Transformation kernel density estimation of actuarial loss functions

[cat] Es presenta un estimador nucli transformat que és adequat per a distribucions de cua pesada. Utilitzant una transformació basada en la distribució de probabilitat Beta l’elecció del paràmetre de finestra és molt directa. Es presenta una aplicació a dades d’assegurances i es mostra com calcular el Valor en Risc.

Pedotransfer functions related to spatial variability of water retention attributes for lowland soils

The estimation of non available soil variables through the knowledge of other related measured variables can be achieved through pedotransfer functions (PTF) mainly saving time and reducing cost. Great differences among soils, however, can yield non desirable results when applying this method. This study discusses the application of developed PTFs by several authors using a variety of soils of different characteristics, to evaluate soil water contents of two Brazilian lowland soils. Comparisons are made between PTF evaluated data and field measured data, using statistical and geostatistical tools, like mean error, root mean square error, semivariogram, cross-validation, and regression coefficient. The eight tested PTFs to evaluate gravimetric soil water contents (Ug) at the tensions of 33 kPa and 1,500 kPa presented a tendency to overestimate Ug 33 kPa and underestimate Ug1,500 kPa. The PTFs were ranked according to their performance and also with respect to their potential in describing the structure of the spatial variability of the set of measured values. Although none of the PTFs have changed the distribution pattern of the data, all resulted in mean and variance statistically different from those observed for all measured values. The PTFs that presented the best predictive values of Ug33 kPa and Ug1,500 kPa were not the same that had the best performance to reproduce the structure of spatial variability of these variables.

Testing the bivariate distribution of daily equity returns using copulas: an application to the Spanish stock market

In this paper we deal with the identification of dependencies between time series of equity returns. Marginal distribution functions are assumed to be known, and a bivariate chi-square test of fit is applied in a fully parametric copula approach. Several families of copulas are fitted and compared with Spanish stock market data. The results show that the t-copula generally outperforms other dependence structures, and highlight the difficulty in adjusting a significant number of bivariate data series

Pedotransfer functions to estimate proctor test parameters under different tillage systems

The Proctor test is time-consuming and requires sampling of several kilograms of soil. Proctor test parameters were predicted in Mollisols, Entisols and Vertisols of the Pampean region of Argentina under different management systems. They were estimated from a minimum number of readily available soil properties (soil texture, total organic C) and management (training data set; n = 73). The results were used to generate a soil compaction susceptibility model, which was subsequently validated using a second group of independent data (test data set; n = 24). Soil maximum bulk density was estimated as follows: Maximum bulk density (Mg m-3) = 1.4756 - 0.00599 total organic C (g kg-1) + 0.0000275 sand (g kg-1) + 0.0539 management. Management was equal to 0 for uncropped and untilled soils and 1 for conventionally tilled soils. The established models predicted the Proctor test parameters reasonably well, based on readily available soil properties. Tillage systems induced changes in the maximum bulk density regardless of total organic matter content or soil texture. The lower maximum apparent bulk density values under no-tillage require a revision of the relative compaction thresholds for different no-tillage crops.

The SOS screen in Arabidopsis: a search for functions involved in DNA metabolism.

The SOS screen, as originally described by Perkins et al. (1999) [7], was setup with the aim of identifying Arabidopsis functions that might potentially be involved in the DNA metabolism. Such functions, when expressed in bacteria, are prone to disturb replication and thus trigger the SOS response. Consistently, expression of AtRAD51 and AtDMC1 induced the SOS response in bacteria, even affecting E. coli viability. 100 SOS-inducing cDNAs were isolated from a cDNA library constructed from an Arabidopsis cell suspension that was found to highly express meiotic genes. A large proportion of these SOS(+) candidates are clearly related to the DNA metabolism, others could be involved in the RNA metabolism, while the remaining cDNAs encode either totally unknown proteins or proteins that were considered as irrelevant. Seven SOS(+) candidate genes are induced following gamma irradiation. The in planta function of several of the SOS-inducing clones was investigated using T-DNA insertional mutants or RNA interference. Only one SOS(+) candidate, among those examined, exhibited a defined phenotype: silenced plants for DUT1 were sensitive to 5-fluoro-uracil (5FU), as is the case of the leaky dut-1 mutant in E. coli that are affected in dUTPase activity. dUTPase is essential to prevent uracil incorporation in the course of DNA replication.

The functions of DNA methylation by CcrM in Caulobacter crescentus: a global approach.

DNA methylation is involved in a diversity of processes in bacteria, including maintenance of genome integrity and regulation of gene expression. Here, using Caulobacter crescentus as a model, we exploit genome-wide experimental methods to uncover the functions of CcrM, a DNA methyltransferase conserved in most Alphaproteobacteria. Using single molecule sequencing, we provide evidence that most CcrM target motifs (GANTC) switch from a fully methylated to a hemi-methylated state when they are replicated, and back to a fully methylated state at the onset of cell division. We show that DNA methylation by CcrM is not required for the control of the initiation of chromosome replication or for DNA mismatch repair. By contrast, our transcriptome analysis shows that >10% of the genes are misexpressed in cells lacking or constitutively over-expressing CcrM. Strikingly, GANTC methylation is needed for the efficient transcription of dozens of genes that are essential for cell cycle progression, in particular for DNA metabolism and cell division. Many of them are controlled by promoters methylated by CcrM and co-regulated by other global cell cycle regulators, demonstrating an extensive cross talk between DNA methylation and the complex regulatory network that controls the cell cycle of C. crescentus and, presumably, of many other Alphaproteobacteria.

Binding energy and momentum distribution of nuclear matter using Green's functions methods

The influence of hole-hole (h-h) propagation in addition to the conventional particle-particle (p-p) propagation, on the energy per particle and the momentum distribution is investigated for the v2 central interaction which is derived from Reid¿s soft-core potential. The results are compared to Brueckner-Hartree-Fock calculations with a continuous choice for the single-particle (SP) spectrum. Calculation of the energy from a self-consistently determined SP spectrum leads to a lower saturation density. This result is not corroborated by calculating the energy from the hole spectral function, which is, however, not self-consistent. A generalization of previous calculations of the momentum distribution, based on a Goldstone diagram expansion, is introduced that allows the inclusion of h-h contributions to all orders. From this result an alternative calculation of the kinetic energy is obtained. In addition, a direct calculation of the potential energy is presented which is obtained from a solution of the ladder equation containing p-p and h-h propagation to all orders. These results can be considered as the contributions of selected Goldstone diagrams (including p-p and h-h terms on the same footing) to the kinetic and potential energy in which the SP energy is given by the quasiparticle energy. The results for the summation of Goldstone diagrams leads to a different momentum distribution than the one obtained from integrating the hole spectral function which in general gives less depletion of the Fermi sea. Various arguments, based partly on the results that are obtained, are put forward that a self-consistent determination of the spectral functions including the p-p and h-h ladder contributions (using a realistic interaction) will shed light on the question of nuclear saturation at a nonrelativistic level that is consistent with the observed depletion of SP orbitals in finite nuclei.

Relaxation from a marginal state in optical bistability

Characteristic decay times for relaxation close to the marginal point of optical bistability are studied. A model-independent formula for the decay time is given which interpolates between Kramers time for activated decay and a deterministic relaxation time. This formula gives the decay time as a universal scaling function of the parameter which measures deviation from marginality. The standard deviation of the first-passage-time distribution is found to vary linearly with the decay time, close to marginality, with a slope independent of the noise intensity. Our results are substantiated by numerical simulations and their experimental relevance is pointed out.

The anti-apoptotic factor Bcl-2 can functionally substitute for the B cell survival but not for the marginal zone B cell differentiation activity of BAFF.

The TNF family ligand B cell-activating factor (BAFF, BLyS, TALL-1) is an essential factor for B cell development. BAFF binds to three receptors, BAFF-R, transmembrane activator and CAML interactor (TACI), and B cell maturation antigen (BCMA), but only BAFF-R is required for successful survival and maturation of splenic B cells. To test whether the effect of BAFF is due to the up-regulation of anti-apoptotic factors, TACI-Ig-transgenic mice, in which BAFF function is inhibited, were crossed with transgenic mice expressing FLICE-inhibitory protein (FLIP) or Bcl-2 in the B cell compartment. FLIP expression did not rescue B cells, while enforced Bcl-2 expression restored peripheral B cells and the ability to mount T-dependent antibody responses. However, many B cells retained immaturity markers and failed to express normal amounts of CD21. Marginal zone B cells were not restored and the T-independent IgG3, but not IgM, response was impaired in the TACI-IgxBcl-2 mice. These results suggest that BAFF is required not only to inhibit apoptosis of maturating B cells, but also to promote differentiation events, in particular those leading to the generation of marginal zone B cells.

Cost-effective experimental design to support modeling of concentration-response functions

Modeling concentration-response function became extremely popular in ecotoxicology during the last decade. Indeed, modeling allows determining the total response pattern of a given substance. However, reliable modeling is consuming in term of data, which is in contradiction with the current trend in ecotoxicology, which aims to reduce, for cost and ethical reasons, the number of data produced during an experiment. It is therefore crucial to determine experimental design in a cost-effective manner. In this paper, we propose to use the theory of locally D-optimal designs to determine the set of concentrations to be tested so that the parameters of the concentration-response function can be estimated with high precision. We illustrated this approach by determining the locally D-optimal designs to estimate the toxicity of the herbicide dinoseb on daphnids and algae. The results show that the number of concentrations to be tested is often equal to the number of parameters and often related to the their meaning, i.e. they are located close to the parameters. Furthermore, the results show that the locally D-optimal design often has the minimal number of support points and is not much sensitive to small changes in nominal values of the parameters. In order to reduce the experimental cost and the use of test organisms, especially in case of long-term studies, reliable nominal values may therefore be fixed based on prior knowledge and literature research instead of on preliminary experiments

First-passage times for a marginal state driven by colored noise

The dynamical process through a marginal state (saddle point) driven by colored noise is studied. For small correlation time of the noise, the mean first-passage time and its variance are calculated using standard methods. When the correlation time of the noise is finite or large, an alternative approach, based on simple physical arguments, is proposed. It will allow us to study also the passage times of an unstable state. The theoretical predictions are tested satisfactorily by the use of computer simulations.

Theory for correlation functions of processes driven by external colored noise

We study steady-state correlation functions of nonlinear stochastic processes driven by external colored noise. We present a methodology that provides explicit expressions of correlation functions approximating simultaneously short- and long-time regimes. The non-Markov nature is reduced to an effective Markovian formulation, and the nonlinearities are treated systematically by means of double expansions in high and low frequencies. We also derive some exact expressions for the coefficients of these expansions for arbitrary noise by means of a generalization of projection-operator techniques.