On the Lp-Norm Regression Models for Estimating Value-at-Risk

Analysis of risk measures associated with price series data movements and its predictions are of strategic importance in the financial markets as well as to policy makers in particular for short- and longterm planning for setting up economic growth targets. For example, oilprice risk-management focuses primarily on when and how an organization can best prevent the costly exposure to price risk. Value-at-Risk (VaR) is the commonly practised instrument to measure risk and is evaluated by analysing the negative/positive tail of the probability distributions of the returns (profit or loss). In modelling applications, least-squares estimation (LSE)-based linear regression models are often employed for modeling and analyzing correlated data. These linear models are optimal and perform relatively well under conditions such as errors following normal or approximately normal distributions, being free of large size outliers and satisfying the Gauss-Markov assumptions. However, often in practical situations, the LSE-based linear regression models fail to provide optimal results, for instance, in non-Gaussian situations especially when the errors follow distributions with fat tails and error terms possess a finite variance. This is the situation in case of risk analysis which involves analyzing tail distributions. Thus, applications of the LSE-based regression models may be questioned for appropriateness and may have limited applicability. We have carried out the risk analysis of Iranian crude oil price data based on the Lp-norm regression models and have noted that the LSE-based models do not always perform the best. We discuss results from the L1, L2 and L∞-norm based linear regression models. ACM Computing Classification System (1998): B.1.2, F.1.3, F.2.3, G.3, J.2.

Online information seeking by patients with bipolar disorder:results from an international multisite survey

Background: Information seeking is an important coping mechanism for dealing with chronic illness. Despite a growing number of mental health websites, there is little understanding of how patients with bipolar disorder use the Internet to seek information. Methods: A 39 question, paper-based, anonymous survey, translated into 12 languages, was completed by 1222 patients in 17 countries as a convenience sample between March 2014 and January 2016. All patients had a diagnosis of bipolar disorder from a psychiatrist. Data were analyzed using descriptive statistics and generalized estimating equations to account for correlated data. Results: 976 (81 % of 1212 valid responses) of the patients used the Internet, and of these 750 (77 %) looked for information on bipolar disorder. When looking online for information, 89 % used a computer rather than a smartphone, and 79 % started with a general search engine. The primary reasons for searching were drug side effects (51 %), to learn anonymously (43 %), and for help coping (39 %). About 1/3 rated their search skills as expert, and 2/3 as basic or intermediate. 59 % preferred a website on mental illness and 33 % preferred Wikipedia. Only 20 % read or participated in online support groups. Most patients (62 %) searched a couple times a year. Online information seeking helped about 2/3 to cope (41 % of the entire sample). About 2/3 did not discuss Internet findings with their doctor. Conclusion: Online information seeking helps many patients to cope although alternative information sources remain important. Most patients do not discuss Internet findings with their doctor, and concern remains about the quality of online information especially related to prescription drugs. Patients may not rate search skills accurately, and may not understand limitations of online privacy. More patient education about online information searching is needed and physicians should recommend a few high quality websites.

Posterior Probability Modeling and Image Classification for Archaeological Site Prospection: Building a Survey Efficacy Model for Identifying Neolithic Felsite Workshops in the Shetland Islands

The application of custom classification techniques and posterior probability modeling (PPM) using Worldview-2 multispectral imagery to archaeological field survey is presented in this paper. Research is focused on the identification of Neolithic felsite stone tool workshops in the North Mavine region of the Shetland Islands in Northern Scotland. Sample data from known workshops surveyed using differential GPS are used alongside known non-sites to train a linear discriminant analysis (LDA) classifier based on a combination of datasets including Worldview-2 bands, band difference ratios (BDR) and topographical derivatives. Principal components analysis is further used to test and reduce dimensionality caused by redundant datasets. Probability models were generated by LDA using principal components and tested with sites identified through geological field survey. Testing shows the prospective ability of this technique and significance between 0.05 and 0.01, and gain statistics between 0.90 and 0.94, higher than those obtained using maximum likelihood and random forest classifiers. Results suggest that this approach is best suited to relatively homogenous site types, and performs better with correlated data sources. Finally, by combining posterior probability models and least-cost analysis, a survey least-cost efficacy model is generated showing the utility of such approaches to archaeological field survey.

Ansiedade na performance musical: estudo de caso com a Orquestra Filarmonia das Beiras

A ansiedade na performance musical (APM) é um distúrbio que afeta alguns músicos independentemente da sua idade, experiência, dedicação ou tipo de instrumento. A APM se faz presente em músicos de orquestras, coros e solistas e surge como um fenômeno fisiológico, psicológico, cognitivo e emocional. Este trabalho consiste em uma pesquisa acerca da ansiedade na performance musical em uma orquestra portuguesa. Através da aplicação do questionário STAI-Y comparou-se como 36 músicos da Orquestra Filarmonia das Beiras se sentiram antes do concerto (ansiedade-estado) e em uma situação geral (ansiedade-traço). Além disso, correlacionou-se os dados obtidos com dados sobre a população portuguesa. Concluiu-se que os músicos da OFB não apresentaram diferenças significativas entre os dois momentos e apresentaram baixos índices de ansiedade-estado e ansiedadetraço comparativamente à população portuguesa.

LQG control policy design against agent identity privacy problem

This thesis project studies the agent identity privacy problem in the scalar linear quadratic Gaussian (LQG) control system. For the agent identity privacy problem in the LQG control, privacy models and privacy measures have to be established first. It depends on a trajectory of correlated data rather than a single observation. I propose here privacy models and the corresponding privacy measures by taking into account the two characteristics. The agent identity is a binary hypothesis: Agent A or Agent B. An eavesdropper is assumed to make a hypothesis testing on the agent identity based on the intercepted environment state sequence. The privacy risk is measured by the Kullback-Leibler divergence between the probability distributions of state sequences under two hypotheses. By taking into account both the accumulative control reward and privacy risk, an optimization problem of the policy of Agent B is formulated. The optimal deterministic privacy-preserving LQG policy of Agent B is a linear mapping. A sufficient condition is given to guarantee that the optimal deterministic privacy-preserving policy is time-invariant in the asymptotic regime. An independent Gaussian random variable cannot improve the performance of Agent B. The numerical experiments justify the theoretic results and illustrate the reward-privacy trade-off. Based on the privacy model and the LQG control model, I have formulated the mathematical problems for the agent identity privacy problem in LQG. The formulated problems address the two design objectives: to maximize the control reward and to minimize the privacy risk. I have conducted theoretic analysis on the LQG control policy in the agent identity privacy problem and the trade-off between the control reward and the privacy risk.Finally, the theoretic results are justified by numerical experiments. From the numerical results, I expected to have some interesting observations and insights, which are explained in the last chapter.

Correlated observation errors in data assimilation

Data assimilation provides techniques for combining observations and prior model forecasts to create initial conditions for numerical weather prediction (NWP). The relative weighting assigned to each observation in the analysis is determined by its associated error. Remote sensing data usually has correlated errors, but the correlations are typically ignored in NWP. Here, we describe three approaches to the treatment of observation error correlations. For an idealized data set, the information content under each simplified assumption is compared with that under correct correlation specification. Treating the errors as uncorrelated results in a significant loss of information. However, retention of an approximated correlation gives clear benefits.

Data assimilation with correlated observation errors: experiments with a 1-D shallow water model

Remote sensing observations often have correlated errors, but the correlations are typically ignored in data assimilation for numerical weather prediction. The assumption of zero correlations is often used with data thinning methods, resulting in a loss of information. As operational centres move towards higher-resolution forecasting, there is a requirement to retain data providing detail on appropriate scales. Thus an alternative approach to dealing with observation error correlations is needed. In this article, we consider several approaches to approximating observation error correlation matrices: diagonal approximations, eigendecomposition approximations and Markov matrices. These approximations are applied in incremental variational assimilation experiments with a 1-D shallow water model using synthetic observations. Our experiments quantify analysis accuracy in comparison with a reference or ‘truth’ trajectory, as well as with analyses using the ‘true’ observation error covariance matrix. We show that it is often better to include an approximate correlation structure in the observation error covariance matrix than to incorrectly assume error independence. Furthermore, by choosing a suitable matrix approximation, it is feasible and computationally cheap to include error correlation structure in a variational data assimilation algorithm.

Multivariate models for correlated count data

In this study, we deal with the problem of overdispersion beyond extra zeros for a collection of counts that can be correlated. Poisson, negative binomial, zero-inflated Poisson and zero-inflated negative binomial distributions have been considered. First, we propose a multivariate count model in which all counts follow the same distribution and are correlated. Then we extend this model in a sense that correlated counts may follow different distributions. To accommodate correlation among counts, we have considered correlated random effects for each individual in the mean structure, thus inducing dependency among common observations to an individual. The method is applied to real data to investigate variation in food resources use in a species of marsupial in a locality of the Brazilian Cerrado biome. © 2013 Copyright Taylor and Francis Group, LLC.

Semiparametric Normal Transformation Models for Spatially Correlated Survival Data

There is an emerging interest in modeling spatially correlated survival data in biomedical and epidemiological studies. In this paper, we propose a new class of semiparametric normal transformation models for right censored spatially correlated survival data. This class of models assumes that survival outcomes marginally follow a Cox proportional hazard model with unspecified baseline hazard, and their joint distribution is obtained by transforming survival outcomes to normal random variables, whose joint distribution is assumed to be multivariate normal with a spatial correlation structure. A key feature of the class of semiparametric normal transformation models is that it provides a rich class of spatial survival models where regression coefficients have population average interpretation and the spatial dependence of survival times is conveniently modeled using the transformed variables by flexible normal random fields. We study the relationship of the spatial correlation structure of the transformed normal variables and the dependence measures of the original survival times. Direct nonparametric maximum likelihood estimation in such models is practically prohibited due to the high dimensional intractable integration of the likelihood function and the infinite dimensional nuisance baseline hazard parameter. We hence develop a class of spatial semiparametric estimating equations, which conveniently estimate the population-level regression coefficients and the dependence parameters simultaneously. We study the asymptotic properties of the proposed estimators, and show that they are consistent and asymptotically normal. The proposed method is illustrated with an analysis of data from the East Boston Ashma Study and its performance is evaluated using simulations.