Product autoregressive models for non-negative variables

When variables in time series context are non-negative, such as for volatility, survival time or wave heights, a multiplicative autoregressive model of the type Xt = Xα t−1Vt , 0 ≤ α < 1, t = 1, 2, . . . may give the preferred dependent structure. In this paper, we study the properties of such models and propose methods for parameter estimation. Explicit solutions of the model are obtained in the case of gamma marginal distribution

Online Learning of Non-stationary Sequences

We consider an online learning scenario in which the learner can make predictions on the basis of a fixed set of experts. The performance of each expert may change over time in a manner unknown to the learner. We formulate a class of universal learning algorithms for this problem by expressing them as simple Bayesian algorithms operating on models analogous to Hidden Markov Models (HMMs). We derive a new performance bound for such algorithms which is considerably simpler than existing bounds. The bound provides the basis for learning the rate at which the identity of the optimal expert switches over time. We find an analytic expression for the a priori resolution at which we need to learn the rate parameter. We extend our scalar switching-rate result to models of the switching-rate that are governed by a matrix of parameters, i.e. arbitrary homogeneous HMMs. We apply and examine our algorithm in the context of the problem of energy management in wireless networks. We analyze the new results in the framework of Information Theory.

Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Formulaic sequences in native and non-native argumentative writing in German

Whereas there is substantial scholarship on formulaic language in L1 and L2 English, there is less research on formulaicity in other languages. The aim of this paper is to contribute to learner corpus research into formulaic language in native and non-native German. To this effect, a corpus of argumentative essays written by advanced British students of German (WHiG) was compared with a corpus of argumentative essays written by German native speakers (Falko-L1). A corpus-driven analysis reveals a larger number of 3-grams in WHiG than in Falko-L1, which suggests that British advanced learners of German are more likely to use formulaic language in argumentative writing than their native-speaker counterparts. Secondly, by classifying the formulaic sequences according to their functions, this study finds that native speakers of German prefer discourse-structuring devices to stance expressions, whilst British advanced learners display the opposite preferences. Thirdly, the results show that learners of German make greater use of macro-discourse-structuring devices and cautious language, whereas native speakers favour micro-discourse structuring devices and tend to use more direct language. This study increases our understanding of formulaic language typical of British advanced learners of German and reveals how diverging cultural paradigms can shape written native speaker and learner output.

Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

Superdiffusion in a non-Markovian random walk model with a Gaussian memory profile

Most superdiffusive Non-Markovian random walk models assume that correlations are maintained at all time scales, e. g., fractional Brownian motion, Levy walks, the Elephant walk and Alzheimer walk models. In the latter two models the random walker can always "remember" the initial times near t = 0. Assuming jump size distributions with finite variance, the question naturally arises: is superdiffusion possible if the walker is unable to recall the initial times? We give a conclusive answer to this general question, by studying a non-Markovian model in which the walker's memory of the past is weighted by a Gaussian centered at time t/2, at which time the walker had one half the present age, and with a standard deviation sigma t which grows linearly as the walker ages. For large widths we find that the model behaves similarly to the Elephant model, but for small widths this Gaussian memory profile model behaves like the Alzheimer walk model. We also report that the phenomenon of amnestically induced persistence, known to occur in the Alzheimer walk model, arises in the Gaussian memory profile model. We conclude that memory of the initial times is not a necessary condition for generating (log-periodic) superdiffusion. We show that the phenomenon of amnestically induced persistence extends to the case of a Gaussian memory profile.

Whole genome analysis reveals a high incidence of non-optimal codons in secretory signal sequences of Escherichia coli

Translational pausing may occur due to a number of mechanisms, including the presence of non-optimal codons, and it is thought to play a role in the folding of specific polypeptide domains during translation and in the facilitation of signal peptide recognition during see-dependent protein targeting. In this whole genome analysis of Escherichia coli we have found that non-optimal codons in the signal peptide-encoding sequences of secretory genes are overrepresented relative to the mature portions of these genes; this is in addition to their overrepresentation in the 5'-regions of genes encoding non-secretory proteins. We also find increased non-optimal codon usage at the 3' ends of most E. coli genes, in both non-secretory and secretory sequences. Whereas presumptive translational pausing at the 5' and 3' ends of E. coli messenger RNAs may clearly have a general role in translation, we suggest that it also has a specific role in sec-dependent protein export, possibly in facilitating signal peptide recognition. This finding may have important implications for our understanding of how the majority of non-cytoplasmic proteins are targeted, a process that is essential to all biological cells. (C) 2004 Elsevier Inc. All rights reserved.

Non-zero mean Gaussian process prior wind field models

This report outlines the derivation and application of a non-zero mean, polynomial-exponential covariance function based Gaussian process which forms the prior wind field model used in 'autonomous' disambiguation. It is principally used since the non-zero mean permits the computation of realistic local wind vector prior probabilities which are required when applying the scaled-likelihood trick, as the marginals of the full wind field prior. As the full prior is multi-variate normal, these marginals are very simple to compute.

A deficit in encoding the order of visual sequences in developmental dyslexia: a non -phonological deficit

The present thesis tested the hypothesis of Stanovich, Siegel, & Gottardo (1997) that surface dyslexia is the result of a milder phonological deficit than that seen in phonological dyslexia coupled with reduced reading experience. We found that a group of adults with surface dyslexia showed a phonological deficit that was commensurate with that shown by a group of adults with phonological dyslexia (matched for chronological age and verbal and non-verbal IQ) and normal reading experience. We also showed that surface dyslexia cannot be accounted for by a semantic impairment or a deficit in the verbal learning and recall of lexical-semantic information (such as meaningful words), as both dyslexic subgroups performed the same. This study has replicated the results of our published study that surface dyslexia is not the consequence of a mild retardation or reduced learning opportunities but a separate impairment linked to a deficit in written lexical learning, an ability needed to create novel lexical representations from a series of unrelated visual units, which is independent from the phonological deficit (Romani, Di Betta, Tsouknida & Olson, 2008). This thesis also provided evidence that a selective nonword reading deficit in developmental dyslexia persists beyond poor phonology. This was shown by finding a nonword reading deficit even in the presence of normal regularity effects in the dyslexics (when compared to both reading and spelling-age matched controls). A nonword reading deficit was also found in the surface dyslexics. Crucially, this deficit was as strong as in the phonological dyslexics despite better functioning of the sublexical route for the former. These results suggest that a nonword reading deficit cannot be solely explained by a phonological impairment. We, thus, suggested that nonword reading should also involve another ability relating to the processing of novel visual orthographic strings, which we called 'orthographic coding'. We then investigated the ability to process series of independent units within multi-element visual arrays and its relationship with reading and spelling problems. We identified a deficit in encoding the order of visual sequences (involving both linguistic and nonlinguistic information) which was significantly associated with word and nonword processing. More importantly, we revealed significant contributions to orthographic skills in both dyslexic and control individuals, even after age, performance IQ and phonological skills were controlled. These results suggest that spelling and reading do not only tap phonological skills but also order encoding skills.

Rotation invariant iris feature extraction using Gaussian Markov random fields with non-separable wavelet

Rotation invariance is important for an iris recognition system since changes of head orientation and binocular vergence may cause eye rotation. The conventional methods of iris recognition cannot achieve true rotation invariance. They only achieve approximate rotation invariance by rotating the feature vector before matching or unwrapping the iris ring at different initial angles. In these methods, the complexity of the method is increased, and when the rotation scale is beyond the certain scope, the error rates of these methods may substantially increase. In order to solve this problem, a new rotation invariant approach for iris feature extraction based on the non-separable wavelet is proposed in this paper. Firstly, a bank of non-separable orthogonal wavelet filters is used to capture characteristics of the iris. Secondly, a method of Markov random fields is used to capture rotation invariant iris feature. Finally, two-class kernel Fisher classifiers are adopted for classification. Experimental results on public iris databases show that the proposed approach has a low error rate and achieves true rotation invariance. © 2010.

The bacterial diversity in a Brazilian non-disturbed mangrove sediment

The bacterial diversity present in sediments of a well-preserved mangrove in Ilha do Cardoso, located in the extreme south of So Paulo State coastline, Brazil, was assessed using culture-independent molecular approaches (denaturing gradient gel electrophoresis (DGGE) and analysis of 166 sequences from a clone library). The data revealed a bacterial community dominated by Alphaproteobacteria (40.36% of clones), Gammaproteobacteria (19.28% of clones) and Acidobacteria (27.71% of clones), while minor components of the assemblage were affiliated to Betaproteobacteria, Deltaproteobacteria, Firmicutes, Actinobacteria and Bacteroidetes. The clustering and redundancy analysis (RDA) based on DGGE were used to determine factors that modulate the diversity of bacterial communities in mangroves, such as depth, seasonal fluctuations, and locations over a transect area from the sea to the land. Profiles of specific DGGE gels showed that both dominant (`universal` Bacteria and Alphaproteobacteria) and low-density bacterial communities (Betaproteobacteria and Actinobacteria) are responsive to shifts in environmental factors. The location within the mangrove was determinant for all fractions of the community studied, whereas season was significant for Bacteria, Alphaproteobacteria, and Betaproteobacteria and sample depth determined the diversity of Alphaproteobacteria and Actinobacteria.

PCR bias toward the wild-type k-ras and p53 sequences: Implications for PCR detection of mutations and cancer diagnosis

PCR-based cancer diagnosis requires detection of rare mutations in k-ras, p53 or other genes. The assumption has been that mutant and wild-type sequences amplify with near equal efficiency, so that they are eventually present in proportions representative of the starting material. Work factor IX suggests that this assumption is invalid for one case of near-sequence identity To test the generality of this phenomenon and its relevance to cancer diagnosis, primers distant from point mutations in p53 and k-ras were used to amplify, wild-type and mutant sequences from these genes. A substantial bias against PCR amplification of mutants was observed for two regions of the p53 gene and one region of k-ras. For kras and p53, bias was observed when the wild-type and mutant sequences were amplified separately or when mixed in equal proportions before PCR. Bias was present with proofreading and non-proofreading polymerases. Mutant and wild-type segments of the factor V cystic fibrosis transmembrane conductance regulator and prothrombin genes were amplified and did not exhibit PCR bias. Therefore, the assumption of equal PCR efficiency for point mutant and wild-type sequences is invalid in several systems. Quantitative or diagnostic PCR will require validation for each locus, and enrichment strategies may be needed to optimize detection of mutants.