Bayesian Gaussian Copula Factor Models for Mixed Data.

Gaussian factor models have proven widely useful for parsimoniously characterizing dependence in multivariate data. There is a rich literature on their extension to mixed categorical and continuous variables, using latent Gaussian variables or through generalized latent trait models acommodating measurements in the exponential family. However, when generalizing to non-Gaussian measured variables the latent variables typically influence both the dependence structure and the form of the marginal distributions, complicating interpretation and introducing artifacts. To address this problem we propose a novel class of Bayesian Gaussian copula factor models which decouple the latent factors from the marginal distributions. A semiparametric specification for the marginals based on the extended rank likelihood yields straightforward implementation and substantial computational gains. We provide new theoretical and empirical justifications for using this likelihood in Bayesian inference. We propose new default priors for the factor loadings and develop efficient parameter-expanded Gibbs sampling for posterior computation. The methods are evaluated through simulations and applied to a dataset in political science. The models in this paper are implemented in the R package bfa.

Alternative Factor Models and Heritability of the Short Leyton Obsessional Inventory-Children's Version

An alternative models framework was used to test three confirmatory factor analytic models for the Short Leyton Obsessional Inventory-Children's Version (Short LOI-CV) in a general population sample of 517 young adolescent twins (11-16 years). A one-factor model as implicit in current classification systems of Obsessive-Compulsive Disorder (OCD), a two-factor obsessions and compulsions model, and a multidimensional model corresponding to the three proposed subscales of the Short LOI-CV (labelled Obsessions/Incompleteness, Numbers/Luck and Cleanliness) were considered. The three-factor model was the only model to provide an adequate explanation of the data. Twin analyses suggested significant quantitative sex differences in heritability for both the Obsessions/Incompleteness and Numbers/Luck dimensions with these being significantly heritable in males only (heritability of 60% and 65% respectively). The correlation between the additive genetic effects for these two dimensions in males was 0.95 suggesting they largely share the same genetic risk factors.

Dynamic pricing models for used products in remanufacturing with lost-sales and uncertain quality

In this paper, we investigate the remanufacturing problem of pricing single-class used products (cores) in the face of random price-dependent returns and random demand. Specifically, we propose a dynamic pricing policy for the cores and then model the problem as a continuous-time Markov decision process. Our models are designed to address three objectives: finite horizon total cost minimization, infinite horizon discounted cost, and average cost minimization. Besides proving optimal policy uniqueness and establishing monotonicity results for the infinite horizon problem, we also characterize the structures of the optimal policies, which can greatly simplify the computational procedure. Finally, we use computational examples to assess the impacts of specific parameters on optimal price and reveal the benefits of a dynamic pricing policy. © 2013 Elsevier B.V. All rights reserved.

Design and implementation of a real-time data acquisition system for the identification of dynamic temperature models in a hydroponic greenhouse

This text describes a real data acquisition and identification system implemented in a soilless greenhouse located at the University of Algarve (south of Portugal). Using the Real Time Workshop, Simulink, Matlab and the C programming language a system was developed to perform real-time data acquisition from a set of sensors.

Real-time data acquisition system for the Identification of dynamic temperature models in a hydroponic greenhouse

A real-time data acquisition and identification system implemented in a soil-less greenhouse located in the south of Portugal is described. The system performs real-time data acquisition from a set of sensors connected to a data logger.

Real-time parameter estimation of dynamic temperature models for greenhouse environmental control

For a greenhouse located at UTAD-University, the methods used to estimate in real-time the parameters of the inside air temperature model will be described. The structure and the parameters of the climate discrete-time dynamic model were previously identified using data acquired during two different periods of the year.

Dynamic temperature models of a soiless greenhouse

In this paper climate discrete-time dynamic models for the inside air temperature of a soilless greenhouse are identified, using data acquired during two different periods of the year. These models employ data from air temperature and relative humidity.

Understanding multi-asset factor models: Factor exposure interpretation

Field lab: Business project

Predictive control using feedback linearization based on dynamic neural models

This paper presents a hybrid control strategy integrating dynamic neural networks and feedback linearization into a predictive control scheme. Feedback linearization is an important nonlinear control technique which transforms a nonlinear system into a linear system using nonlinear transformations and a model of the plant. In this work, empirical models based on dynamic neural networks have been employed. Dynamic neural networks are mathematical structures described by differential equations, which can be trained to approximate general nonlinear systems. A case study based on a mixing process is presented.

Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data

Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts.

Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.