Optimal alarms systems and its application to financial time series

This thesis focuses on the application of optimal alarm systems to non linear time series models. The most common classes of models in the analysis of real-valued and integer-valued time series are described. The construction of optimal alarm systems is covered and its applications explored. Considering models with conditional heteroscedasticity, particular attention is given to the Fractionally Integrated Asymmetric Power ARCH, FIAPARCH(p; d; q) model and an optimal alarm system is implemented, following both classical and Bayesian methodologies. Taking into consideration the particular characteristics of the APARCH(p; q) representation for financial time series, the introduction of a possible counterpart for modelling time series of counts is proposed: the INteger-valued Asymmetric Power ARCH, INAPARCH(p; q). The probabilistic properties of the INAPARCH(1; 1) model are comprehensively studied, the conditional maximum likelihood (ML) estimation method is applied and the asymptotic properties of the conditional ML estimator are obtained. The final part of the work consists on the implementation of an optimal alarm system to the INAPARCH(1; 1) model. An application is presented to real data series.

Prenatal diagnosis of urinary malformations: results in a series of 93 consecutive cases.

OBJECTIVE: To evaluate the pertinence of prenatal diagnosis in cases of congenital uropathy. STUDY DESIGN: Retrospective evaluation over a period of 6.5 years. METHOD: 93 cases were involved in the comparison of prenatal ultrasonographic diagnosis with neonatal findings, autopsy results, and follow-up data. RESULTS: 33 fetuses had renal parenchymal lesions, 44 had excretory system lesions, and 6 had bladder and/or urethral lesions. Seventy-three pregnancies lead to live births. Eighteen terminations of pregnancy were performed on the parents' request for extremely severe malformations. Two intrauterine deaths were observed, and two infants died in the postnatal period. Prenatal diagnosis was obtained at an average of 27 weeks gestation. Diagnostic concordance was excellent in 82% and partial in 12% of cases with renal parenchymal lesions; the false-positive rate was 6%. For excretory system lesions, concordance was excellent in 87% and partial in 7.4% of cases, with a false-positive rate of 5.6%. Finally, concordance was excellent in 100% of cases of bladder and/or urethral lesions. The overall rate of total concordance was 86%. Partial concordance cases consisted of malformations different from those previously diagnosed, but prenatal diagnosis nevertheless lead to further investigations in the neonatal period and to proper management. The false-positive diagnoses (5.4%) never lead to termination of pregnancy. CONCLUSION: Prenatal diagnosis of congenital uropathy is effective. A third-trimester ultrasonographic examination is necessary to ensure proper neonatal management, considering that the majority of cases are diagnosed at this gestational age.

Image guided critical screw placement precision in the cervical spine : important or incidental? : results of a series of 91 consecutive cases using OVEM

Study design: A retrospective study of image guided cervical implant placement precision. Objective: To describe a simple and precise classification of cervical critical screw placement. Summary of Background Data: "Critical" screw placement is defined as implant insertion into a bone corridor which is surrounded circumferentially by neurovascular structures. While the use of image guidance has improved accuracy, there is currently no classification which provides sufficient precision to assess the navigation success of critical cervical screw placement. Methods: Based on postoperative clinical evaluation and CT imaging, the orthogonal view evaluation method (OVEM) is used to classify screw accuracy into grade I (no cortical breach), grade la (screw thread cortical breach), grade II (internal diameter cortical breach) and grade III (major cortical breach causing neural or vascular injury). Grades II and III are considered to be navigation failures, after accounting for bone corridor / screw mismatch (minimal diameter of targeted bone corridor being smaller than an outer screw diameter). Results: A total of 276 screws from 91 patients were classified into grade I (64.9%), grade la (18.1%), and grade II (17.0%). No grade III screw was observed. The overall rate of navigation failure was 13%. Multiple logistic regression indicated that navigational failure was significantly associated with the level of instrumentation and the navigation system used. Navigational failure was rare (1.6%) when the margin around the screw in the bone corridor was larger than 1.5 mm. Conclusions: OVEM evaluation appears to be a useful tool to assess the precision of critical screw placement in the cervical spine. The OVEM validity and reliability need to be addressed. Further correlation with clinical outcomes will be addressed in future studies.

Studies on oxamyl : analytical method development and investigation of fate in peach seedlings and corn seeds

A high performance liquid chromatographic method employing two columns connected in series and separated~y·a.switching valve has been developed for the analysis of the insecticide/ nematicide oxamyl (methyl-N' ,N'-dimethyl-N-[(methylcarbamoyl) oxy]-l-thiooxarnimidate) and two of its metabolites. A variation of this method involving two reverse phase columns was employed to monitor the persistence and translocation of oxamyl in treated peach seedlings. It was possible to simultaneously analyse for oxamyl and its corresponding oxime (methyl-N',N'-dimethyl-N-hydroxy-l-thiooxamimidate}, a major metabolite of oxamyl in plants, without prior cleanup of the samples. The method allowed detection of 0.058 pg oxamyl and 0.035 p.g oxime. On treated peach leaves oxamyl was found to dissipate rapidly during the first two-week period, followed by a period of slow decomposition. Movement of oxamyl or its oxime did not occur in detectable quantities to untreated leaves or to the root or soil. A second variation of the method which employed a size exclusion column as·the first column and a reverse phase column as the second was used to monitor the degradation of oxamyl in treated, planted corn seeds and was suitable for simultaneous analysis of oxamyl, its oxime and dimethylcyanoformamide (DMCF), a metabolite of oxamyl. The method allowed detection of 0.02 pg oxamyl, 0.02 p.g oxime and 0.005 pg DMCF. Oxamyl was found to persist for a period of 5 - 6 weeks, which is long enough to permit oxamyl seedtreatment to be considered as a potential means of protecting young corn plants from nematode attack. Decomposition was found to be more rapid in unsterilized soil than in sterililized soil. DMCF was found to have a nematostatic effect at high concentrations ( 2,OOOpprn), but at lower concentrations no effect on nematode mobility was observed. Oxamyl, on the other hand, was found to reduce the mobility of nematodes at concentrations down to 4 ppm.

Estimating Nonlinear DSGE Models by the Simulated Method of Moments

This paper studies the application of the simulated method of moments (SMM) for the estimation of nonlinear dynamic stochastic general equilibrium (DSGE) models. Monte Carlo analysis is employed to examine the small-sample properties of SMM in specifications with different curvature. Results show that SMM is computationally efficient and delivers accurate estimates, even when the simulated series are relatively short. However, asymptotic standard errors tend to overstate the actual variability of the estimates and, consequently, statistical inference is conservative. A simple strategy to incorporate priors in a method of moments context is proposed. An empirical application to the macroeconomic effects of rare events indicates that negatively skewed productivity shocks induce agents to accumulate additional capital and can endogenously generate asymmetric business cycles.

Structure Absorption Spectra Correlation in a Series of 2,6-Dimethyl-4-arylpyrylium Salts

A combined experimental and theoretical study of the absorption spectra of a group of closely related pyrylium perchlorates 1-11 are presented. Minor changes in the position of the substituents lead to drastic changes in the absorption spectra in this series of compounds. We have attempted to explain the observed changes using the x,y-band notation developed by Balaban and co-workers. Absorption spectra of all compounds are compared with results from time-dependent density functional theory (TDDFT) and Zerner’s intermediate neglect of differential overlap (ZINDO/S) level calculations. Results of the calculations are in good agreement with experimental observations and an interesting correlation between Balaban’s notations and the MO transitions are obtained for simple derivatives. It is suggested that for more complex systems such as R- and â-naphthyl substituted systems, the empirical method is not appropriate.

Modeling and Analysis of Some Heavy Tailed Time Series

The thesis has covered various aspects of modeling and analysis of finite mean time series with symmetric stable distributed innovations. Time series analysis based on Box and Jenkins methods are the most popular approaches where the models are linear and errors are Gaussian. We highlighted the limitations of classical time series analysis tools and explored some generalized tools and organized the approach parallel to the classical set up. In the present thesis we mainly studied the estimation and prediction of signal plus noise model. Here we assumed the signal and noise follow some models with symmetric stable innovations.We start the thesis with some motivating examples and application areas of alpha stable time series models. Classical time series analysis and corresponding theories based on finite variance models are extensively discussed in second chapter. We also surveyed the existing theories and methods correspond to infinite variance models in the same chapter. We present a linear filtering method for computing the filter weights assigned to the observation for estimating unobserved signal under general noisy environment in third chapter. Here we consider both the signal and the noise as stationary processes with infinite variance innovations. We derived semi infinite, double infinite and asymmetric signal extraction filters based on minimum dispersion criteria. Finite length filters based on Kalman-Levy filters are developed and identified the pattern of the filter weights. Simulation studies show that the proposed methods are competent enough in signal extraction for processes with infinite variance.Parameter estimation of autoregressive signals observed in a symmetric stable noise environment is discussed in fourth chapter. Here we used higher order Yule-Walker type estimation using auto-covariation function and exemplify the methods by simulation and application to Sea surface temperature data. We increased the number of Yule-Walker equations and proposed a ordinary least square estimate to the autoregressive parameters. Singularity problem of the auto-covariation matrix is addressed and derived a modified version of the Generalized Yule-Walker method using singular value decomposition.In fifth chapter of the thesis we introduced partial covariation function as a tool for stable time series analysis where covariance or partial covariance is ill defined. Asymptotic results of the partial auto-covariation is studied and its application in model identification of stable auto-regressive models are discussed. We generalize the Durbin-Levinson algorithm to include infinite variance models in terms of partial auto-covariation function and introduce a new information criteria for consistent order estimation of stable autoregressive model.In chapter six we explore the application of the techniques discussed in the previous chapter in signal processing. Frequency estimation of sinusoidal signal observed in symmetric stable noisy environment is discussed in this context. Here we introduced a parametric spectrum analysis and frequency estimate using power transfer function. Estimate of the power transfer function is obtained using the modified generalized Yule-Walker approach. Another important problem in statistical signal processing is to identify the number of sinusoidal components in an observed signal. We used a modified version of the proposed information criteria for this purpose.

Analysis of System Signals Based on Cross Recurrence Method for System Dynamics Characterization

Natural systems are inherently non linear. Recurrent behaviours are typical of natural systems. Recurrence is a fundamental property of non linear dynamical systems which can be exploited to characterize the system behaviour effectively. Cross recurrence based analysis of sensor signals from non linear dynamical system is presented in this thesis. The mutual dependency among relatively independent components of a system is referred as coupling. The analysis is done for a mechanically coupled system specifically designed for conducting experiment. Further, cross recurrence method is extended to the actual machining process in a lathe to characterize the chatter during turning. The result is verified by permutation entropy method. Conventional linear methods or models are incapable of capturing the critical and strange behaviours associated with the dynamical process. Hence any effective feature extraction methodologies should invariably gather information thorough nonlinear time series analysis. The sensor signals from the dynamical system normally contain noise and non stationarity. In an effort to get over these two issues to the maximum possible extent, this work adopts the cross recurrence quantification analysis (CRQA) methodology since it is found to be robust against noise and stationarity in the signals. The study reveals that the CRQA is capable of characterizing even weak coupling among system signals. It also divulges the dependence of certain CRQA variables like percent determinism, percent recurrence and entropy to chatter unambiguously. The surrogate data test shows that the results obtained by CRQA are the true properties of the temporal evolution of the dynamics and contain a degree of deterministic structure. The results are verified using permutation entropy (PE) to detect the onset of chatter from the time series. The present study ascertains that this CRP based methodology is capable of recognizing the transition from regular cutting to the chatter cutting irrespective of the machining parameters or work piece material. The results establish this methodology to be feasible for detection of chatter in metal cutting operation in a lathe.

Citation auctions as a method to improve selection of scientific papers

This paper describes the basis of citation auctions as a new approach to selecting scientific papers for publication. Our main idea is to use an auction for selecting papers for publication through - differently from the state of the art - bids that consist of the number of citations that a scientist expects to receive if the paper is published. Hence, a citation auction is the selection process itself, and no reviewers are involved. The benefits of the proposed approach are two-fold. First, the cost of refereeing will be either totally eliminated or significantly reduced, because the process of citation auction does not need prior understanding of the paper's content to judge the quality of its contribution. Additionally, the method will not prejudge the content of the paper, so it will increase the openness of publications to new ideas. Second, scientists will be much more committed to the quality of their papers, paying close attention to distributing and explaining their papers in detail to maximize the number of citations that the paper receives. Sample analyses of the number of citations collected in papers published in years 1999-2004 for one journal, and in years 2003-2005 for a series of conferences (in a totally different discipline), via Google scholar, are provided. Finally, a simple simulation of an auction is given to outline the behaviour of the citation auction approach

A systematic and feasible method for computing nuclear contributions to electrical properties of polyatomic molecules

An analytic method to evaluate nuclear contributions to electrical properties of polyatomic molecules is presented. Such contributions control changes induced by an electric field on equilibrium geometry (nuclear relaxation contribution) and vibrational motion (vibrational contribution) of a molecular system. Expressions to compute the nuclear contributions have been derived from a power series expansion of the potential energy. These contributions to the electrical properties are given in terms of energy derivatives with respect to normal coordinates, electric field intensity or both. Only one calculation of such derivatives at the field-free equilibrium geometry is required. To show the useful efficiency of the analytical evaluation of electrical properties (the so-called AEEP method), results for calculations on water and pyridine at the SCF/TZ2P and the MP2/TZ2P levels of theory are reported. The results obtained are compared with previous theoretical calculations and with experimental values

Evaluation of the S(T) assimilation method with the Argo dataset

Recent observations from the Argo dataset of temperature and salinity profiles are used to evaluate a series of 3-year data assimilation experiments in a global ice–ocean general circulation model. The experiments are designed to evaluate a new data assimilation system whereby salinity is assimilated along isotherms, S(T ). In addition, the role of a balancing salinity increment to maintain water mass properties is investigated. This balancing increment is found to effectively prevent spurious mixing in tropical regions induced by univariate temperature assimilation, allowing the correction of isotherm geometries without adversely influencing temperature–salinity relationships. In addition, the balancing increment is able to correct a fresh bias associated with a weak subtropical gyre in the North Atlantic using only temperature observations. The S(T ) assimilation method is found to provide an important improvement over conventional depth level assimilation, with lower root-mean-squared forecast errors over the upper 500 m in the tropical Atlantic and Pacific Oceans. An additional set of experiments is performed whereby Argo data are withheld and used for independent evaluation. The most significant improvements from Argo assimilation are found in less well-observed regions (Indian, South Atlantic and South Pacific Oceans). When Argo salinity data are assimilated in addition to temperature, improvements to modelled temperature fields are obtained due to corrections to model density gradients and the resulting circulation. It is found that observations from the Argo array provide an invaluable tool for both correcting modelled water mass properties through data assimilation and for evaluating the assimilation methods themselves.

Stopping clinical trials because of treatment ineffectiveness: a comparison of a futility design with a method of stochastic curtailment

This paper introduces a simple futility design that allows a comparative clinical trial to be stopped due to lack of effect at any of a series of planned interim analyses. Stopping due to apparent benefit is not permitted. The design is for use when any positive claim should be based on the maximum sample size, for example to allow subgroup analyses or the evaluation of safety or secondary efficacy responses. A final frequentist analysis can be performed that is valid for the type of design employed. Here the design is described and its properties are presented. Its advantages and disadvantages relative to the use of stochastic curtailment are discussed. Copyright (C) 2003 John Wiley Sons, Ltd.

A preliminary evaluation of cognitive-behaviour therapy for clinical perfectionism: a case series

Objective: The construct of 'clinical perfectionism' has been developed in response to criticisms that other approaches have failed to yield advances in the treatment of the type of self-oriented perfectionism that poses a clinical problem. The primary aim of this study was to conduct a preliminary investigation into the efficacy of a theory-driven, cognitive-behavioural intervention for 'clinical perfectionism'. Design. A multiple baseline single case series design was used. Method: A specific, 10-session cognitive-behavioural intervention to address clinical perfectionism in eating disorders was adapted to allow its use in nine patients referred with a range of axis I disorders and clinical perfectionism. Results: The intervention led to clinically significant improvements in self-referential perfectionism from pretreatment to follow-up for six of the nine participants on two perfectionism measures and for three of the nine participants on the measure of clinical perfectionism. Statistically significant improvements from pre- to post-intervention for the group as a whole were found on all three measures. The improvements were maintained at follow-up. Conclusions: The finding that clinical perfectionism is improved in the majority of participants is particularly encouraging given that perfectionism has traditionally been viewed as a personality characteristic resistant to change. These preliminary findings warrant replication in a larger study.

Enhancing dominant modes in nonstationary time series by means of the symbolic resonance analysis

We present the symbolic resonance analysis (SRA) as a viable method for addressing the problem of enhancing a weakly dominant mode in a mixture of impulse responses obtained from a nonlinear dynamical system. We demonstrate this using results from a numerical simulation with Duffing oscillators in different domains of their parameter space, and by analyzing event-related brain potentials (ERPs) from a language processing experiment in German as a representative application. In this paradigm, the averaged ERPs exhibit an N400 followed by a sentence final negativity. Contemporary sentence processing models predict a late positivity (P600) as well. We show that the SRA is able to unveil the P600 evoked by the critical stimuli as a weakly dominant mode from the covering sentence final negativity. (c) 2007 American Institute of Physics. (c) 2007 American Institute of Physics.