A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models

Nous y introduisons une nouvelle classe de distributions bivariées de type Marshall-Olkin, la distribution Erlang bivariée. La transformée de Laplace, les moments et les densités conditionnelles y sont obtenus. Les applications potentielles en assurance-vie et en finance sont prises en considération. Les estimateurs du maximum de vraisemblance des paramètres sont calculés par l'algorithme Espérance-Maximisation. Ensuite, notre projet de recherche est consacré à l'étude des processus de risque multivariés, qui peuvent être utiles dans l'étude des problèmes de la ruine des compagnies d'assurance avec des classes dépendantes. Nous appliquons les résultats de la théorie des processus de Markov déterministes par morceaux afin d'obtenir les martingales exponentielles, nécessaires pour établir des bornes supérieures calculables pour la probabilité de ruine, dont les expressions sont intraitables.

Multivariate Density Estimation: An SVM Approach

We formulate density estimation as an inverse operator problem. We then use convergence results of empirical distribution functions to true distribution functions to develop an algorithm for multivariate density estimation. The algorithm is based upon a Support Vector Machine (SVM) approach to solving inverse operator problems. The algorithm is implemented and tested on simulated data from different distributions and different dimensionalities, gaussians and laplacians in $R^2$ and $R^{12}$. A comparison in performance is made with Gaussian Mixture Models (GMMs). Our algorithm does as well or better than the GMMs for the simulations tested and has the added advantage of being automated with respect to parameters.

Multivariate ARIMA Compositional Time Series Analysis

A compositional time series is obtained when a compositional data vector is observed at different points in time. Inherently, then, a compositional time series is a multivariate time series with important constraints on the variables observed at any instance in time. Although this type of data frequently occurs in situations of real practical interest, a trawl through the statistical literature reveals that research in the field is very much in its infancy and that many theoretical and empirical issues still remain to be addressed. Any appropriate statistical methodology for the analysis of compositional time series must take into account the constraints which are not allowed for by the usual statistical techniques available for analysing multivariate time series. One general approach to analyzing compositional time series consists in the application of an initial transform to break the positive and unit sum constraints, followed by the analysis of the transformed time series using multivariate ARIMA models. In this paper we discuss the use of the additive log-ratio, centred log-ratio and isometric log-ratio transforms. We also present results from an empirical study designed to explore how the selection of the initial transform affects subsequent multivariate ARIMA modelling as well as the quality of the forecasts

Analysis of Pleistocene paleodrainage evolution in the Po Basin (Italy) by multivariate statistical techniques

In order to obtain a high-resolution Pleistocene stratigraphy, eleven continuously cored boreholes, 100 to 220m deep were drilled in the northern part of the Po Plain by Regione Lombardia in the last five years. Quantitative provenance analysis (QPA, Weltje and von Eynatten, 2004) of Pleistocene sands was carried out by using multivariate statistical analysis (principal component analysis, PCA, and similarity analysis) on an integrated data set, including high-resolution bulk petrography and heavy-mineral analyses on Pleistocene sands and of 250 major and minor modern rivers draining the southern flank of the Alps from West to East (Garzanti et al, 2004; 2006). Prior to the onset of major Alpine glaciations, metamorphic and quartzofeldspathic detritus from the Western and Central Alps was carried from the axial belt to the Po basin longitudinally parallel to the SouthAlpine belt by a trunk river (Vezzoli and Garzanti, 2008). This scenario rapidly changed during the marine isotope stage 22 (0.87 Ma), with the onset of the first major Pleistocene glaciation in the Alps (Muttoni et al, 2003). PCA and similarity analysis from core samples show that the longitudinal trunk river at this time was shifted southward by the rapid southward and westward progradation of transverse alluvial river systems fed from the Central and Southern Alps. Sediments were transported southward by braided river systems as well as glacial sediments transported by Alpine valley glaciers invaded the alluvial plain. Kew words: Detrital modes; Modern sands; Provenance; Principal Components Analysis; Similarity, Canberra Distance; palaeodrainage

Dynamic graphics of parametrically linked multivariate methods used in compositional data analysis

Many multivariate methods that are apparently distinct can be linked by introducing one or more parameters in their definition. Methods that can be linked in this way are correspondence analysis, unweighted or weighted logratio analysis (the latter also known as "spectral mapping"), nonsymmetric correspondence analysis, principal component analysis (with and without logarithmic transformation of the data) and multidimensional scaling. In this presentation I will show how several of these methods, which are frequently used in compositional data analysis, may be linked through parametrizations such as power transformations, linear transformations and convex linear combinations. Since the methods of interest here all lead to visual maps of data, a "movie" can be made where where the linking parameter is allowed to vary in small steps: the results are recalculated "frame by frame" and one can see the smooth change from one method to another. Several of these "movies" will be shown, giving a deeper insight into the similarities and differences between these methods

Comparing intergroup contact effects on blatant and subtle prejudice in adolescents : a multivariate multilevel model

Resumen tomado de la publicación

Multivariate Statistical Process Control and Case-Based Reasoning for situation assessment of Sequencing Batch Reactors

ABSRACT This thesis focuses on the monitoring, fault detection and diagnosis of Wastewater Treatment Plants (WWTP), which are important fields of research for a wide range of engineering disciplines. The main objective is to evaluate and apply a novel artificial intelligent methodology based on situation assessment for monitoring and diagnosis of Sequencing Batch Reactor (SBR) operation. To this end, Multivariate Statistical Process Control (MSPC) in combination with Case-Based Reasoning (CBR) methodology was developed, which was evaluated on three different SBR (pilot and lab-scales) plants and validated on BSM1 plant layout.

Multivariate relationships between groundwater chemistry and toxicity in an urban aquifer

Multivariate statistical methods were used to investigate file Causes of toxicity and controls on groundwater chemistry from 274 boreholes in an Urban area (London) of the United Kingdom. The groundwater was alkaline to neutral, and chemistry was dominated by calcium, sodium, and Sulfate. Contaminants included fuels, solvents, and organic compounds derived from landfill material. The presence of organic material in the aquifer caused decreases in dissolved oxygen, sulfate and nitrate concentrations. and increases in ferrous iron and ammoniacal nitrogen concentrations. Pearson correlations between toxicity results and the concentration of individual analytes indicated that concentrations of ammoinacal nitrogen, dissolved oxygen, ferrous iron, and hydrocarbons were important where present. However, principal component and regression analysis suggested no significant correlation between toxicity and chemistry over the whole area. Multidimensional Scaling was used to investigate differences in sites caused by historical use, landfill gas status, or position within the sample area. Significant differences were observed between sites with different historical land use and those with different gas status. Examination of the principal component matrix revealed that these differences are related to changes in the importance of reduced chemical species.

Multivariate analysis of phenol mineralisation by combined hydrodynamic cavitation and heterogeneous advanced Fenton processing

Phenolic compounds in wastewaters are difficult to treat using the conventional biological techniques such as activated sludge processes because of their bio-toxic and recalcitrant properties and the high volumes released from various chemical, pharmaceutical and other industries. In the current work, a modified heterogeneous advanced Fenton process (AFP) is presented as a novel methodology for the treatment of phenolic wastewater. The modified AFP, which is a combination of hydrodynamic cavitation generated using a liquid whistle reactor and the AFP is a promising technology for wastewaters containing high organic content. The presence of hydrodynamic cavitation in the treatment scheme intensifies the Fenton process by generation of additional free radicals. Also, the turbulence produced during the hydrodynamic cavitation process increases the mass transfer rates as well as providing better contact between the pseudo-catalyst surfaces and the reactants. A multivariate design of experiments has been used to ascertain the influence of hydrogen peroxide dosage and iron catalyst loadings on the oxidation performance of the modified AFP. High er TOC removal rates were achieved with increased concentrations of hydrogen peroxide. In contrast, the effect of catalyst loadings was less important on the TOC removal rate under conditions used in this work although there is an optimum value of this parameter. The concentration of iron species in the reaction solution was measured at 105 min and its relationship with the catalyst loadings and hydrogen peroxide level is presented.

Rapid quality assessment of wheat cultivars registered in Poland using the 2-g mixograph and multivariate statistical analysis

Baking and 2-g mixograph analyses were performed for 55 cultivars (19 spring and 36 winter wheat) from various quality classes from the 2002 harvest in Poland. An instrumented 2-g direct-drive mixograph was used to study the mixing characteristics of the wheat cultivars. A number of parameters were extracted automatically from each mixograph trace and correlated with baking volume and flour quality parameters (protein content and high molecular weight glutenin subunit [HMW-GS] composition by SDS-PAGE) using multiple linear regression statistical analysis. Principal component analysis of the mixograph data discriminated between four flour quality classes, and predictions of baking volume were obtained using several selected mixograph parameters, chosen using a best subsets regression routine, giving R-2 values of 0.862-0.866. In particular, three new spring wheat strains (CHD 502a-c) recently registered in Poland were highly discriminated and predicted to give high baking volume on the basis of two mixograph parameters: peak bandwidth and 10-min bandwidth.

Multivariate analysis of the Fugl-Meyer outcome measures assessing the effectiveness of GENTLE/S robot-mediated stroke therapy

Background: Robot-mediated therapies offer entirely new approaches to neurorehabilitation. In this paper we present the results obtained from trialling the GENTLE/S neurorehabilitation system assessed using the upper limb section of the Fugl-Meyer ( FM) outcome measure. Methods: We demonstrate the design of our clinical trial and its results analysed using a novel statistical approach based on a multivariate analytical model. This paper provides the rational for using multivariate models in robot-mediated clinical trials and draws conclusions from the clinical data gathered during the GENTLE/S study. Results: The FM outcome measures recorded during the baseline ( 8 sessions), robot-mediated therapy ( 9 sessions) and sling-suspension ( 9 sessions) was analysed using a multiple regression model. The results indicate positive but modest recovery trends favouring both interventions used in GENTLE/S clinical trial. The modest recovery shown occurred at a time late after stroke when changes are not clinically anticipated. Conclusion: This study has applied a new method for analysing clinical data obtained from rehabilitation robotics studies. While the data obtained during the clinical trial is of multivariate nature, having multipoint and progressive nature, the multiple regression model used showed great potential for drawing conclusions from this study. An important conclusion to draw from this paper is that this study has shown that the intervention and control phase both caused changes over a period of 9 sessions in comparison to the baseline. This might indicate that use of new challenging and motivational therapies can influence the outcome of therapies at a point when clinical changes are not expected. Further work is required to investigate the effects arising from early intervention, longer exposure and intensity of the therapies. Finally, more function-oriented robot-mediated therapies or sling-suspension therapies are needed to clarify the effects resulting from each intervention for stroke recovery.