Robust Factor Analysis for Compositional Data

Factor analysis as frequent technique for multivariate data inspection is widely used also for compositional data analysis. The usual way is to use a centered logratio (clr) transformation to obtain the random vector y of dimension D. The factor model is then y = Λf + e (1) with the factors f of dimension k < D, the error term e, and the loadings matrix Λ. Using the usual model assumptions (see, e.g., Basilevsky, 1994), the factor analysis model (1) can be written as Cov(y) = ΛΛT + ψ (2) where ψ = Cov(e) has a diagonal form. The diagonal elements of ψ as well as the loadings matrix Λ are estimated from an estimation of Cov(y). Given observed clr transformed data Y as realizations of the random vector y. Outliers or deviations from the idealized model assumptions of factor analysis can severely effect the parameter estimation. As a way out, robust estimation of the covariance matrix of Y will lead to robust estimates of Λ and ψ in (2), see Pison et al. (2003). Well known robust covariance estimators with good statistical properties, like the MCD or the S-estimators (see, e.g. Maronna et al., 2006), rely on a full-rank data matrix Y which is not the case for clr transformed data (see, e.g., Aitchison, 1986). The isometric logratio (ilr) transformation (Egozcue et al., 2003) solves this singularity problem. The data matrix Y is transformed to a matrix Z by using an orthonormal basis of lower dimension. Using the ilr transformed data, a robust covariance matrix C(Z) can be estimated. The result can be back-transformed to the clr space by C(Y ) = V C(Z)V T where the matrix V with orthonormal columns comes from the relation between the clr and the ilr transformation. Now the parameters in the model (2) can be estimated (Basilevsky, 1994) and the results have a direct interpretation since the links to the original variables are still preserved. The above procedure will be applied to data from geochemistry. Our special interest is on comparing the results with those of Reimann et al. (2002) for the Kola project data

Los conceptos de salud financiera, riesgo y epidemiología en los estados financieros de las compañías del sector de extracción de petróleo crudo y gas natural en Colombia

El presente proyecto tiene como objeto identificar cuáles son los conceptos de salud, enfermedad, epidemiología y riesgo aplicables a las empresas del sector de extracción de petróleo y gas natural en Colombia. Dado, el bajo nivel de predicción de los análisis financieros tradicionales y su insuficiencia, en términos de inversión y toma de decisiones a largo plazo, además de no considerar variables como el riesgo y las expectativas de futuro, surge la necesidad de abordar diferentes perspectivas y modelos integradores. Esta apreciación es pertinente dentro del sector de extracción de petróleo y gas natural, debido a la creciente inversión extranjera que ha reportado, US$2.862 millones en el 2010, cifra mayor a diez veces su valor en el año 2003. Así pues, se podrían desarrollar modelos multi-dimensional, con base en los conceptos de salud financiera, epidemiológicos y estadísticos. El termino de salud y su adopción en el sector empresarial, resulta útil y mantiene una coherencia conceptual, evidenciando una presencia de diferentes subsistemas o factores interactuantes e interconectados. Es necesario mencionar también, que un modelo multidimensional (multi-stage) debe tener en cuenta el riesgo y el análisis epidemiológico ha demostrado ser útil al momento de determinarlo e integrarlo en el sistema junto a otros conceptos, como la razón de riesgo y riesgo relativo. Esto se analizará mediante un estudio teórico-conceptual, que complementa un estudio previo, para contribuir al proyecto de finanzas corporativas de la línea de investigación en Gerencia.

Deposition of charged inhaled aerosols with transient airflow in sequential lung airway model

Transport and deposition of charged inhaled aerosols in double planar bifurcation representing generation three to five of human respiratory system has been studied under a light activity breathing condition. Both steady and oscillatory laminar inhalation airflow is considered. Particle trajectories are calculated using a Lagrangian reference frame, which is dominated by the fluid force driven by airflow, gravity force and electrostatic forces (both of space and image charge forces). The particle-mesh method is selected to calculate the space charge force. This numerical study investigates the deposition efficiency in the three-dimensional model under various particle sizes, charge values, and inlet particle distribution. Numerical results indicate that particles carrying an adequate level of charge can improve deposition efficiency in the airway model.

Visible-near infrared spectroscopy sensor for predicting curd and whey composition during cheese processing

The potential of visible-near infrared spectra, obtained using a light backscatter sensor, in conjunction with chemometrics, to predict curd moisture and whey fat content in a cheese vat was examined. A three-factor (renneting temperature, calcium chloride, cutting time), central composite design was carried out in triplicate. Spectra (300–1,100 nm) of the product in the cheese vat were captured during syneresis using a prototype light backscatter sensor. Stirring followed upon cutting the gel, and samples of curd and whey were removed at 10 min intervals and analyzed for curd moisture and whey fat content. Spectral data were used to develop models for predicting curd moisture and whey fat contents using partial least squares regression. Subjecting the spectral data set to Jack-knifing improved the accuracy of the models. The whey fat models (R = 0.91, 0.95) and curd moisture model (R = 0.86, 0.89) provided good and approximate predictions, respectively. Visible-near infrared spectroscopy was found to have potential for the prediction of important syneresis indices in stirred cheese vats.

Simple model of adsorption on external surface of carbon nanotubes: a new analytical approach basing on molecular simulation data

Nitrogen adsorption on carbon nanotubes is wide- ly studied because nitrogen adsorption isotherm measurement is a standard method applied for porosity characterization. A further reason is that carbon nanotubes are potential adsorbents for separation of nitrogen from oxygen in air. The study presented here describes the results of GCMC simulations of nitrogen (three site model) adsorption on single and multi walled closed nanotubes. The results obtained are described by a new adsorption isotherm model proposed in this study. The model can be treated as the tube analogue of the GAB isotherm taking into account the lateral adsorbate-adsorbate interactions. We show that the model describes the simulated data satisfactorily. Next this new approach is applied for a description of experimental data measured on different commercially available (and characterized using HRTEM) carbon nanotubes. We show that generally a quite good fit is observed and therefore it is suggested that the observed mechanism of adsorption in the studied materials is mainly determined by adsorption on tubes separated at large distances, so the tubes behave almost independently.

Continuity of care for people with psychotic illness: its relationship to clinical and social functioning.

Background: The relationship between continuity of care and user characteristics or outcomes has rarely been explored. The ECHO study operationalized and tested a multi-axial definition of continuity of care, producing a seven-factor model used here. Aims: To assess the relationship between user characteristics and established components of continuity of care, and the impact of continuity on clinical and social functioning. Methods: The sample comprised 180 community mental health team users with psychotic disorders who were interviewed at three annual time-points, to assess their experiences of continuity of care and clinical and social functioning. Scores on seven continuity factors were tested for association with user-level variables. Results: Improvement in quality of life was associated with better Experience & Relationship continuity scores (better user-rated continuity and therapeutic relationship) and with lower Meeting Needs continuity factor scores. Higher Meeting Needs scores were associated with a decrease in symptoms. Conclusion: Continuity is a dynamic process, influenced significantly by care structures and organizational change.

What will be the risk-free rate and benchmark yield curve following European monetary union?

Using a linear factor model, we study the behaviour of French, Germany, Italian and British sovereign yield curves in the run up to EMU. This allows us to determine which of these yield curves might best approximate a benchmark yield curve post EMU. We find that the best approximation for the risk free yield is the UK three month T-bill yield, followed by the German three month T-bill yield. As no one sovereign yield curve dominates all others, we find that a composite yield curve, consisting of French, Italian and UK bonds at different maturity points along the yield curve should be the benchmark post EMU.

Aging and stationary properties of non-equilibrium symmetrical three-state models

We consider a non-equilibrium three-state model whose dynamics is Markovian and displays the same symmetry as the three-state Potts model, i.e. the transition rates are invariant under the cyclic permutation of the states. Unlike the Potts model, detailed balance is, in general, not satisfied. The aging and the stationary properties of the model defined on a square lattice are obtained by means of large-scale Monte Carlo simulations. We show that the phase diagram presents a critical line, belonging to the three-state Potts universality class, that ends at a point whose universality class is that of the Voter model. Aging is considered on the critical line, at the Voter point and in the ferromagnetic phase.

Psychometric properties of the Swedish version of the Fear of Complications Questionnaire

Objectives: To translate and evaluate the psychometric properties of the Swedish version of the Fear of Complications Questionnaire. Design: Cross-sectional study design and scale development. Settings: Totally, 469 adults (response rate 63.5%) with Type 1 diabetes completed the questionnaires. Participants were recruited from two university hospitals in Sweden. Participants: Eligible patients were those who met the following inclusion criteria: diagnosed with Type 1 diabetes, diabetes duration of at least 1 year and aged at least 18 years. Methods: The Fear of Complications Questionnaire was translated using the forward-backward translation method. Factor analyses of the questionnaire were performed in two steps using both exploratory and confirmatory factor analysis. Convergent validity was examined using the Hospital Anxiety and Depression Scale and the Fear of Hypoglycaemia Fear Survey. Internal consistency was estimated using Cronbach’s alpha.Results: Exploratory factor analysis supported a two-factor solution. One factor contained three items having to do with fear of kidney-related complications and one factor included the rest of items concerning fear of other diabetes-related complications, as well as fear of complications in general. Internal consistency was high Cronbach’s alpha 0.96. The findings also gave support for convergent validity, with significant positive correlations between measures (r = 0.51 to 0.54). Conclusion: The clinical relevance of the identified two-factor model with a structure of one dominant subdomain may be considered. We suggest, however a one-factor model covering all the items as a relevant basis to assess fear of complications among people with Type 1 diabetes.

Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data

Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Do options contain information about excess bond returns ?

There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of time-varying volatility on excess returns for long-term bonds. To address this issue, we incorporate interest rate option prices, which are very sensitive to interest rate volatility, into a dynamic model for the term structure of interest rates. We estimate three-factor affine term structure models using both swap rates and interest rate cap prices. When we incorporate option prices, the model better captures interest rate volatility and is better able to predict excess returns for long-term swaps over short-term swaps, both in- and out-of-sample. Our results indicate that interest rate options contain valuable infor- mation about risk premia and interest rate dynamics that cannot be extracted from interest rates alone.

Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

Um estudo sobre a capacidade de gestores de fundos multigestor adicionarem valor aos cotistas

Com o aumento do número de gestores especializados em um número cada vez maior de possibilidades de investimentos na indústria de fundos brasileira, os fundos Multigestor se tornaram uma alternativa para os investidores que procuram diversificar seus investimentos e delegam às instituições financeiras o trabalho de alocar os recursos dentro das diferentes estratégias e fundos existentes no mercado. O intuito deste estudo é avaliar a capacidade de gerar retornos anormais (alfa) dos fundos de fundos da indústria brasileira, classificados como Fundos Multimercados Multigestor. Para isso foi estudada uma amostra com 1.421 fundos Multigestor com tributação de Longo Prazo no período de janeiro de 2005 a dezembro de 2011. A análise dos resultados encontrados através de regressões de modelos de vários fatores, derivados do modelo de Jensen (1968), sugere que apenas 3,03% dos fundos estudados conseguem adicionar valor a seus cotistas. Foram estudadas ainda as três principais fontes potenciais de geração de alfa dos fundos de fundos, a escolha das estratégias que compõe a carteira do fundo (alocação estratégica), a antecipação de movimentos de mercado (market timing) e a capacidade selecionar os melhores fundos dentro de cada estratégia (seleção de fundos). A partir da inclusão de termos quadráticos, conforme proposto pelos modelos de Treynor e Mazuy (1966) pode-se verificar que os fundos Multigestor, em média, não conseguem adicionar valor tentando antecipar movimentos de mercado (market timing). Através da construção de uma variável explicativa com a composição estratégica de cada fundo da amostra em cada período de tempo, pode-se verificar que os gestores de fundos de fundos, em média, também fracassam ao tentar selecionar os melhores fundos/gestores da indústria. Já a escolha das estratégias que compõe a carteira do fundo (alocação estratégica) mostrou contribuir positivamente para o retorno dos fundos. Ainda foi avaliada a capacidade de gerar alfa antes dos custos, o que elevou o percentual de fundos com alfa positivo para 6,39% dos fundos estudados, mas foi incapaz de alterar o sinal do alfa médio, que permaneceu negativo.

Estudo comparativo de abordagens de inversão do fator de qualidade Q

Seismic wave dispersion and attenuation studies have become an important tool for lithology and fluid discrimination in hydrocarbon reservoirs. The processes associated to attenuation are complex and are encapsulated in a single quantitative description called quality factor (Q). The present dissertation has the objective of comparing different approaches of Q determination and is divided in two parts. Firstly, we made performance and robustness tests of three different approaches for Q determination in the frequency domain. They are: peak shift, centroid shift and spectral ratio. All these tests were performed in a three-layered model. In the suite of tests performed here, we varied the thickness, Q and inclination of the layers for propagation pulses with central frequency of 30, 40 and 60 Hz. We found that the centroid shift method is produces robust results for the entire suíte of tests. Secondly, we inverted for Q values using the peak and centroid shift methods using an sequential grid search algorithm. In this case, centroid shift method also produced more robust results than the peak shift method, despite being of slower convergence