Selecting from amongst non–nested conditional variance models: information criteria and portfolio determination

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the empirical relevance of this property, Monte Carlo simulations are conducted for a set of non–nested data generating processes (DGPs) with the set of candidate models consisting of all types of model used as DGPs. In addition, not only is the best model considered but also those with similar values of the information criterion, called close competitors, thus forming a portfolio of eligible models. To supplement the simulations, the criteria are applied to a set of economic and financial series. In the simulations, the criteria are largely ineffective at identifying the correct model, either as best or a close competitor, the parsimonious GARCH(1, 1) model being preferred for most DGPs. In contrast, asymmetric models are generally selected to represent actual data. This leads to the conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined and that more attention needs to be paid to the behaviour of the standardized disturbances of such models, both in simulation exercises and in empirical modelling.

The correlation structure of spatial autoregressions

This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix and the autocorrelation parameter. A graph theoretic representation of the covariances in terms of walks connecting the spatial units helps to clarify a number of correlation properties of the processes. In particular, we study some implications of row-standardizing the weights matrix, the dependence of the correlations on graph distance, and the behavior of the correlations at the extremes of the parameter space. Throughout the analysis differences between directed and undirected networks are emphasized. The graph theoretic representation also clarifies why it is difficult to relate properties ofW to correlation properties of SAR(1) models defined on irregular lattices.

Development of a semantic graph-based scene description

Software representations of scenes, i.e. the modelling of objects in space, are used in many application domains. Current modelling and scene description standards focus on visualisation dimensions, and are intrinsically limited by their dependence upon their semantic interpretation and contextual application by humans. In this paper we propose the need for an open, extensible and semantically rich modelling language, which facilitates a machine-readable semantic structure. We critically review existing standards and techniques, and highlight a need for a semantically focussed scene description language. Based on this defined need we propose a preliminary solution, based on hypergraph theory, and reflect on application domains.

The conditional performance of UK property funds

The evaluation of investment fund performance has been one of the main developments of modern portfolio theory. Most studies employ the technique developed by Jensen (1968) that compares a particular fund's returns to a benchmark portfolio of equal risk. However, the standard measures of fund manager performance are known to suffer from a number of problems in practice. In particular previous studies implicitly assume that the risk level of the portfolio is stationary through the evaluation period. That is unconditional measures of performance do not account for the fact that risk and expected returns may vary with the state of the economy. Therefore many of the problems encountered in previous performance studies reflect the inability of traditional measures to handle the dynamic behaviour of returns. As a consequence Ferson and Schadt (1996) suggest an approach to performance evaluation called conditional performance evaluation which is designed to address this problem. This paper utilises such a conditional measure of performance on a sample of 27 UK property funds, over the period 1987-1998. The results of which suggest that once the time varying nature of the funds beta is corrected for, by the addition of the market indicators, the average fund performance show an improvement over that of the traditional methods of analysis.

Low relative humidity triggers RNA-directed de novo DNA methylation and suppression of genes controlling stomatal development

Environmental cues influence the development of stomata on the leaf epidermis, and allow plants to exert plasticity in leaf stomatal abundance in response to the prevailing growing conditions. It is reported that Arabidopsis thaliana ‘Landsberg erecta’ plants grown under low relative humidity have a reduced stomatal index and that two genes in the stomatal development pathway, SPEECHLESS and FAMA, become de novo cytosine methylated and transcriptionally repressed. These environmentally-induced epigenetic responses were abolished in mutants lacking the capacity for de novo DNA methylation, for the maintenance of CG methylation, and in mutants for the production of short-interfering non-coding RNAs (siRNAs) in the RNA-directed DNA methylation pathway. Induction of methylation was quantitatively related to the induction of local siRNAs under low relative humidity. Our results indicate the involvement of both transcriptional and post-transcriptional gene suppression at these loci in response to environmental stress. Thus, in a physiologically important pathway, a targeted epigenetic response to a specific environmental stress is reported and several of its molecular, mechanistic components are described, providing a tractable platform for future epigenetics experiments. Our findings suggest epigenetic regulation of stomatal development that allows for anatomical and phenotypic plasticity, and may help to explain at least some of the plant’s resilience to fluctuating relative humidity.

Comment on ``Conditional Exceedance Probabilities''

In a recent paper, Mason et al. propose a reliability test of ensemble forecasts for a continuous, scalar verification. As noted in the paper, the test relies on a very specific interpretation of ensembles, namely, that the ensemble members represent quantiles of some underlying distribution. This quantile interpretation is not the only interpretation of ensembles, another popular one being the Monte Carlo interpretation. Mason et al. suggest estimating the quantiles in this situation; however, this approach is fundamentally flawed. Errors in the quantile estimates are not independent of the exceedance events, and consequently the conditional exceedance probabilities (CEP) curves are not constant, which is a fundamental assumption of the test. The test would reject reliable forecasts with probability much higher than the test size.

Conditional transgenic expression of fibroblast growth factor 9 in the adult mouse heart reduces heart failure mortality after myocardial infarction

BACKGROUND: Fibroblast growth factor 9 (FGF9) is secreted from bone marrow cells, which have been shown to improve systolic function after myocardial infarction (MI) in a clinical trial. FGF9 promotes cardiac vascularization during embryonic development but is only weakly expressed in the adult heart. METHODS AND RESULTS: We used a tetracycline-responsive binary transgene system based on the α-myosin heavy chain promoter to test whether conditional expression of FGF9 in the adult myocardium supports adaptation after MI. In sham-operated mice, transgenic FGF9 stimulated left ventricular hypertrophy with microvessel expansion and preserved systolic and diastolic function. After coronary artery ligation, transgenic FGF9 enhanced hypertrophy of the noninfarcted left ventricular myocardium with increased microvessel density, reduced interstitial fibrosis, attenuated fetal gene expression, and improved systolic function. Heart failure mortality after MI was markedly reduced by transgenic FGF9, whereas rupture rates were not affected. Adenoviral FGF9 gene transfer after MI similarly promoted left ventricular hypertrophy with improved systolic function and reduced heart failure mortality. Mechanistically, FGF9 stimulated proliferation and network formation of endothelial cells but induced no direct hypertrophic effects in neonatal or adult rat cardiomyocytes in vitro. FGF9-stimulated endothelial cell supernatants, however, induced cardiomyocyte hypertrophy via paracrine release of bone morphogenetic protein 6. In accord with this observation, expression of bone morphogenetic protein 6 and phosphorylation of its downstream targets SMAD1/5 were increased in the myocardium of FGF9 transgenic mice. CONCLUSIONS: Conditional expression of FGF9 promotes myocardial vascularization and hypertrophy with enhanced systolic function and reduced heart failure mortality after MI. These observations suggest a previously unrecognized therapeutic potential for FGF9 after MI.

Anion-directed template synthesis and hydrolysis of mono-condensed Schiff base of 1,3-pentanediamine ando-hydroxyacetophenone in NiII and CuII Complexes

Bis(o-hydroxyacetophenone)nickel(II) dihydrate, on reaction with 1,3-pentanediamine, yields a bis-chelate complex [NiL2]·2H2O (1) of mono-condensed tridentate Schiff baseligand HL {2-[1-(3-aminopentylimino)ethyl]phenol}. The Schiff base has been freed from the complex by precipitating the NiII as a dimethylglyoximato complex. HL reacts smoothly with Ni(SCN)2·4H2O furnishing the complex [NiL(NCS)] (2) and with CuCl2·2H2O in the presence of NaN3 or NH4SCN producing [CuL(N3)]2 (3) or [CuL(NCS)] (4). On the other hand, upon reaction with Cu(ClO4)2·6H2O and Cu(NO3)2·3H2O, the Schiff base undergoes hydrolysis to yield ternary complexes [Cu(hap)(pn)(H2O)]ClO4 (5) and [Cu(hap)(pn)(H2O)]NO3 (6), respectively (Hhap = o-hydroxyacetophenone and pn = 1,3-pentanediamine). The ligand HL undergoes hydrolysis also on reaction with Ni(ClO4)2·6H2O or Ni(NO3)2·6H2O to yield [Ni(hap)2] (7). The structures of the complexes 2, 3, 5, 6, and 7 have been confirmed by single-crystal X-ray analysis. In complex 2, NiII possesses square-planar geometry, being coordinated by the tridentate mono-negative Schiff base, L and the isothiocyanate group. The coordination environment around CuII in complex 3 is very similar to that in complex 2 but here two units are joined together by end-on, axial-equatorial azide bridges to result in a dimer in which the geometry around CuII is square pyramidal. In both 5 and 6, the CuII atoms display the square-pyramidal environment; the equatorial sites being coordinated by the two amine groups of 1,3-pentanediamine and two oxygen atoms of o-hydroxyacetophenone. The axial site is coordinated by a water molecule. Complex 7 is a square-planar complex with the Ni atom bonded to four oxygen atoms from two hap moieties. The mononuclear units of 2 and dinuclear units of 3 are linked by strong hydrogen bonds to form a one-dimensional network. The mononuclear units of 5 and 6 are joined together to form a dimer by very strong hydrogen bonds through the coordinated water molecule. These dimers are further involved in hydrogen bonding with the respective counteranions to form 2-D net-like open frameworks.

Graph-based algorithms for comparison and prediction of household-level energy use profiles

We present an efficient graph-based algorithm for quantifying the similarity of household-level energy use profiles, using a notion of similarity that allows for small time–shifts when comparing profiles. Experimental results on a real smart meter data set demonstrate that in cases of practical interest our technique is far faster than the existing method for computing the same similarity measure. Having a fast algorithm for measuring profile similarity improves the efficiency of tasks such as clustering of customers and cross-validation of forecasting methods using historical data. Furthermore, we apply a generalisation of our algorithm to produce substantially better household-level energy use forecasts from historical smart meter data.

Heliospheric Observations of STEREO-Directed Coronal Mass Ejections in 2008 – 2010: Lessons for Future Observations of Earth-Directed CMEs

We present a study of coronal mass ejections (CMEs) which impacted one of the STEREO spacecraft between January 2008 and early 2010. We focus our study on 20 CMEs which were observed remotely by the Heliospheric Imagers (HIs) onboard the other STEREO spacecraft up to large heliocentric distances. We compare the predictions of the Fixed-Φ and Harmonic Mean (HM) fitting methods, which only differ by the assumed geometry of the CME. It is possible to use these techniques to determine from remote-sensing observations the CME direction of propagation, arrival time and final speed which are compared to in-situ measurements. We find evidence that for large viewing angles, the HM fitting method predicts the CME direction better. However, this may be due to the fact that only wide CMEs can be successfully observed when the CME propagates more than 100∘ from the observing spacecraft. Overall eight CMEs, originating from behind the limb as seen by one of the STEREO spacecraft can be tracked and their arrival time at the other STEREO spacecraft can be successfully predicted. This includes CMEs, such as the events on 4 December 2009 and 9 April 2010, which were viewed 130∘ away from their direction of propagation. Therefore, we predict that some Earth-directed CMEs will be observed by the HIs until early 2013, when the separation between Earth and one of the STEREO spacecraft will be similar to the separation of the two STEREO spacecraft in 2009 – 2010.

Conditional mean functions of non-linear models of US output

We compare a number of models of post War US output growth in terms of the degree and pattern of non-linearity they impart to the conditional mean, where we condition on either the previous period's growth rate, or the previous two periods' growth rates. The conditional means are estimated non-parametrically using a nearest-neighbour technique on data simulated from the models. In this way, we condense the complex, dynamic, responses that may be present in to graphical displays of the implied conditional mean.

Aspects of in vitro and in vivo research approaches directed towards identifying probiotics and prebiotics for human use

The microbiota of the human gastrointestinal tract plays a key role in nutrition and health. Through the process of fermentation, gut bacteria metabolize various substrates (principally dietary components) to end products such as short-chain fatty acids and gases. This anaerobic metabolism is thought to contribute positively toward host daily energy requirements. However, under certain circumstances, the fermentative process may produce undesirable metabolites. This may cause the onset of gut disorders that can be manifest through both acute and chronic conditions. Moreover, the gut flora may become contaminated by transient pathogens that serve further to upset the normal community structure. There has been a recent increase in the use of dietary components that help to maintain, or even improve, the gut microflora "balance." Probiotics are live microbial feed supplements added to appropriate food vehicles (usually fermented milks), whereas prebiotics are dietary carbohydrates that have a selective metabolism in the colon and serve to increase numbers of bacteria seen as desirable. Because of their purported health-promoting properties, lactic acid-producing bacteria, including bifidobacteria, are the usual target organisms. The market value and biological potential of both approaches are enormous. This article will summarize how efficacious types can be identified.