Use of the ratio plot in capture-recapture estimation

Statistical graphics are a fundamental, yet often overlooked, set of components in the repertoire of data analytic tools. Graphs are quick and efficient, yet simple instruments of preliminary exploration of a dataset to understand its structure and to provide insight into influential aspects of inference such as departures from assumptions and latent patterns. In this paper, we present and assess a graphical device for choosing a method for estimating population size in capture-recapture studies of closed populations. The basic concept is derived from a homogeneous Poisson distribution where the ratios of neighboring Poisson probabilities multiplied by the value of the larger neighbor count are constant. This property extends to the zero-truncated Poisson distribution which is of fundamental importance in capture–recapture studies. In practice however, this distributional property is often violated. The graphical device developed here, the ratio plot, can be used for assessing specific departures from a Poisson distribution. For example, simple contaminations of an otherwise homogeneous Poisson model can be easily detected and a robust estimator for the population size can be suggested. Several robust estimators are developed and a simulation study is provided to give some guidance on which should be used in practice. More systematic departures can also easily be detected using the ratio plot. In this paper, the focus is on Gamma mixtures of the Poisson distribution which leads to a linear pattern (called structured heterogeneity) in the ratio plot. More generally, the paper shows that the ratio plot is monotone for arbitrary mixtures of power series densities.

Extended factorizations of exponential functionals of Lévy processes

Pardo, Patie, and Savov derived, under mild conditions, a Wiener-Hopf type factorization for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by relaxing a finite moment assumption as well as by considering the exponential functional for killed Lévy processes. As a by-product, we derive some interesting fine distributional properties enjoyed by a large class of this random variable, such as the absolute continuity of its distribution and the smoothness, boundedness or complete monotonicity of its density. This type of results is then used to derive similar properties for the law of maxima and first passage time of some stable Lévy processes. Thus, for example, we show that for any stable process with $\rho\in(0,\frac{1}{\alpha}-1]$, where $\rho\in[0,1]$ is the positivity parameter and $\alpha$ is the stable index, then the first passage time has a bounded and non-increasing density on $\mathbb{R}_+$. We also generate many instances of integral or power series representations for the law of the exponential functional of Lévy processes with one or two-sided jumps. The proof of our main results requires different devices from the one developed by Pardo, Patie, Savov. It relies in particular on a generalization of a transform recently introduced by Chazal et al together with some extensions to killed Lévy process of Wiener-Hopf techniques. The factorizations developed here also allow for further applications which we only indicate here also allow for further applications which we only indicate here.

A Wiener-Hopf type factorization for the exponential functional of Levy processes

For a Lévy process ξ=(ξt)t≥0 drifting to −∞, we define the so-called exponential functional as follows: Formula Under mild conditions on ξ, we show that the following factorization of exponential functionals: Formula holds, where × stands for the product of independent random variables, H− is the descending ladder height process of ξ and Y is a spectrally positive Lévy process with a negative mean constructed from its ascending ladder height process. As a by-product, we generate an integral or power series representation for the law of Iξ for a large class of Lévy processes with two-sided jumps and also derive some new distributional properties. The proof of our main result relies on a fine Markovian study of a class of generalized Ornstein–Uhlenbeck processes, which is itself of independent interest. We use and refine an alternative approach of studying the stationary measure of a Markov process which avoids some technicalities and difficulties that appear in the classical method of employing the generator of the dual Markov process.

A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

A Double-threshold GARCH Model for the French Franc/Deutschmark exchange rate

This paper combines and generalizes a number of recent time series models of daily exchange rate series by using a SETAR model which also allows the variance equation of a GARCH specification for the error terms to be drawn from more than one regime. An application of the model to the French Franc/Deutschmark exchange rate demonstrates that out-of-sample forecasts for the exchange rate volatility are also improved when the restriction that the data it is drawn from a single regime is removed. This result highlights the importance of considering both types of regime shift (i.e. thresholds in variance as well as in mean) when analysing financial time series.

Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

This paper proposes and implements a new methodology for forecasting time series, based on bicorrelations and cross-bicorrelations. It is shown that the forecasting technique arises as a natural extension of, and as a complement to, existing univariate and multivariate non-linearity tests. The formulations are essentially modified autoregressive or vector autoregressive models respectively, which can be estimated using ordinary least squares. The techniques are applied to a set of high-frequency exchange rate returns, and their out-of-sample forecasting performance is compared to that of other time series models

Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

The importance of the volatility risk premium for volatility forecasting

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility risk premium and implement this methodology using more than 20 years of options and futures data on three major energy markets. Using regression models and statistical loss functions, we find compelling evidence to suggest that the risk premium adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding holds for different choices of volatility estimators and competing time-series models, underlying the robustness of our results.

Importance of estimating matrix quality for modeling species distribution in complex tropical landscapes: a test with Atlantic forest small mammals

Information to guide decision making is especially urgent in human dominated landscapes in the tropics, where urban and agricultural frontiers are still expanding in an unplanned manner. Nevertheless, most studies that have investigated the influence of landscape structure on species distribution have not considered the heterogeneity of altered habitats of the matrix, which is usually high in human dominated landscapes. Using the distribution of small mammals in forest remnants and in the four main altered habitats in an Atlantic forest landscape, we investigated 1) how explanatory power of models describing species distribution in forest remnants varies between landscape structure variables that do or do not incorporate matrix quality and 2) the importance of spatial scale for analyzing the influence of landscape structure. We used standardized sampling in remnants and altered habitats to generate two indices of habitat quality, corresponding to the abundance and to the occurrence of small mammals. For each remnant, we calculated habitat quantity and connectivity in different spatial scales, considering or not the quality of surrounding habitats. The incorporation of matrix quality increased model explanatory power across all spatial scales for half the species that occurred in the matrix, but only when taking into account the distance between habitat patches (connectivity). These connectivity models were also less affected by spatial scale than habitat quantity models. The few consistent responses to the variation in spatial scales indicate that despite their small size, small mammals perceive landscape features at large spatial scales. Matrix quality index corresponding to species occurrence presented a better or similar performance compared to that of species abundance. Results indicate the importance of the matrix for the dynamics of fragmented landscapes and suggest that relatively simple indices can improve our understanding of species distribution, and could be applied in modeling, monitoring and managing complex tropical landscapes.

Comparing time-varying autoregressive structures of locally stationary processes

In this paper, a novel statistical test is introduced to compare two locally stationary time series. The proposed approach is a Wald test considering time-varying autoregressive modeling and function projections in adequate spaces. The covariance structure of the innovations may be also time- varying. In order to obtain function estimators for the time- varying autoregressive parameters, we consider function expansions in splines and wavelet bases. Simulation studies provide evidence that the proposed test has a good performance. We also assess its usefulness when applied to a financial time series.

The influence of ARIMA-GARCH parameters in feed forward neural networks prediction

The objective of this article is to find out the influence of the parameters of the ARIMA-GARCH models in the prediction of artificial neural networks (ANN) of the feed forward type, trained with the Levenberg-Marquardt algorithm, through Monte Carlo simulations. The paper presents a study of the relationship between ANN performance and ARIMA-GARCH model parameters, i.e. the fact that depending on the stationarity and other parameters of the time series, the ANN structure should be selected differently. Neural networks have been widely used to predict time series and their capacity for dealing with non-linearities is a normally outstanding advantage. However, the values of the parameters of the models of generalized autoregressive conditional heteroscedasticity have an influence on ANN prediction performance. The combination of the values of the GARCH parameters with the ARIMA autoregressive terms also implies in ANN performance variation. Combining the parameters of the ARIMA-GARCH models and changing the ANN`s topologies, we used the Theil inequality coefficient to measure the prediction of the feed forward ANN.

Daily Calls Volume Forecasting

A massive amount has been written about forecasting but few articles are written about the development of time series models of call volumes for emergency services. In this study, we use different techniques for forecasting and make the comparison of the techniques for the call volume of the emergency service Rescue 1122 Lahore, Pakistan. For the purpose of this study data is taken from emergency calls of Rescue 1122 from 1st January 2008 to 31 December 2009 and 731 observations are used. Our goal is to develop a simple model that could be used for forecasting the daily call volume. Two different approaches are used for forecasting the daily call volume Box and Jenkins (ARIMA) methodology and Smoothing methodology. We generate the models for forecasting of call volume and present a comparison of the two different techniques.

The importance of body-mass exponent optimization for evaluation of performance capability in cross-country skiing

Introduction Performance in cross-country skiing is influenced by the skier’s ability to continuously produce propelling forces and force magnitude in relation to the net external forces. A surrogate indicator of the “power supply” in cross-country skiing would be a physiological variable that reflects an important performance-related capability, whereas the body mass itself is an indicator of the “power demand” experienced by the skier. To adequately evaluate an elite skier’s performance capability, it is essential to establish the optimal ratio between the physiological variable and body mass. The overall aim of this doctoral thesis was to investigate the importance of body-mass exponent optimization for the evaluation of performance capability in cross-country skiing. Methods In total, 83 elite cross-country skiers (56 men and 27 women) volunteered to participate in the four studies. The physiological variables of maximal oxygen uptake (V̇O2max) and oxygen uptake corresponding to a blood-lactate concentration of 4 mmol∙l-1 (V̇O2obla) were determined while treadmill roller skiing using the diagonal-stride technique; mean oxygen uptake (V̇O2dp) and upper-body power output (Ẇ) were determined during double-poling tests using a ski-ergometer. Competitive performance data for elite male skiers were collected from two 15-km classical-technique skiing competitions and a 1.25-km sprint prologue; additionally, a 2-km double-poling roller-skiing time trial using the double-poling technique was used as an indicator of upper-body performance capability among elite male and female junior skiers. Power-function modelling was used to explain the race and time-trial speeds based on the physiological variables and body mass. Results The optimal V̇O2max-to-mass ratios to explain 15-km race speed were V̇O2max divided by body mass raised to the 0.48 and 0.53 power, and these models explained 68% and 69% of the variance in mean skiing speed, respectively; moreover, the 95% confidence intervals (CI) for the body-mass exponents did not include either 0 or 1. For the modelling of race speed in the sprint prologue, body mass failed to contribute to the models based on V̇O2max, V̇O2obla, and V̇O2dp. The upper-body power output-to-body mass ratio that optimally explained time-trial speed was Ẇ ∙ m-0.57 and the model explained 63% of the variance in speed. Conclusions The results in this thesis suggest that V̇O2max divided by the square root of body mass should be used as an indicator of performance in 15-km classical-technique races among elite male skiers rather than the absolute or simple ratio-standard scaled expression. To optimally explain an elite male skier’s performance capability in sprint prologues, power-function models based on oxygen-uptake variables expressed absolutely are recommended. Moreover, to evaluate elite junior skiers’ performance capabilities in 2-km double-poling roller-skiing time trials, it is recommended that Ẇ divided by the square root of body mass should be used rather than absolute or simple ratio-standard scaled expression of power output.

Optimal V. O2max-to-mass ratio for predicting 15 km performance among elite male cross-country skiers

The aim of this study was 1) to validate the 0.5 body-mass exponent for maximal oxygen uptake (V. O2max) as the optimal predictor of performance in a 15 km classical-technique skiing competition among elite male cross-country skiers and 2) to evaluate the influence of distance covered on the body-mass exponent for V. O2max among elite male skiers. Twenty-four elite male skiers (age: 21.4±3.3 years [mean ± standard deviation]) completed an incremental treadmill roller-skiing test to determine their V. O2max. Performance data were collected from a 15 km classicaltechnique cross-country skiing competition performed on a 5 km course. Power-function modeling (ie, an allometric scaling approach) was used to establish the optimal body-mass exponent for V . O2max to predict the skiing performance. The optimal power-function models were found to be race speed = 8.83⋅(V . O2max m-0.53) 0.66 and lap speed = 5.89⋅(V . O2max m-(0.49+0.018lap)) 0.43e0.010age, which explained 69% and 81% of the variance in skiing speed, respectively. All the variables contributed to the models. Based on the validation results, it may be recommended that V. O2max divided by the square root of body mass (mL⋅min−1 ⋅kg−0.5) should be used when elite male skiers’ performance capability in 15 km classical-technique races is evaluated. Moreover, the body-mass exponent for V . O2max was demonstrated to be influenced by the distance covered, indicating that heavier skiers have a more pronounced positive pacing profile (ie, race speed gradually decreasing throughout the race) compared to that of lighter skiers.

Política fiscal e impactos produtivos dos gastos públicos

Esta tese é composta por três ensaios que versam sobre os efeitos macroeconômicos da Política Fiscal, especialmente sobre os principais agregados, tais como Produto, Investimento, Consumo e a Produtividade Geral da Economia. A literatura econômica e os trabalhos empíricos não são consensuais com relação à natureza dos impactos produtivos da Política Fiscal, mesmo para o caso do capital público. O objetivo dessa Tese não é buscar esse consenso, mas acrescentar à literatura novas evidências sobre os países em desenvolvimento da América Latina. O primeiro ensaio investiga as relações dinâmicas (no curto e longo prazo) entre investimento público e produto e investimento público e a Produtividade Total dos Fatores (PTF) para a Argentina, Brasil e Chile. Os resultados encontrados para os três países foram unânimes quando se refere a uma relação de longo prazo positiva entre investimento público e produto. O mesmo não se pode afirmar com respeito aos impactos de longo prazo entre investimento público e produtividade total dos fatores. O segundo ensaio aperfeiçoa a discussão do artigo anterior ao inquirir os efeitos não somente do investimento público, mas também do consumo do governo. Além disso, os impactos são avaliados sobre o PIB e seus principais componentes, tais como consumo das famílias e investimento privado. Os resultados desse capítulo sugerem que, no longo prazo, os investimentos públicos tendem a afetar positivamente o produto e o consumo das famílias. O consumo do governo afeta negativamente o produto e os investimentos privados para a maioria dos países. No entanto, esse resultado não é absoluto e depende do nível relativo do consumo do governo. No curto prazo, os resultados de uma política de estabilização ativa baseados nos pressupostos keynesianos são bastante limitados em termos de magnitude e duração ao longo do tempo. O terceiro ensaio analisa a consistência da política fiscal no Brasil, a partir de 1999, sob a perspectiva da estabilidade acroeconômica e seus efeitos de longo prazo sobre a sustentabilidade da dívida pública. Vale ressaltar que a consistência da política fiscal no médio e no longo prazos é fundamental para se vislumbrar um crescimento econômico sustentado. Os resultados indicam que, na formação de suas expectativas, o mercado observa apenas o número do superávit primário e o nível da dívida pública, desconsiderando a consistência do superávit primário, o que sugere certo grau de miopia em relação à política fiscal brasileira.