Nonparametric Identication and Structural Estimation of Auction Models

Thesis (Ph.D.)--University of Washington, 2016-06

OMERACT-OARSI Initiative: Osteoarthritis Research Society International set of responder criteria for osteoarthritis clinical trials revisited.

Background: The OARSI Standing Committee for Clinical Trials Response Criteria Initiative had developed two sets of responder criteria to present the results of changes after treatment in three symptomatic domains (pain, function, and patient's global assessment) as a single variable for clinical trials (1). For each domain, a response was defined by both a relative and an absolute change, with different cut-offs with regard to the drug, the route of administration and the OA localization. Objective: To propose a simplified set of responder criteria with a similar cut-off, whatever the drug, the route or the OA localization. Methods: Data driven approach: (1) Two databases were considered The 'elaboration' database with which the formal OARSI sets of responder criteria were elaborated and The 'revisit' database. (2) Six different scenarios were evaluated: The two formal OARSI sets of criteria Four proposed scenarios of simplified sets of criteria Data from clinical randomized blinded placebo controlled trials were used to evaluate the performances of the two formal scenarios with two different databases ('elaboration' versus 'revisit') and those of the four proposed simplified scenarios within the 'revisit' database. The placebo effect, active effect, treatment effect, and the required sample arm size to obtain the placebo effect and the active treatment effect observed were the performances evaluated for each of the six scenarios. Experts' opinion approach: Results were discussed among the participants of the OMERACT VI meeting, who voted to select the definite OMERACT-OARSI set of criteria (one of the six evaluated scenarios). Results: Data driven approach: Fourteen trials totaling 1886 CA patients and fifteen studies involving 8164 CA patients were evaluated in the 'elaboration' and the 'revisit' databases respectively. The variability of the performances observed in the 'revisit' database when using the different simplified scenarios was similar to that observed between the two databases ('elaboration' versus 'revisit') when using the formal scenarios. The treatment effect and the required sample arm size were similar for each set of criteria. Experts' opinion approach: According to the experts, these two previous performances were the most important of an optimal set of responder criteria. They chose the set of criteria considering both pain and function as evaluation domain and requiring an absolute change and a relative change from baseline to define a response, with similar cut-offs whatever the drug, the route of administration or the CA localization. Conclusion: This data driven and experts' opinion approach is the basis for proposing an optimal simplified set of responder criteria for CA clinical trials. Other studies, using other sets of CA patients, are required in order to further validate this proposed OMERACT - OARSI set of criteria. (C) 2004 OsteoArthritis Research Society International. Published by Elsevier Ltd. All rights reserved.

The burden of major depression avoidable by longer-term treatment strategies

Background: Major depression is the largest single cause of nonfatal disease burden in Australia. Effective drug and psychological treatments exist, yet are underused. Objective: To quantify the burden of disease currently averted in people seeking care for major depression and the amount of disease burden that could be averted in these people under optimal episodic and maintenance treatment strategies. Design: Modeling impact of current and optimal treatment strategies based on secondary analysis of mental health survey data, studies of the natural history of major depression, and meta-analyses of effectiveness data. Monte Carlo simulation of uncertainty in the model. Setting: The cohort of Australian adults experiencing an episode of major depression in 2000 are modeled through "what if" scenarios of no treatment, current treatment, and optimal treatment strategies with cognitive behavioral therapy or antidepressant drug treatment. Main Outcome Measure: Disability-Adjusted Life Year. Results: Current episodic treatment averts 9% (95% uncertainty interval, 6%-12%) of the disease burden of major depression in Australian adults. Optimal episodic treatment with cognitive behavioral therapy could avert 28% (95% uncertainty interval, 19%-39%) of this disease burden, and with drugs 24% (95% uncertainty interval, 19%-30%) could be averted. During the 5 years after an episode of major depression, current episodic treatment patterns would avert 13% (95% uncertainty interval, 10%-17%) of Disability-Adjusted Life Years, whereas maintenance drug treatment could avert 50% (95% uncertainty interval, 40%-60%) and maintenance cognitive behavioral therapy could avert 52% (95% uncertainty interval, 42%-64%), even if adherence of around 60% is taken into account. Conclusions: Longer-term maintenance drug or psychological treatment strategies are required to make significant inroads into the large disease burden associated with major depression in the Australian population.

The effects of changes in recycling patterns on United Kingdom resource consumption

Recycling, substitution and product life extension are identified as significant factors contributing to an extension of the time to exhaustion of industrially Dnportant materials. A quantitative assessment of the significance of virtually all materials to the U.K. is made. Copper is identified as one of the most important materials deserving of further investigation into potential resource savings through increased recycling. The other factors listed above are accounted for in the modelling technique employed. United Kingdom copper flows are qualitatively and statistically described for the years 1949 - 1976. Less accurate statistics are developed for 1922 - 1948. Adaptive expectations type causal models of total, unalloyed, and alloyed copper demand are successfully constructed and are used to generate future scenarios. Evidence is demonstrated for a break in the historical link between U.K. copper demand and industrial production. Simple causal models of potential copper scrap supply are constructed and a comparison made with actual old scrap withdrawals. Accurate adaptive expectations type models of total scrap demand are developed, but no conclusion is reached about the price elasticity of scrap demand. Various scenarios of copper goods demand are forecast and their effect on copper scrap demand. The potential to recover up to an extra 100.000 tonnes/year of generally lower grade old scrap is identified. Policy options are examined and the following recommendations made: 1) A total investment of up to £67 million in secondary refining capacity by the year 2000 is needed. 2) The copper scrap content of copper bearing goods should be specified to aid recovery. 3) A U.K. copper scrap buffer stock scheme would be advantageous for the secondary copper industry. Finally the methodology used is summarised for potential application to other materials.

Lattice approach to the dynamics of phase-coded soliton trains

We address the collective dynamics of a soliton train propagating in a medium described by the nonlinear Schrödinger equation. Our approach uses the reduction of train dynamics to the discrete complex Toda chain (CTC) model for the evolution of parameters for each train constituent: such a simplification allows one to carry out an approximate analysis of the dynamics of positions and phases of individual interacting pulses. Here, we employ the CTC model to the problem which has relevance to the field of fibre optics communications where each binary digit of transmitted information is encoded via the phase difference between the two adjacent solitons. Our goal is to elucidate different scenarios of the train distortions and the subsequent information garbling caused solely by the intersoliton interactions. First, we examine how the structure of a given phase pattern affects the initial stage of the train dynamics and explain the general mechanisms for the appearance of unstable collective soliton modes. Then we further discuss the nonlinear regime concentrating on the dependence of the Lax scattering matrix on the input phase distribution; this allows one to classify typical features of the train evolution and determine the distance where the soliton escapes from its slot. In both cases, we demonstrate deep mathematical analogies with the classical theory of crystal lattice dynamics.

Appearance of bound states in random potentials with applications to soliton theory

We analyze the stochastic creation of a single bound state (BS) in a random potential with a compact support. We study both the Hermitian Schrödinger equation and non-Hermitian Zakharov-Shabat systems. These problems are of special interest in the inverse scattering method for Korteveg–de-Vries and the nonlinear Schrödinger equations since soliton solutions of these two equations correspond to the BSs of the two aforementioned linear eigenvalue problems. Analytical expressions for the average width of the potential required for the creation of the first BS are given in the approximation of delta-correlated Gaussian potential and additionally different scenarios of eigenvalue creation are discussed for the non-Hermitian case.

Exchange rate economic exposure and hedging:the significance of currency options

This thesis focuses on the theoretical examination of the exchange rate economic (operating) exposure within the context of the theory of the firm, and proposes some hedging solutions using currency options. The examination of economic exposure is based on such parameters as firms' objectives, industry structure and production cost efficiency. In particular, it examines an hypothetical exporting firm with costs in domestic currency, which faces competition from foreign firms in overseas markets and has a market share expansion objective. Within this framework, the hypothesis is established that economic exposure, portrayed in a diagram connecting export prices and real exchange rates, is asymmetric (i.e. the negative effects depreciation are higher than the positive effects of a currency depreciation). In this case, export business can be seen as a real option, given by exporting firms to overseas customer. Different scenarios about the asymmetry hypothesis can be derived for different assumptions about the determinants of economic exposure. Having established the asymmetry hypothesis, the hedging against this exposure is analysed. The hypothesis is established, that a currency call option should be used in hedging against asymmetric economic exposure. Further, some advanced currency options stategies are discussed, and their use in hedging several scenarios of exposure is indicated, establishing the hypothesis that, the optimal options strategy is a function of the determinants of exposure. Some extensions on the theoretical analysis are examined. These include the hedging of multicurrency exposure using options, and the exposure of a purely domestic firm facing import competition. The empirical work addresses two issues: the empirical validity of the asymmetry hypothesis and the examination of the hedging effectiveness of currency options.

Investigation of uncoordinated coexisting IEEE 802.15.4 networks with sleep mode for machine-to-machine communications

The low-energy consumption of IEEE 802.15.4 networks makes it a strong candidate for machine-to-machine (M2M) communications. As multiple M2M applications with 802.15.4 networks may be deployed closely and independently in residential or enterprise areas, supporting reliable and timely M2M communications can be a big challenge especially when potential hidden terminals appear. In this paper, we investigate two scenarios of 802.15.4 network-based M2M communication. An analytic model is proposed to understand the performance of uncoordinated coexisting 802.15.4 networks. Sleep mode operations of the networks are taken into account. Simulations verified the analytic model. It is observed that reducing sleep time and overlap ratio can increase the performance of M2M communications. When the networks are uncoordinated, reducing the overlap ratio can effectively improve the network performance. © 2012 Chao Ma et al.

Lattice approach to the dynamics of phase-coded soliton trains

We address the collective dynamics of a soliton train propagating in a medium described by the nonlinear Schrödinger equation. Our approach uses the reduction of train dynamics to the discrete complex Toda chain (CTC) model for the evolution of parameters for each train constituent: such a simplification allows one to carry out an approximate analysis of the dynamics of positions and phases of individual interacting pulses. Here, we employ the CTC model to the problem which has relevance to the field of fibre optics communications where each binary digit of transmitted information is encoded via the phase difference between the two adjacent solitons. Our goal is to elucidate different scenarios of the train distortions and the subsequent information garbling caused solely by the intersoliton interactions. First, we examine how the structure of a given phase pattern affects the initial stage of the train dynamics and explain the general mechanisms for the appearance of unstable collective soliton modes. Then we further discuss the nonlinear regime concentrating on the dependence of the Lax scattering matrix on the input phase distribution; this allows one to classify typical features of the train evolution and determine the distance where the soliton escapes from its slot. In both cases, we demonstrate deep mathematical analogies with the classical theory of crystal lattice dynamics.

Design principles of semantic binary database management systems

The Semantic Binary Data Model (SBM) is a viable alternative to the now-dominant relational data model. SBM would be especially advantageous for applications dealing with complex interrelated networks of objects provided that a robust efficient implementation can be achieved. This dissertation presents an implementation design method for SBM, algorithms, and their analytical and empirical evaluation. Our method allows building a robust and flexible database engine with a wider applicability range and improved performance. ^ Extensions to SBM are introduced and an implementation of these extensions is proposed that allows the database engine to efficiently support applications with a predefined set of queries. A New Record data structure is proposed. Trade-offs of employing Fact, Record and Bitmap Data structures for storing information in a semantic database are analyzed. ^ A clustering ID distribution algorithm and an efficient algorithm for object ID encoding are proposed. Mapping to an XML data model is analyzed and a new XML-based XSDL language facilitating interoperability of the system is defined. Solutions to issues associated with making the database engine multi-platform are presented. An improvement to the atomic update algorithm suitable for certain scenarios of database recovery is proposed. ^ Specific guidelines are devised for implementing a robust and well-performing database engine based on the extended Semantic Data Model. ^

A deontic analysis of inter -organizational control requirements

This research focuses on the design and verification of inter-organizational controls. Instead of looking at a documentary procedure, which is the flow of documents and data among the parties, the research examines the underlying deontic purpose of the procedure, the so-called deontic process, and identifies control requirements to secure this purpose. The vision of the research is a formal theory for streamlining bureaucracy in business and government procedures. ^ Underpinning most inter-organizational procedures are deontic relations, which are about rights and obligations of the parties. When all parties trust each other, they are willing to fulfill their obligations and honor the counter parties’ rights; thus controls may not be needed. The challenge is in cases where trust may not be assumed. In these cases, the parties need to rely on explicit controls to reduce their exposure to the risk of opportunism. However, at present there is no analytic approach or technique to determine which controls are needed for a given contracting or governance situation. ^ The research proposes a formal method for deriving inter-organizational control requirements based on static analysis of deontic relations and dynamic analysis of deontic changes. The formal method will take a deontic process model of an inter-organizational transaction and certain domain knowledge as inputs to automatically generate control requirements that a documentary procedure needs to satisfy in order to limit fraud potentials. The deliverables of the research include a formal representation namely Deontic Petri Nets that combine multiple modal logics and Petri nets for modeling deontic processes, a set of control principles that represent an initial formal theory on the relationships between deontic processes and documentary procedures, and a working prototype that uses model checking technique to identify fraud potentials in a deontic process and generate control requirements to limit them. Fourteen scenarios of two well-known international payment procedures—cash in advance and documentary credit—have been used to test the prototype. The results showed that all control requirements stipulated in these procedures could be derived automatically.^

The market value implications of pension asset allocation

Pension funds have been part of the private sector since the 1850's. Defined Benefit pension plans [DB], where a company promises to make regular contributions to investment accounts held for participating employees in order to pay a promised lifelong annuity, are significant capital markets participants, amounting to 2.3 trillion dollars in 2010 (Federal Reserve Board, 2013). In 2006, Statement of Financial Accounting Standards No.158 (SFAS 158), Employers' Accounting for Defined Benefit Pension and Other Postemployment Plans, shifted information concerning funding status and pension asset/liability composition from disclosure in the footnotes to recognition in the financial statements. I add to the literature by being the first to examine the effect of recent pension reform during the financial crisis of 2008-09. This dissertation is comprised of three related essays. In my first essay, I investigate whether investors assign different pricing multiples to the various classes of pension assets when valuing firms. The pricing multiples on all classes of assets are significantly different from each other, but only investments in bonds and equities were value-relevant during the recent financial crisis. Consistent with investors viewing pension liabilities as liabilities of the firm, the pricing multiples on pension liabilities are significantly larger than those on non-pension liabilities. The only pension costs significantly associated with firm value are actual rate of return and interest expense. In my second essay, I investigate the role of accruals in predicting future cash flows, extending the Barth et al. (2001a) model of the accrual process. Using market value of equity as a proxy for cash flows, the results of this study suggest that aggregate accounting amounts mask how the components of earnings affect investors' ability to predict future cash flows. Disaggregating pension earnings components and accruals results in an increase in predictive power. During the 2008-2009 financial crisis, however, investors placed a greater (and negative) weight on the incremental information contained in the individual components of accruals. The inferences are robust to alternative specifications of accruals. Finally, in my third essay I investigate how investors view under-funded plans. On average, investors: view deficits arising from under-funded plans as belonging to the firm; reward firms with fully or over-funded pension plans; and encourage those funds with unfunded pension plans to become funded. Investors also encourage conservative pension asset allocations to mitigate firm risk, and smaller firms are perceived as being better able to handle the risk associated with underfunded plans. During the financial crisis of 2008-2009 underfunded status had a lower negative association with market value. In all three models, there are significant differences in pre- and post- SFAS 158 periods. These results are robust to various scenarios of the timing of the financial crisis and an alternative measure of funding.

A Deontic Analysis of Inter-Organizational Control Requirements

This research focuses on the design and verification of inter-organizational controls. Instead of looking at a documentary procedure, which is the flow of documents and data among the parties, the research examines the underlying deontic purpose of the procedure, the so-called deontic process, and identifies control requirements to secure this purpose. The vision of the research is a formal theory for streamlining bureaucracy in business and government procedures. Underpinning most inter-organizational procedures are deontic relations, which are about rights and obligations of the parties. When all parties trust each other, they are willing to fulfill their obligations and honor the counter parties’ rights; thus controls may not be needed. The challenge is in cases where trust may not be assumed. In these cases, the parties need to rely on explicit controls to reduce their exposure to the risk of opportunism. However, at present there is no analytic approach or technique to determine which controls are needed for a given contracting or governance situation. The research proposes a formal method for deriving inter-organizational control requirements based on static analysis of deontic relations and dynamic analysis of deontic changes. The formal method will take a deontic process model of an inter-organizational transaction and certain domain knowledge as inputs to automatically generate control requirements that a documentary procedure needs to satisfy in order to limit fraud potentials. The deliverables of the research include a formal representation namely Deontic Petri Nets that combine multiple modal logics and Petri nets for modeling deontic processes, a set of control principles that represent an initial formal theory on the relationships between deontic processes and documentary procedures, and a working prototype that uses model checking technique to identify fraud potentials in a deontic process and generate control requirements to limit them. Fourteen scenarios of two well-known international payment procedures -- cash in advance and documentary credit -- have been used to test the prototype. The results showed that all control requirements stipulated in these procedures could be derived automatically.

Development of hardware in the loop real-time control techniques for hybrid power systems involving distributed demands and sustainable energy sources

The future power grid will effectively utilize renewable energy resources and distributed generation to respond to energy demand while incorporating information technology and communication infrastructure for their optimum operation. This dissertation contributes to the development of real-time techniques, for wide-area monitoring and secure real-time control and operation of hybrid power systems. ^ To handle the increased level of real-time data exchange, this dissertation develops a supervisory control and data acquisition (SCADA) system that is equipped with a state estimation scheme from the real-time data. This system is verified on a specially developed laboratory-based test bed facility, as a hardware and software platform, to emulate the actual scenarios of a real hybrid power system with the highest level of similarities and capabilities to practical utility systems. It includes phasor measurements at hundreds of measurement points on the system. These measurements were obtained from especially developed laboratory based Phasor Measurement Unit (PMU) that is utilized in addition to existing commercially based PMU’s. The developed PMU was used in conjunction with the interconnected system along with the commercial PMU’s. The tested studies included a new technique for detecting the partially islanded micro grids in addition to several real-time techniques for synchronization and parameter identifications of hybrid systems. ^ Moreover, due to numerous integration of renewable energy resources through DC microgrids, this dissertation performs several practical cases for improvement of interoperability of such systems. Moreover, increased number of small and dispersed generating stations and their need to connect fast and properly into the AC grids, urged this work to explore the challenges that arise in synchronization of generators to the grid and through introduction of a Dynamic Brake system to improve the process of connecting distributed generators to the power grid.^ Real time operation and control requires data communication security. A research effort in this dissertation was developed based on Trusted Sensing Base (TSB) process for data communication security. The innovative TSB approach improves the security aspect of the power grid as a cyber-physical system. It is based on available GPS synchronization technology and provides protection against confidentiality attacks in critical power system infrastructures. ^

Land Use and Climate Change Impacts on the Hydrology of the Upper Mara River Basin, Kenya: Results of a Modeling Study to Support Better Resource Management

Some of the most valued natural and cultural landscapes on Earth lie in river basins that are poorly gauged and have incomplete historical climate and runoff records. The Mara River Basin of East Africa is such a basin. It hosts the internationally renowned Mara-Serengeti landscape as well as a rich mixture of indigenous cultures. The Mara River is the sole source of surface water to the landscape during the dry season and periods of drought. During recent years, the flow of the Mara River has become increasingly erratic, especially in the upper reaches, and resource managers are hampered by a lack of understanding of the relative influence of different sources of flow alteration. Uncertainties about the impacts of future climate change compound the challenges. We applied the Soil Water Assessment Tool (SWAT) to investigate the response of the headwater hydrology of the Mara River to scenarios of continued land use change and projected climate change. Under the data-scarce conditions of the basin, model performance was improved using satellite-based estimated rainfall data, which may also improve the usefulness of runoff models in other parts of East Africa. The results of the analysis indicate that any further conversion of forests to agriculture and grassland in the basin headwaters is likely to reduce dry season flows and increase peak flows, leading to greater water scarcity at critical times of the year and exacerbating erosion on hillslopes. Most climate change projections for the region call for modest and seasonally variable increases in precipitation (5–10 %) accompanied by increases in temperature (2.5–3.5 °C). Simulated runoff responses to climate change scenarios were non-linear and suggest the basin is highly vulnerable under low (−3 %) and high (+25 %) extremes of projected precipitation changes, but under median projections (+7 %) there is little impact on annual water yields or mean discharge. Modest increases in precipitation are partitioned largely to increased evapotranspiration. Overall, model results support the existing efforts of Mara water resource managers to protect headwater forests and indicate that additional emphasis should be placed on improving land management practices that enhance infiltration and aquifer recharge as part of a wider program of climate change adaptation.