Sparse model construction using coordinate descent optimization

We propose a new sparse model construction method aimed at maximizing a model’s generalisation capability for a large class of linear-in-the-parameters models. The coordinate descent optimization algorithm is employed with a modified l1- penalized least squares cost function in order to estimate a single parameter and its regularization parameter simultaneously based on the leave one out mean square error (LOOMSE). Our original contribution is to derive a closed form of optimal LOOMSE regularization parameter for a single term model, for which we show that the LOOMSE can be analytically computed without actually splitting the data set leading to a very simple parameter estimation method. We then integrate the new results within the coordinate descent optimization algorithm to update model parameters one at the time for linear-in-the-parameters models. Consequently a fully automated procedure is achieved without resort to any other validation data set for iterative model evaluation. Illustrative examples are included to demonstrate the effectiveness of the new approaches.

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time.

Essays on robust portfolio selection and pension finance

This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.

A semi-Markov multistate model for estimation of the mean quality-adjusted survival for non-progressive processes

We discuss the estimation of the expected value of the quality-adjusted survival, based on multistate models. We generalize an earlier work, considering the sojourn times in health states are not identically distributed, for a given vector of covariates. Approaches based on semiparametric and parametric (exponential and Weibull distributions) methodologies are considered. A simulation study is conducted to evaluate the performance of the proposed estimator and the jackknife resampling method is used to estimate the variance of such estimator. An application to a real data set is also included.

Estimation of the mean quality-adjusted survival using a multistate model for the sojourn times

In clinical trials, it may be of interest taking into account physical and emotional well-being in addition to survival when comparing treatments. Quality-adjusted survival time has the advantage of incorporating information about both survival time and quality-of-life. In this paper, we discuss the estimation of the expected value of the quality-adjusted survival, based on multistate models for the sojourn times in health states. Semiparametric and parametric (with exponential distribution) approaches are considered. A simulation study is presented to evaluate the performance of the proposed estimator and the jackknife resampling method is used to compute bias and variance of the estimator. (C) 2007 Elsevier B.V. All rights reserved.

Genetic Control of Residual Variance for Teat Number in Pigs

The genetic improvement in litter size in pigs has been substantial during the last 10-15 years. The number of teats on the sow must increase as well to meet the needs of the piglets, because each piglet needs access to its own teat. We applied a genetic heterogeneity model on teat numberin sows, and estimated medium-high heritability for teat number (0.5), but low heritability for residual variance (0.05), indicating that selection for reduced variance might have very limited effect. A numerically positive correlation (0.8) between additive genetic breeding values for mean and for variance was found, but because of the low heritability for residual variance, the variance will increase very slowly with the mean.

Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation

This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. In variance component QTL analysis, a full likelihood model accounting for uncertainty in the identity-by-descent (IBD) matrix was developed. It was found to be able to correctly adjust the bias in genetic variance component estimation and gain power in QTL mapping in terms of precision.  Double hierarchical generalized linear models, and a non-iterative simplified version, were implemented and applied to fit data of an entire genome. These whole genome models were shown to have good performance in both QTL mapping and genomic prediction. A re-analysis of a publicly available GWAS data set identified significant loci in Arabidopsis that control phenotypic variance instead of mean, which validated the idea of variance-controlling genes.  The works in the thesis are accompanied by R packages available online, including a general statistical tool for fitting random effects models (hglm), an efficient generalized ridge regression for high-dimensional data (bigRR), a double-layer mixed model for genomic data analysis (iQTL), a stochastic IBD matrix calculator (MCIBD), a computational interface for QTL mapping (qtl.outbred), and a GWAS analysis tool for mapping variance-controlling loci (vGWAS).

Genetic heterogeneity of within-family variance of body weight in Atlantic salmon (Salmo salar)

BACKGROUND: Canalization is defined as the stability of a genotype against minor variations in both environment and genetics. Genetic variation in degree of canalization causes heterogeneity of within-family variance. The aims of this study are twofold: (1) quantify genetic heterogeneity of (within-family) residual variance in Atlantic salmon and (2) test whether the observed heterogeneity of (within-family) residual variance can be explained by simple scaling effects. RESULTS: Analysis of body weight in Atlantic salmon using a double hierarchical generalized linear model (DHGLM) revealed substantial heterogeneity of within-family variance. The 95% prediction interval for within-family variance ranged from ~0.4 to 1.2 kg2, implying that the within-family variance of the most extreme high families is expected to be approximately three times larger than the extreme low families. For cross-sectional data, DHGLM with an animal mean sub-model resulted in severe bias, while a corresponding sire-dam model was appropriate. Heterogeneity of variance was not sensitive to Box-Cox transformations of phenotypes, which implies that heterogeneity of variance exists beyond what would be expected from simple scaling effects. CONCLUSIONS: Substantial heterogeneity of within-family variance was found for body weight in Atlantic salmon. A tendency towards higher variance with higher means (scaling effects) was observed, but heterogeneity of within-family variance existed beyond what could be explained by simple scaling effects. For cross-sectional data, using the animal mean sub-model in the DHGLM resulted in biased estimates of variance components, which differed substantially both from a standard linear mean animal model and a sire-dam DHGLM model. Although genetic differences in canalization were observed, selection for increased canalization is difficult, because there is limited individual information for the variance sub-model, especially when based on cross-sectional data. Furthermore, potential macro-environmental changes (diet, climatic region, etc.) may make genetic heterogeneity of variance a less stable trait over time and space.

Genetic heterogeneity of residual variance : estimation of variance components using double hierarchical generalized linear models

Background: The sensitivity to microenvironmental changes varies among animals and may be under genetic control. It is essential to take this element into account when aiming at breeding robust farm animals. Here, linear mixed models with genetic effects in the residual variance part of the model can be used. Such models have previously been fitted using EM and MCMC algorithms. Results: We propose the use of double hierarchical generalized linear models (DHGLM), where the squared residuals are assumed to be gamma distributed and the residual variance is fitted using a generalized linear model. The algorithm iterates between two sets of mixed model equations, one on the level of observations and one on the level of variances. The method was validated using simulations and also by re-analyzing a data set on pig litter size that was previously analyzed using a Bayesian approach. The pig litter size data contained 10,060 records from 4,149 sows. The DHGLM was implemented using the ASReml software and the algorithm converged within three minutes on a Linux server. The estimates were similar to those previously obtained using Bayesian methodology, especially the variance components in the residual variance part of the model. Conclusions: We have shown that variance components in the residual variance part of a linear mixed model can be estimated using a DHGLM approach. The method enables analyses of animal models with large numbers of observations. An important future development of the DHGLM methodology is to include the genetic correlation between the random effects in the mean and residual variance parts of the model as a parameter of the DHGLM.

Inheritance beyond plain heritability : variance-controlling genes in Arabidopsis thaliana

The phenotypic effect of a gene is normally described by the mean-difference between alternative genotypes. A gene may, however, also influence the phenotype by causing a difference in variance between genotypes. Here, we reanalyze a publicly available Arabidopsis thaliana dataset [1] and show that genetic variance heterogeneity appears to be as common as normal additive effects on a genomewide scale. The study also develops theory to estimate the contributions of variance differences between genotypes to the phenotypic variance, and this is used to show that individual loci can explain more than 20% of the phenotypic variance. Two well-studied systems, cellular control of molybdenum level by the ion-transporter MOT1 and flowering-time regulation by the FRI-FLC expression network, and a novel association for Leaf serration are used to illustrate the contribution of major individual loci, expression pathways, and gene-by-environment interactions to the genetic variance heterogeneity.

A Diagnostic Assessment Of Evolutionary Multiobjective Optimization For Water Resources Systems

This study contributes a rigorous diagnostic assessment of state-of-the-art multiobjective evolutionary algorithms (MOEAs) and highlights key advances that the water resources field can exploit to better discover the critical tradeoffs constraining our systems. This study provides the most comprehensive diagnostic assessment of MOEAs for water resources to date, exploiting more than 100,000 MOEA runs and trillions of design evaluations. The diagnostic assessment measures the effectiveness, efficiency, reliability, and controllability of ten benchmark MOEAs for a representative suite of water resources applications addressing rainfall-runoff calibration, long-term groundwater monitoring (LTM), and risk-based water supply portfolio planning. The suite of problems encompasses a range of challenging problem properties including (1) many-objective formulations with 4 or more objectives, (2) multi-modality (or false optima), (3) nonlinearity, (4) discreteness, (5) severe constraints, (6) stochastic objectives, and (7) non-separability (also called epistasis). The applications are representative of the dominant problem classes that have shaped the history of MOEAs in water resources and that will be dominant foci in the future. Recommendations are provided for which modern MOEAs should serve as tools and benchmarks in the future water resources literature.

Distribuição espacial de Alabama argillacea (Hübner) (Lepidoptera: Noctuidae) em algodoeiro

O conhecimento do modelo de distribuição espacial de pragas na cultura é fundamental para estabelecer um plano adequado de amostragem seqüencial e, assim, permitir a correta utilização das estratégias de controle e a otimização das técnicas de amostragem. Esta pesquisa objetivou estudar a distribuição espacial de lagartas de Alabama argillacea (Hübner) na cultura do algodoeiro, cultivar CNPA ITA-90. A coleta de dados ocorreu durante o ano agrícola de 1998/99 na Fazenda Itamarati Sul S.A., localizada no município de Ponta Porã, MS, em três diferentes áreas de 10.000 m² cada uma. Cada área amostral foi composta de 100 parcelas com 100 m² cada. Foi realizada semanalmente a contagem das lagartas pequenas, médias e grandes, encontradas em cinco plantas por parcela. Os índices de agregação (razão variância/média e índice de Morisita), o teste de qui-quadrado com o ajuste dos valores encontrados e esperados às distribuições teóricas de freqüência (Poisson, binomial positiva e binomial negativa), mostraram que todos os estádios das lagartas estão distribuídos de acordo com o modelo de distribuição contagiosa, ajustando-se ao padrão da Distribuição Binomial Negativa durante todo o período de infestação.

Estimation of (co)variance components and genetic parameters for weights of red-winged tinamou using random regression models

Com este trabalho objetivou-se determinar parâmetros genéticos para peso corporal de perdizes em cativeiro. Foram utilizados modelos de regressão aleatória na análise dos dados considerando os efeitos genéticos aditivos diretos (AD) e de ambiente permanente de animal (AP) como aleatórios. As variâncias residuais foram modeladas utilizando-se funções de variância de ordem 5. A curva média da população foi ajustada por polinômios ortogonais de Legendre de ordem 6. Os efeitos genéticos aditivos diretos e de ambiente permanente de animal foram modelados utilizando-se polinômios de Legendre de segunda a nona ordem. Os melhores resultados foram obtidos pelos modelos de ordem 6 de ajuste para os efeitos genéticos aditivos diretos e de ordem 3 para os de ambiente permanente pelo Critério de Informação de Akaike e ordem 3 para ambos os efeitos pelos Critério de Informação Bayesiano de Schwartz e Teste de Razão de Verossimilhança. As herdabilidades estimadas variaram de 0,02 a 0,57. O primeiro autovalor respondeu por 94 e 90% da variação decorrente de efeitos aditivos diretos e de ambiente permanente, respectivamente. A seleção de perdizes para peso corporal é mais efetiva a partir de 112 dias de idade.

Monitoring process mean and variability with one non-central chi-square chart

Traditionally, an (X) over bar -chart is used to control the process mean and an R-chart to control the process variance. However, these charts are not sensitive to small changes in process parameters. A good alternative to these charts is the exponentially weighted moving average (EWMA) control chart for controlling the process mean and variability, which is very effective in detecting small process disturbances. In this paper, we propose a single chart that is based on the non-central chi-square statistic, which is more effective than the joint (X) over bar and R charts in detecting assignable cause(s) that change the process mean and/or increase variability. It is also shown that the EWMA control chart based on a non-central chi-square statistic is more effective in detecting both increases and decreases in mean and/or variability.

A GEP-ISFG collaborative study on the optimization of an X-STR decaplex: data on 15 Iberian and Latin American populations

In a collaborative work carried out by the Spanish and Portuguese ISFG Working Group (GEP-ISFG), a polymerase chain reaction multiplex was optimized in order to type ten X-chromosome short tandem repeats (STRs) in a single reaction, including: DXS8378, DXS9902, DXS7132, DXS9898, DXS6809, DXS6789, DXS7133, GATA172D05, GATA31E08, and DXS7423. Using this X-decaplex, each 17 of the participating laboratories typed a population sample of approximately 200 unrelated individuals (100 males and 100 females). In this work, we report the allele frequencies for the ten X-STRs in 15 samples from Argentina (Buenos Aires, CA(3)rdoba, Rio Negro, Entre Rios, and Misiones), Brazil (SA o pound Paulo, Rio de Janeiro, Parana, and Mato Grosso do Sul), Colombia (Antioquia), Costa Rica, Portugal (Northern and Central regions), and Spain (Galicia and Cantabria). Gene diversities were calculated for the ten markers in each population and all values were above 56%. The average diversity per locus varied between 66%, for DXS7133, and 82%, for DXS6809. For this set of STRs, a high discrimination power was obtained in all populations, both in males (a parts per thousand yen1 in 5 A- 10(5)) and females (a parts per thousand yen1 in 3 A- 10(9)), as well as high mean exclusion chance in father/daughter duos (a parts per thousand yen99.953%) and in father/mother/daughter trios (a parts per thousand yen99.999%). Genetic distance analysis showed no significant differences between northern and central Portugal or between the two Spanish samples from Galicia and Cantabria. Inside Brazil, significant differences were found between Rio de Janeiro and the other three populations, as well as between SA o pound Paulo and Parana. For the five Argentinean samples, significant distances were only observed when comparing Misiones with Entre Rios and with Rio Negro, the only two samples that do not differ significantly from Costa Rica. Antioquia differed from all other samples, except the one from Rio Negro.