, we study some results related to a specific class of distributions, called skew-curved-symmetric family of distributions that depends on a parameter controlling the skewness and kurtosis at the same time. Special elements of this family which are studied include symmetric and well-known asymmetric distributions. General results are given for the score function and the observed information matrix. It is shown that the observed information matrix is always singular for some special cases. We illustrate the flexibility of this class of distributions with an application to a real dataset on characteristics of Australian athletes.

The beta-Birnbaum-Saunders distribution An improved distribution for fatigue life modeling

Birnbaum and Saunders (1969a) introduced a probability distribution which is commonly used in reliability studies For the first time based on this distribution the so-called beta-Birnbaum-Saunders distribution is proposed for fatigue life modeling Various properties of the new model including expansions for the moments moment generating function mean deviations density function of the order statistics and their moments are derived We discuss maximum likelihood estimation of the model s parameters The superiority of the new model is illustrated by means of three failure real data sets (C) 2010 Elsevier B V All rights reserved

Family food environment and dietary behaviors likely to promote fatness in 5-6 year-old children

Background: The family food environment (FFE) is likely to exert important influences on young children's eating. Examination of multiple aspects of the FFE may provide useful insights regarding which of these might most effectively be targeted to prevent childhood obesity.

Objective: To assess the associations between the FFE and a range of obesity-promoting dietary behaviors in 5–6-year-old children.

Design: Cross-sectional study.

Subjects: Five hundred and sixty families sampled from three socio-economically distinct areas.

Measurements: Predictors included parental perceptions of their child's diet, food availability, child feeding practices, parental modeling of eating and food preparation and television (TV) exposure. Dietary outcomes included energy intake, vegetable, sweet snack, savory snack and high-energy (non-dairy) fluid consumption.

Results: Multiple linear regression analyses, adjusted for all other predictor variables and maternal education, showed that several aspects of the FFE were associated with dietary outcomes likely to promote fatness in 5–6-year-old children. For example, increased TV viewing time was associated with increased index of energy intake, increased sweet snack and high-energy drink consumption, and deceased vegetable intake. In addition, parent's increased confidence in the adequacy of their child's diet was associated with increased consumption of sweet and savory snacks and decreased vegetable consumption. 

Conclusion:  This study substantially extends previous research in the area, providing important insights with which to guide family-based obesity prevention strategies.

Modeling dialogue with mixed initiative in design space exploration

Exploration with a generative formalism must necessarily account for the nature of interaction between humans and the design space explorer. Established accounts of design interaction are made complicated by two propositions in Woodbury and Burrow's Keynote on design space exploration. First, the emphasis on the primacy of the design space as an ordered collection of partial designs (version, alternatives, extensions). Few studies exist in the design interaction literature on working with multiple threads simultaneously. Second, the need to situate, aid, and amplify human design intentions using computational tools. Although specific research and practice tools on amplification (sketching, generation, variation) have had success, there is a lack of generic, flexible, interoperable, and extensible representation to support amplification. This paper addresses the above, working with design threads and computer-assisted design amplification through a theoretical model of dialogue based on Grice's model of rational conversation. Using the concept of mixed initiative, the paper presents a visual notation for representing dialogue between designer and design space formalism through abstract examples of exploration tasks and dialogue integration.

Assessing cost-effectiveness in mental health : family interventions for schizophrenia and related conditions

Objective: Existing evidence suggests that family interventions can be effective in reducing relapse rates in schizophrenia and related conditions. Despite this, such interventions are not routinely delivered in Australian mental health services. The objective of the current study is to investigate the incremental cost-effectiveness ratios (ICERs) of introducing three types of family interventions, namely: behavioural family management (BFM); behavioural intervention for families (BIF); and multiple family groups (MFG) into current mental health services in Australia.

Method: The ICER of each of the family interventions is assessed from a health sector perspective, including the government, persons with schizophrenia and their families/carers using a standardized methodology. A two-stage approach is taken to the assessment of benefit. The first stage involves a quantitative analysis based on disability-adjusted life years (DALYs) averted. The second stage involves application of 'second filter' criteria (including equity, strength of evidence, feasibility and acceptability to stakeholders) to results. The robustness of results is tested using multivariate probabilistic sensitivity analysis.

Results: The most cost-effective intervention, in order of magnitude, is BIF (A$8000 per DALY averted), followed by MFG (A$21 000 per DALY averted) and lastly BFM (A$28 000 per DALY averted). The inclusion of time costs makes BFM more cost-effective than MFG. Variation of discount rate has no effect on conclusions.

Conclusions: All three interventions are considered 'value-for-money' within an Australian context. This conclusion needs to be tempered against the methodological challenge of converting clinical outcomes into a generic economic outcome measure (DALY). Issues surrounding the feasibility of routinely implementing such interventions need to be addressed.

Modeling the tensile strains of non-uniform fibers

The maximum strain experienced by the thinnest segment of a non-uniform fiber governs fiber breakage, yet this maximum strain can not be obtained from a normal single fiber test. Only the average strain of the whole fiber specimen can be obtained from a normal single fiber tensile test. This study has examined the relationship between the average strain, the maximum strain and the degree of fiber non-uniformity, expressed in coefficient of variation (CV) of fiber diameters along fiber length. The tensile strain of irregular fibers has been simulated using the finite element method (FEM). Using this method, average and maximum tensile strains of non-uniform fibers were calculated. The results indicate that for irregular fibers such as wool, there is an exponential relationship (i.e.ɛ _ave ɛ _max=ae ^{−b CV} ) between the ratio of average breaking strain and maximum breaking strain (ɛ _ave ɛ _max) and the along-fiber diameter variation (CV). The strain ratio decreases with the increase of the along-fiber diameter variation.