Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Discrete Conditional Phase-type models utilising classification trees: Application to modelling health service capacities

Discrete Conditional Phase-type (DC-Ph) models consist of a process component (survival distribution) preceded by a set of related conditional discrete variables. This paper introduces a DC-Ph model where the conditional component is a classification tree. The approach is utilised for modelling health service capacities by better predicting service times, as captured by Coxian Phase-type distributions, interfaced with results from a classification tree algorithm. To illustrate the approach, a case-study within the healthcare delivery domain is given, namely that of maternity services. The classification analysis is shown to give good predictors for complications during childbirth. Based on the classification tree predictions, the duration of childbirth on the labour ward is then modelled as either a two or three-phase Coxian distribution. The resulting DC-Ph model is used to calculate the number of patients and associated bed occupancies, patient turnover, and to model the consequences of changes to risk status.

Computational learning of the conditional phase-type (C-Ph) distribution: Learning C-Ph distributions

This paper presents a new algorithm for learning the structure of a special type of Bayesian network. The conditional phase-type (C-Ph) distribution is a Bayesian network that models the probabilistic causal relationships between a skewed continuous variable, modelled by the Coxian phase-type distribution, a special type of Markov model, and a set of interacting discrete variables. The algorithm takes a dataset as input and produces the structure, parameters and graphical representations of the fit of the C-Ph distribution as output.The algorithm, which uses a greedy-search technique and has been implemented in MATLAB, is evaluated using a simulated data set consisting of 20,000 cases. The results show that the original C-Ph distribution is recaptured and the fit of the network to the data is discussed.

Discrete Conditional Phase-type model (DC_Ph) for patient waiting time with a logistic regression component to predict patient admission to hospital

Discrete Conditional Phase-type (DC-Ph) models are a family of models which represent skewed survival data conditioned on specific inter-related discrete variables. The survival data is modeled using a Coxian phase-type distribution which is associated with the inter-related variables using a range of possible data mining approaches such as Bayesian networks (BNs), the Naïve Bayes Classification method and classification regression trees. This paper utilizes the Discrete Conditional Phase-type model (DC-Ph) to explore the modeling of patient waiting times in an Accident and Emergency Department of a UK hospital. The resulting DC-Ph model takes on the form of the Coxian phase-type distribution conditioned on the outcome of a logistic regression model.

Experimental Moments: R.U.R. and the Birth of British Television Science Fiction

Drawing on material from the BBC Written Archive Centre, this article examines the earliest sf dramas broadcast by the BBC Television Service: two adaptations of Karel Capek's "R.U.R." ("Rossum's Universal Robots") from 1938 and 1948. These productions are used as sites of formal experimentation with the possibilities of the new medium, representing one aspect of contemporary debates about the purpose of television and the style it would assume.

The Conditional Phase-type distribution: Graphical Models for Continuous Non-Normal Data:The Conditional Phase-type (C-Ph) distribution:

Conditional Gaussian (CG) distributions allow the inclusion of both discrete and continuous variables in a model assuming that the continuous variable is normally distributed. However, the CG distributions have proved to be unsuitable for survival data which tends to be highly skewed. A new method of analysis is required to take into account continuous variables which are not normally distributed. The aim of this paper is to introduce the more appropriate conditional phase-type (C-Ph) distribution for representing a continuous non-normal variable while also incorporating the causal information in the form of a Bayesian network.

Moments of Recognition:The Four Semester Studio in QUB

It is a legitimate assertion that the common ground of work of worth in architecture, whether theoretical or built comes from a firmly held position on the part of the author. In addition to delivery key competencies architectural education should act to support the formation of such a position in the student, or to make students aware of the possibility of holding such a position.

It is with this in mind perhaps that intensive unit-based diploma and masters structures are increasingly becoming the standard structure for for schools of architecture across the UK. The strengths of such a structure are most evident when the school, either by virtue of financial strength or geographic location is able to attract a diverse range of contrasting positions to bear in the formation of these units. In effect the offering to the student is a short, intensive immersion into a clear line of thought based on the position of those running the unit. Research is channeled by those running the unit to the work of the students. A single cohort of students therefore is able to observe and understand a wide range of ways of thinking about the subject whether or not they are participants in a unit or not. It is axiomatic that where this structure is applied in the absence of these resources the result can be less helpful, individual units are differentiated not to reflect the interests of those running the unit but for the sake of difference as its own end.

In structuring the M.Arch programme in Queens University Belfast the reality of our somewhat peripheral location was placed at the forefront of our considerations. A single 4 semester studio is offered. The first three semesters are carefully structured to offer a range of directed and self directed projects to the students. By interrogation of these projects, and work undertaken at undergraduate level the aim is to assist the students to identify a personal position on architecture, which is then developed in the thesis in semester four. Research and design outputs are emergent from the interest of the student body, cultivated by staff who have the time over the four semesters to get to know all aspects of a students interests.

This paper will lay out this structure and some of the projects run within it. Now having delivered two graduating years the successes and challenges of the system will be laid out by reference to several case studies of individual student experiences of the structure.

Computational techniques for a simple theory of conditional preferences

A simple logic of conditional preferences is defined, with a language that allows the compact representation of certain kinds of conditional preference statements, a semantics and a proof theory. CP-nets and TCP-nets can be mapped into this logic, and the semantics and proof theory generalise those of CP-nets and TCP-nets. The system can also express preferences of a lexicographic kind. The paper derives various sufficient conditions for a set of conditional preferences to be consistent, along with algorithmic techniques for checking such conditions and hence confirming consistency. These techniques can also be used for totally ordering outcomes in a way that is consistent with the set of preferences, and they are further developed to give an approach to the problem of constrained optimisation for conditional preferences.