Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Validation of the dietetic confidence scale

Dietitians have reported a lack of confidence in counselling clients with mental health issues. Standardised tools are needed to evaluate programs aiming to improve confidence. The Dietetic Confidence Scale (DCS) was developed to assess dietitians’perception of their capability about working with clients experiencing depression. Exploratory research revealed a 13-item, two-factor model. Dietetic confidence was associated with: 1) Confidence using the Nutrition Care Process; and 2) Confidence in Advocacy for Self-care and Client-care. This study aimed to validate the DCS using this two-factor model.The DCS was administered to 458 dietitians. Confirmatory factor analysis (CFA) assessed the scale’s psychometric validity. Reliability was measured using Cronbach’s alpha (α) co-efficient. CFA results supported the hypothesised two-factor, 13-item model. The Good Fit Index (GFI = 0.95) indicated a strong fit. Item-factor correlations ranged from r = 0.50 to 0.89. The overall scale and subscales showed good reliability (α = 0.93 to 0.76). This is the first study to validate an instrument that measures dietetic confidence about working with clients experiencing depression. The DCS can be used to measure changes in perceived confidence and identify where further training, mentoring or experience is needed. The findings also suggest that initiatives aimed at building dietitians' confidence about working with clients experiencing depression, should focus on improving client-focused nutrition care, foster advocacy, reflective practice, mentoring and encourage professional support networks. Avenues for future research include further validity and reliability testing to expand the generalisability of results; and modifying the scale for other disease or client populations.

Development of a new index of balance in adults with intellectual and developmental disabilities

Purposes: The first objective was to propose a new model representing the balance level of adults with intellectual and developmental disabilities (IDD) using Principal Components Analysis (PCA); and the second objective was to use the results from the PCA recorded by regression method to construct and validate summative scales of the standardized values of the index, which may be useful to facilitate a balance assessment in adults with IDD. Methods: A total of 801 individuals with IDD (509 males) mean 33.1±8.5 years old, were recruited from Special Olympic Games in Spain 2009 to 2012. The participants performed the following tests: the timed-stand test, the single leg stance test with open and closed eyes, the Functional Reach Test, the Expanded Timed-Get-up-and-Go Test. Data was analyzed using principal components analysis (PCA) with Oblimin rotation and Kaiser normalization. We examined the construct validity of our proposed two-factor model underlying balance for adults with IDD. The scores from PCA were recorded by regression method and were standardized. Results: The Component Plot and Rotated Space indicated that a two-factor solution (Dynamic and Static Balance components) was optimal. The PCA with direct Oblimin rotation revealed a satisfactory percentage of total variance explained by the two factors: 51.6 and 21.4%, respectively. The median score standardized for component dynamic and static of the balance index for adults with IDD is shown how references values. Conclusions: Our study may lead to improvements in the understanding and assessment of balance in adults with IDD. First, it confirms that a two-factor model may underlie the balance construct, and second, it provides an index that may be useful for identifying the balance level for adults with IDD.

The mechanical and inflammatory low back pain (MIL) index: development and validation

Abstract Background The purpose of this study was the development of a valid and reliable “Mechanical and Inflammatory Low Back Pain Index” (MIL) for assessment of non-specific low back pain (NSLBP). This 7-item tool assists practitioners in determining whether symptoms are predominantly mechanical or inflammatory. Methods Participants (n = 170, 96 females, age = 38 ± 14 years-old) with NSLP were referred to two Spanish physiotherapy clinics and completed the MIL and the following measures: the Roland Morris Questionnaire (RMQ), SF-12 and “Backache Index” (BAI) physical assessment test. For test-retest reliability, 37 consecutive patients were assessed at baseline and three days later during a non-treatment period. Face and content validity, practical characteristics, factor analysis, internal consistency, discriminant validity and convergent validity were assessed from the full sample. Results A total of 27 potential items that had been identified for inclusion were subsequently reduced to 11 by an expert panel. Four items were then removed due to cross-loading under confirmatory factor analysis where a two-factor model yielded a good fit to the data (χ2 = 14.80, df = 13, p = 0.37, CFI = 0.98, and RMSEA = 0.029). The internal consistency was moderate (α = 0.68 for MLBP; 0.72 for ILBP), test-retest reliability high (ICC = 0.91; 95%CI = 0.88-0.93) and discriminant validity good for either MLBP (AUC = 0.74) and ILBP (AUC = 0.92). Convergent validity was demonstrated through similar but weak correlations between the ILBP and both the RMQ and BAI (r = 0.34, p < 0.001) and the MLBP and BAI (r = 0.38, p < 0.001). Conclusions The MIL is a valid and reliable clinical tool for patients with NSLBP that discriminates between mechanical and inflammatory LBP. Keywords: Low back pain; Psychometrics properties; Pain measurement; Screening tool; Inflammatory; Mechanical

A biphasic response to adenosine in the coronary vasculature of the K+-arrested perfused rat heart

Biphasic vasodilatory responses to adenosine and 5'-N-ethylcarboxamidoadenosine (NECA) were observed in the coronary vasculature of K(+)-arrested perfused rat hearts. Dose-response data for both agonists were best represented by two-site models. For adenosine, two sites with negative log ED50 (pED50) values of 8.1 +/- 0.1 (mean +/- S.E.M) and 5.2 +/- 0.1 were obtained, mediating 31 +/- 2% and 69 +/- 2% of the total response. In the presence of 8-phenyltheophylline, the vasodilatory response to adenosine remained best fitted to a two-site model with pED50 values of 7.0 +/- 0.2 and 5.4 +/- 0.2. The relative contribution of each site to the total response remained unchanged. For NECA, pED50 values of 9.6 +/- 0.1 and 6.8 +/- 0.2 were obtained, representing 48 +/- 3% and 52 +/- 3% of the sites, respectively. In contrast, ATP produced a monophasic response with a pED50 value of 8.8 +/- 0.1. These results provide evidence of adenosine receptor and response heterogeneity in the in situ coronary vasculature.

The validity of personal disturbance scale (DSSI/sAD) in people with diabetes mellitus, using longitudinal data

Despite being used since 1976, Delusions-Symptoms-States-Inventory/states of Anxiety and Depression (DSSI/sAD) has not yet been validated for use among people with diabetes. The aim of this study was to examine the validity of the personal disturbance scale (DSSI/sAD) among women with diabetes using Mater-University of Queensland Study of Pregnancy (MUSP) cohort data. The DSSI subscales were compared against DSM-IV disorders, the Mental Component Score of the Short Form 36 (SF-36 MCS), and Center for Epidemiologic Studies Depression Scale (CES-D). Factor analyses, odds ratios, receiver operating characteristic (ROC) analyses and diagnostic efficiency tests were used to report findings. Exploratory factor analysis and fit indices confirmed the hypothesized two-factor model of DSSI/sAD. We found significant variations in the DSSI/sAD domain scores that could be explained by CES-D (DSSI-Anxiety: 55%, DSSI-Depression: 46%) and SF-36 MCS (DSSI-Anxiety: 66%, DSSI-Depression: 56%). The DSSI subscales predicted DSM-IV diagnosed depression and anxiety disorders. The ROC analyses show that although the DSSI symptoms and DSM-IV disorders were measured concurrently the estimates of concordance remained only moderate. The findings demonstrate that the DSSI/sAD items have similar relationships to one another in both the diabetes and non-diabetes data sets which therefore suggest that they have similar interpretations.

Compressive and shear force generated in the lumbar spine of female rowers

Rowers have and accrue greater lumbar spine bone mineral density (BMD) associated with mechanical loading produced during rowing. The aim of this study was to estimate the mechanical loading generated at the lumbar spine (LS) that is apparently providing an osteogenic benefit. The cohort comprised 14 female rowers (average age: 19.7yrs; height: 170.9 cm, weight: 59.5 kg) and 14 female matched controls (average age: 20.9 m yrs; height: 167.5 cm; weight: 58.1 kg). BMD was assessed using the Hologic QDR 2000+ bone densitometer, indicating higher lumbar spine BMD in the rowers compared to the control subjects (1,069 +/- 0.1 vs. 1,027 +/- 0.1 g/cm2). No significant difference existed for BMD at any other site. All rowers performed a six-minute simulated race on a Concept II rowing ergometer. Mechanical loading generated at the lumbar spine during this task was assessed using a two-dimensional model of the spine, enabling the calculation of the compressive and shear forces at L4/L5. The shear force was the joint reaction force perpendicular to the spine at the L4/L5 joint. Peak compressive and shear force at the lumbar spine of the rowers were 2,694 +/- 609 (N) and 660 +/- 117 (N), respectively. Peak compressive force at the LS relative to body weight was 4.6 times body weight. The literature would suggest that forces of this magnitude, generated at the LS during maximal rowing, may be contributing to the site specific higher LS BMD found in the rowers.

Mixed Convection Boundary Layer Flow Past a Horizontal Circular Cylinder Embedded in a Bidisperse Porous Medium

Adopting a two-temperature and two-velocity model, appropriate to a bidisperse porous medium (BDPM) proposed by Nield and Kuznetsov (2008), the classical steady, mixed convection boundary layer flow about a horizontal, isothermal circular cylinder embedded in a porous medium has been theoretically studied in this article. It is shown that the boundary layer analysis leads to expressions for the flow and heat transfer characteristics in terms of an inter-phase momentum parameter, a thermal diffusivity ratio, a thermal conductivity ratio, a permeability ratio, a modified thermal capacity ratio, and a buoyancy or mixed convection parameter. The transformed partial differential equations governing the flow and heat transfer in the f-phase (the macro-pores) and the p-phase (the remainder of the structure) are solved numerically using a very efficient implicit finite-difference technique known as Keller-box method. A good agreement is observed between the present results and those known from the open literature in the special case of a traditional Darcy formulation (monodisperse system).

Multiphase models for simulating hot and slightly miscible DNAPL (dense non-aqueous phase fluids) in a saturated rock fracture under deformation

In the present study a two dimensional model is first developed to show the behaviour of dense non-aqueous phase liquids (DNAPL) within a rough fracture. To consider the rough fracture, the fracture is imposed with variable apertures along its plane. It is found that DNAPL follows preferential pathways. In next part of the study the above model is further extended for non-isothermal DNAPL flow and DNAPL-water interphase mass transfer phenomenon. These two models are then coupled with joint deformation due to normal stresses. The primary focus of these models is specifically to elucidate the influence of joint alteration due to external stress and fluid pressures on flow driven energy transport and interphase mass transfer. For this, it is assumed that the critical value for joint alteration is associated with external stress and average of water and DNAPL pressures in multiphase system and the temporal and spatial evolution of joint alteration are determined for its further influence on energy transport and miscible phase transfer. The developed model has been studied to show the influence of deformation on DNAPL flow. Further this preliminary study demonstrates the influence of joint deformation on heat transport and phase miscibility via multiphase flow velocities. It is seen that the temperature profile changes and shows higher diffusivity due to deformation and although the interphase miscibility value decreases but the lateral dispersion increases to a considerably higher extent.

Ultrafast Solvation Dynamics of an Ion in the gamma-Cyclodextrin Cavity: The Role of Restricted Environment

A detailed study of the solvation dynamics of a charged coumarin dye molecule in gamma-cyclodextrin/water has been carried out by using two different theoretical approaches. The first approach is based on a multishell continuum model (MSCM). This model predicts the time scales of the dynamics rather well, provided an accurate description of the frequency-dependent dielectric function is supplied. The reason for this rather surprising agreement is 2-fold. First, there is a cancellation of errors, second, the two-zone model mimics the heterogeneous microenvironment surrounding the ion rather well. The second approach is based on the molecular hydrodynamics theory (MI-IT). In this molecular approach, the solvation dynamics has been studied by restricting the translational motion of the solvent molecules enclosed within the cavity. The results from the molecular theory are also in good agreement with the experimental results. Our study indicates that, in the present case, the restricted environment affects only the long time decay of the solvation time correlation function. The short time dynamics is still governed by the librational (and/or vibrational) modes present in bulk water.

Hybrid structural control using magnetorheological dampers for base isolated structures

In this paper two nonlinear model based control algorithms have been developed to monitor the magnetorheological (MR) damper voltage. The main advantage of the proposed algorithms is that it is possible to directly monitor the voltage required to control the structural vibration considering the effect of the supplied and commanded voltage dynamics of the damper. The efficiency of the proposed techniques has been shown and compared taking an example of a base isolated three-storey building under a set of seismic excitations. Comparison of the performances with a fuzzy based intelligent control algorithm and a widely used clipped optimal strategy has also been shown.

Small-amplitude cyclic voltammetry: Part I. A simple fourier synthesis approach

Current-potential relationships are derived for small-amplitude periodic inputs for linear electrochemical systems using a Fourier synthesis procedure. Specific results have been obtained for a triangular potential waveform for two simple model systems.

Adsorption isotherms for neutral organic compounds-A hierarchy in modelling: Part II

A two-state model allowing for size disparity between the solvent and the adsorbate is analysed to derive the adsorption isotherm for electrosorption of organic compounds. Explicity, the organic adsorbate is assumed to occupy "n" lattice sites at the interface as compared to "one" by the solvent. The model parameters are the respective permanent and induced dipole moments apart from the nearest neighbour distance. The coulombic interactions due to permanent and induced dipole moments, discreteness of charge effects, and short-range and specific substrate interactions have all been incorporated. The adsorption isotherm is then derived using mean field approximation (MFA) and is found to be more general than the earlier multi-site versions of Bockris and Swinkels, Mohilner et al., and Bennes, as far as the entropy contributions are concerned. The role of electrostatic forces is explicity reflected in the adsorption isotherm via the Gibbs energy of adsorption term which itself is a quadratic function of the electrode charge-density. The approximation implicit in the adsorption isotherm of Mohilner et al. or Bennes is indicated briefly.

Adsorption isotherms-Microscopic modelling: Part II

A lattice formahsm using "spin variables" is employed to analyse multi-state models for the adsorption of neutral dipoles.In particular, a spin-1/2 (two-state) model incorporating permanent and reduced dipole moments of the solvent and the organic adsorbate,substrate interactions, and &screteness of charge effects is analysed The resulting Generalized Islng Hamaltonian is solved under mean field approximation (MFA) in order to derive the adsorption isotherm for organic molecules A few spin-1 (three-state) models are also analysed under MFA to describe the competitive adsorption of multi-state solvent and organic dipoles, and the appropriate equilibrium relations are derived The unification and isomorphism existing at the Hamlltonlan level for several diverse realizations, such as adsorption of ions and solvent/orgamc molecules, is indicated The possibility of analysing phase transitions using this generalized approach is briefly indicated.

Determination of chemical shift anisotropy without a reference and of direct and indirect spin-spin couplings between heteronuclei

A method employing two liquid crystals of opposite diamagnetic anisotropies to determine chemical shift anisotropy without using any reference compound is described. It also provides individual values of the direct and the indirect spin-spin coupling constants between heteronuclei. The parameters for acetonitrile are reported.