Normalized Gaussian Networks with Mixed Feature Data

With mixed feature data, problems are induced in modeling the gating network of normalized Gaussian (NG) networks as the assumption of multivariate Gaussian becomes invalid. In this paper, we propose an independence model to handle mixed feature data within the framework of NG networks. The method is illustrated using a real example of breast cancer data.

Mixed-frequency testing of induction machines using inverters

This work has concentrated on the testing of induction machines to determine their temperature rise at full-load without mechanically coupling to a load machine. The achievements of this work are outlined as follows. 1. Four distinct categories of mixed-frequency test using an inverter have been identified by the author. The simulation results of these tests as well as the conventional 2-supply test have been analysed in detail. 2. Experimental work on mixed-frequency tests has been done on a small (4 kW) squirrel cage induction machine using a voltage source PWM inverter. Two out of the four categories of test suggested have been tested and the temperature rise results were found to be similar to the results of a direct loading test. Further, one of the categories of test proposed has been performed on a 3.3 kW slip-ring induction machine for the conformation of the rotor values. 3. A low current supply mixed-frequency test-rig has been proposed. For this purpose, a resonant bank was connected to the DC link of the inverter in order to maintain the exchange of power between the test machine and the resonant bank instead of between the main supply and the test machine. The resonant bank was then replaced with a special electro-mechanical energy storage unit. The current of the main power supply was then reduced in amplitude. 4. A variable inertia test for full load temperature rise testing of induction machines has been introduced. This test is purely mechanical in nature and does not require any electrical connection of the test machine to any other machine. It has the advantage of drawing very little net power from the supply.

Standardized geo-referenced catch, fishing effort and length-frequency data for the Indian Ocean Bigeye Tuna, Thunnus obesus (1952-2014)

Geo-referenced catch and fishing effort data of the bigeye tuna fisheries in the Indian Ocean over 1952-2014 were analysed and standardized to facilitate population dynamics modelling studies. During this sixty-two years historical period of exploitation, many changes occurred both in the fishing techniques and the monitoring of activity. This study includes a series of processing steps used for standardization of spatial resolution, conversion and standardization of catch and effort units, raising of geo-referenced catch into nominal catch level, screening and correction of outliers, and detection of major catchability changes over long time series of fishing data, i.e., the Japanese longline fleet operating in the tropical Indian Ocean. A total of thirty fisheries were finally determined from longline, purse seine and other-gears data sets, from which 10 longline and four purse seine fisheries represented 96% of the whole historical catch. The geo-referenced records consists of catch, fishing effort and associated length frequency samples of all fisheries.

Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.

Measuring, Modeling, and Forecasting Volatility and Correlations from High-Frequency Data

This dissertation contains four essays that all share a common purpose: developing new methodologies to exploit the potential of high-frequency data for the measurement, modeling and forecasting of financial assets volatility and correlations. The first two chapters provide useful tools for univariate applications while the last two chapters develop multivariate methodologies. In chapter 1, we introduce a new class of univariate volatility models named FloGARCH models. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the models in a realistic numerical study and on the basis of a data set composed of 65 equities. Using more than 10 years of high-frequency transactions, we document significant statistical gains related to the FloGARCH models in terms of in-sample fit, out-of-sample fit and forecasting accuracy compared to classical and Realized GARCH models. In chapter 2, using 12 years of high-frequency transactions for 55 U.S. stocks, we argue that combining low-frequency exogenous economic indicators with high-frequency financial data improves the ability of conditionally heteroskedastic models to forecast the volatility of returns, their full multi-step ahead conditional distribution and the multi-period Value-at-Risk. Using a refined version of the Realized LGARCH model allowing for time-varying intercept and implemented with realized kernels, we document that nominal corporate profits and term spreads have strong long-run predictive ability and generate accurate risk measures forecasts over long-horizon. The results are based on several loss functions and tests, including the Model Confidence Set. Chapter 3 is a joint work with David Veredas. We study the class of disentangled realized estimators for the integrated covariance matrix of Brownian semimartingales with finite activity jumps. These estimators separate correlations and volatilities. We analyze different combinations of quantile- and median-based realized volatilities, and four estimators of realized correlations with three synchronization schemes. Their finite sample properties are studied under four data generating processes, in presence, or not, of microstructure noise, and under synchronous and asynchronous trading. The main finding is that the pre-averaged version of disentangled estimators based on Gaussian ranks (for the correlations) and median deviations (for the volatilities) provide a precise, computationally efficient, and easy alternative to measure integrated covariances on the basis of noisy and asynchronous prices. Along these lines, a minimum variance portfolio application shows the superiority of this disentangled realized estimator in terms of numerous performance metrics. Chapter 4 is co-authored with Niels S. Hansen, Asger Lunde and Kasper V. Olesen, all affiliated with CREATES at Aarhus University. We propose to use the Realized Beta GARCH model to exploit the potential of high-frequency data in commodity markets. The model produces high quality forecasts of pairwise correlations between commodities which can be used to construct a composite covariance matrix. We evaluate the quality of this matrix in a portfolio context and compare it to models used in the industry. We demonstrate significant economic gains in a realistic setting including short selling constraints and transaction costs.

Mixture of time-dependent growth models with an application to blue swimmer crab length-frequency data

Understanding how aquatic species grow is fundamental in fisheries because stock assessment often relies on growth dependent statistical models. Length-frequency-based methods become important when more applicable data for growth model estimation are either not available or very expensive. In this article, we develop a new framework for growth estimation from length-frequency data using a generalized von Bertalanffy growth model (VBGM) framework that allows for time-dependent covariates to be incorporated. A finite mixture of normal distributions is used to model the length-frequency cohorts of each month with the means constrained to follow a VBGM. The variances of the finite mixture components are constrained to be a function of mean length, reducing the number of parameters and allowing for an estimate of the variance at any length. To optimize the likelihood, we use a minorization–maximization (MM) algorithm with a Nelder–Mead sub-step. This work was motivated by the decline in catches of the blue swimmer crab (BSC) (Portunus armatus) off the east coast of Queensland, Australia. We test the method with a simulation study and then apply it to the BSC fishery data.

Sparse time-frequency data analysis : a multi-scale approach

In this work, we further extend the recently developed adaptive data analysis method, the Sparse Time-Frequency Representation (STFR) method. This method is based on the assumption that many physical signals inherently contain AM-FM representations. We propose a sparse optimization method to extract the AM-FM representations of such signals. We prove the convergence of the method for periodic signals under certain assumptions and provide practical algorithms specifically for the non-periodic STFR, which extends the method to tackle problems that former STFR methods could not handle, including stability to noise and non-periodic data analysis. This is a significant improvement since many adaptive and non-adaptive signal processing methods are not fully capable of handling non-periodic signals. Moreover, we propose a new STFR algorithm to study intrawave signals with strong frequency modulation and analyze the convergence of this new algorithm for periodic signals. Such signals have previously remained a bottleneck for all signal processing methods. Furthermore, we propose a modified version of STFR that facilitates the extraction of intrawaves that have overlaping frequency content. We show that the STFR methods can be applied to the realm of dynamical systems and cardiovascular signals. In particular, we present a simplified and modified version of the STFR algorithm that is potentially useful for the diagnosis of some cardiovascular diseases. We further explain some preliminary work on the nature of Intrinsic Mode Functions (IMFs) and how they can have different representations in different phase coordinates. This analysis shows that the uncertainty principle is fundamental to all oscillating signals.

Nowcasting Scottish GDP Growth

The delays in the release of macroeconomic variables such as GDP mean that policymakers do not know their current values. Thus, nowcasts, which are estimates of current values of macroeconomic variables, are becoming increasingly popular. This paper takes up the challenge of nowcasting Scottish GDP growth. Nowcasting in Scotland, currently a government office region within the United Kingdom, is complicated due to data limitations. For instance, key nowcast predictors such as industrial production are unavailable. Accordingly, we use data on some non-traditional variables and investigate whether UK aggregates can help nowcast Scottish GDP growth. Such data limitations are shared by many other sub-national regions, so we hope this paper can provide lessons for other regions interested in developing nowcasting models.

Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Development of Hierarchical Clustering Techniques for Gridded Data from Mixed Data Sequences

Knowledge discovery in databases is the non-trivial process of identifying valid, novel potentially useful and ultimately understandable patterns from data. The term Data mining refers to the process which does the exploratory analysis on the data and builds some model on the data. To infer patterns from data, data mining involves different approaches like association rule mining, classification techniques or clustering techniques. Among the many data mining techniques, clustering plays a major role, since it helps to group the related data for assessing properties and drawing conclusions. Most of the clustering algorithms act on a dataset with uniform format, since the similarity or dissimilarity between the data points is a significant factor in finding out the clusters. If a dataset consists of mixed attributes, i.e. a combination of numerical and categorical variables, a preferred approach is to convert different formats into a uniform format. The research study explores the various techniques to convert the mixed data sets to a numerical equivalent, so as to make it equipped for applying the statistical and similar algorithms. The results of clustering mixed category data after conversion to numeric data type have been demonstrated using a crime data set. The thesis also proposes an extension to the well known algorithm for handling mixed data types, to deal with data sets having only categorical data. The proposed conversion has been validated on a data set corresponding to breast cancer. Moreover, another issue with the clustering process is the visualization of output. Different geometric techniques like scatter plot, or projection plots are available, but none of the techniques display the result projecting the whole database but rather demonstrate attribute-pair wise analysis

Mitochondrial sequence data and Dipsacales phylogeny: Mixed models, partitioned Bayesian analyses, and model selection

Phylogenetic analyses of chloroplast DNA sequences, morphology, and combined data have provided consistent support for many of the major branches within the angiosperm, clade Dipsacales. Here we use sequences from three mitochondrial loci to test the existing broad scale phylogeny and in an attempt to resolve several relationships that have remained uncertain. Parsimony, maximum likelihood, and Bayesian analyses of a combined mitochondrial data set recover trees broadly consistent with previous studies, although resolution and support are lower than in the largest chloroplast analyses. Combining chloroplast and mitochondrial data results in a generally well-resolved and very strongly supported topology but the previously recognized problem areas remain. To investigate why these relationships have been difficult to resolve we conducted a series of experiments using different data partitions and heterogeneous substitution models. Usually more complex modeling schemes are favored regardless of the partitions recognized but model choice had little effect on topology or support values. In contrast there are consistent but weakly supported differences in the topologies recovered from coding and non-coding matrices. These conflicts directly correspond to relationships that were poorly resolved in analyses of the full combined chloroplast-mitochondrial data set. We suggest incongruent signal has contributed to our inability to confidently resolve these problem areas. (c) 2007 Elsevier Inc. All rights reserved.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Inferring population history from microsatellite and enzyme data in serially introduced cane toads, Bufo marinus

Much progress has been made on inferring population history from molecular data. However, complex demographic scenarios have been considered rarely or have proved intractable. The serial introduction of the South-Central American cane Load Bufo marinas in various Caribbean and Pacific islands involves four major phases: a possible genetic admixture during the first introduction, a bottleneck associated with founding, a transitory, population boom, and finally, a demographic stabilization. A large amount of historical and demographic information is available for those introductions and can be combined profitably with molecular data. We used a Bayesian approach to combine this information With microsatellite (10 loci) and enzyme (22 loci) data and used a rejection algorithm to simultaneously estimate the demographic parameters describing the four major phases of the introduction history,. The general historical trends supported by microsatellites and enzymes were similar. However, there was a stronger support for a larger bottleneck at introductions for microsatellites than enzymes and for a more balanced genetic admixture for enzymes than for microsatellites. Verb, little information was obtained from either marker about the transitory population boom observed after each introduction. Possible explanations for differences in resolution of demographic events and discrepancies between results obtained with microsatellites and enzymes were explored. Limits Of Our model and method for the analysis of nonequilibrium populations were discussed.

Performing masculinity, influencing health: a qualitative mixed-methods study of young Spanish men

Background: The literature shows how gender mandates contribute to differences in exposure and vulnerability to certain health risk factors. This paper presents the results of a study developed in the south of Spain, where research aimed at understanding men from a gender perspective is still limited. Objective: The aim of this paper is to explore the lay perceptions and meanings ascribed to the idea of masculinity, identifying ways in which gender displays are related to health. Design: The study is based on a mixed-methods data collection strategy typical of qualitative research. We performed a qualitative content analysis focused on manifest and latent content. Results: Our analysis showed that the relationship between masculinity and health was mainly defined with regard to behavioural explanations with an evident performative meaning. With regard to issues such as driving, the use of recreational drugs, aggressive behaviour, sexuality, and body image, important connections were established between manhood acts and health outcomes. Different ways of understanding and performing the male identity also emerged from the results. The findings revealed the implications of these aspects in the processes of change in the identity codes of men and women. Conclusions: The study provides insights into how the category ‘man’ is highly dependent on collective practices and performative acts. Consideration of how males perform manhood acts might be required in guidance on the development of programmes and policies aimed at addressing gender inequalities in health in a particular local context.