Hypertension and diabetes treatments and risk of adverse outcomes among breast cancer patients

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

Older Adult Injury Risk Assessment in the Driving and Occupational Environments

Thesis (Ph.D.)--University of Washington, 2016-08

Modelling Spikes in Electricity Prices

uring periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at forecasting price spikes. Variables capturing demand and weather patterns are used to drive the transition probabilities. Unlike traditional Markov-switching models that assume normality of the prices in each state, the model presented here uses a generalised beta distribution to allow for the skewness in the distribution of electricity prices during high-price episodes.

Risk of Human Papillomavirus-Associated Cancers Among Persons With AIDS

Background Although risk of human papillomavirus (HPV)–associated cancers of the anus, cervix, oropharynx, penis, vagina, and vulva is increased among persons with AIDS, the etiologic role of immunosuppression is unclear and incidence trends for these cancers over time, particularly after the introduction of highly active antiretroviral therapy in 1996, are not well described. Methods Data on 499 230 individuals diagnosed with AIDS from January 1, 1980, through December 31, 2004, were linked with cancer registries in 15 US regions. Risk of in situ and invasive HPV-associated cancers, compared with that in the general population, was measured by use of standardized incidence ratios (SIRs) and 95% confidence intervals (CIs). We evaluated the relationship of immunosuppression with incidence during the period of 4–60 months after AIDS onset by use of CD4 T-cell counts measured at AIDS onset. Incidence during the 4–60 months after AIDS onset was compared across three periods (1980–1989, 1990–1995, and 1996–2004). All statistical tests were two-sided. Results Among persons with AIDS, we observed statistically significantly elevated risk of all HPV-associated in situ (SIRs ranged from 8.9, 95% CI = 8.0 to 9.9, for cervical cancer to 68.6, 95% CI = 59.7 to 78.4, for anal cancer among men) and invasive (SIRs ranged from 1.6, 95% CI = 1.2 to 2.1, for oropharyngeal cancer to 34.6, 95% CI = 30.8 to 38.8, for anal cancer among men) cancers. During 1996–2004, low CD4 T-cell count was associated with statistically significantly increased risk of invasive anal cancer among men (relative risk [RR] per decline of 100 CD4 T cells per cubic millimeter = 1.34, 95% CI = 1.08 to 1.66, P = .006) and non–statistically significantly increased risk of in situ vagina or vulva cancer (RR = 1.52, 95% CI = 0.99 to 2.35, P = .055) and of invasive cervical cancer (RR = 1.32, 95% CI = 0.96 to 1.80, P = .077). Among men, incidence (per 100 000 person-years) of in situ and invasive anal cancer was statistically significantly higher during 1996–2004 than during 1990–1995 (61% increase for in situ cancers, 18.3 cases vs 29.5 cases, respectively; RR = 1.71, 95% CI = 1.24 to 2.35, P < .001; and 104% increase for invasive cancers, 20.7 cases vs 42.3 cases, respectively; RR = 2.03, 95% CI = 1.54 to 2.68, P < .001). Incidence of other cancers was stable over time. Conclusions Risk of HPV-associated cancers was elevated among persons with AIDS and increased with increasing immunosuppression. The increasing incidence for anal cancer during 1996–2004 indicates that prolonged survival may be associated with increased risk of certain HPV-associated cancers.

Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Increased risk of hospitalization for acute lower respiratory tract infection among Australian Indigenous infants 5-23 months of age following pneumococcal vaccination : a cohort study

Background Australian Indigenous children are the only population worldwide to receive the 7-valent pneumococcal conjugate vaccine (7vPCV) at 2, 4, and 6 months of age and the 23-valent pneumococcal polysaccharide vaccine (23vPPV) at 18 months of age. We evaluated this program's effectiveness in reducing the risk of hospitalization for acute lower respiratory tract infection (ALRI) in Northern Territory (NT) Indigenous children aged 5-23 months. Methods We conducted a retrospective cohort study involving all NT Indigenous children born from 1 April 2000 through 31 October 2004. Person-time at-risk after 0, 1, 2, and 3 doses of 7vPCV and after 0 and 1 dose of 23vPPV and the number of ALRI following each dose were used to calculate dose-specific rates of ALRI for children 5-23 months of age. Rates were compared using Cox proportional hazards models, with the number of doses of each vaccine serving as time-dependent covariates. Results There were 5482 children and 8315 child-years at risk, with 2174 episodes of ALRI requiring hospitalization (overall incidence, 261 episodes per 1000 child-years at risk). Elevated risk of ALRI requiring hospitalization was observed after each dose of the 7vPCV vaccine, compared with that for children who received no doses, and an even greater elevation in risk was observed after each dose of the 23vPPV ( adjusted hazard ratio [HR] vs no dose, 1.39; 95% confidence interval [CI], 1.12-1.71;). Risk was highest among children Pp. 002 vaccinated with the 23vPPV who had received < 3 doses of the 7vPCV (adjusted HR, 1.81; 95% CI, 1.32-2.48). Conclusions Our results suggest an increased risk of ALRI requiring hospitalization after pneumococcal vaccination, particularly after receipt of the 23vPPV booster. The use of the 23vPPV booster should be reevaluated.

Intercontinental haptic teleoperation of a flying vehicle : a step towards real-time applications

This paper describes the theory and practice for a stable haptic teleoperation of a flying vehicle. It extends passivity-based control framework for haptic teleoperation of aerial vehicles in the longest intercontinental setting that presents great challenges. The practicality of the control architecture has been shown in maneuvering and obstacle-avoidance tasks over the internet with the presence of significant time-varying delays and packet losses. Experimental results are presented for teleoperation of a slave quadrotor in Australia from a master station in the Netherlands. The results show that the remote operator is able to safely maneuver the flying vehicle through a structure using haptic feedback of the state of the slave and the perceived obstacles.

Survival analysis of time-to-event data in respiratory health research studies

This article provides a review of techniques for the analysis of survival data arising from respiratory health studies. Popular techniques such as the Kaplan–Meier survival plot and the Cox proportional hazards model are presented and illustrated using data from a lung cancer study. Advanced issues are also discussed, including parametric proportional hazards models, accelerated failure time models, time-varying explanatory variables, simultaneous analysis of multiple types of outcome events and the restricted mean survival time, a novel measure of the effect of treatment.

Time-domain criteria for theL_{2}-stability of nonstationary feedback systems

Criteria for the L2-stability of linear and nonlinear time-varying feedback systems are given. These are conditions in the time domain involving the solution of certain associated matrix Riccati equations and permitting the use of a very general class of L2-operators as multipliers.

Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

Time-Domain Criteria For L2-Stability Of Nonstationary Feedback-Systems

Criteria for the L2-stability of linear and nonlinear time-varying feedback systems are given. These are conditions in the time domain involving the solution of certain associated matrix Riccati equations and permitting the use of a very general class of L2-operators as multipliers.

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Optimal infinite-horizon feedback laws for a general class of constrained discrete-time systems: stability and moving-horizon approximations

Stability results are given for a class of feedback systems arising from the regulation of time-varying discrete-time systems using optimal infinite-horizon and moving-horizon feedback laws. The class is characterized by joint constraints on the state and the control, a general nonlinear cost function and nonlinear equations of motion possessing two special properties. It is shown that weak conditions on the cost function and the constraints are sufficient to guarantee uniform asymptotic stability of both the optimal infinite-horizon and movinghorizon feedback systems. The infinite-horizon cost associated with the moving-horizon feedback law approaches the optimal infinite-horizon cost as the moving horizon is extended.